A Note on Estimating Market-based Minimum Capital Risk Requirements: A Multivariate GARCH Approach

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A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index

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A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100

A word of caution on calculating market-based minimum capital risk requirements

Benchmarks and the accuracy of GARCH model estimation

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Booms and Busts in Commodity Markets: Bubbles or Fundamentals?

Can portmanteau nonlinearity tests serve as general mis-specification tests?

Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs?

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Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures

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Do long-short speculators destabilize commodity futures markets?

Forecasting Models of Retail Rents

Forecasting exchange rate volatility using conditional variance models selected by information criteria

Gender and the evaluation of research

House price dynamics and their reaction to macroeconomic changes

article by Ogonna Nneji et al published May 2013 in Economic Modelling

Idiosyncratic volatility and the pricing of poorly-diversified portfolios

Interest rates and efficiency in medieval wool forward contracts

Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

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Linkages between property asset returns and interest rates: evidence for the UK

article published in 2001

Measuring the Response of Macroeconomic Uncertainty to Shocks

Model Choice and Value-at-Risk Performance

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Multivariate GARCH models: software choice and estimation issues

scholarly article by Chris Brooks et al published 2003 in Journal of Applied Econometrics

Optimal hedging with higher moments

Over the moon or sick as a parrot? The effects of football results on a club's share price

Selecting From Amongst Non-Nested Conditional Variance Models: Information Criteria and Portfolio Determination

Speculative bubbles and the cross-sectional variation in stock returns

Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?

Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates

The Cross-Currency Hedging Performance of Implied Versus Statistical Forecasting Models

The Financial Effects of Uniform and Mixed Corporate Social Performance

The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis

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The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market*

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The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume

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The Value Premium and Time-Varying Volatility

The credit relationship between Henry III and merchants of Douai and Ypres, 1247-70

The dynamics of commodity prices

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The impact of personality traits on attitude to financial risk

scientific article published in 2021

The performance effects of composition changes on sector specific stock indices: The case of European listed real estate

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The trading profitability of forecasts of the gilt–equity yield ratio

Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets

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Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index*

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Volatility forecasting for risk management

‘Leger est aprendre mes fort est arendre’: wool, debt, and the dispersal of Pipewell Abbey (1280-1330)