Details about David Edmund Allen

Homepage:	http://www.dallenwapty.com/
Postal address:	Professor D.E. Allen School of Mathematics and Statistics, University of Sydney, NSW 2006. and School of Business and Law, Edith Cowan University, Joondalup WA 6027.
Workplace:	Department of Finance, College of Management, Asia University, (more information at EDIRC) School of Business, Edith Cowan University, (more information at EDIRC)

Access statistics for papers by David Edmund Allen.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: pal66

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Working Papers

2023

1. Modeling trading games in a stochastic non-life insurance market
   Papers, arXiv.org

2022

2. Asset Pricing Tests, Endogeneity issues and Fama-French factors
   MPRA Paper, University Library of Munich, Germany

2021

3. Cryptocurrencies, Diversification and the COVID-19 Pandemic
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Cryptocurrencies, Diversification and the COVID-19 Pandemic, JRFM, MDPI (2022) View citations (6) (2022)
4. Monetary Policies, US influence and other Factors Affecting Stock Prices in Japan
   MPRA Paper, University Library of Munich, Germany

2020

5. The Influence of Dust Levels on Atmospheric Carbon Dioxide and Global Temperature
   MPRA Paper, University Library of Munich, Germany

2019

6. Drawbacks in the 3-Factor Approach of Fama and French (2018)
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
   See also Journal Article Drawbacks in the 3-Factor Approach of Fama and French (2018), Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2023) (2023)
7. Drawbacks in the 3-factor approach of Fama and French
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
8. Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
   Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019)
   See also Journal Article Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany, Sustainability, MDPI (2019) (2019)

2018

9. "Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond": Comment
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
   Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
10. A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
11. Carpooling with heterogeneous users in the bottleneck model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
12. Cointegrated Dynamics for A Generalized Long Memory Process
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
13. Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    See also Journal Article Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates, Journal of Time Series Econometrics, De Gruyter (2020) View citations (1) (2020)
14. Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    See also Journal Article Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather, Scientometrics, Springer (2018) View citations (7) (2018)
15. Fake News and Indifference to Truth
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (5)
16. Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2018)
    See also Journal Article FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP, Advances in Decision Sciences, Asia University, Taiwan (2018) View citations (5) (2018)

2017

17. A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
18. Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (3)
    See also Journal Article Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management, Energies, MDPI (2018) View citations (4) (2018)

2016

19. A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
    See also Journal Article A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices, Applied Economics, Taylor & Francis Journals (2018) View citations (14) (2018)
20. An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    See also Journal Article An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series, Applied Economics, Taylor & Francis Journals (2017) View citations (13) (2017)
21. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
    See also Journal Article Volatility spillover and multivariate volatility impulse response analysis of GFC news events, Applied Economics, Taylor & Francis Journals (2017) View citations (10) (2017)

2015

22. Daily Market News Sentiment and Stock Prices
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (4)
    See also Journal Article Daily market news sentiment and stock prices, Applied Economics, Taylor & Francis Journals (2019) View citations (22) (2019)
23. Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015)
24. Multivariate Volatility Impulse Response Analysis of GFC News Events
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) View citations (1)
25. Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015)
    See also Journal Article Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies, Risks, MDPI (2016) View citations (5) (2016)

2014

26. Asymmetric Realized Volatility Risk
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico View citations (1)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (4)
    See also Journal Article Asymmetric Realized Volatility Risk, JRFM, MDPI (2014) View citations (3) (2014)
27. European Market Portfolio Diversifcation Strategies across the GFC
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (2)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (1)
28. Hedge Fund Portfolio Diversification Strategies Across the GFC
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014)
29. Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (4)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
30. Risk Measurement and Risk Modelling Using Applications of Vine Copulas
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (3)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (3)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
    See also Journal Article Risk Measurement and Risk Modelling Using Applications of Vine Copulas, Sustainability, MDPI (2017) View citations (11) (2017)
31. Volatility Spillovers from Australia's Major Trading Partners across the GFC
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (2)
    See also Journal Article Volatility Spillovers from Australia's major trading partners across the GFC, International Review of Economics & Finance, Elsevier (2017) View citations (8) (2017)

