Robert E Brooks

Personal Details

First Name:	Robert
Middle Name:	E
Last Name:	Brooks
Suffix:
RePEc Short-ID:	pbr447
	http://www.robertebrooks.org
	13157 Martin Road Spur Northport, AL 35473
	205.799.9927

Affiliation

Department of Economics, Finance and Legal Studies
Culverhouse College of Business
University of Alabama-Tuscaloosa

Tuscaloosa, Alabama (United States)
https://efls.culverhouse.ua.edu/
RePEc:edi:defuaus (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

1. Li, Yang & Brooks, Robert, 2022. "Evidence of arbitrage trading activity: The case of Chinese metal futures contracts," Emerging Markets Review, Elsevier, vol. 51(PB).

   Cited by:

   1. Zhang, Huiming & Qian, Siji & Ma, Zhen, 2024. "An analysis of the market efficiency of the Chinese copper futures based on intertemporal and intermarket arbitrages," International Review of Financial Analysis, Elsevier, vol. 94(C).
   2. Brooks, Robert & Brooks, Joshua A., 2022. "Samuelson hypothesis and carry arbitrage: U.S. and China," Journal of International Money and Finance, Elsevier, vol. 128(C).
   3. Shaoqiang Ma & Min Fang & Xin Zhou, 2023. "China’s Embodied Copper Flow from the Demand-Side and Production-Side Perspectives," Sustainability, MDPI, vol. 15(3), pages 1-18, January.

2. Robert Brooks & Pavel Teterin, 2020. "Samuelson hypothesis, arbitrage activity, and futures term premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1420-1441, September.

   Cited by:

   1. Robert Brooks & Brandon N. Cline & Pavel Teterin & Yu You, 2022. "The information in global interest rate futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1135-1166, June.
   2. Brooks, Robert & Brooks, Joshua A., 2022. "Samuelson hypothesis and carry arbitrage: U.S. and China," Journal of International Money and Finance, Elsevier, vol. 128(C).
   3. René Aid & Andrea Cosso & Huyên Pham, 2022. "Equilibrium price in intraday electricity markets," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 517-554, April.
   4. Xu, Kewei & Xiong, Xiong & Li, Xiao, 2021. "The maturity effect of stock index futures: Speculation or carry arbitrage?," Research in International Business and Finance, Elsevier, vol. 58(C).

3. Robert Brooks & Joshua A. Brooks, 2017. "An Option Valuation Framework Based On Arithmetic Brownian Motion: Justification And Implementation Issues," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(3), pages 401-427, September.

   Cited by:

   1. W. Brent Lindquist & Svetlozar T. Rachev & Jagdish Gnawali & Frank J. Fabozzi, 2024. "Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model," Risks, MDPI, vol. 12(9), pages 1-23, August.
   2. Matta Uma Maheswara Reddy, 2019. "Option pricing under normal dynamics with stochastic volatility," Papers 1909.08047, arXiv.org, revised Oct 2019.
   3. W. Brent Lindquist & Svetlozar T. Rachev & Jagdish Gnawali & Frank J. Fabozzi, 2024. "Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model," Papers 2405.12479, arXiv.org, revised Jun 2024.
   4. Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2018. "Hyperbolic normal stochastic volatility model," Papers 1809.04035, arXiv.org.
      • Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2019. "Hyperbolic normal stochastic volatility model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 186-204, February.
   5. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021. "A Black-Scholes user's guide to the Bachelier model," Papers 2104.08686, arXiv.org, revised Feb 2022.
   6. Nancy Asare Nyarko & Bhathiya Divelgama & Jagdish Gnawali & Blessing Omotade & Svetlozar Rachev & Peter Yegon, 2023. "Exploring Dynamic Asset Pricing within Bachelier Market Model," Papers 2307.04059, arXiv.org.
   7. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.

