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Asymmetry and time variation in exchange rate exposure : an investigation of Australian stocks returns

Brooks, Robert D.; Di Iorio, Amalia; Faff, Robert W.; … - In: International journal of commerce and management 20 (2010) 4, pp. 276-295

Persistent link: https://www.econbiz.de/10008798811

Timeâ€Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques

Brooks, Robert D.; Faff, Robert W.; McKenzie, Michael D. - In: Australian Journal of Management 23 (1998) 1, pp. 1-22

This paper investigates three techniques for the estimation of conditional timeâ€dependent betas: (a) a multivariate generalised ARCH approach; (b) a timeâ€varying beta market model approach suggested by Schwert and Seguin (1990); and (c) the Kalman filter technique. These approaches are...

Persistent link: https://www.econbiz.de/10011135755

Beta stability and portfolio formation

Brooks, Robert D.; Faff, Robert W.; Lee, John H. H. - In: Pacific-Basin Finance Journal 2 (1994) 4, pp. 463-479

Persistent link: https://www.econbiz.de/10005351880

Beta stability and portfolio formation

Brooks, Robert D.; Faff, Robert W.; Lee, John H. H. - In: Pacific-Basin Finance Journal 3 (1995) 1, pp. 145-146

Persistent link: https://www.econbiz.de/10005462291

A multi-country study of power ARCH models and national stock market returns

Brooks, Robert D.; Faff, Robert W.; McKenzie, Michael D.; … - In: Journal of International Money and Finance 19 (2000) 3, pp. 377-397

Persistent link: https://www.econbiz.de/10005339114

GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume

Brooks, Robert D.; Faff, Robert W.; Fry, Tim R. L. - In: Journal of International Financial Markets, … 11 (2001) 2, pp. 215-222

Persistent link: https://www.econbiz.de/10005403383

An examination of the effects of major political change on stock market volatility: the South African experience

Brooks, Robert D.; Davidson, Sinclair; Faff, Robert W. - In: Journal of International Financial Markets, … 7 (1997) 3, pp. 255-275

Persistent link: https://www.econbiz.de/10005408594

An investigation into the extent of beta instability in the Singapore stock market

Brooks, Robert D.; Faff, Robert W.; Ariff, Mohamed - In: Pacific-Basin Finance Journal 6 (1998) 1-2, pp. 87-101

Persistent link: https://www.econbiz.de/10005210412

Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks

McKenzie, Michael D.; Brooks, Robert D.; Faff, Robert W.; … - In: The Quarterly Review of Economics and Finance 40 (2000) 1, pp. 85-106

Persistent link: https://www.econbiz.de/10005388421

A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions

Brooks, Robert D.; Faff, Robert W.; Yew, Kee Ho - In: Journal of Banking & Finance 21 (1997) 2, pp. 197-219

Persistent link: https://www.econbiz.de/10005194612