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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

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

Persistence and predictability of skewness in country equity market returns

Lai, Eric; Brooks, Robert; Faff, Robert W. - In: Journal of quantitative economics : official journal of … 1 (2003) 1, pp. 36-51

Persistent link: https://www.econbiz.de/10001807037

New evidence on the impact of financial leverage on beta risk : a time-series approach

Faff, Robert W.; Brooks, Robert; Kee, Ho Yew - In: The North American journal of economics and finance : a … 13 (2002) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10001716383

Correlations, integration and Hansen-Jagannathan bounds

Ragunathan, Vanitha; Faff, Robert W.; Brooks, Robert - In: Applied financial economics 14 (2004) 16, pp. 1167-1180

Persistent link: https://www.econbiz.de/10002409057

Do sovereign re-ratings destabilize equity markets during financial crises? : new evidence from higher return moments

Brooks, Robert; Faff, Robert W.; Sirimon Treepongkaruna; … - In: Journal of business finance & accounting : JBFA 42 (2015) 5/6, pp. 777-799

Persistent link: https://www.econbiz.de/10011442342

Do Sovereign Re-Ratings Destabilize Equity Markets During Financial Crises? : New Evidence From Higher Return Moments

Brooks, Robert - 2015

We investigate the effects of S&P's sovereign re-ratings on the higher moments of equity market returns over recent financial crises. Using a set of intraday stock market index prices and sovereign credit ratings for a sample of 36 countries which experienced sovereign rating changes over the...

Persistent link: https://www.econbiz.de/10013036190

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

Returns and volatility on the Chinese stock markets

Brooks, Robert; Ragunathan, Vanitha - In: Applied financial economics 13 (2003) 10, pp. 747-752

Persistent link: https://www.econbiz.de/10001777217

The role of information in Hong Kong individual stock futures trading

McKenzie, Michael D.; Brooks, Robert - In: Applied financial economics 13 (2003) 2, pp. 123-131

Persistent link: https://www.econbiz.de/10001725734