4. Teterin, Pavel & Brooks, Robert & Enders, Walter, 2016. "Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 22-36.

   Cited by:

   1. Li, Mingchen & Cheng, Zishu & Lin, Wencan & Wei, Yunjie & Wang, Shouyang, 2023. "What can be learned from the historical trend of crude oil prices? An ensemble approach for crude oil price forecasting," Energy Economics, Elsevier, vol. 123(C).
   2. Kun Ma & Gang Diao, 2017. "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 35(84), pages 260-266, December.
   3. Heckelei, T. & Amrouk, E.M. & Grosche, S., 2018. "International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277376, International Association of Agricultural Economists.
   4. Zhang, Yue-Jun & Yao, Ting & He, Ling-Yun & Ripple, Ronald, 2019. "Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 302-317.
   5. Nicholas Apergis & Umit Bulut & Gulbahar Ucler & Serife Ozsahin, 2021. "The causal linkage between inflation and inflation uncertainty under structural breaks: Evidence from Turkey," Manchester School, University of Manchester, vol. 89(3), pages 259-275, June.
   6. Guo, Ranran & Ye, Wuyi, 2021. "A model of dynamic tail dependence between crude oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
   7. Naeem, Muhammad & Tiwari, Aviral Kumar & Mubashra, Sana & Shahbaz, Muhammad, 2019. "Modeling volatility of precious metals markets by using regime-switching GARCH models," Resources Policy, Elsevier, vol. 64(C).
   8. Aviral Kumar Tiwari & Micheal Kofi Boachie & Tahir Suleman & Rangan Gupta, 2020. "Structure Dependence between Oil and Agricultural Commodities Returns: The Role of Geopolitical Risks," Working Papers 202079, University of Pretoria, Department of Economics.
      • Tiwari, Aviral Kumar & Boachie, Micheal Kofi & Suleman, Muhammed Tahir & Gupta, Rangan, 2021. "Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks," Energy, Elsevier, vol. 219(C).
   9. Saban Nazlioglu & Rangan Gupta & Alper Gormus & Ugur Soytas, 2019. "Price and Volatility Linkages between International REITs and Oil Markets," Working Papers 201954, University of Pretoria, Department of Economics.
      • Nazlioglu, Saban & Gupta, Rangan & Gormus, Alper & Soytas, Ugur, 2020. "Price and volatility linkages between international REITs and oil markets," Energy Economics, Elsevier, vol. 88(C).
   10. Geng, Qianjie & Wang, Yudong, 2024. "Forecasting the volatility of crude oil basis: Univariate models versus multivariate models," Energy, Elsevier, vol. 295(C).
   11. Brooks, Robert & Brooks, Joshua A., 2022. "Samuelson hypothesis and carry arbitrage: U.S. and China," Journal of International Money and Finance, Elsevier, vol. 128(C).
   12. Zhang, Yue-Jun & Zhang, Han, 2023. "Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?," International Review of Financial Analysis, Elsevier, vol. 85(C).
   13. Cheng, Natalie Fang Ling & Hasanov, Akram Shavkatovich & Poon, Wai Ching & Bouri, Elie, 2023. "The US-China trade war and the volatility linkages between energy and agricultural commodities," Energy Economics, Elsevier, vol. 120(C).
   14. Pal, Debdatta & Mitra, Subrata K., 2019. "Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops," Economic Modelling, Elsevier, vol. 82(C), pages 453-466.
   15. Nazlioglu, Saban & Gupta, Rangan & Bouri, Elie, 2020. "Movements in international bond markets: The role of oil prices," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 47-58.
       • Saban Nazlioglu & Rangan Gupta & Elie Bouri, 2019. "Movements in International Bond Markets: The Role of Oil Prices," Working Papers 201935, University of Pretoria, Department of Economics.
   16. Debasish Maitra & Varun Dawar, 2019. "Return and Volatility Spillover among Commodity Futures, Stock Market and Exchange Rate: Evidence from India," Global Business Review, International Management Institute, vol. 20(1), pages 214-237, February.
   17. Clark Lundberg & Tristan Skolrud & Bahram Adrangi & Arjun Chatrath, 2021. "Oil Price Pass through to Agricultural Commodities†," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 721-742, March.
   18. Kun Ma & Gang Diao, 2017. "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(84), pages 260-266, December.
   19. Kun Ma & Gang Diao, 2017. "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 35(84), pages 260-266, December.
   20. Li, Yuze & Jiang, Shangrong & Li, Xuerong & Wang, Shouyang, 2021. "The role of news sentiment in oil futures returns and volatility forecasting: Data-decomposition based deep learning approach," Energy Economics, Elsevier, vol. 95(C).
   21. Hau, Liya & Zhu, Huiming & Huang, Rui & Ma, Xiang, 2020. "Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression," Energy, Elsevier, vol. 213(C).

