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Old volatility - ARCH effects in 19th century consol data

Mitchell, Heather; Brown, Rob; Easton, Stephen - In: Applied financial economics 12 (2002) 4, pp. 301

Persistent link: https://www.econbiz.de/10007664672

Can the choice of interpolation method explain the difference between swap prices and futures prices?

Brown, Rob; Fang, Victor - In: Accounting and finance : journal of the Accounting … 45 (2005) 2, pp. 199-216

Persistent link: https://www.econbiz.de/10006237584

Australian and US interest rate swap markets: comparison and linkages

In, Francis; Fang, Victor; Brown, Rob - In: Accounting and finance : journal of the Accounting … 44 (2004) 1, pp. 45-56

Persistent link: https://www.econbiz.de/10006248896

LINKS AMONG INTEREST RATE SWAP MARKETS: U.S., U.K., AND JAPAN

In, Francis; Brown, Rob; Fang, Victor - In: The journal of fixed income 13 (2003) 3, pp. 84

Persistent link: https://www.econbiz.de/10007156046

Modeling volatility and changes in the swap spread

In, Francis; Brown, Rob; Fang, Victor - In: International review of financial analysis 12 (2003) 5, pp. 545-562

Persistent link: https://www.econbiz.de/10007158302

MODELING THE DETERMINANTS OF SWAP SPREADS

Brown, Rob; In, Francis; Fang, Victor - In: The journal of fixed income 12 (2002) 1, pp. 29-40

Persistent link: https://www.econbiz.de/10007165966

The Other Side of Housing Affordability: The User Cost of Housing in Australia*

BROWN, RAYNA; BROWN, ROB; O’CONNOR, IAN; SCHWANN, GREGORY - In: The economic record : er 87 (2011) 279, pp. 558-575

Persistent link: https://www.econbiz.de/10009798733

Rational early exercise of call options: Australian evidence

Phang, Grace; Brown, Rob - In: Accounting and finance : journal of the Accounting … 51 (2011) 3, pp. 732-745

Persistent link: https://www.econbiz.de/10009187378

Old volatility - ARCH effects in 19th century consol data

Mitchell, Heather; Brown, Rob; Easton, Stephen - In: Applied Financial Economics 12 (2002) 4, pp. 301-307

Engle's autoregressive conditional heteroscedasticity (ARCH) model has been used successfully to model volatility in modern financial data. Here the returns on 3% Consols traded on the London market from 1821 to 1860 are examined for timevarying conditional heteroscedasticity. The series...

Persistent link: https://www.econbiz.de/10009200841

Analysts’ recommendations: from which signal does the market take its lead?

Brown, Rob; Chan, Howard; Ho, Yew - In: Review of Quantitative Finance and Accounting 33 (2009) 2, pp. 91-111

Persistent link: https://www.econbiz.de/10005005532