Chris Brooks : Citation Profile


Are you Chris Brooks?

University of Reading

20

H index

36

i10 index

1262

Citations

RESEARCH PRODUCTION:

78

Articles

46

Papers

4

Books

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   18 years (1998 - 2016). See details.
   Cites by year: 70
   Journals where Chris Brooks has often published
   Relations with other researchers
   Recent citing documents: 297.    Total self citations: 26 (2.02 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbr256
   Updated: 2019-05-18    RAS profile: 2016-02-08    
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Relations with other researchers


Works with:

Bell, Adrian (5)

Prokopczuk, Marcel (3)

Perlin, Marcelo (2)

Oikonomou, Ioannis (2)

Dufour, Alfonso (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Chris Brooks.

Is cited by:

Henry, Ólan (15)

Degiannakis, Stavros (14)

cotter, john (14)

Floros, Christos (11)

McAleer, Michael (9)

Serletis, Apostolos (9)

Hanly, Jim (8)

Olekalns, Nilss (8)

GUPTA, RANGAN (8)

Suardi, Sandy (8)

Panagiotidis, Theodore (8)

Cites to:

Fama, Eugene (46)

French, Kenneth (46)

Shiller, Robert (36)

Campbell, John (34)

Shleifer, Andrei (21)

Bollerslev, Tim (20)

Ritter, Jay (19)

Engle, Robert (18)

Jagannathan, Ravi (16)

van Norden, Simon (15)

West, Kenneth (15)

Main data


Where Chris Brooks has published?


Journals with more than one article published# docs
Economic Modelling4
Computational Economics4
International Review of Financial Analysis4
Applied Financial Economics4
Journal of Banking & Finance4
Journal of Business Finance & Accounting3
Journal of Futures Markets3
Journal of Property Research3
Journal of Forecasting3
Journal of Empirical Finance3
The Quarterly Review of Economics and Finance3
Research in International Business and Finance2
Financial Management2
The Journal of Business2
Applied Economics2
Journal of Real Estate Research2
Applied Economics Letters2
International Journal of Forecasting2
Economics Letters2
Manchester School2

Working Papers Series with more than one paper published# docs
ICMA Centre Discussion Papers in Finance / Henley Business School, Reading University34
MPRA Paper / University Library of Munich, Germany3
ERES / European Real Estate Society (ERES)3

Recent works citing Chris Brooks (2018 and 2017)


YearTitle of citing document
2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

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2018Price transmission for natural rubber: India integration with world markets. (2018). Saji, T G. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(617):y:2018:i:4(617):p:155-168.

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2017Future volatility forecast in agricultural commodity markets. (2017). Guimaraes, Jonathan S ; Cruz, Jose Cesar . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258480.

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2018A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines. (2018). Tolhurst, Tor. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274387.

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2018Designing a whole-farm revenue insurance for agricultural crops in Zanjan province of Iran. (2018). Ghahremanzadeh, Mohammad ; Ainollahi, Moharram ; Dashti, Ghader ; Mohammadrezaei, Rassul . In: Economia Agraria y Recursos Naturales. RePEc:ags:earnsa:266488.

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2018Do Global Financial Markets Capitalise Sustainability? Evidence of a Quick Reversal. (2018). Moliterni, Fabio. In: SAS: Society and Sustainability. RePEc:ags:feemss:274853.

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2017DOES FEAR (VIX INDEX) INCITE VOLATILITY IN FOOD PRICES?. (2017). Inar, Gokhan ; Uzmay, Ayse. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:266472.

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2018An Economic Bubble Model and Its First Passage Time. (2018). Dassios, Angelos ; Li, Luting. In: Papers. RePEc:arx:papers:1803.08160.

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2018The Price of BitCoin: GARCH Evidence from High Frequency Data. (2018). Rajcaniova, Miroslava ; Kancs, d'Artis ; Ciaian, Pavel. In: Papers. RePEc:arx:papers:1812.09452.

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2019Sustainable Investing and the Cross-Section of Maximum Drawdown. (2019). Goldberg, Lisa R ; Mouti, Saad. In: Papers. RePEc:arx:papers:1905.05237.

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2017Correction Procedures for Appraisal-Based Real Estate Indices. (2017). Gohs, Andreas . In: ERES. RePEc:arz:wpaper:eres2017_274.

