Article

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153, Clare, A. D., Dalle Molle, J. W. and Persand, G. (2005) A comparison of extreme value theory approaches for determining value at risk. Journal of Empirical Finance, 12 (2). pp. 339-352. ISSN 0927-5398 doi: https://doi.org/10.1016/j.jempfin.2004.01.004

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153, Burke, S. P., Heravi, S. and Persand, G. (2005) Autoregressive conditional kurtosis. Journal of Financial Econometrics, 3 (3). pp. 399-421. ISSN 1479-8417 doi: https://doi.org/10.1093/jjfinec/nbi018

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Persand, G. (2003) Volatility forecasting for risk management. Journal of Forecasting, 22 (1). pp. 1-22. ISSN 1099-131X doi: https://doi.org/10.1002/for.841

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Persand, G. (2003) The effect of asymmetries on stock index return value-at-risk estimates. Journal of Risk Finance, 4 (2). pp. 29-42. ISSN 1526-5943 doi: https://doi.org/10.1108/eb022959

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153, Clare, A.D. and Persand, G. (2002) A note on estimating market–based minimum capital risk requirements: a multivariate GARCH approach. The Manchester School, 70 (5). pp. 666-681. ISSN 1467-9957 doi: https://doi.org/10.1111/1467-9957.00319

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Persand, G. (2002) Model choice and value-at-risk performance. Financial Analysts Journal, 58 (5). pp. 87-97. doi: https://doi.org/10.2469/faj.v58.n5.2471

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153, Henry, O.T. and Persand, G. (2002) The effect of asymmetries on optimal hedge ratios. Journal of Business, 75 (2). pp. 333-352. ISSN 0740-9168

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153, Clare, A.D. and Persand, G. (2002) An extreme value theory approach to calculating minimum capital risk requirements. Journal of Risk Finance, 3 (2). pp. 22-33. ISSN 1526-5943 doi: https://doi.org/10.1108/eb043485

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153, Burke, S. and Persand, G. (2001) Benchmarks and the accuracy of GARCH model estimation. International Journal of Forecasting, 17 (1). pp. 45-56. ISSN 0169-2070 doi: https://doi.org/10.1016/S0169-2070(00)00070-4

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Persand, G. (2001) Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects. Applied Economics Letters, 8 (3). pp. 155-158. ISSN 1466-4291 doi: https://doi.org/10.1080/13504850150504504

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Persand, G. (2001) The trading profitability of forecasts of the gilt–equity yield ratio. International Journal of Forecasting, 17 (1). pp. 11-29. ISSN 0169-2070 doi: https://doi.org/10.1016/S0169-2070(00)00060-1

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153, Clare, A. D. and Persand, G. (2000) A word of caution on calculating market-based minimum capital risk requirements. Journal of Banking & Finance, 24 (10). pp. 1557-1574. ISSN 0378-4266 doi: https://doi.org/10.1016/S0378-4266(99)00092-8