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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

The effect of asymmetries on optimal hedge ratios

Brooks, Chris; Henry, Ólan Thomas John; Persand, Gita - In: The journal of business : B 75 (2002) 2, pp. 333-352

Persistent link: https://www.econbiz.de/10001682432

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

Testing for seasonal patterns in conditional return volatility : evidence from Asia-Pacific markets

Clare, Andrew D. - In: Applied financial economics 7 (1997) 5, pp. 517-523

Persistent link: https://www.econbiz.de/10001229835

Breaking into the blackbox : trend following, stop losses and the frequency of trading : the case of the S&P500

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - In: The journal of asset management 14 (2013) 3, pp. 182-194

Persistent link: https://www.econbiz.de/10010207136

Breaking into the blackbox : trend following, stop losses, and the frequency of trading ; the case of the S&P500

Clare, Andrew D.; Seaton, James; Thomas, Stephen; … - 2012

Persistent link: https://www.econbiz.de/10009535804

Carry and trend following returns in the foreign exchange market

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2015

Persistent link: https://www.econbiz.de/10010531060

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