5. Brooks, Robert & Cline, Brandon N. & Enders, Walter, 2015. "A comparison of the information in the LIBOR and CMT term structures of interest rates," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 239-253.

   Cited by:

   1. Robert Brooks & Brandon N. Cline & Pavel Teterin & Yu You, 2022. "The information in global interest rate futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1135-1166, June.
   2. Mohamed Amine Boutabba & Yves Rannou, 2020. "Investor strategies and Liquidity Premia in the European Green Bond market," Post-Print hal-02544451, HAL.
   3. Yunus, Nafeesa, 2020. "Time-varying linkages among gold, stocks, bonds and real estate," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 165-185.

6. Robert Brooks & Brandon N. Cline & Walter Enders, 2012. "Information in the U.S. Treasury Term Structure of Interest Rates," The Financial Review, Eastern Finance Association, vol. 47(2), pages 247-272, May.

   Cited by:

   1. Robert Brooks & Brandon N. Cline & Pavel Teterin & Yu You, 2022. "The information in global interest rate futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1135-1166, June.
   2. Amit K. Sinha & Philip A. Horvath & Robert C. Scott, 2017. "The real miss-specification in the forward rate premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 463-473, July.
   3. Brooks, Robert & Cline, Brandon N. & Enders, Walter, 2015. "A comparison of the information in the LIBOR and CMT term structures of interest rates," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 239-253.

7. Robert Brooks & Don M. Chance & Brandon Cline, 2012. "Private Information and the Exercise of Executive Stock Options," Financial Management, Financial Management Association International, vol. 41(3), pages 733-764, September.

   Cited by:

