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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

Information criteria for GARCH model selection

Brooks, Chris; Burke, Simon P. - In: The European journal of finance 9 (2003) 6, pp. 557-580

Persistent link: https://www.econbiz.de/10001885626

Multivariate GARCH models : software choice and estimation issues

Brooks, Chris; Burke, Simon P.; Persand, Gita - In: Journal of applied econometrics 18 (2003) 6, pp. 725-734

Persistent link: https://www.econbiz.de/10001843509

A three-regime model of speculative behaviour : modelling the evolution of the S&P 500 composite index

Brooks, Chris; Katsaris, Apostolos - In: The economic journal : the journal of the Royal … 115 (2005) 505, pp. 767-797

Persistent link: https://www.econbiz.de/10003007798

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

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

What will be the risk-free rate and benchmark yield curve following European monetary union

Brooks, Chris; Skinner, Frank S. - In: Applied financial economics 10 (2000) 1, pp. 59-69

Persistent link: https://www.econbiz.de/10001525805

An alternative approach in investigating lead-lag relationships between stock and stock index futures markets : comment

Hasan, Mohammad S. - In: Applied financial economics letters 1 (2005) 2, pp. 125-130

Persistent link: https://www.econbiz.de/10002807139

Rational speculative bubbles : an empirical investigation of the London Stock Exchange

Brooks, Chris; Katsaris, Apostolos - In: Bulletin of economic research 55 (2003) 4, pp. 319-346

Persistent link: https://www.econbiz.de/10001837809

The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings

Oikonomou, Ioannis - 2011

This study investigates the differential impact that various dimensions of corporate social performance have on the pricing of corporate debt as well as the assessment of the credit quality of specific bond issues. The empirical analysis, based on an extensive longitudinal dataset, suggests that...

Persistent link: https://www.econbiz.de/10013119586

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