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Stock and currency market linkages : new evidence from realized spillovers in higher moments
Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of economics & finance : IREF 42 (2016), pp. 167-185
Persistent link: https://www.econbiz.de/10011625106
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Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
Zhou, Jian; Gu, Gao-Feng; Jiang, Zhi-Qiang; Xiong, Xiong; … - In: Computational economics 50 (2017) 4, pp. 579-594
Persistent link: https://www.econbiz.de/10011783456
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Jump volatility estimates of high frequency data and analysis based on HHT
Chen, Jiangrui; Yin, Lianqian; Hou, Sizhe; Zhang, Wei; … - In: International journal of economics and finance 7 (2015) 11, pp. 242-249
Persistent link: https://www.econbiz.de/10011401479
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New evidence on the impact of financial leverage on beta risk : a time-series approach
Faff, Robert W.; Brooks, Robert; Kee, Ho Yew - In: The North American journal of economics and finance : a … 13 (2002) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10001716383
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Equilibrium cross section of returns
Gomes Neto, João Batista F.; Kogan, Leonid; Zhang, Lu - In: Journal of political economy 111 (2003) 4, pp. 693-732
Persistent link: https://www.econbiz.de/10001786306
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Do realized betas exhibit up/down market tendencies?
Woodward, G. Thomas; Brooks, Robert - In: International review of economics & finance : IREF 18 (2009) 3, pp. 511-519
Persistent link: https://www.econbiz.de/10003881651
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Does volume help in pedicting stock returns? : analysis of the Australian market
Bissoondoyal-Bheenick, Emawtee; Brooks, Robert - In: Research in international business and finance 24 (2010) 2, pp. 146-157
Persistent link: https://www.econbiz.de/10003965059
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Conditional relation between systematic risk and returns in the conventional and downside frameworks : evidence from the Indonesian market
Nurjannah; Galagedera, Don U. A.; Brooks, Robert - In: Journal of emerging market finance 11 (2012) 3, pp. 271-300
Persistent link: https://www.econbiz.de/10010380791
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Is value riskier than growth?
Petkova, Ralitsa; Zhang, Lu - In: Journal of financial economics 78 (2005) 1, pp. 187-202
Persistent link: https://www.econbiz.de/10003127880
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Risk-neutral skewness and stock market returns : a time-series analysis
Li, Xiaowei; Wu, Zhengyu; Zhang, Hao; Zhang, Lu - In: The North American journal of economics and finance : a … 70 (2024), pp. 1-12
Persistent link: https://www.econbiz.de/10014491948