   1. Vicky Henderson & Kamil Klad'ivko & Michael Monoyios & Christoph Reisinger, 2017. "Executive stock option exercise with full and partial information on a drift change point," Papers 1709.10141, arXiv.org, revised Jul 2020.
   2. Susana Alvarez-Diez & J. Samuel Baixauli-Soler & Maria Belda-Ruiz, 2016. "Early Exercise Behaviour in Performance-vested Stock Option Grants," Annals of Economics and Finance, Society for AEF, vol. 17(1), pages 55-78, May.
   3. Xudong Fu & James A. Ligon, 2010. "Exercises of Executive Stock Options on the Vesting Date," Financial Management, Financial Management Association International, vol. 39(3), pages 1097-1126, September.
   4. Bradley, Daniel & Cline, Brandon N. & Lian, Qin, 2014. "Class action lawsuits and executive stock option exercise," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 157-172.
   5. Tristan Boyd & Philip Brown & Alex Szimayer, 2007. "What determines early exercise of employee stock options in Australia?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(2), pages 165-185, June.
   6. Peter Cziraki & Prof. Dr. Luc Renneboog & Peter de Goeij, 2010. "Insider Trading, Option Exercises and Private Benefits of Control," CERS-IE WORKING PAPERS 1006, Institute of Economics, Centre for Economic and Regional Studies.
   7. Abudy, Menachem (Meni) & Benninga, Simon, 2016. "Valuing restricted stock grants to non-executive employees," Journal of Economics and Business, Elsevier, vol. 86(C), pages 33-51.
   8. Heron, Randall A. & Lie, Erik, 2007. "Does backdating explain the stock price pattern around executive stock option grants?," Journal of Financial Economics, Elsevier, vol. 83(2), pages 271-295, February.
   9. Cline, Brandon N. & Posylnaya, Valeriya V., 2019. "Illegal insider trading: Commission and SEC detection," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 247-269.
   10. Olaf Korn & Clemens Paschke & Marliese Uhrig-Homburg, 2012. "Robust stock option plans," Review of Quantitative Finance and Accounting, Springer, vol. 39(1), pages 77-103, July.
   11. Kyungwon Kim & Jae Wook Song, 2020. "Detecting Possible Reduction of the Housing Bubble in Korea for Different Residential Types and Regions," Sustainability, MDPI, vol. 12(3), pages 1-31, February.
   12. Cziraki, P. & de Goeij, P. C. & Renneboog, L.D.R., 2010. "Insider Trading, Option Exercises and Private Benefits of Control (Revision of DP 2010-32)," Other publications TiSEM d77eb862-1191-40d2-b2e6-f, Tilburg University, School of Economics and Management.
       • Cziraki, P. & de Goeij, P. C. & Renneboog, L.D.R., 2010. "Insider Trading, Option Exercises and Private Benefits of Control (Revision of DP 2010-32)," Discussion Paper 2010-90, Tilburg University, Center for Economic Research.
   13. Wang, Han & Wu, Xingyi & Wu, Di & Nie, Xin, 2019. "Will land development time restriction reduce land price? The perspective of American call options," Land Use Policy, Elsevier, vol. 83(C), pages 75-83.
   14. Jain, Pawan & Jiang, Christine & Mekhaimer, Mohamed, 2016. "Executives' horizon, internal governance and stock market liquidity," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 1-23.
   15. David B Colwell & David Feldman & Wei Hu & Monique Pontier, 2023. "Information, Insider Trading, Executive Reload Stock Options, Incentives, and Regulation," Working Papers hal-04116818, HAL.
   16. Gao, Lei & Jiang, Christine X. & Mekhaimer, Mohamed, 2023. "Count on subordinate executives: Internal governance and innovation," Journal of Banking & Finance, Elsevier, vol. 154(C).
   17. Brockman, Paul & Martin, Xiumin & Puckett, Andy, 2010. "Voluntary disclosures and the exercise of CEO stock options," Journal of Corporate Finance, Elsevier, vol. 16(1), pages 120-136, February.
   18. Chin-Chen Chien & Cheng-Few Lee & She Chih Chiu, 2016. "Does Corporate Governance Curb Managers’ Opportunistic Behavior of Exploiting Inside Information for Early Exercise of Executive Stock Options?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-22, March.
   19. Tung-Hsiao Yang & Don M. Chance, 2014. "The Price-Taker Effect On The Valuation Of Executive Stock Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 37(1), pages 27-54, February.

8. Bhargava, Vivek & Brooks, Robert, 2002. "Exploration of the role of expectations in foreign exchange risk management," Journal of Multinational Financial Management, Elsevier, vol. 12(2), pages 171-189, April.

   Cited by:

   1. Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016. "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper 74386, University Library of Munich, Germany.

9. Brooks, Robert, 1999. "Municipal bonds: a contingent claims perspective," Financial Services Review, Elsevier, vol. 8(2), pages 71-85.

   Cited by:

   1. Tima T. Moldogaziev & Martin J. Luby, 2012. "State and Local Government Bond Refinancing and the Factors Associated with the Refunding Decision," Public Finance Review, , vol. 40(5), pages 614-642, September.

10. Brooks, Robert, 1996. "Computing yields on enhanced CDs," Financial Services Review, Elsevier, vol. 5(1), pages 31-42.