2013

32. A Capital Adequacy Buffer Model
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013)
    See also Journal Article A capital adequacy buffer model, Applied Economics Letters, Taylor & Francis Journals (2016) View citations (1) (2016)
33. A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
    See also Journal Article A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500, JRFM, MDPI (2013) View citations (2) (2013)
34. Financial Dependence Analysis: Applications of Vine Copulae
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (16)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (16)
    See also Journal Article Financial dependence analysis: applications of vine copulas, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2013) View citations (17) (2013)
35. Nonparametric Multiple Change Point Analysis of the Global Financial Crisis
    KIER Working Papers, Kyoto University, Institute of Economic Research View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
    See also Journal Article NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2018) View citations (2) (2018)
36. Realized Volatility Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (1)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) View citations (6)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (9)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (2)
37. Recent Developments in Financial Economics and Econometrics: An Overview
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (4)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (4)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (4)
    See also Journal Article Recent developments in financial economics and econometrics: An overview, The North American Journal of Economics and Finance, Elsevier (2013) View citations (4) (2013)
38. Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
39. Risk Modeling and Management: An Overview
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (1)
40. Volatility Spillovers from the US to Australia and China across the GFC
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012)

2012

41. The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) View citations (2)

2011

42. Volatility Spillovers from the Chinese Stock Market to Economic Neighbours
    KIER Working Papers, Kyoto University, Institute of Economic Research View citations (7)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (3)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
    See also Journal Article Volatility spillovers from the Chinese stock market to economic neighbours, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) View citations (25) (2013)

2008

43. Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective
    MPRA Paper, University Library of Munich, Germany View citations (3)

2007

44. Econometric modelling in finance and risk management: An overview
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Econometric modelling in finance and risk management: An overview, Journal of Econometrics, Elsevier (2008) (2008)

2002

45. Using Regression Techniques to Estimate Futures Hedge Ratios Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney

2001

46. The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management
    Working Papers, University of Southampton - Department of Accounting and Management Science View citations (4)

Journal Articles

2025

1. Optimal Time Series Forecasting Through the GARMA Model
   Econometrics, 2025, 13, (1), 1-23

2024

2. Improving Volatility Forecasting: A Study through Hybrid Deep Learning Methods with WGAN
   JRFM, 2024, 17, (9), 1-20 View citations (1)

2023

3. Drawbacks in the 3-Factor Approach of Fama and French (2018)
   Annals of Financial Economics (AFE), 2023, 18, (01), 1-26
   See also Working Paper Drawbacks in the 3-Factor Approach of Fama and French (2018), Econometric Institute Research Papers (2019) (2019)
4. Editorial: Statement for the Special Issue in Honor of Michael McAleer
   Annals of Financial Economics (AFE), 2023, 18, (01), 1-8
5. GARMA, HAR and Rules of Thumb for Modelling Realized Volatility
   Risks, 2023, 11, (10), 1-15

2022

6. Cryptocurrencies, Diversification and the COVID-19 Pandemic
   JRFM, 2022, 15, (3), 1-25 View citations (6)
   See also Working Paper Cryptocurrencies, Diversification and the COVID-19 Pandemic, MPRA Paper (2021) (2021)
7. Trump’s COVID-19 tweets and Dr. Fauci’s emails
   Scientometrics, 2022, 127, (3), 1643-1655
8. “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality
   Journal of the American Statistical Association, 2022, 117, (537), 214-224 View citations (1)

2021

9. A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes
   Risks, 2021, 9, (11), 1-20 View citations (7)
10. Predicting COVID-19 Cases and Deaths in the USA from Tests and State Populations
    Advances in Decision Sciences, 2021, 25, (2), 1-27 View citations (2)

2020

11. A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index
    Energies, 2020, 13, (15), 1-11 View citations (7)
12. Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates
    Journal of Time Series Econometrics, 2020, 12, (1), 18 View citations (1)
    See also Working Paper Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates, Documentos de Trabajo del ICAE (2018) (2018)
13. Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE
    Risks, 2020, 8, (1), 1-20 View citations (1)
14. FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK?
    Annals of Financial Economics (AFE), 2020, 15, (04), 1-26
15. PREDICTING CASES AND DEATHS IN EUROPE FROM COVID-19 TESTS AND COUNTRY POPULATIONS
    Annals of Financial Economics (AFE), 2020, 15, (04), 1-15
16. Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information?
    JRFM, 2020, 13, (9), 1-25

