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Optimal hedging and the value of news
Brooks, Chris; Henry, Ólan Thomas John; Persand, Gita - 1999
Persistent link: https://www.econbiz.de/10001427190
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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
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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
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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
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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
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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/10006891183
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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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RISK MEASUREMENT AND MANAGEMENT - Model Choice and Value-at-Risk Performance - Analysis of methods for determining market-based capital risk requirements raises questions about some commonly used measures of firm risk.
Brooks, Chris; Persand, Gita - In: Financial analysts' journal : FAJ 58 (2002) 5, pp. 87-97
Persistent link: https://www.econbiz.de/10006262180
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The Effect of Asymmetries on Optimal Hedge Ratios
Brooks, Chris; Henry, Olan T.; Persand, Gita - In: The journal of business : B 75 (2002) 2, pp. 333-352
Persistent link: https://www.econbiz.de/10006034660
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Autoregressive Conditional Kurtosis
Brooks, Chris - 2010
This article proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student`s t-density and...
Persistent link: https://www.econbiz.de/10012761968