Robert Brooks : Citation Profile


Are you Robert Brooks?

Monash University

17

H index

28

i10 index

1223

Citations

RESEARCH PRODUCTION:

115

Articles

26

Papers

RESEARCH ACTIVITY:

   24 years (1991 - 2015). See details.
   Cites by year: 50
   Journals where Robert Brooks has often published
   Relations with other researchers
   Recent citing documents: 242.    Total self citations: 35 (2.78 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbr492
   Updated: 2020-07-04    RAS profile: 2015-02-09    
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Relations with other researchers


Works with:

Wu, Eliza (2)

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

Is cited by:

ap Gwilym, Owain (17)

Alsakka, Rasha (17)

Nguyen, Duc Khuong (14)

Todea, Alexandru (13)

faff, robert (11)

Wu, Eliza (10)

GUPTA, RANGAN (10)

bouoiyour, jamal (9)

Tiwari, Aviral (9)

Sensoy, Ahmet (9)

AROURI, Mohamed (9)

Cites to:

faff, robert (53)

Ritter, Jay (35)

Bollerslev, Tim (29)

Harvey, Campbell (28)

Fama, Eugene (22)

Engle, Robert (20)

French, Kenneth (19)

Shleifer, Andrei (14)

Diebold, Francis (14)

Andersen, Torben (14)

Dimovski, Bill (13)

Main data


Where Robert Brooks has published?


Journals with more than one article published# docs
Applied Financial Economics16
Applied Economics Letters12
Journal of International Financial Markets, Institutions and Money7
Economic Papers6
Applied Financial Economics Letters6
Review of Quantitative Finance and Accounting5
International Review of Financial Analysis5
Journal of Banking & Finance5
Australian Economic Papers5
Applied Economics4
Research in International Business and Finance3
Pacific-Basin Finance Journal3
Emerging Markets Review2
Journal of Property Research2
Journal of International Money and Finance2
Economics Letters2
Agricultural Water Management2
Journal of Multinational Financial Management2
Journal of Econometrics2
International Review of Economics & Finance2
Journal of Accounting and Management Information Systems2
Global Finance Journal2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics5
Econometric Society 2004 Australasian Meetings / Econometric Society3
MPRA Paper / University Library of Munich, Germany3
Monash Economics Working Papers / Monash University, Department of Economics2

Recent works citing Robert Brooks (2018 and 2017)


YearTitle of citing document
2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin. In: The Energy Journal. RePEc:aen:journl:ej39-5-filis.

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2019Impact of Exchange rate volatility on Global Value Chains Participation Evidence from panel African countries. (2019). Mouanda-Mouanda, Gilhaime. In: International Journal of Science and Business. RePEc:aif:journl:v:3:y:2019:i:3:p:29-40.

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2020Investment behavior and firms financial performance: A comparative analysis using firm-level data from the wine industry. (2020). Albulescu, Claudiu. In: Papers. RePEc:arx:papers:2001.10432.

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2019The significance of Residential REITs in Japan as an Institutionalized property sector. (2019). Newell, Graeme ; Lee, Chyi Lin ; Lin, Robbie. In: ERES. RePEc:arz:wpaper:eres2019_122.

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2017A Comparison Study on ASEAN-Japan and ASEAN-Korea Free Trade Agreements using CGE Model. (2017). Lee, Tsung-Chen ; Lin, Wen-Cheng ; Lo, Shiao-Wei . In: Review of Economics & Finance. RePEc:bap:journl:170206.

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2017The role of the Formula 1 Grand Prix in Hungarys tourism. (2017). Bulcsu, REMENYIK ; Csilla, Molnar. In: Prosperitas. RePEc:bbs:prospe:v:4:y:2017:i:3:p:92-112.

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2018Are credit rating agencies discredited? Measuring market price effects from agency sovereign debt announcements. (2018). Miao, Evan Weicheng ; Binici, Mahir ; Hutchison, Michael M. In: BIS Working Papers. RePEc:bis:biswps:704.

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2017The Effect of Business and Financial Market Cycles on Credit Ratings: Evidence from the Last Two Decades. (2017). Stolowy, Hervé ; Astolfi, Pierre ; Paugam, Luc ; Lobo, Gerald J. In: Abacus. RePEc:bla:abacus:v:53:y:2017:i:1:p:59-93.

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2018Real estates information and volatility links with stock, bond and money markets. (2018). Mi, Lin ; Hodgson, Allan. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:465-491.