2019

17. Daily market news sentiment and stock prices
    Applied Economics, 2019, 51, (30), 3212-3235 View citations (22)
    See also Working Paper Daily Market News Sentiment and Stock Prices, Econometric Institute Research Papers (2015) View citations (3) (2015)
18. Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany
    Sustainability, 2019, 11, (19), 1-19
    See also Working Paper Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany, Econometric Institute Research Papers (2019) (2019)
19. Risk Analysis and Portfolio Modelling
    JRFM, 2019, 12, (4), 1-4 View citations (3)
20. Robust newsvendor problems: effect of discrete demands
    Annals of Operations Research, 2019, 275, (2), 607-621 View citations (6)

2018

21. A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices
    Applied Economics, 2018, 50, (7), 804-823 View citations (14)
    See also Working Paper A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices, Tinbergen Institute Discussion Papers (2016) View citations (1) (2016)
22. FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP
    Advances in Decision Sciences, 2018, 22, (1), 180-203 View citations (5)
    See also Working Paper Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump, Tinbergen Institute Discussion Papers (2018) View citations (5) (2018)
23. Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather
    Scientometrics, 2018, 117, (1), 625-629 View citations (7)
    See also Working Paper Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather, Documentos de Trabajo del ICAE (2018) (2018)
24. Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models
    Sustainability, 2018, 10, (8), 1-15 View citations (10)
25. Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants
    Risks, 2018, 6, (2), 1-22 View citations (1)
26. NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS
    Annals of Financial Economics (AFE), 2018, 13, (02), 1-23 View citations (2)
    See also Working Paper Nonparametric Multiple Change Point Analysis of the Global Financial Crisis, KIER Working Papers (2013) View citations (1) (2013)
27. President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change †
    Sustainability, 2018, 10, (7), 1-6 View citations (4)
28. Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management
    Energies, 2018, 11, (7), 1-19 View citations (4)
    See also Working Paper Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management, Documentos de Trabajo del ICAE (2017) (2017)

2017

29. An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series
    Applied Economics, 2017, 49, (7), 677-692 View citations (13)
    See also Working Paper An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series, Tinbergen Institute Discussion Papers (2016) View citations (1) (2016)
30. Efficient modelling and forecasting with range based volatility models and its application
    The North American Journal of Economics and Finance, 2017, 42, (C), 448-460 View citations (4)
31. Risk Measurement and Risk Modelling Using Applications of Vine Copulas
    Sustainability, 2017, 9, (10), 1-34 View citations (11)
    See also Working Paper Risk Measurement and Risk Modelling Using Applications of Vine Copulas, Working Papers in Economics (2014) View citations (3) (2014)
32. Tail dependence analysis of stock markets using extreme value theory
    Applied Economics, 2017, 49, (45), 4588-4599
33. Volatility Spillovers from Australia's major trading partners across the GFC
    International Review of Economics & Finance, 2017, 47, (C), 159-175 View citations (8)
    See also Working Paper Volatility Spillovers from Australia's Major Trading Partners across the GFC, Tinbergen Institute Discussion Papers (2014) View citations (2) (2014)
34. Volatility spillover and multivariate volatility impulse response analysis of GFC news events
    Applied Economics, 2017, 49, (33), 3246-3262 View citations (10)
    See also Working Paper Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events, Econometric Institute Research Papers (2016) (2016)

2016

35. A capital adequacy buffer model
    Applied Economics Letters, 2016, 23, (3), 175-179 View citations (1)
    See also Working Paper A Capital Adequacy Buffer Model, Documentos de Trabajo del ICAE (2013) (2013)
36. Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis
    JRFM, 2016, 9, (2), 1-18 View citations (10)
37. Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies
    Risks, 2016, 4, (1), 1-14 View citations (5)
    See also Working Paper Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies, Tinbergen Institute Discussion Papers (2015) (2015)
38. Take it to the limit: Innovative CVaR applications to extreme credit risk measurement
    European Journal of Operational Research, 2016, 249, (2), 465-475 View citations (17)

2015

39. Semiparametric Autoregressive Conditional Duration Model: Theory and Practice
    Econometric Reviews, 2015, 34, (6-10), 849-881 View citations (5)

