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Banking crises : identifying dates and determinants

Jutasompakorn, Pearpilai; Brooks, Robert; Brown, Christine - In: Journal of international financial markets, … 32 (2014), pp. 150-166

Persistent link: https://www.econbiz.de/10011299799

Identifying Banking Crises Dates

Jutasompakorn, Pearpilai - 2011

This paper identifies banking crises dates based on market information embedded in banking stocks. Specifically, we estimate returns on banking indices around the world using a Markov Switching Autoregressive (MS-AR) model to capture regime shift behaviour in both the mean and variance from 1995...

Persistent link: https://www.econbiz.de/10013128998

Asset market linkages : evidence from financial, commodity and real estate assets

Kam Fong Chan; Sirimon Treepongkaruna; Brooks, Robert; … - In: Journal of banking & finance 35 (2011) 6, pp. 1415-1426

Persistent link: https://www.econbiz.de/10009244977

Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Hum, … - In: Applied financial economics 21 (2011) 13/15, pp. 997-1003

Persistent link: https://www.econbiz.de/10009317447

Do trading hours affect volatility links in the foreign exchange market?

Sirimon Treepongkaruna; Brooks, Robert; Gray, Stephen - In: Australian journal of management 37 (2012) 1, pp. 7-27

Persistent link: https://www.econbiz.de/10009582208

Do asset backed securities ratings matter on average?

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Sirimon … - In: Research in international business and finance 33 (2015), pp. 32-43

Persistent link: https://www.econbiz.de/10011325893

How does trading volume affect financial return distributions?

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206

Persistent link: https://www.econbiz.de/10010530243

Rating spillover effects on the stock markets

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Sirimon … - In: Journal of multinational financial management 25/26 (2014), pp. 51-63

Persistent link: https://www.econbiz.de/10010516824

The effects of sovereign rating drifts on financial return distributions : evidence from the European Union

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 34 (2014), pp. 5-20

Persistent link: https://www.econbiz.de/10010520405

Realized spill-over effects between stock and foreign exchange market : evidence from regional analysis

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna - In: Global finance journal 28 (2015), pp. 24-37

Persistent link: https://www.econbiz.de/10011478085