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Information about:
Chris Brooks

Personal Details | Affiliation | Works
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Personal Details

First Name: Chris
Middle Name:
Last Name: Brooks
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RePEc Short-ID: pbr256

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Affiliation

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Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works
  2. Number of Journal Pages
  3. Number of Journal Pages, Weighted by Number of Authors

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Chris Brooks & Xiafei Li & Joelle Miffre, 2007. "The Value Premium and Time-Varying Unsystematic Risk," ICMA Centre Discussion Papers in Finance icma-dp2007-03, School of Business, Reading University. [Downloadable!]

  2. Chris Brooks & Konstantina Kappou & Charles Ward, 2007. "The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-by-Tick Stock Price Performance," ICMA Centre Discussion Papers in Finance icma-dp2007-05, School of Business, Reading University. [Downloadable!]

  3. Stephen Brammer & Chris Brooks & Stephen Pavelin, 2006. "Corporate Reputation and Stock Returns; are good firm good for investors?," ICMA Centre Discussion Papers in Finance icma-dp2006-05, School of Business, Reading University. [Downloadable!]

  4. Stephen Brammer & Chris Brooks & Stephen Pavelin, 2006. "The Stock Performance of America’s 100 Best Corporate Citizens," ICMA Centre Discussion Papers in Finance icma-dp2006-06, School of Business, Reading University. [Downloadable!]

  5. Chris Brooks & A.Cerny & J. Miffre, 2006. "Optimal Hedging with Higher Moments," ICMA Centre Discussion Papers in Finance icma-dp2006-12, School of Business, Reading University. [Downloadable!]

  6. Xiafei Li & Chris Brooks & Joelle Miffre, 2006. "Momentum Profits and Time-Varying Unsystematic Risk," ICMA Centre Discussion Papers in Finance icma-dp2006-09, School of Business, Reading University, revised Sep 2006. [Downloadable!]
    Published as:

  7. Chris Brooks & Apostolos Katsaris, 2006. "Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?," ICMA Centre Discussion Papers in Finance icma-dp2006-07, School of Business, Reading University. [Downloadable!]

  8. Keith Anderson & Chris Brooks, 2005. "The Extremes of the P/E Effect," ICMA Centre Discussion Papers in Finance icma-dp2005-04, School of Business, Reading University. [Downloadable!]

  9. Chris Brooks & Ryan J. Davies & Sang Soo Kim, 2005. "Cross Hedging with Single Stock Futures," ICMA Centre Discussion Papers in Finance icma-dp2004-15, School of Business, Reading University. [Downloadable!]

  10. Keith Anderson & Chris Brooks, 2005. "Decomposing the P/E Ratio," ICMA Centre Discussion Papers in Finance icma-dp2005-03, School of Business, Reading University. [Downloadable!]

  11. Adrian Bell & Chris Brooks & Paul Dryburgh, 2005. "Leger est aprendre mes fort est arendre;: Wool, Debt and the Dispersal of Pipewell Abbey (1280 - 1330)," ICMA Centre Discussion Papers in Finance icma-dp2005-08, School of Business, Reading University. [Downloadable!]

  12. Keith Anderson & Chris Brooks, 2005. "The Long-Term P/E Radio," ICMA Centre Discussion Papers in Finance icma-dp2005-02, School of Business, Reading University. [Downloadable!]

  13. Adrian Bell & Chris Brooks & Paul Dryburgh, 2005. "Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market?," ICMA Centre Discussion Papers in Finance icma-dp2005-01, School of Business, Reading University, revised Nov 2005. [Downloadable!]

  14. Chris Brooks & Konstantina Kappou & Charles Ward, 2004. "Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect," ICMA Centre Discussion Papers in Finance icma-dp2004-04, School of Business, Reading University. [Downloadable!]

