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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 2024-01-04. 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 Downloads

2022

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

2021

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

2020

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

2019

  1. 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 Downloads
    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) Downloads (2023)
  2. 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 Downloads
  3. 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 Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019) Downloads

    See also Journal Article Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany, Sustainability, MDPI (2019) Downloads (2019)

2018

  1. "Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond": Comment
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads 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) Downloads
  2. 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 Downloads
  3. Carpooling with heterogeneous users in the bottleneck model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  4. Cointegrated Dynamics for A Generalized Long Memory Process
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  5. 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 Downloads
    See also Journal Article Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates, Journal of Time Series Econometrics, De Gruyter (2020) Downloads (2020)
  6. 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 Downloads
    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) Downloads View citations (7) (2018)
  7. Fake News and Indifference to Truth
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (5)
  8. 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 Downloads 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) Downloads

    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) Downloads View citations (5) (2018)

2017

  1. A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
  2. 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 Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) Downloads View citations (3)

    See also Journal Article Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management, Energies, MDPI (2018) Downloads View citations (4) (2018)

2016

  1. A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (1)

    See also Journal Article A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices, Applied Economics, Taylor & Francis Journals (2018) Downloads View citations (13) (2018)
  2. An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads

    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) Downloads View citations (13) (2017)
  3. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads

    See also Journal Article Volatility spillover and multivariate volatility impulse response analysis of GFC news events, Applied Economics, Taylor & Francis Journals (2017) Downloads View citations (9) (2017)

2015

  1. Daily Market News Sentiment and Stock Prices
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads View citations (3)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (4)

    See also Journal Article Daily market news sentiment and stock prices, Applied Economics, Taylor & Francis Journals (2019) Downloads View citations (13) (2019)
  2. Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015) Downloads
  3. Multivariate Volatility Impulse Response Analysis of GFC News Events
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads 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) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (1)
  4. Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads

    See also Journal Article Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies, Risks, MDPI (2016) Downloads View citations (5) (2016)

2014

  1. Asymmetric Realized Volatility Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (4)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads View citations (1)

    See also Journal Article Asymmetric Realized Volatility Risk, JRFM, MDPI (2014) Downloads View citations (3) (2014)
  2. European Market Portfolio Diversifcation Strategies across the GFC
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads
  3. Hedge Fund Portfolio Diversification Strategies Across the GFC
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads
  4. Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (4)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads
  5. Risk Measurement and Risk Modelling Using Applications of Vine Copulas
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (3)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (3)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads

    See also Journal Article Risk Measurement and Risk Modelling Using Applications of Vine Copulas, Sustainability, MDPI (2017) Downloads View citations (10) (2017)
  6. Volatility Spillovers from Australia's Major Trading Partners across the GFC
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (2)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads

    See also Journal Article Volatility Spillovers from Australia's major trading partners across the GFC, International Review of Economics & Finance, Elsevier (2017) Downloads View citations (7) (2017)

2013

  1. A Capital Adequacy Buffer Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads

    See also Journal Article A capital adequacy buffer model, Applied Economics Letters, Taylor & Francis Journals (2016) Downloads View citations (1) (2016)
  2. A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads

    See also Journal Article A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500, JRFM, MDPI (2013) Downloads View citations (2) (2013)
  3. Financial Dependence Analysis: Applications of Vine Copulae
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (15)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (15)

    See also Journal Article Financial dependence analysis: applications of vine copulas, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2013) Downloads View citations (16) (2013)
  4. Nonparametric Multiple Change Point Analysis of the Global Financial Crisis
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads

    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) Downloads View citations (1) (2018)
  5. Realized Volatility Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (2)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (9)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (1)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (6)
  6. Recent Developments in Financial Economics and Econometrics: An Overview
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (4)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (4)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads 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) Downloads View citations (4) (2013)
  7. Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
  8. Risk Modeling and Management: An Overview
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (1)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads
  9. Volatility Spillovers from the US to Australia and China across the GFC
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads

2012

  1. 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 Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads View citations (2)

2011

  1. Volatility Spillovers from the Chinese Stock Market to Economic Neighbours
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (7)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) Downloads View citations (3)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads

    See also Journal Article Volatility spillovers from the Chinese stock market to economic neighbours, Mathematics and Computers in Simulation (MATCOM), Elsevier (2013) Downloads View citations (25) (2013)

2008

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

2007

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

2002

  1. 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

  1. 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

2023

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

2022

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

2021

  1. A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes
    Risks, 2021, 9, (11), 1-20 Downloads View citations (4)
  2. Predicting COVID-19 Cases and Deaths in the USA from Tests and State Populations
    Advances in Decision Sciences, 2021, 25, (2), 1-27 Downloads View citations (2)

2020

  1. A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index
    Energies, 2020, 13, (15), 1-11 Downloads View citations (5)
  2. Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates
    Journal of Time Series Econometrics, 2020, 12, (1), 18 Downloads
    See also Working Paper Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates, Documentos de Trabajo del ICAE (2018) Downloads (2018)
  3. Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE
    Risks, 2020, 8, (1), 1-20 Downloads View citations (1)
  4. FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK?
    Annals of Financial Economics (AFE), 2020, 15, (04), 1-26 Downloads
  5. PREDICTING CASES AND DEATHS IN EUROPE FROM COVID-19 TESTS AND COUNTRY POPULATIONS
    Annals of Financial Economics (AFE), 2020, 15, (04), 1-15 Downloads
  6. Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information?
    JRFM, 2020, 13, (9), 1-25 Downloads

2019

  1. Daily market news sentiment and stock prices
    Applied Economics, 2019, 51, (30), 3212-3235 Downloads View citations (13)
    See also Working Paper Daily Market News Sentiment and Stock Prices, Documentos de Trabajo del ICAE (2015) Downloads (2015)
  2. Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany
    Sustainability, 2019, 11, (19), 1-19 Downloads
    See also Working Paper Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany, Econometric Institute Research Papers (2019) Downloads (2019)
  3. Risk Analysis and Portfolio Modelling
    JRFM, 2019, 12, (4), 1-4 Downloads View citations (3)
  4. Robust newsvendor problems: effect of discrete demands
    Annals of Operations Research, 2019, 275, (2), 607-621 Downloads View citations (6)

2018

  1. A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices
    Applied Economics, 2018, 50, (7), 804-823 Downloads View citations (13)
    See also Working Paper A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices, Econometric Institute Research Papers (2016) Downloads (2016)
  2. 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 Downloads 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) Downloads View citations (5) (2018)
  3. 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 Downloads 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) Downloads (2018)
  4. Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models
    Sustainability, 2018, 10, (8), 1-15 Downloads View citations (10)
  5. Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants
    Risks, 2018, 6, (2), 1-22 Downloads View citations (1)
  6. NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS
    Annals of Financial Economics (AFE), 2018, 13, (02), 1-23 Downloads View citations (1)
    See also Working Paper Nonparametric Multiple Change Point Analysis of the Global Financial Crisis, Tinbergen Institute Discussion Papers (2013) Downloads View citations (1) (2013)
  7. President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change †
    Sustainability, 2018, 10, (7), 1-6 Downloads View citations (4)
  8. Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management
    Energies, 2018, 11, (7), 1-19 Downloads 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) Downloads (2017)

