Professor Chris Brooks

Professor in Finance

Professor Chris Brooks

Professor Chris Brooks

Deputy Head of School
ICMA Centre, Whiteknights Campus
+44 (0)118 378 8239


Chris Brooks is Professor of Finance, Deputy Head of School and Director of Research at the ICMA Centre. He was formerly Professor of Finance at the Cass Business School, London. He holds a PhD and a BA in Economics and Econometrics, both from the University of Reading. His areas of research interest include asset pricing, fund management, behavioural finance, financial history, and econometric analysis and modelling in finance and real estate. He has published widely in these areas, and has over a hundred articles in leading academic and practitioner journals including the Journal of BusinessEconomic JournalFinancial Analysts JournalJournal of Banking and Finance, and Journal of Empirical Finance. Chris is Associate Editor of several journals, including the JBFA, the International Journal of Forecasting and the British Accounting Review. He was a member of the RAE2008 Accounting and Finance sub-panel and is a member of the REF2014 Business and Management sub-panel. Chris acts as consultant for various banks, corporations and professional bodies in the fields of finance, real estate, and econometrics.

He is Course Convenor of the Securities, Futures and Options, and Introductory Finance modules and also teaches on the PhD programme.

Chris is probably best known as author of the first introductory econometrics textbook targeted at finance students, “Introductory Econometrics for Finance (2014, Cambridge University Press), which is now in its third edition and has now sold over 50,000 copies worldwide.


Financial Econometrics, Investment Management, Asset Pricing, Historical Finance


Brooks, C. (2014) Introductory econometrics for finance. 3rd edition. Cambridge University Press, Cambridge, pp740. ISBN 9781107661455

Bell, A.Brooks, C. and Moore, T. (2013) Medieval foreign exchange: a time series analysis. In: Casson, M. andHashimzade, N. (eds.) Large Databases in Economic History: Research Methods and Case Studies. Routledge Explorations in Economic History. Routledge, Abingdon, pp. 97-123. ISBN 9780415820684

Bell, A.Brooks, C. and Prokopczuk, M., eds. (2013) Handbook of research methods and applications in empirical finance.Edward Elgar, Cheltenham, pp512. ISBN 9780857936080

Brooks, C. and Tsolacos, S. (2010) Real estate modelling and forecasting. Cambridge University Press, Cambridge, pp474. ISBN 9780521873390

Bell, A.Brooks, C. and Moore, A. (2009) Accounts of the English Crown with Italian merchant societies, 1272-1345.Standard List, 331. The List and Index Society, Kew, pp306. ISBN 9781906875183

Brooks, C. (2008) RATS handbook to accompany introductory econometrics for finance. Cambridge University Press, pp213. ISBN 9780521721684

Brooks, C. (2008) Introductory econometrics for finance. 2nd edition. Cambridge University Press. ISBN 9780521694681

Bell, A. R.Brooks, C. and Dryburgh, P. R. (2007) The English wool market, c.1230-1327. Cambridge University Press, Cambridge, pp214. ISBN 9780521859417

Bell, A.Brooks, C. and Dryburgh, P. R. (2006) Advance contracts for sale of wool c.1200-c.1327. List and Index Society, 315. List and Index Society, Kew, pp244.

Bell, A.Brooks, C. and Moore, T. (2013) Medieval foreign exchange: a time series analysis. In: Casson, M. andHashimzade, N. (eds.) Large Databases in Economic History: Research Methods and Case Studies. Routledge Explorations in Economic History. Routledge, Abingdon, pp. 97-123. ISBN 9780415820684

Bell, A. R.Brooks, C. and Moore, T. K. (2011) Credit finance in thirteenth-century England: the Ricciardi of Lucca and Edward I, 1272-1294. In: Burton, J., Lachaud, F., Schofield, P., Stöber, K. and Weiler, B. (eds.) Thirteenth-century England XIII: proceedings of the Paris conference, 2009. Thirteenth-century England (13). Boydell and Brewer, Woodbridge, pp. 101-116. ISBN 9781843836186

Anderson, K., Brooks, C. and Katsaris, A. (2011) The transmission of speculative bubbles between sectors of the S&P 500 during the tech bubble. In: Kolb, R. W. (ed.) Financial contagion: the viral threat to the wealth of nations. Kolb series in finance: essential perspectives. Wiley, Hoboken, New Jersey, pp. 335-342. ISBN 9780470922385

