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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

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

Identifying nonlinear serial dependence in volatile, high-frequency time series and its implications for volatility modeling

Wild, Phillip; Foster, John; Hinich, Melvin J. - In: Macroeconomic dynamics 14 (2010), pp. 88-110

Persistent link: https://www.econbiz.de/10003981218

Randomly modulated periodic signals in Alberta's electricity market

Hinich, Melvin J. (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-13

Persistent link: https://www.econbiz.de/10003559084

Randomly modulated periodic signals in Australia's national electricity market

Foster, John; Hinich, Melvin J.; Wild, Phillip - In: The energy journal 29 (2008) 3, pp. 105-129

Persistent link: https://www.econbiz.de/10003733966

Did Long-Short Investors Destabilize Commodity Markets?

Miffre, Joëlle; Brooks, Chris - Henley Business School, University of Reading - 2013

This paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long-short commodity portfolios and their conditional correlation with traditional assets (stocks and bonds). Using several groups of trading...

Persistent link: https://www.econbiz.de/10010800984

Do long-short speculators destabilize commodity futures markets?

Miffre, Joëlle; Brooks, Chris - In: International Review of Financial Analysis 30 (2013) C, pp. 230-240

This paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long–short commodity portfolios and their conditional correlations with traditional assets (stocks and bonds). Using several groups of trading...

Persistent link: https://www.econbiz.de/10011056752

Linear and non-linear transmission of equity ruturn volatility : evidence from the US, Japan and Australia

Brooks, Chris; Henry, Ólan Thomas John - In: Economic modelling 17 (2000) 4, pp. 497-513

Persistent link: https://www.econbiz.de/10001533881

The impact of news on measures of undiversifiable risk : evidence from the UK stock market

Brooks, Chris; Henry, Ólan Thomas John - 2000

Persistent link: https://www.econbiz.de/10001456109

Forecasting exchange rate volatility using conditional variance models selected by information criteria

Brooks, Chris - 1998

Persistent link: https://www.econbiz.de/10000982695