Similar Search Results

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

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

A comparison of extreme value theory approaches for determining value at risk

Brooks, Chris; Clare, Andrew D.; Dalle Molle, John W.; … - In: Journal of empirical finance 12 (2005) 2, pp. 339-352

Persistent link: https://www.econbiz.de/10002685175

Optimal hedging and the value of news

Brooks, Chris; Henry, Ólan Thomas John; Persand, Gita - 1999

Persistent link: https://www.econbiz.de/10001427190

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

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/10001736943

Autoregressive conditional kurtosis

Brooks, Chris; Burke, Simon P.; Heravi, Saeed M.; … - In: Journal of financial econometrics : official journal of … 3 (2005) 3, pp. 399-421

Persistent link: https://www.econbiz.de/10002989106

What can we learn about monetary policy transparency from financial market data?

Clare, Andrew D.; Clare, Andrew D.; Courtenay, Roger - 2001

In this paper we investigate the impact of UK macroeconomic news announcements on selected futures contracts and exchange rates. We include a wide set of scheduled public news announcements in our study, including official interest rate decisions. We investigate whether the reaction to these...

Persistent link: https://www.econbiz.de/10001565848

Predicting stock index volatility : can market volume help?

Brooks, Chris - In: Journal of forecasting 17 (1998) 1, pp. 59-80

Persistent link: https://www.econbiz.de/10001245342

Linear and non-linear (non-)forecastability of high-frequency exchange rates

Brooks, Chris - In: Journal of forecasting 16 (1997) 2, pp. 125-145

Persistent link: https://www.econbiz.de/10001216402

1
2
3
4
5
6
7
8
9
Next
Last