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2019Trade Creation and Trade Diversion Effects in the Economic Community of Central African States. (2019). Mahamat, Addi Haman ; Inanli, Selim . In: African Development Review. RePEc:bla:afrdev:v:31:y:2019:i:3:p:307-317.

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2020Analyse de la consommation des biens culturels au Togo. (2020). Komlagan, Mawusse Nezan ; Nyatefe, Victor. In: African Development Review. RePEc:bla:afrdev:v:32:y:2020:i:1:p:80-95.

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2018Reinvestigating the Oil Price–Stock Market Nexus: Evidence from Chinese Industry Stock Returns. (2018). Fang, Sheng ; Egan, Paul G ; Lu, Xinsheng. In: China & World Economy. RePEc:bla:chinae:v:26:y:2018:i:3:p:43-62.

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2018Sovereign credit ratings and central banks: Why do analysts pay attention to institutions?. (2018). Bodea, Cristina ; Hicks, Raymond. In: Economics and Politics. RePEc:bla:ecopol:v:30:y:2018:i:3:p:340-365.

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2017The Reaction of the Australian Stock Market to Monetary Policy Announcements from the Reserve Bank of Australia. (2017). Brown, Alexandra ; Karpaviius, Sigitas. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:20-41.

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2017The Impact of the GFC on Sectoral Market Efficiency: Non-linear Testing for the Case of Australia. (2017). Mavromaras, Kostas ; Varua, Maria Estela ; Spong, Heath ; Deo, Neha. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i::p:38-56.

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2017Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis. (2017). Nguyen, Phong ; Liu, Wei-Han. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:1:p:43-76.

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2018Information Transmission across European Equity Markets During Crisis Periods. (2018). Chen, Jing ; Buckle, Mike ; McMillan, David G. In: Manchester School. RePEc:bla:manchs:v:86:y:2018:i:6:p:770-788.

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2017The Future of Money: Liquidity co-movement between financial institutions and real estate firms: evidence from China. (2017). Xie, RU ; Williams, Jonathan ; Huang, Sheng. In: Working Papers. RePEc:bng:wpaper:17004.

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2019A simple return generating model in discrete time; implications for market efficiency testing. (2019). Milionis, Alexandros E. In: Working Papers. RePEc:bog:wpaper:259.

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2019Mean Reversion in Asia-Pacific Stock Prices: New Evidence from Quantile Unit Root Tests. (2019). Nartea, Gilbert ; Luisa, Maria ; Glenn, Harold. In: Working Papers in Economics. RePEc:cbt:econwp:19/16.

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2018Stigma or Cushion? IMF Programs and Sovereign Creditworthiness. (2018). Lang, Valentin F ; Gehring, Kai. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7339.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2017Understanding Rating Movements in Euro Area Countries. (2017). Setzer, Ralph ; Bruha, Jan ; Pierluigi, Beatrice ; Karber, Moritz . In: Working Papers. RePEc:cnb:wpaper:2017/06.

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2017Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland. (2017). Będowska-Sójka, Barbara ; Bedowska-Sojka, Barbara . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:17:y:2017:p:161-176.

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2017MARKET EFFICIENCY, SOVEREIGN DEBT RESTRUCTURING AND CREDIT RATINGS IN DEVELOPING COUNTRIES. (2017). Bangwayo-Skeete, Prosper ; Robinson, Justin C. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:17:y:2017:i:1_1.

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2017On the Co-movements among East Asian Foreign Exchange Markets: A Multivariate FIAPARCH-DCC approach. (2017). el Abed, Riadh. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00370.

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2019Sovereign Ratings and Finance Ministers Characteristics. (2019). Jalles, Joao ; Afonso, Antonio. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00559.

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2017Systematic Risk in Energy Businesses: Empirical Evidence for the ASEAN. (2017). Vo, Duc ; Pham, Thach. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-70.

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2017Does Exchange Rate Volatility Deter Trade in Sub-Saharan Africa?. (2017). Eita, Joel ; Meniago, Christelle. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-10.

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2017Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms. (2017). Alaali, Fatema. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-51.

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2019Stock Market Reaction to Terrorist Attacks and Political Uncertainty: Empirical Evidence from the Tunisian Stock Exchange. (2019). Talbi, Mariem ; ben Moussa, Fatma. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-4.

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2018Financial risk network architecture of energy firms. (2018). Uribe, Jorge ; Manotas, Diego ; Restrepo, Natalia . In: Applied Energy. RePEc:eee:appene:v:215:y:2018:i:c:p:630-642.

