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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

Optimal hedging and the value of news

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

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

Can portmanteau nonlinearity tests serve as general mis-specification tests? : Evidence from symmetric and asymmetric GARCH models

Brooks, Chris; Henry, Ólan Thomas John - 1999

Persistent link: https://www.econbiz.de/10001430158

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

Brooks, Chris; Henry, Ólan Thomas John - In: Oxford bulletin of economics and statistics 64 (2002) 5, pp. 487-507

Persistent link: https://www.econbiz.de/10001741987

Measuring the response of macroeconomic uncertainty to shocks

Shields, Kalvinder K.; Olekalns, Nilss; Henry, Ólan … - 2003

Persistent link: https://www.econbiz.de/10001750601

Measuring the response of macroeconomic uncertainty to shocks

Shields, Kalvinder K.; Olekalns, Nilss; Henry, Ólan … - In: The review of economics and statistics 87 (2005) 2, pp. 362-370

Persistent link: https://www.econbiz.de/10002937376

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

The Impact of News on Measures of Undiversifiable Risk : Evidence from the UK Stock Market

Brooks, Chris - 2002

Using UK equity index data, this paper considers the impact of news on time varying measures of beta, the usual measure of undiversifiable risk. The results suggest that beta depends on two sources of news - news about the market and news about the sector. The asymmetric effect in beta is...

Persistent link: https://www.econbiz.de/10012741058

The Effect of Asymmetries on Optimal Hedge Ratios

Brooks, Chris - 2002

There is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news. This article considers the impact of asymmetry on time-varying hedges for financial futures. An asymmetric model that allows forecasts of cash and futures return volatility to...

Persistent link: https://www.econbiz.de/10012787256