Brooks Chris

Chris Brooks

Information about the author Chris Brooks will soon be added to the site.
Found 5 papers in total
Volatility forecasting for risk management
Volatility forecasting for risk management
2003
Recent research has suggested that forecast evaluation on the basis of standard...
Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting
Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting
2001
This paper proposes and implements a new methodology for forecasting time series,...
Benchmarks and the accuracy of GARCH model estimation
Benchmarks and the accuracy of GARCH model estimation
2001
This paper reviews nine software packages with particular reference to their GARCH...
The trading profitability of forecasts of the gilt–equity yield ratio
The trading profitability of forecasts of the gilt–equity yield ratio
2001
Research has highlighted the usefulness of the Gilt-Equity Yield Ratio (GEYR) as a...
A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100
A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100
2001
This paper examines the lead–lag relationship between the FTSE 100 index and...
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