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2019Relationship between Environmental Financial Accounting Practices and Corporate Financial Risk: Evidence from Listed Companies in Vietnams Securities Market. (2019). la Soa, Nguyen. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:285-298.

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2017Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices. (2017). Darabi, Roya ; Ghorashi, Felor . In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2017:p:44-48.

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2019Causality between Tourism and Foreign Direct Investment: An Empirical Evidence from Pakistan. (2019). Siddiqui, Farah. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2019:p:27-44.

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2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Viola, Alessandra Pasqualina. In: Working Papers Series. RePEc:bcb:wpaper:466.

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2018The Value of Being Socially Responsible. A Primal-Dual Approach. (2018). Daniela, Puggioni ; Spiro, Stefanou . In: Working Papers. RePEc:bdm:wpaper:2018-12.

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2018Return Volatility and Macroeconomic Factors: A Comparison of US and Pakistani Firms. (2018). Jan, Sharif Ullah ; Khan, Hashim . In: Business & Economic Review. RePEc:bec:imsber:v:10:y:2018:i:2:p:1-28.

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2017The Impact of Corporate Social Responsibility on Default Risk: Empirical evidence from US Firms. (2017). Ashraf, Dawood ; Obaid, Asifa ; Rizwan, Muhammad Suhail. In: Business & Economic Review. RePEc:bec:imsber:v:9:y:2017:i:3:p:36-70.

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2017Forewarning Bankruptcy: An Indigenous Model for Pakistan. (2017). Hunjra, Ahmed ; Azam, Rauf i ; Ijaz, Muhammad Shahzad . In: Business & Economic Review. RePEc:bec:imsber:v:9:y:2017:i:4:p:259-286.

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2018Optimal Deficit Financing in a Constrained Fiscal Space in Ghana. (2018). Ibrahim, Muazu ; Alagidede, Paul ; Mensah, Jones Odei. In: African Development Review. RePEc:bla:afrdev:v:30:y:2018:i:3:p:291-303.

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2017The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation. (2017). Lalancette, Simon ; Simonato, Jeana Guy. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:325-354.

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2017Bubbles, Froth and Facts: Another Look at the Masters Hypothesis in Commodity Futures Markets. (2017). Sanders, Dwight R ; Irwin, Scott H. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:68:y:2017:i:2:p:345-365.

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2017Price and Volatility Transmission and Market Power in the German Fresh Pork Supply Chain. (2017). Assefa, Tsion Taye ; Gardebroek, Cornelis. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:68:y:2017:i:3:p:861-880.

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2017Corporate social responsibility and firm financial risk reduction: On the moderating role of the legal environment. (2017). Benlemlih, Mohammed ; Girerd-Potin, Isabelle. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:44:y:2017:i:7-8:p:1137-1166.

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2017A CLOSER LOOK AT VALUE PREMIUM: LITERATURE REVIEW AND SYNTHESIS. (2017). Pätäri, Eero ; Leivo, Timo ; Patari, Eero. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:1:p:79-168.

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2017Did Purchasing Power Parity Hold in Medieval Europe?. (2017). Bell, Adrian ; Moore, Tony K ; Brooks, Chris. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:682-709.

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2017How Media Coverage of Corporate Social Irresponsibility Increases Financial Risk. (2017). Kolbel, Julian F ; Jancso, Leonhardt M ; Busch, Timo. In: Strategic Management Journal. RePEc:bla:stratm:v:38:y:2017:i:11:p:2266-2284.

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2017The Effect of Government Ideology on an Exchange Rate Regime: Some International Evidence. (2017). Lee, Chien-Chiang ; Chang, Chun-Ping. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:4:p:788-834.

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2018Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204.

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2018Inflación e incertidumbre inflacionaria: la postura del Banco de México, 1969-2017. (2018). Rojas, Eduardo Rosas ; Gonzalez, Teresa Lopez . In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA. RePEc:col:000443:016929.

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2017Declining Competition and Investment in the U.S.. (2017). PHILIPPON, Thomas ; Gutierrez, German. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12536.

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2018The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices. (2018). Bohl, Martin T ; Sulewski, Christoph. In: CQE Working Papers. RePEc:cqe:wpaper:7718.