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2018Do all sectors respond to oil price shocks simultaneously?. (2018). Huang, Shupei ; Wang, Yue. In: Applied Energy. RePEc:eee:appene:v:227:y:2018:i:c:p:393-402.

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2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

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2018Room for discretion? Biased decision-making in international financial institutions. (2018). Presbitero, Andrea ; Lang, Valentin F. In: Journal of Development Economics. RePEc:eee:deveco:v:130:y:2018:i:c:p:1-16.

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2017Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect. (2017). Ahmed, Abdullahi ; Huo, Rui. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:260-272.

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2018Risk aversion connectedness in five European countries. (2018). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:68-79.

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2018Forecasting the aggregate oil price volatility in a data-rich environment. (2018). Ma, Feng ; Zhang, Yaojie ; Wahab, M. I. M., ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:320-332.

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2019Testing the white noise hypothesis of stock returns. (2019). Hill, Jonathan B ; Motegi, Kaiji. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:231-242.

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2020Provincial economic performance and underpricing of IPOs: Evidence from political interventions in China. (2020). Li, Yuan ; Uchida, Konari ; Liu, Jianlei . In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:274-285.

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2018The “Sell in May” effect: A review and new empirical evidence. (2018). Degenhardt, Thomas ; Auer, Benjamin R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:169-205.

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2018Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach. (2018). Yang, Lu ; Hamori, Shigeyuki ; Xu, Mingli ; Tian, Shuairu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:116-137.

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2019Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:540-554.

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2019Time-varying predictability of oil market movements over a century of data: The role of US financial stress. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Wohar, Mark E ; Kanda, Patrick. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306090.

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2020Liquidity and firm value in an emerging market: Nonlinearity, political connections and corporate ownership. (2020). Lim, Kian-Ping ; Goh, Kim-Leng ; Chia, Yee-Ee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300668.

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2020The impact of oil on equity returns of Canadian and U.S. Railways and airlines. (2020). Killins, Robert N. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300759.

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2018Supplemental irrigation water rights and climate change adaptation. (2018). Bigelow, Daniel P ; Zhang, Hongliang. In: Ecological Economics. RePEc:eee:ecolec:v:154:y:2018:i:c:p:156-167.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2020Nonparametric filtering of conditional state-price densities. (2020). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:295-325.

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2018Are credit rating agencies regionally biased?. (2018). Yalta, Talha A. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:4:p:682-694.

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2019To what extent can new web-based technology improve forecasts? Assessing the economic value of information derived from Virtual Globes and its rate of diffusion in a financial market. (2019). , Johnnie ; Ma, Tiejun ; Sung, Ming-Chien ; Green, Lawrence . In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:1:p:226-239.

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2017Credit funding and banking fragility: A forecasting model for emerging economies. (2017). Guarín López, Alexander ; Lozano-Espitia, Ignacio ; Guarin, Alexander . In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:168-189.

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2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

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2017Diversification benefits of commodities: A stochastic dominance efficiency approach. (2017). Topaloglou, Nikolas ; Skiadopoulos, George ; Daskalaki, Charoula. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:250-269.

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2017Does oil and gold price uncertainty matter for the stock market?. (2017). Bams, Dennis ; Lehnert, Thorsten ; Honarvar, Iman ; Blanchard, Gildas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:270-285.

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2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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2017Dynamic spillover between commodities and commodity currencies during United States Q.E.. (2017). Yip, Pick Schen ; Do, Hung Xuan ; Brooks, Robert. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:399-410.

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2018Asymmetric impact of oil price on Islamic sectoral stocks. (2018). Lean, Hooi Hooi ; Badeeb, Ramez. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:128-139.

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2018Impact of oil price risk on sectoral equity markets: Implications on portfolio management. (2018). Tiwari, Aviral ; Yoon, Seong-Min ; Mitra, Amarnath ; Jena, Sangram Keshari. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:120-134.

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2019Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis. (2019). Tiwari, Aviral ; Hamdi, Besma ; Alqahtani, Faisal ; Aloui, Mouna. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:536-552.

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2019Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes. (2019). Heni, Boubaker ; Souhir, Ben Amor ; Lotfi, Belkacem. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:635-655.

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2019Forecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variables. (2019). Kemp, Alexander ; Liu, Jingzhen. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:672-686.

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2019Testing the oil price efficiency using various measures of long-range dependence. (2019). Tiwari, Aviral ; Roubaud, David ; Pathak, Rajesh. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303421.