Brooks, C. (2006) Multivariate stochastic volatility model. In: Mills, T. C. and Patterson, K. (eds.) Palgrave handbook of econometrics: econometric theory. Palgrave MacMillan, pp. 765-783. ISBN 9781403941558


Oikonomou, I.Brooks, C. and Pavelin, S. (2014) The financial effects of uniform and mixed corporate social performance. Journal of Management Studies, 51 (6). pp. 898-925. ISSN 1467-6486 doi: 10.1111/joms.12064

Anderson, K. and Brooks, C. (2014) Speculative bubbles and the cross-sectional variation in stock returns.International Review of Financial Analysis, 35. pp. 20-31. ISSN 1057-5219 doi: 10.1016/j.irfa.2014.07.004

Brooks, C.Fenton, E. M. and Walker, J. T. (2014) Gender and the evaluation of research. Research Policy, 43 (6). pp. 990-1001. ISSN 0048-7333 doi: 10.1016/j.respol.2013.12.005

Agathee, U. S., Sannassee, R. V. and Brooks, C. (2014) The long-run performance of IPOs: the case of the Stock Exchange of Mauritius. Applied Financial Economics, 24 (17). pp. 1123-1145. ISSN 0960-3107 doi:10.1080/09603107.2014.924294

Shang, Z., Brooks, C. and McCloy, R. (2014) Are investors guided by the news disclosed by companies or by journalists? Journal of behavioral and experimental finance, 1. pp. 45-60. ISSN 2214-6350 doi:10.1016/j.jbef.2014.01.003

Perlin, M., Brooks, C. and Dufour, A. (2014) On the performance of the tick test. Quarterly Review of Economics and Finance, 54 (1). pp. 42-50. ISSN 1062-9769 doi: 10.1016/j.qref.2013.07.009

Bell, A. R.Brooks, C. and Moore, T. K. (2014) The credit relationship between Henry III and merchants of Douai and Ypres, 1247-70. Economic History Review, 67 (1). pp. 123-145. ISSN 1468-0289 doi: 10.1111/1468-0289.12013

Oikonomou, I.Brooks, C. and Pavelin, S. (2014) The effects of corporate social performance on the cost of corporate debt and credit ratings. Financial Review, 49 (1). pp. 49-75. ISSN 1540-6288 doi: 10.1111/fire.12025

Shang, Z., Brooks, C. and McCloy, R. (2014) Does more detailed information mean better performance? An experiment in information explicitness. Review of Behavioural Finance, 6 (2). pp. 86-103. ISSN 1940-5979 doi: 10.1108/RBF-10-2013-0036

Miffre, J. and Brooks, C. (2013) Do long-short speculators destabilize commodity futures markets? International Review of Financial Analysis, 30. pp. 230-240. ISSN 1057-5219 doi: 10.1016/j.irfa.2013.09.002

Miffre, J., Brooks, C. and Li, X. (2013) Idiosyncratic volatility and the pricing of poorly-diversified portfolios.International Review of Financial Analysis, 30. pp. 78-85. ISSN 1057-5219 doi: 10.1016/j.irfa.2013.05.007

Nneji, O.Brooks, C. and Ward, C. (2013) Commercial real estate and equity market bubbles: are they contagious to REITs? Urban Studies, 50 (12). pp. 2496-2516. ISSN 1360-063X doi: 10.1177/0042098013477700

Brooks, C.Kappou, K. Stevenson, S. and Ward, C. (2013) The performance effects of composition changes on sector specific stock indices: The case of European listed real estate. International Review of Financial Analysis, 29. pp. 132-142. ISSN 1057-5219 doi: 10.1016/j.irfa.2013.04.002

Nneji, O.Brooks, C. and Ward, C. W.R. (2013) House price dynamics and their reaction to macroeconomic changes.Economic Modelling, 32. pp. 172-178. ISSN 0264-9993 doi: 10.1016/j.econmod.2013.02.007

Brooks, C. and Prokopczuk, M. (2013) The dynamics of commodity prices. Quantitative Finance, 13 (4). pp. 527-542. ISSN 1469-7696 doi: 10.1080/14697688.2013.769689

Bell, A.Brooks, C. and Markham, T. (2013) The performance of football club managers: skill or luck? Economics & Finance Research , 1 (1). pp. 19-30. ISSN 2164-9480 doi: 10.1080/21649480.2013.768829

