Gita Persand

University of Bristol - Department of Economics

8 Woodland Road

Bristol BS8 ITN

United Kingdom

SCHOLARLY PAPERS

11

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CITATIONS
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12

Scholarly Papers (11)

1.

Timing is Everything: A Comparison and Evaluation of Market Timing Strategies

Number of pages: 14 Posted: 03 Nov 2005
Chris Brooks, Apostolos Katsaris and Gita Persand
University of Reading - ICMA Centre, Albourne Partners Limited and University of Bristol - Department of Economics
Downloads 2,134 (6,283)
Citation 2

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market timing rules, speculative bubbles, dynamic asset allocation, S&P500, stock index returns

2.

A Comparison of Extreme Value Theory Approaches for Determining Value at Risk

Journal of Empirical Finance, Forthcoming, Cass Business School Research Paper
Number of pages: 20 Posted: 05 Dec 2004
University of Reading - ICMA Centre, City University London - Sir John Cass Business School, Independent and University of Bristol - Department of Economics
Downloads 1,118 (17,891)
Citation 9

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Bootstrap, Value at Risk (VaR), Generalised Pareto Distribution, Parametric, Semi-nonparametric and Small Sample Bias Corrected Tail Index Estimators, GARCH models

3.

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

Manchester School, Vol. 70, pp. 666-681, 2002
Number of pages: 16 Posted: 29 Dec 2002
Chris Brooks, Andrew Clare and Gita Persand
University of Reading - ICMA Centre, City University London - Sir John Cass Business School and University of Bristol - Department of Economics
Downloads 30 (458,355)
Citation 1
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4.

Autoregressive Conditional Kurtosis

Journal of Financial Econometrics, Vol. 3, No. 3, pp. 399-421, 2005
Posted: 29 Feb 2008
University of Reading - ICMA Centre, University of Reading, Cardiff University and University of Bristol - Department of Economics

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conditional kurtosis, fat tails, fourth moment, GARCH, Student`s t-distribution

5.

The Effect of Asymmetries on Stock Index Return Value at Risk Estimates

Journal of Risk Finance, Vol. 4, No. 2, pp. 29-42
Posted: 05 Dec 2004
Chris Brooks and Gita Persand
University of Reading - ICMA Centre and University of Bristol - Department of Economics

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Stock index, Minimum Capital Risk Requirements, Internal Risk Management Models, Value at risk, asymmetries, multivariate GARCH, semi-variance

6.

An Extreme Value Theory Approach to Calculating Minimum Capital Risk Requirements

Journal of Risk Finance, Vol. 3, No. 2, pp. 22-33, 2002, Cass Business School Research Paper
Posted: 04 Dec 2004
Chris Brooks, Andrew Clare and Gita Persand
University of Reading - ICMA Centre, City University London - Sir John Cass Business School and University of Bristol - Department of Economics

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Minimum Capital Risk Requirements, Generalized Pareto Distribution, GARCH models

7.

The Trading Profitability of Forecasts of the Gilt-Equity Yield Ratio

International Journal of Forecasting, Vol. 17, pp. 11-29, 2001
Posted: 04 Dec 2004
Chris Brooks and Gita Persand
University of Reading - ICMA Centre and University of Bristol - Department of Economics

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GEYR, Markov switching, regime model, forecasting, equity & bond returns, trading rule

8.

A Word of Caution on Calculating Market-Based Minimum Capital Risk Requirements

Journal of Banking and Finance, Vol. 14, No. 10, pp. 1557-1574, 2000, Cass Business School Research Paper
Posted: 04 Dec 2004
Chris Brooks, Andrew Clare and Gita Persand
University of Reading - ICMA Centre, City University London - Sir John Cass Business School and University of Bristol - Department of Economics

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Minimum capital risk requirements, internal risk management models, volatility persistence

9.

Value at Risk and Market Crashes

Journal of Risk, Vol. 2, No. 4, pp. 5-26, 2000
Posted: 04 Dec 2004
Chris Brooks and Gita Persand
University of Reading - ICMA Centre and University of Bristol - Department of Economics

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Internal risk management models, stock market volatility, value at risk models, extreme market movements, correlation matrices, multivariate GARCH model

10.

Model Choice and Value-at-Risk Performance

Financial Analysts Journal, Vol. 58, No. 5, 2002
Posted: 06 May 2003
Chris Brooks and Gita Persand
University of Reading - ICMA Centre and University of Bristol - Department of Economics

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Risk Measurement and Management: firm/enterprise risk

11.

The Effect of Asymmetries on Optimal Hedge Ratios

The Journal of Business, Vol. 75, No. 2, April 2002
Posted: 03 Oct 2002
Chris Brooks, Olan T. Henry and Gita Persand
University of Reading - ICMA Centre, University of Melbourne - Department of Economics and University of Bristol - Department of Economics

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