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Futures basis, scarcity and commodity price volatility : an empirical analysis
Brooks, Chris; Lazar, Emese; Prokopczuk, Marcel; … - 2011
Persistent link: https://www.econbiz.de/10009375426
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Futures Basis, Inventory and Commodity Price Volatility : An Empirical Analysis
Symeonidis, Lazaros - 2013
We employ a large dataset of physical inventory data on 21 different commodities for the period 1993-2011 to empirically analyze the behaviour of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we analyze the relationship between...
Persistent link: https://www.econbiz.de/10013092243
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The dynamics of commodity prices
Brooks, Chris; Prokopczuk, Marcel - 2011
Persistent link: https://www.econbiz.de/10009375523
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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
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Predicting stock index volatility : can market volume help?
Brooks, Chris - In: Journal of forecasting 17 (1998) 1, pp. 59-80
Persistent link: https://www.econbiz.de/10001245342
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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
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Idiosyncratic volatility and the pricing of poorly-diversified portfolios
Miffre, Joëlle; Brooks, Chris; Li, Xiafei - In: International review of financial analysis 30 (2013), pp. 78-85
Persistent link: https://www.econbiz.de/10010459997
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Do long-short speculators destabilize commodity futures markets?
Miffre, Joëlle; Brooks, Chris - In: International review of financial analysis 30 (2013), pp. 230-240
Persistent link: https://www.econbiz.de/10010460310
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Did long-short investors destabilize commodity markets
Miffre, Joëlle; Brooks, Chris - 2013
Persistent link: https://www.econbiz.de/10009782761
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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