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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

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

The value premium and time-varying volatility

Li, Xiafei; Brooks, Chris; Miffre, Joëlle - In: Journal of business finance & accounting : JBFA 36 (2009) 9/10, pp. 1252-1272

Persistent link: https://www.econbiz.de/10003909854

Momentum profits and time-varying unsystematic risk

Li, Xiafei; Miffre, Joëlle; Brooks, Chris; O'Sullivan, … - In: Journal of banking & finance 32 (2008) 4, pp. 541-558

Persistent link: https://www.econbiz.de/10003707678

Selecting from Amongst Non-Nested Conditional Variance Models : Information Criteria and Portfolio Determination

Brooks, Chris; Burke, Simon - 2003

We consider the finite sample properties of model selection by information criteria in conditionally heteroscedastic models. Recent theoretical results show that certain popular criteria are consistent in that they will select the true model asymptotically with probability 1. To examine the...

Persistent link: https://www.econbiz.de/10014092939