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2018Market Efficiency and Optimal Hedging Strategy for the US Ethanol Market. (2018). Paris, Anthony ; HACHE, Emmanuel. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-6.

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2018Accounting and Market Value Implications of Business Environmental Initiative: The Case of JSE’s SRI Firms. (2018). Worae, Thomas A ; Ngwakwe, Collins C. In: Acta Universitatis Danubius. OEconomica. RePEc:dug:actaec:y:2018:i:4:p:88-98.

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2017How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?. (2017). al Samman, Ahmed ; Otaify, Mahmoud Moustafa. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-39.

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2018The Impact of Oil Price Volatility to Oil and Gas Company Stock Returns and Emerging Economies. (2018). Ulusoy, Veysel ; Ozdurak, Caner . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-01-18.

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2018The Electricity Security in South Africa: Analysing Significant Determinants to the Grid Reliability. (2018). Ateba, Benedict Belobo ; Prinsloo, Johannes Jurgens. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-06-10.

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2018Mandatory Financial Reporting Processes and Outcomes. (2018). Bamber, Matthew ; Petrovic, Nikola ; McMeeking, Kevin. In: The International Journal of Accounting. RePEc:eee:accoun:v:53:y:2018:i:3:p:227-245.

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2018Speculative activity and returns volatility of Chinese agricultural commodity futures. (2018). Siklos, Pierre ; Wellenreuther, Claudia ; Bohl, Martin T. In: Journal of Asian Economics. RePEc:eee:asieco:v:54:y:2018:i:c:p:69-91.

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2018Socially responsible investment portfolios: Does the optimization process matter?. (2018). Sutcliffe, Charles ; Platanakis, Emmanouil ; Oikonomou, Ioannis. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:4:p:379-401.

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2018Corporate social responsibility and seasoned equity offerings. (2018). Dutordoir, Marie ; Sun, Ping ; Strong, Norman C. In: Journal of Corporate Finance. RePEc:eee:corfin:v:50:y:2018:i:c:p:158-179.

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2018Corporate social responsibility, firm value, and influential institutional ownership. (2018). Buchanan, Bonnie ; Chen, Chongyang ; Cao, Cathy Xuying . In: Journal of Corporate Finance. RePEc:eee:corfin:v:52:y:2018:i:c:p:73-95.

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2019Why does research in finance have so little impact?. (2019). Brooks, Chris ; Walker, James ; Schopohl, Lisa ; Fenton, Evelyn . In: CRITICAL PERSPECTIVES ON ACCOUNTING. RePEc:eee:crpeac:v:58:y:2019:i:c:p:24-52.

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2018Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa. (2018). Sikhosana, Ayanda ; Aye, Goodness C. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:60:y:2018:i:c:p:1-8.

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2017Forecasting house prices using dynamic model averaging approach: Evidence from China. (2017). Wei, YU ; Cao, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:147-155.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017Do bubbles have an explosive signature in markov switching models?. (2017). Fraser, Iain ; Balcombe, Kelvin. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:81-100.

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2018Explosiveness in G11 currencies. (2018). Steenkamp, Daan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:388-408.

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2018The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets. (2018). Gupta, Rakesh ; Singh, Tarlok ; Li, Bin ; Mo, DI. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:543-560.

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2019Oil price and automobile stock return co-movement: A wavelet coherence analysis. (2019). Pal, Debdatta ; Mitra, Subrata K. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:172-181.

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2018When Does Corporate Sustainability Performance Pay off? The Impact of Country-Level Sustainability Performance. (2018). Xiao, Cheng Yong ; van Donk, Dirk Pieter ; van der Vaart, Taco ; Wang, Qian. In: Ecological Economics. RePEc:eee:ecolec:v:146:y:2018:i:c:p:325-333.

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2018Nonparametric tests for conditional symmetry. (2018). Delgado, Miguel A ; Song, Xiaojun. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:447-471.

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2017Asymmetric stable Paretian distribution testing. (2017). Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:19-39.

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2018Does ethics improve stock market resilience in times of instability?. (2018). Erragragui, Elias ; Faisal, Abu Nahian ; Peillex, Jonathan ; Hassan, Kabir M. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:3:p:450-469.