Brooks, C.Prokopczuk, M. and Wu, Y. (2013) Commodity futures prices: more evidence on forecast power, risk premia and the theory of storage. The Quarterly Review of Economics and Finance, 53 (1). pp. 73-85. ISSN 1062-9769 doi: 10.1016/j.qref.2013.01.003

Bell, A.Brooks, C. and Markham, T. (2013) Does managerial turnover affect football club share prices? Aestimatio, the IEB International Journal of Finance, 7. 02-21. ISSN 2173-0164

Nneji, O.Brooks, C. and Ward, C. (2013) Intrinsic and rational speculative bubbles in the U.S. housing market 1960-2011. Journal of Real Estate Research, 35 (2). pp. 121-151. ISSN 0896-5803

Symeonidis, L., Prokopczuk, M.Brooks, C. and Lazar, E. (2012) Futures basis, inventory and commodity price volatility: an empirical analysis. Economic Modelling, 29 (6). pp. 2651-2663. ISSN 0264-9993 doi:10.1016/j.econmod.2012.07.016 (

Subadar Agathee, U., Brooks, C. and Sannassee, R. V. (2012) Hot and cold IPO markets : the case of the stock exchange of Mauritius. Journal of Multinational Financial Management, 22 (4). pp. 168-192. ISSN 1042-444X doi:10.1016/j.mulfin.2012.06.004

Brooks, C., Cerny, A. and Miffre, J. (2012) Optimal hedging with higher moments. Journal of Futures Markets, 32 (10). pp. 909-944. ISSN 1096-9934 doi: 10.1002/fut.20542

Oikonomou, I.Brooks, C. and Pavelin, S. (2012) The impact of corporate social performance on financial risk and utility: a longitudinal analysis. Financial Management, 41 (2). pp. 483-515. ISSN 1755-053X doi: 10.1111/j.1755-053X.2012.01190.x

Agathee, U. S., Sannassee, R. V. and Brooks, C. (2012) The underpricing of IPOs on the stock exchange of Mauritius.Research in International Business and Finance, 26. pp. 281-303. ISSN 0275-5319 doi: 10.1016/j.ribaf.2012.01.001

Anderson, K., Brooks, C. and Tsolacos, S. (2011) Testing for periodically collapsing rational speculative bubbles in US REITs. Journal of Real Estate Portfolio Management, 17 (3). pp. 227-241. ISSN 1083-5547

Bell, A. R.Brooks, C., Matthews, D. and Sutcliffe, C. (2011) Over the moon or sick as a parrot? The effects of football results on a club’s share price. Applied Economics, 44 (26). pp. 3435-3452. ISSN 1466-4283 doi:10.1080/00036846.2011.577017

Kappou, K.Brooks, C. and Ward, C. (2010) The S&P500 index effect reconsidered: evidence from overnight and intraday stock price performance and volume. Journal of Banking & Finance, 34 (1). pp. 116-126. ISSN 0378-4266 doi:10.1016/j.jbankfin.2009.07.008

Anderson, K., Brooks, C. and Katsaris, A. (2010) Speculative bubbles in the S&P 500: was the tech bubble confined to the tech sector? Journal of Empirical Finance, 17 (3). pp. 345-361. ISSN 0927-5398 doi:10.1016/j.jempfin.2009.12.004

Ashton, D., Beattie, V., Broadbent, J., Brooks, C., Draper, P., Ezzamel, M., Gwilliam, D., Hodgkinson, R., Hoskin, K.,Pope, P. and Stark, A. (2009) British research in accounting and finance (2001–2007): the 2008 research assessment exercise. The British Accounting Review, 41 (4). pp. 199-207. ISSN 0890-8389 doi: 10.1016/

Bell, A. R.Brooks, C. and Moore, T. K. (2009) Interest in Medieval accounts: examples from England, 1272-1340.History, 94 (316). pp. 411-433. ISSN 1468-229X doi: 10.1111/j.1468-229X.2009.00464.x

Brammer, S., Brooks, C. and Pavelin, S. (2009) The stock performance of America’s 100 best corporate citizens. The Quarterly Review of Economics and Finance, 49 (3). pp. 1065-1080. ISSN 1062-9769 doi: 10.1016/j.qref.2009.04.001

Li, X., Brooks, C. and Miffre, J. (2009) Low-cost momentum strategies. Journal of Asset Management, 9 (6). pp. 366-379. ISSN 1470-8272 doi: 10.1057/jam.2008.28

