Number of items: 12.
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
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