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2019The value of being socially responsible: A primal-dual approach. (2019). Puggioni, Daniela ; Stefanou, Spiro E. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:3:p:1090-1103.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2018Which is the safe haven for emerging stock markets, gold or the US dollar?. (2018). Wen, Xiaoqian ; Cheng, Hua. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:69-90.

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2017Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis. (2017). Pal, Debdatta ; Mitra, Subrata K. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:230-239.

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2017Noncausality and the commodity currency hypothesis. (2017). Nyberg, Henri ; Lof, Matthijs. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:424-433.

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2017A deep learning ensemble approach for crude oil price forecasting. (2017). Zhao, Yang ; Yu, Lean ; Li, Jianping. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:9-16.

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2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

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2018How can Chile move away from a high carbon economy?. (2018). Cansino, Jose M ; Rodriguez-Arevalo, Maria L ; Sanchez-Braza, Antonio. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:350-366.

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2018Uncertainty effects on production mix and on hedging decisions: The case of Brazilian ethanol and sugar. (2018). de Oliveira, Sydnei Marssal ; Vieira, Maria Paula. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:516-524.

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2018Sectoral exposure of financial markets to oil risk factors in BRICS countries. (2018). Dogah, Kingsley E ; Premaratne, Gamini. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:228-256.

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2018The asymmetric return-volatility relationship of commodity prices. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:378-387.

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2019Shocks effects of macroeconomic variables on natural gas consumption in Nigeria: Structural VAR with sign restrictions. (2019). Aminu, Abubakar Wambai ; Galadima, Mukhtar Danladi. In: Energy Policy. RePEc:eee:enepol:v:125:y:2019:i:c:p:135-144.

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2017Oil price shocks and Chinas stock market. (2017). Wei, Yanfeng ; Guo, Xiaoying. In: Energy. RePEc:eee:energy:v:140:y:2017:i:p1:p:185-197.

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2019Energy intensity determinants in an energy-exporting developing economy: Case of Iran. (2019). Dargahi, Hassan ; Khameneh, Kazem Biabany. In: Energy. RePEc:eee:energy:v:168:y:2019:i:c:p:1031-1044.

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2019Natural gas consumption and economic growth: Evidence from selected natural gas vehicle markets in Europe. (2019). Fadiran, Gideon ; Adebusuyi, Adebisi T. In: Energy. RePEc:eee:energy:v:169:y:2019:i:c:p:467-477.

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2017Effects of changes in stock index compositions: A literature survey. (2017). Afego, Pyemo. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:228-239.

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2019The drivers of Bitcoin demand: A short and long-run analysis. (2019). Perote, Javier ; de la Fuente, Gabriel ; de la Horra, Luis P. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:21-34.

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2017Return distribution, leverage effect and spot-futures spread on the hedging effectiveness. (2017). Kao, Wei-Shun ; Wu, Chien-Hui ; Changchien, Chang-Cheng ; Lin, Chu-Hsiung. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:158-162.

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2017Marginal speculation and hedging in commodity markets. (2017). Ulusoy, Veysel ; Onbirler, Ozgur Unal. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:269-282.

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2019Intraday information from S&P 500 Index futures options. (2019). Lim, KianGuan ; Chen, Ying. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:29-55.

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2017Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model. (2017). Elyasiani, Elyas ; Mansur, Iqbal. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:49-65.

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2018Fishing the Corporate Social Responsibility risk factors. (2018). Ciciretti, Rocco ; Becchetti, Leonardo ; Dalo, Ambrogio. In: Journal of Financial Stability. RePEc:eee:finsta:v:37:y:2018:i:c:p:25-48.

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2017Asset prices regime-switching and the role of inflation targeting monetary policy. (2017). Floros, Christos ; Filis, George ; Chatziantoniou, Ioannis. In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:97-112.

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2018The effects of options listing and delisting in a short-sale-constrained market: Evidence from the Indian equities markets. (2018). Banerjee, Pradip ; Maitra, Debasish ; Christie-David, Rohan ; Chatrath, Arjun . In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:157-169.

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2018Investor implications of divesting from fossil fuels. (2018). Henriques, Irene ; Sadorsky, Perry. In: Global Finance Journal. RePEc:eee:glofin:v:38:y:2018:i:c:p:30-44.

