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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

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

A comparison of extreme value theory approaches for determining value at risk

Brooks, Chris; Clare, Andrew D.; Dalle Molle, John W.; … - In: Journal of empirical finance 12 (2005) 2, pp. 339-352

Persistent link: https://www.econbiz.de/10002685175

Optimal hedging and the value of news

Brooks, Chris; Henry, Ólan Thomas John; Persand, Gita - 1999

Persistent link: https://www.econbiz.de/10001427190

A note on estimating market-based minimum capital risk requirements : a multivariate GARCH approach

Brooks, Chris; Clare, Andrew D.; Persand, Gita - In: The Manchester School 70 (2002) 5, pp. 666-681

Persistent link: https://www.econbiz.de/10001699705

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

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

The trading profitability of forecasts of the gilt-equity yield ratio

Brooks, Chris; Persand, Gita - In: International journal of forecasting 17 (2001) 1, pp. 11-29

Persistent link: https://www.econbiz.de/10001549772

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

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