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2020Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications. (2020). Maitra, Debasish ; Dash, Saumya Ranjan ; Guhathakurta, Kousik. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303615.

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2017Revisiting driving factors of oil price shocks across time scales. (2017). An, Feng ; Huang, Shupei ; Wen, Shaobo. In: Energy. RePEc:eee:energy:v:139:y:2017:i:c:p:617-629.

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2020The oil price risk and global stock returns. (2020). Azimli, Asil. In: Energy. RePEc:eee:energy:v:198:y:2020:i:c:s0360544220304278.

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2017A complicated relationship: Family involvement in the top management team and post-IPO survival. (2017). Cirillo, Alessandro ; Vigano, Riccardo ; Romano, Mauro ; Mussolino, Donata . In: Journal of Family Business Strategy. RePEc:eee:fambus:v:8:y:2017:i:1:p:42-56.

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2017Are investors consistent in their trading strategies? An examination of individual investor-level data. (2017). Duxbury, Darren ; Yao, Songyao . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:77-87.

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2017Intra- and inter-regional portfolio diversification strategies under regional market integration: Evidence from U.S. global banks. (2017). Lee, Eun-Joo . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:1-22.

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2018New evidence on sovereign to corporate credit rating spill-overs. (2018). faff, robert ; Bissoondoyal-Bheenick, Emawtee ; Hill, Paula. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:209-225.

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2018Dynamic trading volume and stock return relation: Does it hold out of sample?. (2018). Wang, Zijun ; Qian, Yan . In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:195-210.

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2017In search of hedges and safe havens: Revisiting the relations between gold and oil in the rolling regression framework. (2017). Papież, Monika ; Śmiech, Sławomir. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:238-244.

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2018Sentiment and asset price bubble in the precious metals markets. (2018). Pan, Wei-Fong. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:106-111.

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2019A simple but powerful measure of market efficiency. (2019). Leirvik, Thomas ; le Tran, VU. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:141-151.

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2019What drives the off-shore futures market? Evidence from India and China. (2019). Sampath, Aravind ; Kumar, S. S. S., . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:394-402.

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2019Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices. (2019). Ebrahimi, Seyed Babak ; Ghazani, Majid Mirzaee. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:60-68.

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2020Price clustering in Bitcoin market—An extension. (2020). Xu, Chong ; Li, Shenghong. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305907.

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2018Financial stability in Europe: Banking and sovereign risk. (2018). Kočenda, Evžen ; Bruha, Jan ; Koenda, Even ; Brha, Jan. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:305-321.

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2018Sovereign credit rating determinants under financial crises. (2018). , Joo ; Jose , ; Manuel, . In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:1-13.

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2017Do cultures influence abnormal market reactions before official sovereign debt rating downgrade announcements?. (2017). Jakob, Keith ; Nam, Yoonsoo . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:65-75.

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2018Do sovereign credit ratings matter for foreign direct investments?. (2018). Cai, Peilin ; Kim, Suk-Joong ; Gan, Quan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:50-64.

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2019Systematic extreme downside risk. (2019). Stoja, Evarist ; Nguyen, Linh H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:128-142.

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2020Ratings matter: Announcements in times of crisis and the dynamics of stock markets. (2020). Rosati, Nicoletta ; Bellia, Mario ; Oliveira, Vasco ; Matos, Pedro Verga. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300460.

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2020The rating spillover from banks to sovereigns: An empirical investigation across the European Union. (2020). Trautwein, Hans-Michael ; Shi, Yukun ; Prokop, Jorg ; Hu, Haoshen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119302690.

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2017Sovereign credit rating determinants: A comparison before and after the European debt crisis. (2017). Reusens, Peter ; Croux, Christophe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:108-121.

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2019Regulated price and Demand in China’s IPO market. (2019). Lu, Helen ; Geertsema, Paul. In: Journal of Economics and Business. RePEc:eee:jebusi:v:106:y:2019:i:c:s0148619518302376.

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2017The impact of oil shocks on the housing market: Evidence from Canada and U.S. (2017). Escobari, Diego ; Egly, Peter V ; Killins, Robert N. In: Journal of Economics and Business. RePEc:eee:jebusi:v:93:y:2017:i:c:p:15-28.

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2018The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions. (2018). ap Gwilym, Owain ; Alsakka, Rasha ; Abad, Pilar. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:40-57.

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2018Do credit rating agencies provide valuable information in market evaluation of sovereign default Risk?. (2018). Binici, Mahir ; Hutchison, Michael . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:58-75.