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2018ESG performance and firm value: The moderating role of disclosure. (2018). Fatemi, Ali ; Kaiser, Stefanie ; Glaum, Martin. In: Global Finance Journal. RePEc:eee:glofin:v:38:y:2018:i:c:p:45-64.

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2018CSR engagement and financial risk: A virtuous circle? International evidence. (2018). Chollet, Pierre ; Sandwidi, Blaise W. In: Global Finance Journal. RePEc:eee:glofin:v:38:y:2018:i:c:p:65-81.

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2018Are more corporate social investments better? Evidence of non-linearity effect on costs of U.S. Bank loans. (2018). Bae, Sung C ; Yi, Ha-Chin ; Chang, Kiyoung. In: Global Finance Journal. RePEc:eee:glofin:v:38:y:2018:i:c:p:82-96.

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2018Google Scholar and Web of Science: Examining gender differences in citation coverage across five scientific disciplines. (2018). Andersen, Jens Peter ; Nielsen, Mathias Wullum. In: Journal of Informetrics. RePEc:eee:infome:v:12:y:2018:i:3:p:950-959.

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2018Do females create higher impact research? Scopus citations and Mendeley readers for articles from five countries. (2018). Thelwall, Mike. In: Journal of Informetrics. RePEc:eee:infome:v:12:y:2018:i:4:p:1031-1041.

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2017On the robustness of week-day effect to error distributional assumption: International evidence. (2017). Nguyen, Duc Khuong ; Saadi, Samir ; Essaddam, Naceur ; Boubaker, Sabri. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:114-130.

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2019Trust and the cost of debt financing. (2019). Meng, Yijun ; Yin, Chao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:58-73.

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2017VARX-L: Structured regularization for large vector autoregressions with exogenous variables. (2017). Nicholson, William B ; Bien, Jacob ; Matteson, David S. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:627-651.

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2017Threshold stochastic volatility: Properties and forecasting. (2017). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123.

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2017Beta forecasting at long horizons. (2017). Cenesizoglu, Tolga ; Reeves, Jonathan J ; de Oliveira, Fabio. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:936-957.

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2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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2019Do long-term institutional investors promote corporate social responsibility activities?. (2019). Kim, Hyun-Dong ; Park, Kwangwoo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:256-269.

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2018The skewness of commodity futures returns. (2018). Frijns, Bart ; Fernandez-Perez, Adrian ; Miffre, Joelle ; Fuertes, Ana-Maria. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:143-158.

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2018Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance. (2018). Roncoroni, Andrea ; Ronn, Ehud I ; Prokopczuk, Marcel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:1-4.

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2018Risk factors and their associated risk premia: An empirical analysis of the crude oil market. (2018). Hain, Martin ; Unger, Nils ; Uhrig-Homburg, Marliese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:44-63.

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2018Corporate social responsibility, investor protection, and cost of equity: A cross-country comparison. (2018). Breuer, Wolfgang ; Salzmann, Astrid ; Rosenbach, David ; Muller, Torbjorn. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:34-55.

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2019A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts. (2019). Hilliard, Jimmy E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:137-155.

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2019The effect of pro-environmental preferences on bond prices: Evidence from green bonds. (2019). Zerbib, Olivier David. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:39-60.

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2017Doing good and doing bad: The impact of corporate social responsibility and irresponsibility on firm performance. (2017). Price, Joseph M ; Sun, Wenbin . In: Journal of Business Research. RePEc:eee:jbrese:v:80:y:2017:i:c:p:82-97.

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2018When and how is corporate social responsibility profitable?. (2018). Bhardwaj, Pradeep ; Turut, Ozge ; Demir, Kivilcim Dogerlioglu ; Chatterjee, Prabirendra. In: Journal of Business Research. RePEc:eee:jbrese:v:84:y:2018:i:c:p:206-219.

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2018How business strategy in non-financial firms moderates the curvilinear effects of corporate social responsibility and irresponsibility on corporate financial performance. (2018). Chen, Chung-Jen ; Hsiao, Yung-Chang ; Guo, Ruey-Shan. In: Journal of Business Research. RePEc:eee:jbrese:v:92:y:2018:i:c:p:154-167.

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More than 100 citations found, this list is not complete...

