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The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume
Kappou, Konstantina; Brooks, Chris; Ward, Charles - In: Journal of banking & finance 34 (2010) 1, pp. 116-127
Persistent link: https://www.econbiz.de/10008894558
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Low-cost momentum strategies
Li, Xiafei; Brooks, Chris; Miffre, Joe͏̈lle - In: The journal of asset management 9 (2008/09) 6, pp. 366-379
Persistent link: https://www.econbiz.de/10009871033
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Transaction costs, trading volume and momentum strategies
Li, Xiafei; Brooks, Chris; Miffre, Joe͏̈lle - In: The journal of trading 5 (2010) 1, pp. 66-81
Persistent link: https://www.econbiz.de/10009881805
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Futures basis, inventory and commodity price volatility: An empirical analysis
Symeonidis, Lazaros; Prokopczuk, Marcel; Brooks, Chris; … - In: Economic modelling 29 (2012) 6, pp. 2651-2664
Persistent link: https://www.econbiz.de/10010032219
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Momentum profits and time-varying unsystematic risk
Li, Xiafei; Miffre, Joëlle; Brooks, Chris; … - In: Journal of banking & finance 32 (2008) 4, pp. 541-559
Persistent link: https://www.econbiz.de/10008879765
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The stock performance of America's 100 Best Corporate Citizens
Brammer, Stephen; Brooks, Chris; Pavelin, Stephen - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 1065-1081
Persistent link: https://www.econbiz.de/10008882035
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A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index link rid="fn1">*
Brooks, Chris; Katsaris, Apostolos - In: The economic journal : the journal of the Royal … 115 (2005) 505, pp. 767
Persistent link: https://www.econbiz.de/10007780945
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Measuring the Response of Macroeconomic Uncertainty to Shocks
Shields, Kalvinder; Olekalns, Nilss; Henry, Ólan T.; … - In: The review of economics and statistics 87 (2005) 2, pp. 362-370
Persistent link: https://www.econbiz.de/10007782033
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THE PITFALLS OF VAR ESTIMATES - How sample size and weighting method affects the robustness of estimates.
Brooks, Chris; Persand, Gita - In: Risk : managing risk in the world's financial markets 13 (2000) 5, pp. 63-66
Persistent link: https://www.econbiz.de/10007049382
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The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test
Brooks, Chris; Heravi, Saeed M. - In: Computational economics 13 (1999) 2, pp. 147-162
Persistent link: https://www.econbiz.de/10007057773