Li, X., Brooks, C. and Miffre, J. (2009) The value premium and time-varying volatility. Journal of Business Finance and Accounting, 36 (9-10). pp. 1252-1272. ISSN 1468-5957 doi: 10.1111/j.1468-5957.2009.02163.x

Brooks, C. and Tsolacos, S. (2008) Integration of international office markets and signal extraction. Journal of Real Estate Portfolio Management, 14 (3). pp. 351-362. ISSN 1083-5547

Kappou, K.Brooks, C. and Ward, C. (2008) A re-examination of the index effect: gambling on additions to and deletions from the S&P 500’s ‘gold seal’. Research in International Business and Finance, 22 (3). pp. 325-350. ISSN 0275-5319 doi: 10.1016/j.ribaf.2007.12.001

Li, X., Miffre, J., Brooks, C. and O’Sullivan, N. (2008) Momentum profits and time-varying unsystematic risk. Journal of Banking & Finance, 32 (4). pp. 541-558. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2007.03.014

Bell, A. R.Brooks, C. and Dryburgh, P. R. (2007) Interest rates and efficiency in medieval wool forward contracts.Journal of Banking & Finance, 31 (2). pp. 361-380. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2006.04.006

Brooks, C., Davies, R. J. and Kim, S. S. (2007) Cross hedging with single stock futures. Assurances et gestion des risques, 74 (4). pp. 473-504. ISSN 1705-7299

Anderson, K. and Brooks, C. (2007) Extreme returns from extreme value stocks: enhancing the value premium. The Journal of Investing, 16 (1). pp. 69-81. ISSN 1068-0896 doi: 10.3905/joi.2007.681825

Brammer, S., Brooks, C. and Pavelin, S. (2006) Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management, 35 (3). pp. 97-116. ISSN 1755-053X doi: 10.1111/j.1755-053X.2006.tb00149.x

Bell, A. R.Brooks, C. and Dryburgh, P. R. (2006) ‘Leger est aprendre mes fort est arendre’: wool, debt, and the dispersal of Pipewell Abbey (1280-1330). Journal of Medieval History, 32 (3). pp. 187-211. ISSN 0304-4181 doi:10.1016/j.jmedhist.2006.07.001

Brooks, C. and Hinich, M. J. (2006) Detecting intraday periodicities with application to high frequency exchange rates.Journal of the Royal Statistical Society: Series C (Applied Statistics), 55 (2). pp. 241-259. ISSN 1467-9876 doi:10.1111/j.1467-9876.2006.00534.x

Anderson, K. and Brooks, C. (2006) The long-term price-earnings ratio. Journal of Business Finance and Accounting, 33 (7-8). pp. 1063-1086. ISSN 1468-5957 doi: 10.1111/j.1468-5957.2006.00621.x

Brooks, C. and Katsaris, A. (2005) A three-regime model of speculative behaviour: modelling the evolution of the S&P 500 composite index. The Economic Journal, 115 (505). pp. 767-797. ISSN 1468-0297 doi: 10.1111/j.1468-0297.2005.01019.x

Shields, K., Olekalns, N., Henry, Ó. T. and Brooks, C. (2005) Measuring the response of macroeconomic uncertainty to shocks. Review of Economics and Statistics, 87 (2). pp. 362-370. ISSN 1530-9142 doi: 10.1162/0034653053970276

Brooks, C., 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:10.1016/j.jempfin.2004.01.004

Brooks, C.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: 10.1093/jjfinec/nbi018

Brooks, C. and Katsaris, A. (2005) Trading rules from forecasting the collapse of speculative bubbles for the S&P 500 composite index. Journal of Business, 78 (5). pp. 2003-2036. ISSN 0740-9168

Bell, A. R.Brooks, C. and Dryburgh, P. (2004) Modern finance in the Middle Ages? Advance contracts with Cistercian abbeys for the supply of wool c. 1270-1330: a summary of findings. Cîteaux: Commentarii cistercienses, 55 (3-4). pp. 339-343. ISSN 0009-7497

Brooks, C. and Katsaris, A. (2003) Rational speculative bubbles: an empirical investigation of the London Stock Exchange. Bulletin of Economic Research, 55 (4). pp. 319-346. ISSN 1467-8586 doi: 10.1111/1467-8586.00179

Brooks, C. and Persand, G. (2003) Volatility forecasting for risk management. Journal of Forecasting, 22 (1). pp. 1-22. ISSN 1099-131X doi: 10.1002/for.841

Brooks, C. and Karsaris, A. (2003) Has the UK equity bubble burst completely? Professional Investor. pp. 28-29.