Chris Brooks has edited the books:


YearTitleTypeCited

Works by Chris Brooks:


YearTitleTypeCited
2016Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets In: Cliometrica, Journal of Historical Economics and Econometric History.
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article2
1998Macroeconomic Influences on Property Returns In: ERES.
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paper0
2007The Integration of European and US Real Estate Markets In: ERES.
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paper0
2013Forecasting Turning Points in Real Estate Yields In: ERES.
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paper0
2003Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange In: Bulletin of Economic Research.
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article33
2014The credit relationship between Henry III and merchants of Douai and Ypres, 1247–70 In: Economic History Review.
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article0
2006Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures In: Financial Management.
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article109
2006Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures.(2006) In: Financial Management.
[Citation analysis]
This paper has another version. Agregated cites: 109
article
2012The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis In: Financial Management.
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article64
2014The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings In: The Financial Review.
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article20
2002Modelling the Implied Volatility of Options on Long Gilt Futures In: Journal of Business Finance & Accounting.
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article11
2006The Long-Term Price-Earnings Ratio In: Journal of Business Finance & Accounting.
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article12
2009The Value Premium and Time-Varying Volatility In: Journal of Business Finance & Accounting.
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article11
2014The Financial Effects of Uniform and Mixed Corporate Social Performance In: Journal of Management Studies.
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article8
2006Detecting intraday periodicities with application to high frequency exchange rates In: Journal of the Royal Statistical Society Series C.
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article3
2002A Note on Estimating Market-Based Minimum Capital Risk Requirements: A Multivariate GARCH Approach. In: Manchester School.
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article1
2002Selecting from amongst Non-nested Conditional Variance Models: Information Criteria and Portfolio Determination. In: Manchester School.
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article0
2002 The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market. In: Oxford Bulletin of Economics and Statistics.
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article8
2000The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market..(2000) In: Department of Economics - Working Papers Series.
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This paper has another version. Agregated cites: 8
paper
2008RATS Handbook to Accompany Introductory Econometrics for Finance In: Cambridge Books.
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book74
2008RATS Handbook to Accompany Introductory Econometrics for Finance.(2008) In: Cambridge Books.
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This paper has another version. Agregated cites: 74
book
2010Real Estate Modelling and Forecasting In: Cambridge Books.
[Citation analysis]
book8
2014Introductory Econometrics for Finance In: Cambridge Books.
[Citation analysis]
book56
2005A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index In: Economic Journal.
[Full Text][Citation analysis]
article17
2000Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia In: Economic Modelling.
[Full Text][Citation analysis]
article23
1999Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia..(1999) In: Department of Economics - Working Papers Series.
[Citation analysis]
This paper has another version. Agregated cites: 23
paper
2002Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates In: Economic Modelling.
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article2
2012Futures basis, inventory and commodity price volatility: An empirical analysis In: Economic Modelling.
[Full Text][Citation analysis]
article20
2012Futures basis, inventory and commodity price volatility: An empirical analysis.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2013House price dynamics and their reaction to macroeconomic changes In: Economic Modelling.
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article13
1998Forecasting exchange rate volatility using conditional variance models selected by information criteria In: Economics Letters.
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article11
2000Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models In: Economics Letters.
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article13
1999Can Portemanteau Nonlinearity Tests Serve as General Mis-Specification Tests? Evidence from Symmetric and Asymmetric GARCH Models..(1999) In: Department of Economics - Working Papers Series.
[Citation analysis]
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paper
2005A comparison of extreme value theory approaches for determining value at risk In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article27
2010Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector? In: Journal of Empirical Finance.
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article15
1999Cross-correlations and cross-bicorrelations in Sterling exchange rates In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article16
2013The performance effects of composition changes on sector specific stock indices: The case of European listed real estate In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article0
2013Do long-short speculators destabilize commodity futures markets? In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article10
2013Idiosyncratic volatility and the pricing of poorly-diversified portfolios In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article2
2014Speculative bubbles and the cross-sectional variation in stock returns In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article5