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2017Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System. (2017). Trabelsi, Nader. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:16:y:2017:i:c:p:26-41.

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2017Does opinion leadership influence service evaluation and loyalty intentions? Evidence from an arts services provider. (2017). Flores-Zamora, Javier ; Garca-Madariaga, Jess. In: Journal of Retailing and Consumer Services. RePEc:eee:joreco:v:39:y:2017:i:c:p:114-122.

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2017Time-varying volatility spillovers between stock and precious metal markets with portfolio implications. (2017). Mensi, walid ; Kang, Sang Hoon ; Al-Yahyaee, Khamis Hamed. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:88-102.

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2020The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach. (2020). Rehman, Syed Abdul ; Salman, Asma ; Suki, Norazah Mohd ; Aman, Ameenullah ; Sharif, Arshian ; Chang, Bisharat Hussain. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719304751.

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2017Cyclical co-movements of private real estate, public real estate and equity markets: A cross-continental spectrum. (2017). Xiao, Qin ; Devaney, Steven. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:132-151.

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2017Toward a model-free measure of market efficiency. (2017). , Keith. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:97-112.

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2019Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets. (2019). Brooks, Robert ; Dash, Saumya Ranjan ; Maitra, Debasish ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x18305912.

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2020Sovereign ratings and national culture. (2020). Partington, Graham ; Dang, Huong . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x19304743.

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2017Investigating market efficiency through a forecasting model based on differential equations. (2017). de Resende, Charlene C ; Bosco, A R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:474:y:2017:i:c:p:199-212.

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2017Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?. (2017). Henry, Darren ; Bhatti, Ishaq M ; Nguyen, Cuong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:480:y:2017:i:c:p:10-21.

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2017A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices. (2017). Yoon, Seong-Min ; Tiwari, Aviral ; Albulescu, Claudiu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:483:y:2017:i:c:p:182-192.

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2018Financial risk distribution in European Union. (2018). Damico, Guglielmo ; Storchi, Loriano ; Scocchera, Stefania. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:252-267.

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

Works by Robert Brooks:


YearTitleTypeCited
2013The Effect of the Introduction of the Euro on Asymmetric Stock Market Returns Volatility Across the Euro-Zone In: Journal of Accounting and Management Information Systems.
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article0
2013Oil, Oil Volatility and Airline Stocks: A Global Analysis In: Journal of Accounting and Management Information Systems.
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article0
1991A Social Loss Approach to Testing the Efficiency of Australian Financial Futures. In: Australian Economic Papers.
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article0
1995Financial Market Deregulation and Bank Risk: Testing for Beta Instability. In: Australian Economic Papers.
[Citation analysis]
article8
1995Financial Market Deregulation and Bank Risk: Testing for Beta Instability..(1995) In: Melbourne - Centre in Finance.
[Citation analysis]
This paper has another version. Agregated cites: 8
paper
1996Forecast Error and Social Loss Approaches to Testing the Efficiency of Australian Financial Futures. In: Australian Economic Papers.
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article0
1997Financial Deregulation and Relative Risk of Australian Industry. In: Australian Economic Papers.
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article2
2000Modelling the Equity Beta Risk of Australian Financial Sector Companies. In: Australian Economic Papers.
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article17
2002INVESTIGATING THE “BOUNCE-BACK” HYPOTHESIS AFTER THE ASIAN CRISIS In: Economic Papers.
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article1
2004HOW MUCH R&D SHOULD AUSTRALIA UNDERTAKE? In: Economic Papers.
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article0
2004ARC LINKAGE PROJECTS AND RESEARCH-INTENSIVE ORGANIZATIONS: ARE RESEARCH-INTENSIVE ORGANIZATIONS LIKELY TO PARTICIPATE? In: Economic Papers.
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article0
2004THE PRICE OF DISCRIMINATION: AN ECONOMIC ANALYSIS OF THE HUMAN RIGHTS AND EQUAL OPPORTUNITY COMMISSION RULINGS 1985–2000 In: Economic Papers.
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article0
2006THE INITIAL IMPACTS OF A MATCHED SAVINGS PROGRAM: THE SAVER PLUS PROGRAM In: Economic Papers.
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article1
2006FUNDING THE NON-PROFIT WELFARE SECTOR: EXPLAINING CHANGING FUNDING SOURCES 1960–1999 In: Economic Papers.
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article0
2009Deal or No Deal, That is the Question: The Impact of Increasing Stakes and Framing Effects on Decision‐Making under Risk In: International Review of Finance.
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article6
2011THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE In: Journal of Economic Surveys.
[Citation analysis]
article86
2010WHY DO EMERGING STOCK MARKETS EXPERIENCE MORE PERSISTENT PRICE DEVIATIONS FROM A RANDOM WALK OVER TIME? A COUNTRY-LEVEL ANALYSIS In: Macroeconomic Dynamics.
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article15
2004R&D, Agency Costs and Capital Structure: International Evidence In: Econometric Society 2004 Australasian Meetings.
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paper2
2004Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case. In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]
paper0
2004Dividend taxation and Corporate investment: A comparative study between the classical system and imputation system of dividend taxation in the United States and Australia. In: Econometric Society 2004 Australasian Meetings.
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paper8
2008Dividend taxation and corporate investment: a comparative study between the classical system and imputation system of dividend taxation in the United States and Australia.(2008) In: Review of Quantitative Finance and Accounting.
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This paper has another version. Agregated cites: 8
article
2014Price leadership and information transmission in Australian water allocation markets In: Agricultural Water Management.
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article2
2008Efficiency gains from water markets: Empirical analysis of Watermove in Australia In: Agricultural Water Management.
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article33
2007Asia/Pacific Regional Trade Agreements: An empirical study In: Journal of Asian Economics.
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article7
2002New evidence on the impact of financial leverage on beta risk: A time-series approach In: The North American Journal of Economics and Finance.
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article9
2012Inflated ordered outcomes In: Economics Letters.
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article9
2012Inflated Ordered Outcomes.(2012) In: Discussion Paper Series.
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This paper has another version. Agregated cites: 9
paper
2013Generalized impulse response analysis in a fractionally integrated vector autoregressive model In: Economics Letters.
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article9
2009A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation In: Journal of Econometrics.
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article23
1993Alternative point-optimal tests for regression coefficient stability In: Journal of Econometrics.
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article3
2012The roles of news and volatility in stock market correlations during the global financial crisis In: Emerging Markets Review.
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article17
2007Power arch modelling of the volatility of emerging equity markets In: Emerging Markets Review.
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article19
2008Financial crisis and stock market efficiency: Empirical evidence from Asian countries In: International Review of Financial Analysis.
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article85
2008Underpricing of Chinese A-share IPOs and short-run underperformance under the approval system from 2001 to 2005 In: International Review of Financial Analysis.
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article20
2009Duration of IPOs between offering and listing: Cox proportional hazard models--Evidence for Chinese A-share IPOs In: International Review of Financial Analysis.
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article6
2014The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union In: International Review of Financial Analysis.
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article5
2014How does trading volume affect financial return distributions? In: International Review of Financial Analysis.
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article5
1999Mean reversion and the forecasting of country betas: a note In: Global Finance Journal.
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article2
2006Determinants of sovereign ratings: A comparison of case-based reasoning and ordered probit approaches In: Global Finance Journal.
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article21
2005Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches.(2005) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2001GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article10
2004Do you really want to ask an underwriter how much money you should leave on the table? In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article1
2008Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets In: Journal of International Financial Markets, Institutions and Money.
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article25