Brooks, C. and Tsolacos, S. (2003) International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks. Journal of Property Research, 20 (2). pp. 133-155. ISSN 1466-4453 doi: 10.1080/0959991032000109517

Brooks, C. 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: 10.1108/eb022959

Brooks, C. and Burke, S. (2002) Selecting from amongst non–nested conditional variance models: information criteria and portfolio determination. The Manchester School, 70 (6). pp. 747-767. ISSN 1467-9957 doi: 10.1111/1467-9957.00323

Brooks, C. and Rew, A. (2002) Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors. Computational Economics, 20 (3). pp. 151-176. ISSN 1572-9974 doi: 10.1023/A:1020945428824

Brooks, C. and Henry, O.T. (2002) The impact of news on measures of undiversifiable risk: evidence from the UK stock market. Oxford Bulletin of Economics and Statistics, 64 (5). pp. 487-507. ISSN 1468-0084 doi: 10.1111/1468-0084.00274

Brooks, C., 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: 10.1111/1467-9957.00319

Brooks, C. and Rew, A. (2002) Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates. Economic Modelling, 19 (1). pp. 65-90. ISSN 0264-9993 doi:10.1016/S0264-9993(00)00061-4

Brooks, C. and Garrett, I. (2002) Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets? Applied Financial Economics, 12 (1). pp. 25-31. ISSN 1466-4305 doi: 10.1080/09603100110087996

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

Brooks, C. and Oozeer, M.C. (2002) Modelling the implied volatility of options on long gilt futures. Journal of Business Finance and Accounting, 29 (1-2). pp. 111-137. ISSN 1468-5957 doi: 10.1111/1468-5957.00426

Brooks, C. and Kataris, A. (2002) Speculative bubbles in asset prices: hot topic or hot air? Banking 2020, 1. pp. 52-54.

Brooks, C., 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., 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: 10.1108/eb043485

Brooks, C. and Revéiz, A. (2002) A model for exchange rates with crawling bands: an application to the Colombian peso. Journal of Economics and Business, 54 (5). pp. 483-503. ISSN 0148-6195 doi: 10.1016/S0148-6195(02)00103-0

Brooks, C. and Kat, H.M. (2002) The statistical properties of hedge fund index returns and their implications for investors. The Journal of Alternative Investments, 5 (2). pp. 26-44. ISSN 1520-3255 doi: 10.3905/jai.2002.319053

Brooks, C.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: 10.1016/S0169-2070(00)00070-4

Brooks, C. and Hinich, M. J. (2001) Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting. Journal of Forecasting, 20 (3). pp. 181-196. ISSN 1099-131X doi: 10.1002/1099-131X(200104)20:3<181::AID-FOR781>3.0.CO;2-R

Brooks, C., Chow, W. and Ward, C. (2001) Can profitable trading strategies be derived from investment best-sellers?Journal of Asset Management, 2 (2). pp. 162-179. ISSN 1470-8272 doi: 10.1057/palgrave.jam.2240042

Brooks, C. (2001) A Double-threshold GARCH Model for the French Franc/Deutschmark exchange rate. Journal of Forecasting, 20 (2). pp. 135-143. ISSN 1099-131X doi: 10.1002/1099-131X(200103)20:2<135::AID-FOR780>3.0.CO;2-R

Brooks, C. and Tsolacos, S. (2001) Forecasting real estate returns using financial spreads. Journal of Property Research, 18 (3). pp. 235-248. ISSN 1466-4453 doi: 10.1080/09599910110060037

Brooks, C. and Tsolacos, S. (2001) Linkages between property asset returns and interest rates: evidence for the UK.Applied Economics, 33 (6). pp. 711-719. ISSN 1466-4283 doi: 10.1080/00036840122812

Brooks, C. 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: 10.1080/13504850150504504

Brooks, C., Katsaris, A., McGough, T. and Tsolacos, S. (2001) Testing for bubbles in indirect property price cycles.Journal of Property Research, 18 (4). pp. 341-356. ISSN 1466-4453 doi: 10.1080/09599910110079640

Brooks, C. and Chong, J. (2001) The cross-currency hedging performance of implied versus statistical forecasting models. Journal of Futures Markets, 21 (11). pp. 1043-1069. ISSN 1096-9934 doi: 10.1002/fut.2104