2013Speculative Bubbles and the Cross-Sectional Variation in Stock Returns.(2013) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2001The trading profitability of forecasts of the gilt-equity yield ratio In: International Journal of Forecasting.
[Full Text][Citation analysis]
article15
2001Benchmarks and the accuracy of GARCH model estimation In: International Journal of Forecasting.
[Full Text][Citation analysis]
article32
2000A word of caution on calculating market-based minimum capital risk requirements In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article15
2007Interest rates and efficiency in medieval wool forward contracts In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article2
2008Momentum profits and time-varying unsystematic risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article27
2010The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article11
2002A model for exchange rates with crawling bands--an application to the Colombian peso In: Journal of Economics and Business.
[Full Text][Citation analysis]
article4
2012Hot and cold IPO markets: The case of the Stock Exchange of Mauritius In: Journal of Multinational Financial Management.
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article1
2009The stock performance of Americas 100 Best Corporate Citizens In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]
article7
2013Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage In: The Quarterly Review of Economics and Finance.
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article7
2014On the performance of the tick test In: The Quarterly Review of Economics and Finance.
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article2
2014Gender and the evaluation of research In: Research Policy.
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article9
2008A re-examination of the index effect: Gambling on additions to and deletions from the S&P 500s [`]gold seal In: Research in International Business and Finance.
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article5
2012The underpricing of IPOs on the Stock Exchange of Mauritius In: Research in International Business and Finance.
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article1
2013Testing for speculative bubbles in asset prices In: Chapters.
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chapter0
2014Does more detailed information mean better performance? An experiment in information explicitness In: Review of Behavioral Finance.
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article0
2013Does More Detailed Information Mean Better Performance? An Experiment in Information Explicitness.(2013) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2011Over the Moon or Sick as a Parrot? The Effects of Football Results on a Clubs Share Price In: Post-Print.
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paper7
2012Over the moon or sick as a parrot? The effects of football results on a clubs share price.(2012) In: Applied Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2003Multivariate GARCH models: software choice and estimation issues In: Journal of Applied Econometrics.
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article21
2003Multivariate GARCH Models: Software Choice and Estimation Issues.(2003) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2001A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate. In: Journal of Forecasting.
[Citation analysis]
article32
2001Bicorrelations and Cross-Bicorrelations As Non-linearity Tests and Tools for Exchange Rate Forecasting. In: Journal of Forecasting.
[Citation analysis]
article8
2003Volatility forecasting for risk management In: Journal of Forecasting.
[Full Text][Citation analysis]
article57
2013Intrinsic and Rational Speculative Bubbles in the US Housing Market: 1960-2011 In: Journal of Real Estate Research.
[Full Text][Citation analysis]
article8
2014On the Predictive Content of Leading Indicators: The Case of U.S. Real Estate Markets In: Journal of Real Estate Research.
[Full Text][Citation analysis]
article0
2013On the Predictive Content of Leading Indicators: The Case of US Real Estate Markets.(2013) In: ICMA Centre Discussion Papers in Finance.
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This paper has another version. Agregated cites: 0
paper
2014The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market In: Annals of Finance.
[Full Text][Citation analysis]
article1
1998Chaos in Foreign Exchange Markets: A Sceptical View. In: Computational Economics.
[Full Text][Citation analysis]
article5
1999The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test. In: Computational Economics.
[Full Text][Citation analysis]
article14
1999Portmanteau Model Diagnostics and Tests for Nonlinearity: A Comparative Monte Carlo Study of Two Alternative Methods. In: Computational Economics.
[Full Text][Citation analysis]
article4
2002Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors. In: Computational Economics.
[Full Text][Citation analysis]
article4
1999Optimal Hedging and the Value of News. In: Department of Economics - Working Papers Series.
[Citation analysis]
paper3
2003Measuring the Response of Macroeconomic Uncertainty to Shocks In: Department of Economics - Working Papers Series.
[Full Text][Citation analysis]
paper26
2005Measuring the Response of Macroeconomic Uncertainty to Shocks.(2005) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
article
2005Autoregressive Conditional Kurtosis In: Journal of Financial Econometrics.
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article54
2002Augoregressive Conditional Kurtosis.(2002) In: ICMA Centre Discussion Papers in Finance.
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This paper has another version. Agregated cites: 54
paper
2000Forecasting models of retail rents In: Environment and Planning A.
[Full Text][Citation analysis]
article6
2010A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market In: MPRA Paper.
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paper0
2010The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2000Value at Risk and Market Crashes In: ICMA Centre Discussion Papers in Finance.
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paper5
2000An EVT Approach to calculating Risk Capital Requirements In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper2
2001A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates In: ICMA Centre Discussion Papers in Finance.
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paper0
2001International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper1
2001The Statistical Properties of Hedge Fund Index Returns In: ICMA Centre Discussion Papers in Finance.