2014

40. Asymmetric Realized Volatility Risk
    JRFM, 2014, 7, (2), 1-30 View citations (3)
    See also Working Paper Asymmetric Realized Volatility Risk, Documentos de Trabajo del ICAE (2014) View citations (1) (2014)
41. YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL
    Annals of Financial Economics (AFE), 2014, 09, (01), 1-20

2013

42. A CLOSER LOOK AT THE CHARACTERISTICS OF STOCK HOLDINGS OF FOREIGN AND LOCAL INVESTORS IN THE INDONESIAN STOCK EXCHANGE (IDX)
    Annals of Financial Economics (AFE), 2013, 08, (01), 1-22
43. A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
    JRFM, 2013, 6, (1), 1-25 View citations (2)
    See also Working Paper A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500, Tinbergen Institute Discussion Papers (2013) View citations (3) (2013)
44. Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions
    Global Business and Economics Review, 2013, 15, (1), 88-109 View citations (4)
45. EVT and tail-risk modelling: Evidence from market indices and volatility series
    The North American Journal of Economics and Finance, 2013, 26, (C), 355-369 View citations (19)
46. Estimating and simulating Weibull models of risk or price durations: An application to ACD models
    The North American Journal of Economics and Finance, 2013, 25, (C), 214-225 View citations (11)
47. Extreme market risk and extreme value theory
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 310-328 View citations (15)
48. Financial dependence analysis: applications of vine copulas
    Statistica Neerlandica, 2013, 67, (4), 403-435 View citations (17)
    See also Working Paper Financial Dependence Analysis: Applications of Vine Copulae, Documentos de Trabajo del ICAE (2013) View citations (1) (2013)
49. Making sense of digital traces: An activity theory driven ontological approach
    Journal of the American Society for Information Science and Technology, 2013, 64, (12), 2452-2467 View citations (1)
50. Modelling tail credit risk using transition matrices
    Mathematics and Computers in Simulation (MATCOM), 2013, 93, (C), 67-75 View citations (5)
51. Recent developments in financial economics and econometrics: An overview
    The North American Journal of Economics and Finance, 2013, 26, (C), 217–226 View citations (4)
    See also Working Paper Recent Developments in Financial Economics and Econometrics: An Overview, Documentos de Trabajo del ICAE (2013) (2013)
52. THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE
    Annals of Financial Economics (AFE), 2013, 08, (02), 1-24
53. The Determinants of Capital Structure: Empirical evidence from Thai Banks
    Information Management and Business Review, 2013, 5, (8), 401-410 View citations (4)
54. The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics
    Economics Letters, 2013, 120, (1), 117-122 View citations (1)
55. Volatility spillovers from the Chinese stock market to economic neighbours
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 238-257 View citations (25)
    See also Working Paper Volatility Spillovers from the Chinese Stock Market to Economic Neighbours, KIER Working Papers (2011) View citations (7) (2011)

2012

56. A Gourmet's delight: CAViaR and the Australian stock market
    Applied Economics Letters, 2012, 19, (15), 1493-1498 View citations (3)
57. Beyond reasonable doubt: multiple tail risk measures applied to European industries
    Applied Economics Letters, 2012, 19, (7), 671-676 View citations (6)
58. The Global Financial Crisis: some attributes and responses
    Accounting and Finance, 2012, 52, (1), 1-7 View citations (10)
59. The fluctuating default risk of Australian banks
    Australian Journal of Management, 2012, 37, (2), 297-325 View citations (23)

2011

60. Investigating other leading indicators influencing Australian domestic tourism demand
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1365-1374 View citations (14)
61. Monte Carlo option pricing with asymmetric realized volatility dynamics
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1247-1256 View citations (3)
62. QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS
    Annals of Financial Economics (AFE), 2011, 06, (01), 1-19 View citations (5)

2010

63. Empirical performance of affine option pricing models: evidence from the Australian index options market
    Applied Financial Economics, 2010, 20, (6), 501-514 View citations (1)

2009

64. Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2535-2555 View citations (11)
65. Measuring and modelling risk
    Global Business and Economics Review, 2009, 11, (3/4), 199-224
66. Modelling and managing financial risk: An overview
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2521-2524 View citations (3)
67. Modelling interstate tourism demand in Australia: A cointegration approach
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2733-2740 View citations (11)
68. The suitability of a monetary union in East Asia: What does the cointegration approach tell?
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2927-2937 View citations (8)
69. Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective
    Accounting and Finance, 2009, 49, (3), 425-444 View citations (19)