Brooks, C. 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: 10.1016/S0169-2070(00)00060-1

Brooks, C., Rew, A. G. and Ritson, S. (2001) A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100. International Journal of Forecasting, 17 (1). pp. 31-44. ISSN 0169-2070 doi: 10.1016/S0169-2070(00)00062-5

Brooks, C. and Henry, Ó. T. (2000) Can portmanteau nonlinearity tests serve as general mis-specification tests?Economics Letters, 67 (3). pp. 245-251. ISSN 0165-1765 doi: 10.1016/S0165-1765(00)00212-3

Brooks, C. and Tsolacos, S. (2000) Does orthogonalization really purge equity based property valuations of their general stock market influences? Applied Economics Letters, 7 (5). pp. 305-309. ISSN 1466-4291 doi:10.1080/135048500351447

Brooks, C. and Tsolacos, S. (2000) Forecasting models of retail rents. Environment and Planning A, 32 (10). pp. 1825-1839. ISSN 0308-518X doi: 10.1068/a3332

Brooks, C. and Henry, Ó. T. (2000) Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia. Economic Modelling, 17 (4). pp. 497-513. ISSN 0264-9993 doi: 10.1016/S0264-9993(99)00035-8

Brooks, C. and Skinner, F. (2000) What will be the risk-free rate and benchmark yield curve following European monetary union? Applied Financial Economics, 10 (1). pp. 59-69. ISSN 0960-3107 doi: 10.1080/096031000331932

Brooks, C.Tsolacos, S. and Lee, S. (2000) The cyclical relations between traded property stock prices and aggregate time-series. Journal of Property Investment & Finance, 18 (6). pp. 540-564. ISSN 1463-578X doi:10.1108/14635780010357532

Brooks, C., 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: 10.1016/S0378-4266(99)00092-8

Brooks, C. and Hinich, M. J. (1999) Cross-correlations and cross-bicorrelations in Sterling exchange rates. Journal of Empirical Finance, 6 (4). pp. 385-404. ISSN 0927-5398 doi: 10.1016/S0927-5398(99)00007-9

Brooks, C. (1999) Portmanteau model diagnostics and tests for nonlinearity: a comparative Monte Carlo study of two alternative methods. Computational Economics, 13 (3). pp. 249-263. ISSN 1572-9974 doi:10.1023/A:1008666700953

Ap Gwilym, O., Brooks, C., Clare, A. and Thomas, S. (1999) Tests of non-linearity using LIFFE futures transactions price data. The Manchester School, 67 (2). pp. 167-186. ISSN 1467-9957 doi: 10.1111/1467-9957.00140

Maitland-Smith, J. K. and Brooks, C. (1999) Threshold autoregressive and Markov switching models: an application to commercial real estate. Journal of Property Research, 16 (1). pp. 1-19. ISSN 1466-4453 doi:10.1080/095999199368238

Brooks, C., Garrett, I. and Hinich, M. J. (1999) An alternative approach to investigating lead-lag relationships between stock and stock index futures markets. Applied Financial Economics, 9 (6). pp. 605-613. ISSN 0960-3107 doi:10.1080/096031099332050

Brooks, C. and Heravi, S. M. (1999) The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test. Computational Economics, 13 (2). pp. 147-162. ISSN 1572-9974 doi: 10.1023/A:1008612905284

Brooks, C. and Tsolacos, S. (1999) The impact of economic and financial factors on UK property performance. Journal of Property Research, 16 (2). pp. 139-152. ISSN 1466-4453 doi: 10.1080/095999199368193

Brooks, C. (1998) Chaos in foreign exchange markets: a sceptical view. Computational Economics, 11 (3). pp. 265-281. ISSN 1572-9974 doi: 10.1023/A:1008650024944

Brooks, C. and Hinich, M. J. (1998) Episodic nonstationarity in exchange rates. Applied Economics Letters, 5 (11). pp. 719-722. ISSN 1466-4291 doi: 10.1080/135048598354203

Brooks, C. and Burke, S. (1998) Forecasting exchange rate volatility using conditional variance models selected by information criteria. Economics Letters, 61 (3). pp. 273-278. ISSN 0165-1765 doi: 10.1016/S0165-1765(98)00178-5

