Similar Search Results - EconBiz

The value premium and time-varying volatility

Li, Xiafei; Brooks, Chris; Miffre, Joëlle - In: Journal of business finance & accounting : JBFA 36 (2009) 9/10, pp. 1252-1272

Persistent link: https://www.econbiz.de/10003909854

Momentum profits and time-varying unsystematic risk

Li, Xiafei; Miffre, Joëlle; Brooks, Chris; O'Sullivan, … - In: Journal of banking & finance 32 (2008) 4, pp. 541-558

Persistent link: https://www.econbiz.de/10003707678

Momentum Profits and Time-Varying Unsystematic Risk

Li, Xiafei - 2013

This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect...

Persistent link: https://www.econbiz.de/10013079998

A double-threshold GARCH model for the French franc - Deutschmark exchange rate

Brooks, Chris - In: Journal of forecasting 20 (2001) 2, pp. 135-143

Persistent link: https://www.econbiz.de/10001570437

A word of caution on calculating market-based minimum capital risk requirements

Brooks, Chris; Clare, Andrew D.; Persand, Gita - In: Journal of banking & finance 24 (2000) 10, pp. 1557-1574

Persistent link: https://www.econbiz.de/10001511626

Selecting from amongst non-nested conditional variance models : information criteria and portfolio determination

Brooks, Chris; Burke, Simon P. - 1999

Persistent link: https://www.econbiz.de/10001405756

Can portmanteau nonlinearity tests serve as general mis-specification tests? : Evidence from symmetric and asymmetric GARCH models

Brooks, Chris; Henry, Ólan Thomas John - 1999

Persistent link: https://www.econbiz.de/10001430158

Can portmanteau nonlinearity tests serve as general mis-specification tests? : Evidence from symmetric and asymmetric GARCH models

Brooks, Chris; Henry, Ólan Thomas John - In: Economics letters 67 (2000) 3, pp. 245-251

Persistent link: https://www.econbiz.de/10001473656

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/10001549775

A note on estimating market-based minimum capital risk requirements : a multivariate GARCH approach

Brooks, Chris; Clare, Andrew D.; Persand, Gita - In: The Manchester School 70 (2002) 5, pp. 666-681

Persistent link: https://www.econbiz.de/10001699705

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