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The national market impact of sovereign rating changes
Brooks, Robert; Faff, Robert W.; Hillier, David; … - In: Journal of banking & finance 28 (2004) 1, pp. 233-250
Persistent link: https://www.econbiz.de/10001857303
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The national market impact of sovereign rating changes
Brooks, Robert; Faff, Robert W.; Hillier, David; … - In: Journal of Banking & Finance 28 (2004) 1, pp. 233-250
Persistent link: https://www.econbiz.de/10005201911
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Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques
Faff, Robert W.; Hillier, David; Hillier, Joseph - In: Journal of Business Finance & Accounting 27 (2000-06) 5&6, pp. 523-554
This paper investigates the performance of three different approaches to modelling time-variation in conditional asset betas: GARCH models, the extended market model of Schwert and Seguin (1990) and the Kalman Filter algorithm. Using daily UK industry returns, we find the simple market model...
Persistent link: https://www.econbiz.de/10005167832
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A practical guide to gold as an investment asset
Cai, Charlie X.; Clacher, Iain; Faff, Robert W.; … - In: The handbook of commodity investing, (pp. 712-735). 2008
Persistent link: https://www.econbiz.de/10003795269
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Exploring the link between information quality and systematic risk
Cai, Charlie X.; Faff, Robert W.; Hillier, David; … - In: The journal of financial research 30 (2007) 3, pp. 335-353
Persistent link: https://www.econbiz.de/10003536973
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Information transmission across stock and bond markets : international evidence
Cai, Charlie X.; Faff, Robert W.; Hillier, David; … - In: Stock market volatility, (pp. 293-310). 2009
Persistent link: https://www.econbiz.de/10003830479
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Modelling return and conditional volatility exposures in global stock markets
Cai, Charlie X.; Faff, Robert W.; Hillier, David; … - In: Review of quantitative finance and accounting 27 (2006) 2, pp. 125-142
Persistent link: https://www.econbiz.de/10003349568
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An international investigation of the factors that determine conditional gold betas
Faff, Robert W.; Hillier, David - In: The financial review : the official publication of the … 39 (2004) 3, pp. 473-488
Persistent link: https://www.econbiz.de/10002163325
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An investigation of conditional autocorrelation and cross-autocorrelation in emerging markets
Faff, Robert W.; Hillier, David; McKenzie, Michael D. - In: Review of Pacific Basin financial markets and policies 8 (2005) 3, pp. 467-500
Persistent link: https://www.econbiz.de/10003140301
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Complete markets, informed trading and equity option introductions
Faff, Robert W.; Hillier, David - In: Journal of banking & finance 29 (2005) 6, pp. 1359-1384
Persistent link: https://www.econbiz.de/10002717339