  15. Kalvinder Shields & Nilss Olekalns & Ólan T. Henry & Chris Brooks, 2003. "Measuring the Response of Macroeconomic Uncertainty to Shocks," Department of Economics - Working Papers Series 870, The University of Melbourne. [Downloadable!]
    Published as:

  16. Chris Brooks & Melvin. J. Hinich & Douglas M. Patterson, 2003. "Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange," ICMA Centre Discussion Papers in Finance icma-dp2003-14, School of Business, Reading University. [Downloadable!]

  17. Chris Brooks & Simon Burke & Gita Persand, 2003. "Multivariate GARCH Models: Software Choice and Estimation Issues," ICMA Centre Discussion Papers in Finance icma-dp2003-07, School of Business, Reading University. [Downloadable!]
    Published as:

  18. Chris Brooks & Apostolos Katsaris, 2002. "Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance icma-dp2002-04, School of Business, Reading University. [Downloadable!]

  19. Chris Brooks & Simon P. Burke & Gita Persand, 2002. "Augoregressive Conditional Kurtosis," ICMA Centre Discussion Papers in Finance icma-dp2002-05, School of Business, Reading University. [Downloadable!]
    Published as:

  20. Chris Brooks & Apostolos Katsaris, 2002. "A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance icma-dp2002-14, School of Business, Reading University. [Downloadable!]

  21. Chris Brooks & Harry. M Kat, 2001. "The Statistical Properties of Hedge Fund Index Returns," ICMA Centre Discussion Papers in Finance icma-dp2001-09, School of Business, Reading University. [Downloadable!]

  22. Chris Brooks & Sotiris Tsolacos, 2001. "International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks," ICMA Centre Discussion Papers in Finance icma-dp2001-08, School of Business, Reading University. [Downloadable!]

  23. Chris Brooks & Melvin J. Hinich, 2001. "A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates," ICMA Centre Discussion Papers in Finance icma-dp2001-04, School of Business, Reading University. [Downloadable!]

  24. Chris Brooks & Gita Persand & Andrew D. Clare, 2000. "An EVT Approach to calculating Risk Capital Requirements," ICMA Centre Discussion Papers in Finance icma-dp2000-07, School of Business, Reading University. [Downloadable!]

  25. Chris Brooks & Gita Persand, 2000. "Value at Risk and Market Crashes," ICMA Centre Discussion Papers in Finance icma-dp2000-01, School of Business, Reading University. [Downloadable!]

  26. Brooks, C. & Henry, O.T., 2000. "The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market," Department of Economics - Working Papers Series 733, The University of Melbourne. [Downloadable!]
    Published as:

  27. Brooks, C. & Henry, O.T., 1999. "Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia," Department of Economics - Working Papers Series 676, The University of Melbourne.
    Published as:

  28. Brooks, C. & Henry, O.T., 1999. "Can Portemanteau Nonlinearity Tests Serve as General Mis-Specification Tests? Evidence from Symmetric and Asymmetric GARCH Models," Department of Economics - Working Papers Series 723, The University of Melbourne.
    Published as:

  29. Brooks, C. & Henry, O.T. & Persand, G., 1999. "Optimal Hedging and the Value of News," Department of Economics - Working Papers Series 717, The University of Melbourne.

Articles

  1. Li, Xiafei & Miffre, Joëlle & Brooks, Chris & O'Sullivan, Niall, 2008. "Momentum profits and time-varying unsystematic risk," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 541-558, April. [Downloadable!] (restricted)
    Other versions:

  2. Bell, Adrian R. & Brooks, Chris & Dryburgh, Paul, 2007. "Interest rates and efficiency in medieval wool forward contracts," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 361-380, February. [Downloadable!] (restricted)

  3. Chris Brooks & Melvin J. Hinich, 2006. "Detecting intraday periodicities with application to high frequency exchange rates," Journal Of The Royal Statistical Society Series C, Royal Statistical Society, vol. 55(2), pages 241-259. [Downloadable!] (restricted)

  4. Stephen Brammer & Chris Brooks & Stephen Pavelin, 2006. "Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures," Financial Management, Financial Management Association, vol. 35(3), Autumn.