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paper24
2002Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper0
2002A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index In: ICMA Centre Discussion Papers in Finance.
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paper1
2003Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange In: ICMA Centre Discussion Papers in Finance.
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paper3
2004Gambling on the S&P 500s Gold Seal: New Evidence on the Index Effect In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper2
2005Cross Hedging with Single Stock Futures In: ICMA Centre Discussion Papers in Finance.
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paper4
2005Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market? In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper0
2005The Long-Term P/E Radio In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper2
2007Low-Cost Momentum Strategies In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper2
2008Interest in medieval accounts: Examples from England, 1272-1340 In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper6
2009Time Varying Volatility and the Cross-Section of Equity Returns  In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper0
2009Transaction Costs, Trading Volume and Momentum Strategies In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper0
2009Over the Moon or Sick as a Parrot? The Effects of Football Results on a Clubs Share Price In: ICMA Centre Discussion Papers in Finance.
[Citation analysis]
paper1
2009Testing for periodically collapsing rational speculative bubbles in US REITs In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper0
2011Intrinsic and Rational Speculative Bubbles in the U.S. Housing Market 1960-2009 In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper0
2011The Dynamics of Commodity Prices In: ICMA Centre Discussion Papers in Finance.
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paper27
2013The dynamics of commodity prices.(2013) In: Quantitative Finance.
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This paper has another version. Agregated cites: 27
article
2011Housing and equity bubbles: Are they contagious to REITs? In: ICMA Centre Discussion Papers in Finance.
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paper0
2012The interactive financial effects between corporate social responsibility and irresponsibility In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper3
2013Did Long-Short Investors Destabilize Commodity Markets? In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper3
2013Are Investors Guided by the News Disclosed by Companies or by Journalists? In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
paper0
2014Did Purchasing Power Parity Hold in Medieval Europe? In: ICMA Centre Discussion Papers in Finance.
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paper0
2014Commodity Risk Factors and the Cross-Section of Equity Returns In: ICMA Centre Discussion Papers in Finance.
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paper1
2015The ‘Buying and Selling of Money for Time’: Foreign Exchange and Interest Rates in Medieval Europe In: ICMA Centre Discussion Papers in Finance.
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paper2
2015Buying and Selling of Money for Time: Foreign Exchange and Interest Rates in Medieval Europe In: ICMA Centre Discussion Papers in Finance.
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paper0
2015The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story In: ICMA Centre Discussion Papers in Finance.
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paper0
2013Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs? In: Urban Studies.
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article4
2000Does orthogonalization really purge equitybased property valuations of their general stock market influences? In: Applied Economics Letters.
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article0
2001Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects In: Applied Economics Letters.
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2000What will be the risk-free rate and benchmark yield curve following European monetary union? In: Applied Financial Economics.
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article2
2002Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets? In: Applied Financial Economics.
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article12
2014The long-run performance of IPOs: the case of the Stock Exchange of Mauritius In: Applied Financial Economics.
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article0
1999An alternative approach to investigating lead-lag relationships between stock and stock index futures markets In: Applied Financial Economics.
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article3
2001Linkages between property asset returns and interest rates: evidence for the UK In: Applied Economics.
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article4
2003Information criteria for GARCH model selection In: The European Journal of Finance.
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article8
1999Threshold autoregressive and Markov switching models: an application to commercial real estate In: Journal of Property Research.
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article9
1999The impact of economic and financial factors on UK property performance In: Journal of Property Research.
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article12
2003International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks In: Journal of Property Research.
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article5
2002The Effect of Asymmetries on Optimal Hedge Ratios In: The Journal of Business.
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article67
2005Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index In: The Journal of Business.
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article4
2015Speculative Bubble Spillovers across Regional Housing Markets In: Land Economics.
[Full Text][Citation analysis]
article2
2001The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models In: Journal of Futures Markets.
[Full Text][Citation analysis]
article0
2012Optimal hedging with higher moments In: Journal of Futures Markets.
[Citation analysis]
article8
2015Booms and Busts in Commodity Markets: Bubbles or Fundamentals? In: Journal of Futures Markets.
[Full Text][Citation analysis]
article7

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