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ARCH model
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Bissoondoyal-Bheenick, Emawtee
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ECONIS (ZBW)
26
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1
GARCH modelling of individual stock data : the impact of censoring, firm size and trading volume
Brooks, Robert
;
Faff, Robert W.
;
Fry, Tim R. L.
- In:
Journal of international financial markets, …
11
(
2001
)
2
,
pp. 215-222
Persistent link: https://www.econbiz.de/10001575257
Saved in:
2
GARCH modeling of individual stock data : the impact of censoring, firm size and trading volume
Brooks, Robert
;
Faff, Robert W.
;
Fry, Tim R. L.
- In:
Papers in efficiency, effectiveness and international …
,
(pp. 141-151)
.
2000
Persistent link: https://www.econbiz.de/10001586273
Saved in:
3
Time-varying country risk : an assessment of alternative modelling techniques
Brooks, Robert
;
Faff, Robert W.
;
McKenzie, Michael D.
- In:
The European journal of finance
8
(
2002
)
3
,
pp. 249-274
Persistent link: https://www.econbiz.de/10001704466
Saved in:
4
The stock market impact of German reunification : international evidence
Brooks, Robert
;
Faff, Robert W.
;
Sokulsky, David L.
- In:
Applied financial economics
15
(
2005
)
1
,
pp. 31-42
Persistent link: https://www.econbiz.de/10002529583
Saved in:
5
The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market
Wang, Yuenan
;
Di Iorio, Amalia
- In:
Review of quantitative finance and accounting
29
(
2007
)
2
,
pp. 181-203
Persistent link: https://www.econbiz.de/10003600124
Saved in:
6
A multi-country study of power ARCH models and national stock market returns
Brooks, Robert
(
contributor
)
- In:
Journal of international money and finance
19
(
2000
)
3
,
pp. 377-397
Persistent link: https://www.econbiz.de/10001485273
Saved in:
7
Research design issues in time-series modelling of financial market volatility
McKenzie, Michael D.
;
Brooks, Robert
-
1999
Persistent link: https://www.econbiz.de/10001372125
Saved in:
8
Structural breaks and GARCH models of exchange rate volatility : re-examination and extension
Hasanov, Akram Shavkatovich
;
Brooks, Robert
;
Abrorov, …
- In:
Journal of applied econometrics
39
(
2024
)
7
,
pp. 1403-1407
Persistent link: https://www.econbiz.de/10015156866
Saved in:
9
Realized spill-over effects between stock and foreign exchange market : evidence from regional analysis
Do, Hung Xuan
;
Brooks, Robert
;
Sirimon Treepongkaruna
- In:
Global finance journal
28
(
2015
),
pp. 24-37
Persistent link: https://www.econbiz.de/10011478085
Saved in:
10
How does trading volume affect financial return distributions?
Do, Hung Xuan
;
Brooks, Robert
;
Sirimon Treepongkaruna
; …
- In:
International review of financial analysis
35
(
2014
),
pp. 190-206
Persistent link: https://www.econbiz.de/10010530243
Saved in:
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