  5. Keith Anderson & Chris Brooks, 2006. "The Long-Term Price-Earnings Ratio," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 33(7-8), pages 1063-1086. [Downloadable!] (restricted)

  6. Kalvinder Shields & Nilss Olekalns & Ãlan T. Henry & Chris Brooks, 2005. "Measuring the Response of Macroeconomic Uncertainty to Shocks," The Review of Economics and Statistics, MIT Press, vol. 87(2), pages 362-370, 07. [Downloadable!] (restricted)
    Other versions:

  7. Chris Brooks & Apostolos Katsaris, 2005. "Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index," Journal of Business, University of Chicago Press, vol. 78(5), pages 2003-2036, September. [Downloadable!]

  8. Chris Brooks, 2005. "Autoregressive Conditional Kurtosis," Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 399-421. [Downloadable!] (restricted)
    Other versions:

  9. Brooks, C. & Clare, A.D. & Dalle Molle, J.W. & Persand, G., 2005. "A comparison of extreme value theory approaches for determining value at risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 339-352, March. [Downloadable!] (restricted)

  10. Chris Brooks & Apostolos Katsaris, 2005. "A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index," Economic Journal, Royal Economic Society, vol. 115(505), pages 767-797, 07. [Downloadable!] (restricted)

  11. Gita Persand & Chris Brooks, 2003. "Volatility forecasting for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 1-22. [Downloadable!]

  12. Chris Brooks & Apostolos Katsaris, 2003. "Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange," Bulletin of Economic Research, Blackwell Publishing, vol. 55(4), pages 319-346, October. [Downloadable!] (restricted)

  13. Gita Persand & Chris Brooks & Simon P. Burke, 2003. "Multivariate GARCH models: software choice and estimation issues," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 725-734. [Downloadable!]
    Other versions:

  14. Chris Brooks & Simon Burke, 2003. "Information criteria for GARCH model selection," European Journal of Finance, Taylor and Francis Journals, vol. 9(6), pages 557-580, December. [Downloadable!] (restricted)

  15. Brooks, C & Clare, A D & Persand, G, 2002. "A Note on Estimating Market-Based Minimum Capital Risk Requirements: A Multivariate GARCH Approach," Manchester School, University of Manchester, vol. 70(5), pages 666-81, September. [Downloadable!] (restricted)

  16. Brooks, Chris & Henry, Olan T, 2002. " The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(5), pages 487-507, December. [Downloadable!] (restricted)
    Other versions:

  17. Brooks, Chris & Reveiz, Alejandro H., 2002. "A model for exchange rates with crawling bands--an application to the Colombian peso," Journal of Economics and Business, Elsevier, vol. 54(5), pages 483-503. [Downloadable!] (restricted)

  18. Brooks, Chris & Burke, Simon P, 2002. "Selecting from amongst Non-nested Conditional Variance Models: Information Criteria and Portfolio Determination," Manchester School, University of Manchester, vol. 70(6), pages 747-67, December. [Downloadable!] (restricted)

  19. Chris Brooks & Olan T. Henry & Gita Persand, 2002. "The Effect of Asymmetries on Optimal Hedge Ratios," Journal of Business, University of Chicago Press, vol. 75(2), pages 333-352, April. [Downloadable!]

  20. Brooks, Chris & Rew, Alistair G, 2002. "Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors," Computational Economics, Springer, vol. 20(3), pages 157-76, December. [Downloadable!]

  21. Chris Brooks & M. Currim Oozeer, 2002. "Modelling the Implied Volatility of Options on Long Gilt Futures," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 29(1&2), pages 111-137. [Downloadable!] (restricted)

  22. Brooks, Chris & Rew, Alistair G., 2002. "Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates," Economic Modelling, Elsevier, vol. 19(1), pages 65-90, January. [Downloadable!] (restricted)

  23. Brooks, Chris & Garrett, Ian, 2002. "Can We Explain the Dynamics of the UK FTSE 100 Stock and Stock Index Futures Markets?," Applied Financial Economics, Taylor and Francis Journals, vol. 12(1), pages 25-31, January. [Downloadable!] (restricted)

  24. Brooks, Chris & Hinich, Melvin J, 2001. "Bicorrelations and Cross-Bicorrelations As Non-linearity Tests and Tools for Exchange Rate Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(3), pages 181-96, April.