Brooks, C. (1998) Predicting stock index volatility: can market volume help? Journal of Forecasting, 17 (1). pp. 59-80. ISSN 1099-131X doi: 10.1002/(SICI)1099-131X(199801)17:1<59::AID-FOR676>3.0.CO;2-H

Brooks, C. (1997) GARCH modelling in finance: a review of the software options. The Economic Journal, 107 (443). pp. 1271-1276. ISSN 1468-0297

Brooks, C. (1997) Linear and non-linear (non-)forecastability of high-frequency exchange rates. Journal of Forecasting, 16 (2). pp. 125-145. ISSN 1099-131X doi: 10.1002/(SICI)1099-131X(199703)16:2<125::AID-FOR648>3.0.CO;2-T

Brooks, C. (1996) Testing for non-linearity in daily sterling exchange rates. Applied Financial Economics, 6 (4). pp. 307-317. ISSN 0960-3107 doi: 10.1080/096031096334105

Brooks, C. (1995) A measure of persistence in daily pound exchange rates. Applied Economics Letters, 2 (11). pp. 428-431. ISSN 1466-4291 doi: 10.1080/135048595356998


Land Prices and Rents in Medieval England c. 1200-1550

The University of Reading has recently won a research project grant (ref. RPG-2014-307) worth almost £200,000 from the Leverhulme Trust. The research team, comprising Professor Chris BrooksProfessor Adrian Bell and Dr Helen Killick, will examine in detail the workings of the English real estate market in the thirteenth to fifteenth centuries.

The project will employ an innovative methodological approach which combines modern financial theory with medieval history. It will construct a dataset collated from both primary and secondary sources of property prices, rents and other relevant information. Various econometric techniques will be applied to evaluate the factors determining the variation in property prices over time and across regions. The study will consider the extent to which such prices were subject to periodic booms and busts by modelling deviations between actual and fundamentally justifiable values to test whether the medieval housing market was beset by bubbles.

For more details, see:

Medieval Foreign Exchange c. 1300-1500

The ICMA Centre has recently won a Research Project Grant worth almost £200,000 from the Leverhulme Trust for a three-year project beginning in January 2012 and entitled “Medieval Foreign Exchange c. 1300 – 1500” (grant number RPG-193). The research team, comprising Professor Adrian R Bell and Professor Chris Brooks, and Dr Tony Moore, will examine in detail the workings of the markets for foreign currency trade in the fourteenth and fifteenth centuries.   For more detail see:


Credit Finance in the Middle Ages: Loans to the English Crown c. 1272-1340

The Economic and Social Research Council (ESRC) have awarded Dr Adrian Bell and Professor Chris Brooks a major research grant worth just over £350,000 to investigate the early and innovative use of credit finance by a succession of English medieval monarchs.

The study will examine in detail the credit finance arrangements used by Edward I, II and III from both a historical perspective and also utilise the approaches and models developed recently for modern-day sovereign borrowings.  The project will employ one Research Assistant for three years, and the team will work on a number of publications as well as the production of the transcriptions and translations of many original sources

Modern Finance in the Middle Ages? Advance contracts for the supply of wool               

Dr Adrian Bell and Professor Chris Brooks were awarded £45,000 from the ESRC for a unique interdisciplinary project. Their research attempted to push back the boundaries for modern finance into the middle ages – by investigating forward contracts between Cistercian monasteries in England and Italian Merchant Banks during the later half of the thirteenth century. The monasteries frequently sold their wool up to ten years in advance for prices agreed on the date that the contract was signed. These contracts were written by hand and in medieval latin and have survived in governmental records, housed today in the National Archives at Kew. This was the first time that such contracts have been subjected to the rigours of the techniques of modern finance. Could it be that today’s financial market whizkids have a thing or two to learn from their ecclesiastical predecessors? The project analysed how efficient these early financial markets were and also produced an edition of the sources to stimulate further research into this fascinating history.

Further details on the award and of the outputs can be found by looking at UK Data Archive, study number 5325:

2000 Forecasting Models for Real Estate Rents University of Reading Research Endowment Trust with S. Tsolacos and S. Lee

1999 A Review of and Commentary upon Academic Research Related to Banking Competition Barclays with C. Keating

1999 Can Profitable Trading Rules be developed from Investment Bestsellers? Institute for Quantitative Investment Research with C.W.R. Ward

1998 The Effect of Monetary Union on Credit Ratings Methodologies and its Implications for the Risk-free Rate European Bond Commission with F. Skinner