2008

70. Econometric modelling in finance and risk management: An overview
    Journal of Econometrics, 2008, 147, (1), 1-4
    See also Working Paper Econometric modelling in finance and risk management: An overview, MPRA Paper (2007) View citations (1) (2007)
71. Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
    Journal of Econometrics, 2008, 147, (1), 163-185 View citations (32)
72. Long-run underperformance of seasoned equity offerings: Fact or an illusion?
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 146-154 View citations (3)

2006

73. Benchmarking Australian fixed interest fund performance: finding the optimal factors
    Accounting and Finance, 2006, 46, (5), 865-898
74. Investors' response to mutual fund company mergers
    International Journal of Managerial Finance, 2006, 2, (2), 121-135
75. Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidder's Interests?
    Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2006, 09, (04), 509-531 View citations (4)

2005

76. An Examination of the Role of Time and its Impact on Price Revision
    Australian Journal of Management, 2005, 30, (2), 283-301
77. Forecasting profitability and earnings: a study of the UK market (1982-2000)
    Applied Economics, 2005, 37, (17), 2009-2018 View citations (11)
78. Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets
    Accounting and Finance, 2005, 45, (2), 301-321 View citations (26)
79. Some statistical models for durations and an application to News Corporation stock prices
    Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 545-552

2004

80. Do UK stock prices deviate from fundamentals?
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (3), 373-383 View citations (11)
81. Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits
    Journal of Business Finance & Accounting, 2004, 31, (7‐8), 1151-1170

2002

82. A hidden Markov chain model for the term structure of bond credit risk spreads
    International Review of Financial Analysis, 2002, 11, (3), 311-329 View citations (13)
83. Purchasing Power Parity-evidence from a new panel test
    Applied Economics, 2002, 34, (11), 1319-1324 View citations (18)

2000

84. Spare Debt Capacity: Company Practices in Australia, Britain and Japan
    Australian Journal of Management, 2000, 25, (3), 299-326 View citations (4)

1999

85. A Test of the Persistence in the Performance of UK Managed Funds
    Journal of Business Finance & Accounting, 1999, 26, (5‐6), 559-593 View citations (16)
86. The long-run performance of initial public offerings in Thailand
    Applied Financial Economics, 1999, 9, (3), 215-232 View citations (12)

1998

87. Determinants of the cross-section of stock returns in the Malaysian stock market
    International Review of Financial Analysis, 1998, 7, (3), 253-275 View citations (6)

1995

88. Australian domestic porfolio diversification and estimation risk: A review of investment strategies
    Pacific-Basin Finance Journal, 1995, 3, (1), 142-143
    Also in Pacific-Basin Finance Journal, 1994, 2, (2-3), 293-318 (1994) View citations (1)
89. The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk
    Applied Economics Letters, 1995, 2, (8), 280-283 View citations (6)

1993

90. WHAT'S SO SUPER ABOUT SUPER?
    Economic Papers, 1993, 12, (3), 44-62

1991

91. The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective
    Australian Journal of Management, 1991, 16, (2), 103-128 View citations (17)

1986

92. Technical Change, Economies of Scope and Contestable Markets
    South African Journal of Economics, 1986, 54, (2), 113-119

Chapters

2019

1. Currency Spillover Effects between the US Dollar and Some Major Currencies and Exchange Rate Forecasts Based on Neural Nets
   Chapter 8 in HANDBOOK OF GLOBAL FINANCIAL MARKETS Transformations, Dependence, and Risk Spillovers, 2019, pp 199-220

2015

2. Aspects of Volatility and Correlations in European Emerging Economies
   Palgrave Macmillan View citations (2)

2011

3. A Risk and Forecasting Analysis of West Texas Intermediate Prices
   Palgrave Macmillan
4. Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis
   Palgrave Macmillan View citations (2)
5. The Consumption-Based Capital Asset-Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Context
   Palgrave Macmillan

2007

6. AUSFTA and its Implications for the Australian Stock Market
   Chapter 9 in Regionalism, Trade and Economic Development in the Asia-Pacific Region, 2007