2011Effects of the open policy on the dependence between the Chinese A stock market and other equity markets: An industry sector perspective In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article9
2014Banking crises: Identifying dates and determinants In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article10
1997The impact of exchange rate volatility on German-US trade flows In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article68
1997An examination of the effects of major political change on stock market volatility: the South African experience In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article10
1997An Examination of the Effects of Major Political Change on Stock Market Volatility : The South African Experience..(1997) In: Melbourne - Centre in Finance.
[Citation analysis]
This paper has another version. Agregated cites: 10
paper
1997A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article5
2004The national market impact of sovereign rating changes In: Journal of Banking & Finance.
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article95
2010Variations in sovereign credit quality assessments across rating agencies In: Journal of Banking & Finance.
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article61
2010Erratum to Variations in sovereign credit quality assessments across rating agencies [J. Bank. Finance 34 (2010) 1327-1343] In: Journal of Banking & Finance.
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article0
2011Asset market linkages: Evidence from financial, commodity and real estate assets In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article110
2003Sudden changes in property rights: the case of Australian native title In: Journal of Economic Behavior & Organization.
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article0
2000Modeling Australias country risk: a country beta approach In: Journal of Economics and Business.
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article11
2000A multi-country study of power ARCH models and national stock market returns In: Journal of International Money and Finance.
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article40
2010Testing conditional asset pricing models: An emerging market perspective In: Journal of International Money and Finance.
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article16
2008Testing Conditional Asset Pricing Models: An Emerging Market Perspective.(2008) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2012Realized dual-betas for leading Australian stocks: An evaluation of the estimation methods and the effect of the sampling interval In: Mathematics and Computers in Simulation (MATCOM).
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article0
2007Alternative beta risk estimators and asset pricing tests in emerging markets: The case of Pakistan In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]
article8
2007Is co-skewness a better measure of risk in the downside than downside beta?: Evidence in emerging market data In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]
article11
1994Beta stability and portfolio formation In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]
article19
1995Beta stability and portfolio formation.(1995) In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
article
1994Beta Stability and Portfolio Formation..(1994) In: Melbourne - Centre in Finance.
[Citation analysis]
This paper has another version. Agregated cites: 19
paper
1998An investigation into the extent of beta instability in the Singapore stock market In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]
article5
2000Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]
article8
2009Do realized betas exhibit up/down market tendencies? In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article5
2010Detecting hot and cold cycles using a Markov regime switching model--Evidence from the Chinese A-share IPO market In: International Review of Economics & Finance.
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article8
2008The underpricing of gold mining initial public offerings In: Research in International Business and Finance.
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article4
2010Does volume help in predicting stock returns? An analysis of the Australian market In: Research in International Business and Finance.
[Full Text][Citation analysis]
article1
2015Do asset backed securities ratings matter on average? In: Research in International Business and Finance.
[Full Text][Citation analysis]
article4
1993The Robustness of Point Optional Testing for Rosenberg Random Regression Co-Efficients. In: Melbourne - Centre in Finance.
[Citation analysis]
paper0
1994The Unbiased Prediction Hypothesis in Futures Markets: A Varying Coefficient Approach. In: Melbourne - Centre in Finance.
[Citation analysis]
paper0
1994The Unbiased Prediction Hypothesis in Futures Markets: A Varying Coefficient Approach..(1994) In: RMIT - Centre Finance.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1995Autocorrelations, Returns and Australian Financial Futures. In: Melbourne - Centre in Finance.
[Citation analysis]
paper2
1995Autocorrelations, returns and Australian financial futures.(1995) In: Applied Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
1996Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period. In: Melbourne - Centre in Finance.
[Citation analysis]
paper1
1996The Stability of ARCH Models Across Australian Financial Markets. In: Melbourne - Centre in Finance.
[Citation analysis]
paper0
1998Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange. In: Melbourne - Centre in Finance.
[Citation analysis]
paper13
2001Power ARCH modelling of commodity futures data on the London Metal Exchange.(2001) In: The European Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
article
1998A Multi-Country of Power ARCH Models and National Stock Market Returns. In: Melbourne - Centre in Finance.
[Citation analysis]
paper0
2008The Factors Influencing Saving in a Matched Savings Program: Goals, Knowledge of Payment Instruments, and Other Behavior In: Journal of Family and Economic Issues.
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article15
2006The Pricing of Property Trust IPOs in Australia In: The Journal of Real Estate Finance and Economics.
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article3
2000U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach. In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]
article7
2004Initial Public Offerings in Australia 1994 to 1999, Recent Evidence of Underpricing and Underperformance In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]
article6
2009Oil prices and transport sector returns: an international analysis In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]
article50
2011Underwriter reputation and underpricing: evidence from the Australian IPO market In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]
article8
2007The Pricing and Underwriting Costs of Japanese REIT IPOs In: Discussion Papers.
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paper8
2008The Pricing and Underwriting Costs of Japanese REIT IPOs.(2008) In: Journal of Property Research.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2011Underpricing of Chinese Initial Public Offerings In: Chinese Economy.
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article4
2009The effects of centrally determined water prices on irrigation water demand: evidence from the Victorian State Rivers and Water Supply Commission, 1908-1984 In: Monash Economics Working Papers.
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paper0
2013The Impact of Patenting Activity on the Financial Performance of Malaysian Firms In: Monash Economics Working Papers.
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paper3