    Cited by:

    1. Gao, Feng & Xi He, Alex & He, Ping, 2018. "A theory of intermediated investment with hyperbolic discounting investors," Journal of Economic Theory, Elsevier, vol. 177(C), pages 70-100.

11. Brooks, Robert & Kroll, Yoram, 1995. "The Impact of Sampling Errors on the Choice of Portfolio Efficiency Analysis Rules with Borrowing and Lending of a Riskless Asset," The Financial Review, Eastern Finance Association, vol. 30(4), pages 663-683, November.

    Cited by:

    1. Roger Best & Ronald Best & James Yoder, 2000. "Value stocks and market efficiency," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(1), pages 28-35, March.

12. Kim, Myung-Jig & Oh, Young-Ho & Brooks, Robert, 1994. "Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(4), pages 609-631, December.

    Cited by:

    1. J.W. Nieuwenhuis & M.H. Vellekoop, 2004. "Weak convergence of tree methods, to price options on defaultable assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 87-107, December.
    2. Peter Fortune, 1998. "Weekends can be rough: revisiting the weekend effect in stock prices," Working Papers 98-6, Federal Reserve Bank of Boston.
    3. Sanghoon Lee, 2004. "Approximation of A Jump-Diffusion Process," Econometric Society 2004 Far Eastern Meetings 412, Econometric Society.
    4. Mandeep S. Chahal & Jun Wang, 1997. "Jump Diffusion Processes and Emerging Bond and Stock Markets: An Investigation Using Daily Data," Multinational Finance Journal, Multinational Finance Journal, vol. 1(3), pages 169-197, September.
    5. Chang, Kook-Hyun & Kim, Myung-Jig, 2001. "Jumps and time-varying correlations in daily foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 611-637, October.
    6. Yin Liao & Heather Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps," ANU Working Papers in Economics and Econometrics 2010-520, Australian National University, College of Business and Economics, School of Economics.
       • Yin Liao & Heather M. Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps," Monash Econometrics and Business Statistics Working Papers 11/10, Monash University, Department of Econometrics and Business Statistics.
    7. Srivastava, Pranjal & Jacob, Joshy, 2022. "Arbitrage constraints and behaviour of volatility components: Evidence from a natural experiment," IIMA Working Papers WP 2022-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    8. Marcel Prokopczuk & Yingying Wu, 2013. "Estimating term structure models with the Kalman filter," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 4, pages 97-113, Edward Elgar Publishing.
    9. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    10. Chen, Ke & Vitiello, Luiz & Hyde, Stuart & Poon, Ser-Huang, 2018. "The reality of stock market jumps diversification," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 171-188.
    11. Consigli, Giorgio, 2002. "Tail estimation and mean-VaR portfolio selection in markets subject to financial instability," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1355-1382, July.
    12. Piccotti, Louis R., 2018. "Jumps, cojumps, and efficiency in the spot foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 49-67.
    13. Eric Jacquier & Cedric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers 2013s-14, CIRANO.
    14. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
        • Danielsson, Jon & Zigrand, Jean-Pierre, 2003. "On time-scaling of risk and the square–root–of–time rule," LSE Research Online Documents on Economics 24827, London School of Economics and Political Science, LSE Library.
        • Jean-Pierre Zigrand & Jon Danielsson, 2003. "On time-scaling of risk and the square–root–of–time rule," FMG Discussion Papers dp439, Financial Markets Group.
    15. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, September.
    16. Marcel Prokopczuk, 2011. "Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 34(2), pages 141-168, November.
    17. Tunaru, Radu & Zheng, Teng, 2017. "Parameter estimation risk in asset pricing and risk management: A Bayesian approach," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 80-93.
    18. Peter Fortune, 1999. "Are stock returns different over weekends? a jump diffusion analysis of the \"weekend effect\"," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 3-19.
    19. Chilarescu, Constantin & Viasu, Iana Luciana, 2011. "Phénomènes financiers et mélange de lois : Une nouvelle méthode d’estimation des paramètres," MPRA Paper 33909, University Library of Munich, Germany.

