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~person:"Brooks, Chris"
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Brooks, Chris
McAleer, Michael
276
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97
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85
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57
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38
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ECONIS (ZBW)
16
RePEc
5
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11
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20
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11
Selecting from amongst non-nested conditional variance models : information criteria and portfolio determination
Brooks, Chris
;
Burke, Simon P.
- In:
The Manchester School
70
(
2002
)
6
,
pp. 747-767
Persistent link: https://www.econbiz.de/10001720409
Saved in:
12
A double-threshold
GARCH
model for the French franc - Deutschmark exchange rate
Brooks, Chris
- In:
Journal of forecasting
20
(
2001
)
2
,
pp. 135-143
Persistent link: https://www.econbiz.de/10001570437
Saved in:
13
Benchmarks and the accuracy of
GARCH
model estimation
Brooks, Chris
;
Burke, Simon P.
;
Persand, Gita
- In:
International journal of forecasting
17
(
2001
)
1
,
pp. 45-56
Persistent link: https://www.econbiz.de/10001549775
Saved in:
14
An EVT Approach to calculating Risk Capital Requirements
Brooks, Chris
;
Persand, Gita
;
Clare, Andrew D.
-
Henley Business School, University of Reading
-
2000
requirements from this approach with those calculated from the unconditional density and from a conditional density- a
GARCH
(1 …
Persistent link: https://www.econbiz.de/10005357665
Saved in:
15
A word of caution on calculating market-based minimum capital risk requirements
Brooks, Chris
;
Clare, Andrew D.
;
Persand, Gita
- In:
Journal of banking & finance
24
(
2000
)
10
,
pp. 1557-1574
Persistent link: https://www.econbiz.de/10001511626
Saved in:
16
Can portmanteau nonlinearity tests serve as general mis-specification tests? : Evidence from symmetric and asymmetric
GARCH
models
Brooks, Chris
;
Henry, Ólan Thomas John
- In:
Economics letters
67
(
2000
)
3
,
pp. 245-251
Persistent link: https://www.econbiz.de/10001473656
Saved in:
17
Can portmanteau nonlinearity tests serve as general mis-specification tests? : Evidence from symmetric and asymmetric
GARCH
models
Brooks, Chris
;
Henry, Ólan Thomas John
-
1999
Persistent link: https://www.econbiz.de/10001430158
Saved in:
18
Selecting from amongst non-nested conditional variance models : information criteria and portfolio determination
Brooks, Chris
;
Burke, Simon P.
-
1999
Persistent link: https://www.econbiz.de/10001405756
Saved in:
19
Forecasting exchange rate volatility using conditional variance models selected by information criteria
Brooks, Chris
-
1998
Persistent link: https://www.econbiz.de/10000982695
Saved in:
20
Information criteria for
GARCH
model selection
Brooks, Chris
;
Burke, Simon
- In:
The European Journal of Finance
9
(
2003
)
6
,
pp. 557-580
In this paper, a set of appropriately modified information criteria for selection of models from the AR-
GARCH
class is …
Persistent link: https://www.econbiz.de/10005471964
Saved in:
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