1994Hypothesis Testing of Varying Coefficient Regression Models: Procedures and Applications. In: Monash Econometrics and Business Statistics Working Papers.
[Citation analysis]
paper1
2005An Analysis of Watermove Water Markets In: Monash Econometrics and Business Statistics Working Papers.
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paper3
2008Multivariate tests of asset pricing: Simulation evidence from an emerging market In: Monash Econometrics and Business Statistics Working Papers.
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paper4
2010Multivariate tests of asset pricing: simulation evidence from an emerging market.(2010) In: Applied Financial Economics.
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This paper has another version. Agregated cites: 4
article
2014Thai Financial Markets and Political Change In: Journal of Financial Management, Markets and Institutions.
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article0
2007Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models In: MPRA Paper.
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paper1
2007Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets In: MPRA Paper.
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2007An Inflated Ordered Probit Model of Monetary Policy: Evidence from MPC Voting Data In: MPRA Paper.
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2006A citation analysis of ARC Discovery and Linkage grant investigators in economics and finance In: Applied Economics Letters.
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article0
2009Market depth in an illiquid market: applying the VNET concept to Victorian water markets In: Applied Economics Letters.
[Full Text][Citation analysis]
article1
2009On the validity of conventional statistical tests given evidence of nonsynchronous trading and nonlinear dynamics in returns generating process: a further note In: Applied Economics Letters.
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article1
1997A note on beta forecasting In: Applied Economics Letters.
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article3
1997Beta stability and monthly seasonal effects: evidence from the Australian capital market In: Applied Economics Letters.
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1998Is there a common response in Australian bilateral exchange rates following current account announcements? In: Applied Economics Letters.
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1998The nature and extent of revisions to Australian macroeconomic data In: Applied Economics Letters.
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1999International diversification of the funds management industry In: Applied Economics Letters.
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article1
1999Variance ratio testing of the Australian forward foreign exchange market In: Applied Economics Letters.
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1999Autocorrelations, returns and Australian stock indices In: Applied Economics Letters.
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2000The Sydney Olympic Games announcement and Australian stock market reaction In: Applied Economics Letters.
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2005Ranking economics research output by Econbase downloads: a comparison to publication based measures In: Applied Financial Economics Letters.
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article0
2005Dividend forecasts and dividend payments of initial public offerings -- when zero means zero and no comment most likely also means zero In: Applied Financial Economics Letters.
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article1
2006Risk-return tradeoffs from investing in the Australian cash management industry In: Applied Financial Economics Letters.
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article0
2007The costs of raising equity capital for closed-end fund IPOs In: Applied Financial Economics Letters.
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article0
2008Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis In: Applied Financial Economics Letters.
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article1
2008An ordered probit model of Morningstar individual stock ratings In: Applied Financial Economics Letters.
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article1
2000Australian industry beta risk, the choice of market index and business cycles In: Applied Financial Economics.
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article6
2001Testing a two factor APT model on Australian industry equity portfolios: the effect of intervaling In: Applied Financial Economics.
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2003Returns and volatility on the Chinese stock markets In: Applied Financial Economics.
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article16
2004Correlations, integration and Hansen-Jagannathan bounds In: Applied Financial Economics.
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article1
2004Stakeholder representation on the boards of Australian initial public offerings In: Applied Financial Economics.
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article3
2004Censoring and its impact on multivariate testing of the Capital Asset Pricing Model In: Applied Financial Economics.
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article0
2005Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence In: Applied Financial Economics.
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article6
2005The stock market impact of German reunification: international evidence In: Applied Financial Economics.
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article1
2007The target cash rate and its impact on investment asset returns in Australia In: Applied Financial Economics.
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article2
2008Relationship between downside risk and return: new evidence through a multiscaling approach In: Applied Financial Economics.
[Full Text][Citation analysis]
article1
2008Untangling demand curves from information effects: evidence from Australian index adjustments In: Applied Financial Economics.
[Full Text][Citation analysis]
article1
2009Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests In: Applied Financial Economics.
[Full Text][Citation analysis]
article7
2009A duration analysis of the time from prospectus to listing for Australian initial public offerings In: Applied Financial Economics.
[Full Text][Citation analysis]
article1
2011Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis In: Applied Financial Economics.
[Full Text][Citation analysis]
article2
1997The stability of ARCH models across Australian financial futures markets In: Applied Financial Economics.
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article0
2013Price clustering in Australian water markets In: Applied Economics.
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article7
2002An ordered response model of test cricket performance In: Applied Economics.
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article8
2003Financial characteristics of Australian initial public offerings from 1994 to 1999 In: Applied Economics.
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article1
2011The demand for creative arts in regional Victoria, Australia In: Applied Economics.
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article6
2006Factors Influencing Money Left on the Table by Property Trust IPO Issuers In: Journal of Property Research.
[Full Text][Citation analysis]
article2
2007Country risk and the estimation of asset return distributions In: Quantitative Finance.
[Full Text][Citation analysis]
article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team