13. Robert Brooks, 1991. "Analyzing portfolios with derivative assets: A stochastic dominance approach using numerical integration," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(4), pages 411-440, August.

    Cited by:

    1. Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016. "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper 74386, University Library of Munich, Germany.
    2. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    3. Bhargava, Vivek & Brooks, Robert, 2002. "Exploration of the role of expectations in foreign exchange risk management," Journal of Multinational Financial Management, Elsevier, vol. 12(2), pages 171-189, April.

14. Brooks, Robert & Helms, Billy, 1990. "An N-Stage, Fractional Period, Quarterly Dividend Discount Model," The Financial Review, Eastern Finance Association, vol. 25(4), pages 651-657, November.

    Cited by:

    1. Guglielmo D'Amico & Riccardo De Blasis, 2020. "A review of the Dividend Discount Model: from deterministic to stochastic models," Papers 2001.00465, arXiv.org.
    2. Guglielmo D'Amico, 2016. "Generalized semi-Markovian dividend discount model: risk and return," Papers 1605.02472, arXiv.org.
    3. Foerster, Stephen R. & Sapp, Stephen G., 2011. "Back to fundamentals: The role of expected cash flows in equity valuation," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 320-343.
    4. D'Amico, Guglielmo & De Blasis, Riccardo, 2024. "Dividend based risk measures: A Markov chain approach," Applied Mathematics and Computation, Elsevier, vol. 471(C).
    5. Mark Kamstra, 2003. "Pricing firms on the basis of fundamentals," Economic Review, Federal Reserve Bank of Atlanta, vol. 88(Q1), pages 49-70.
    6. Vlad Stefan Barbu & Guglielmo D’Amico & Riccardo Blasis, 2017. "Novel advancements in the Markov chain stock model: analysis and inference," Annals of Finance, Springer, vol. 13(2), pages 125-152, May.
    7. Guglielmo D’Amico, 2013. "A semi-Markov approach to the stock valuation problem," Annals of Finance, Springer, vol. 9(4), pages 589-610, November.

15. Brooks, Robert, 1989. "Investment Decision Making with Derivative Securities," The Financial Review, Eastern Finance Association, vol. 24(4), pages 511-527, November.

    Cited by:

    1. Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016. "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper 74386, University Library of Munich, Germany.
    2. Bhargava, Vivek & Brooks, Robert, 2002. "Exploration of the role of expectations in foreign exchange risk management," Journal of Multinational Financial Management, Elsevier, vol. 12(2), pages 171-189, April.

16. Robert Brooks & Haim Levy & Miles Livingston, 1989. "The Coupon Effect On Term Premiums," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(1), pages 15-21, March.

    Cited by:

    1. Domian, Dale L. & Reichenstein, William, 1998. "Term Spreads and Predictions of Bond and Stock Excess Returns," Financial Services Review, Elsevier, vol. 7(1), pages 25-44.

17. Levy, Haim & Brooks, Robert, 1989. "An empirical analysis of term premiums using stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 13(2), pages 245-260, May.

    Cited by:

    1. Fisher, Gordon & Willson, Douglas & Xu, Kuan, 1998. "An empirical analysis of term premiums using significance tests for stochastic dominance," Economics Letters, Elsevier, vol. 60(2), pages 195-203, August.
    2. Halkos, George E. & Papadamou, Stephanos T., 2006. "An investigation of bond term premia in international government bond indices," Research in International Business and Finance, Elsevier, vol. 20(1), pages 45-61, March.

18. Robert Brooks, 1989. "Investment decision making with index futures and index futures options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(2), pages 143-162, April.

    Cited by:

    1. Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016. "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper 74386, University Library of Munich, Germany.

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