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Volatility forecasting for risk management
Brooks, Chris; Persand, Gita - In: Journal of forecasting 22 (2003) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10006891183
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RISK MEASUREMENT AND MANAGEMENT - Model Choice and Value-at-Risk Performance - Analysis of methods for determining market-based capital risk requirements raises questions about some commonly used measures of firm risk.
Brooks, Chris; Persand, Gita - In: Financial analysts' journal : FAJ 58 (2002) 5, pp. 87-97
Persistent link: https://www.econbiz.de/10006262180
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The Effect of Asymmetries on Optimal Hedge Ratios
Brooks, Chris; Henry, Olan T.; Persand, Gita - In: The journal of business : B 75 (2002) 2, pp. 333-352
Persistent link: https://www.econbiz.de/10006034660
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Multivariate GARCH models: software choice and estimation issues
Brooks, Chris; Burke, Simon P.; Persand, Gita - In: Journal of applied econometrics 18 (2003) 6, pp. 725
Persistent link: https://www.econbiz.de/10006966133
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Benchmarks and the accuracy of GARCH model estimation
Brooks, Chris; Burke, Simon P.; Persand, Gita - In: International journal of forecasting 17 (2001) 1, pp. 45-56
Persistent link: https://www.econbiz.de/10006980406
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The trading profitability of forecasts of the gilt-equity yield ratio
Brooks, Chris; Persand, Gita - In: International journal of forecasting 17 (2001) 1, pp. 11-30
Persistent link: https://www.econbiz.de/10006980408
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THE PITFALLS OF VAR ESTIMATES - How sample size and weighting method affects the robustness of estimates.
Brooks, Chris; Persand, Gita - In: Risk : managing risk in the world's financial markets 13 (2000) 5, pp. 63-66
Persistent link: https://www.econbiz.de/10007049382
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The gross truth about hedge fund performance and risk : the impact of incentive fees
Brooks, Chris; Clare, Andrew; Motson, Nick - In: Journal / The Capco Institute : journal of financial … 24 (2008), pp. 33-42
Persistent link: https://www.econbiz.de/10009895884
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Extreme price clustering in the London equity index futures and options markets
ap Gwilym, Owain; Clare, Andrew; Thomas, Stephen - In: Journal of banking & finance 22 (1998) 9, pp. 1193-1206
Persistent link: https://www.econbiz.de/10005900563
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Does securitization reduce credit risk taking? Empirical evidence from US bank holding companies
Casu, Barbara; Clare, Andrew; Sarkisyan, Anna; Thomas, … - In: The European journal of finance 17 (2011) 9, pp. 769-789
Persistent link: https://www.econbiz.de/10009343740