  25. Brooks, Chris & Persand, Gita, 2001. "The trading profitability of forecasts of the gilt-equity yield ratio," International Journal of Forecasting, Elsevier, vol. 17(1), pages 11-29. [Downloadable!] (restricted)

  26. Brooks, Chris, 2001. "A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(2), pages 135-43, March.

  27. Brooks, Chris & Burke, Simon P. & Persand, Gita, 2001. "Benchmarks and the accuracy of GARCH model estimation," International Journal of Forecasting, Elsevier, vol. 17(1), pages 45-56. [Downloadable!] (restricted)

  28. Brooks, Chris & Persand, Gita, 2001. "Seasonality in Southeast Asian Stock Markets: Some New Evidence on Day-of-the-Week Effects," Applied Economics Letters, Taylor and Francis Journals, vol. 8(3), pages 155-58, March. [Downloadable!] (restricted)

  29. Brooks, Chris & Tsolacos, Sotiris, 2001. "Linkages between Property Asset Returns and Interest Rates: Evidence for the UK," Applied Economics, Taylor and Francis Journals, vol. 33(6), pages 711-19, May. [Downloadable!] (restricted)

  30. Brooks, Chris & Tsolacos, Sotiris, 2000. "Does Orthogonalization Really Purge Equity-Based Property Valuations of Their General Stock Market Influences?," Applied Economics Letters, Taylor and Francis Journals, vol. 7(5), pages 305-09, May. [Downloadable!] (restricted)

  31. Brooks, Chris & Henry, Olan T., 2000. "Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia," Economic Modelling, Elsevier, vol. 17(4), pages 497-513, December. [Downloadable!] (restricted)
    Other versions:

  32. Brooks, C. & Clare, A. D. & Persand, G., 2000. "A word of caution on calculating market-based minimum capital risk requirements," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1557-1574, October. [Downloadable!] (restricted)

  33. Brooks, Chris & Henry, Olan T., 2000. "Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models," Economics Letters, Elsevier, vol. 67(3), pages 245-251, June. [Downloadable!] (restricted)
    Other versions:

  34. Brooks, Chris & Skinner, Frank, 2000. "What Will Be the Risk-Free Rate and Benchmark Yield Curve following European Monetary Union?," Applied Financial Economics, Taylor and Francis Journals, vol. 10(1), pages 59-69, February. [Downloadable!] (restricted)

  35. Brooks, Chris & Garrett, Ian & Hinich, Melvin J, 1999. "An Alternative Approach to Investigating Lead-Lag Relationships between Stock and Stock Index Futures Markets," Applied Financial Economics, Taylor and Francis Journals, vol. 9(6), pages 605-13, December. [Downloadable!] (restricted)

  36. Brooks, Chris & Hinich, Melvin J., 1999. "Cross-correlations and cross-bicorrelations in Sterling exchange rates," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 385-404, October. [Downloadable!] (restricted)

  37. Brooks, Chris & Heravi, Saeed M, 1999. "The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test," Computational Economics, Springer, vol. 13(2), pages 147-62, April. [Downloadable!]

  38. Brooks, Chris, 1999. "Portmanteau Model Diagnostics and Tests for Nonlinearity: A Comparative Monte Carlo Study of Two Alternative Methods," Computational Economics, Springer, vol. 13(3), pages 249-63, June. [Downloadable!]

  39. Brooks, Chris, 1998. "Chaos in Foreign Exchange Markets: A Sceptical View," Computational Economics, Springer, vol. 11(3), pages 265-81, June. [Downloadable!]

  40. Brooks, Chris & Burke, Simon P., 1998. "Forecasting exchange rate volatility using conditional variance models selected by information criteria," Economics Letters, Elsevier, vol. 61(3), pages 273-278, December. [Downloadable!] (restricted)

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This page was last updated on 2008-10-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.