2017

  1. An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series
    Applied Economics, 2017, 49, (7), 677-692 Downloads 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) Downloads View citations (1) (2016)
  2. 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 Downloads View citations (4)
  3. Risk Measurement and Risk Modelling Using Applications of Vine Copulas
    Sustainability, 2017, 9, (10), 1-34 Downloads View citations (10)
    See also Working Paper Risk Measurement and Risk Modelling Using Applications of Vine Copulas, Working Papers in Economics (2014) Downloads View citations (3) (2014)
  4. Tail dependence analysis of stock markets using extreme value theory
    Applied Economics, 2017, 49, (45), 4588-4599 Downloads
  5. Volatility Spillovers from Australia's major trading partners across the GFC
    International Review of Economics & Finance, 2017, 47, (C), 159-175 Downloads View citations (7)
    See also Working Paper Volatility Spillovers from Australia's Major Trading Partners across the GFC, Tinbergen Institute Discussion Papers (2014) Downloads View citations (2) (2014)
  6. Volatility spillover and multivariate volatility impulse response analysis of GFC news events
    Applied Economics, 2017, 49, (33), 3246-3262 Downloads View citations (9)
    See also Working Paper Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events, Tinbergen Institute Discussion Papers (2016) Downloads (2016)

2016

  1. A capital adequacy buffer model
    Applied Economics Letters, 2016, 23, (3), 175-179 Downloads View citations (1)
    See also Working Paper A Capital Adequacy Buffer Model, Tinbergen Institute Discussion Papers (2013) Downloads (2013)
  2. Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis
    JRFM, 2016, 9, (2), 1-18 Downloads View citations (10)
  3. Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies
    Risks, 2016, 4, (1), 1-14 Downloads 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) Downloads (2015)
  4. Take it to the limit: Innovative CVaR applications to extreme credit risk measurement
    European Journal of Operational Research, 2016, 249, (2), 465-475 Downloads View citations (15)

2015

  1. Semiparametric Autoregressive Conditional Duration Model: Theory and Practice
    Econometric Reviews, 2015, 34, (6-10), 849-881 Downloads View citations (4)

2014

  1. Asymmetric Realized Volatility Risk
    JRFM, 2014, 7, (2), 1-30 Downloads View citations (3)
    See also Working Paper Asymmetric Realized Volatility Risk, Tinbergen Institute Discussion Papers (2014) Downloads View citations (4) (2014)
  2. YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL
    Annals of Financial Economics (AFE), 2014, 09, (01), 1-20 Downloads

2013

  1. 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 Downloads
  2. A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
    JRFM, 2013, 6, (1), 1-25 Downloads 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) Downloads View citations (3) (2013)
  3. Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions
    Global Business and Economics Review, 2013, 15, (1), 88-109 Downloads View citations (4)
  4. 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 Downloads View citations (18)
  5. 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 Downloads View citations (10)
  6. Extreme market risk and extreme value theory
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 310-328 Downloads View citations (14)
  7. Financial dependence analysis: applications of vine copulas
    Statistica Neerlandica, 2013, 67, (4), 403-435 Downloads View citations (16)
    See also Working Paper Financial Dependence Analysis: Applications of Vine Copulae, KIER Working Papers (2013) Downloads View citations (15) (2013)
  8. 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 Downloads View citations (1)
  9. Modelling tail credit risk using transition matrices
    Mathematics and Computers in Simulation (MATCOM), 2013, 93, (C), 67-75 Downloads View citations (5)
  10. Recent developments in financial economics and econometrics: An overview
    The North American Journal of Economics and Finance, 2013, 26, (C), 217–226 Downloads View citations (4)
    See also Working Paper Recent Developments in Financial Economics and Econometrics: An Overview, Working Papers in Economics (2013) Downloads View citations (4) (2013)
  11. THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE
    Annals of Financial Economics (AFE), 2013, 08, (02), 1-24 Downloads
  12. The Determinants of Capital Structure: Empirical evidence from Thai Banks
    Information Management and Business Review, 2013, 5, (8), 401-410 Downloads View citations (3)
  13. The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics
    Economics Letters, 2013, 120, (1), 117-122 Downloads View citations (1)
  14. Volatility spillovers from the Chinese stock market to economic neighbours
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 238-257 Downloads View citations (25)
    See also Working Paper Volatility Spillovers from the Chinese Stock Market to Economic Neighbours, KIER Working Papers (2011) Downloads View citations (7) (2011)

2012

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

2011

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

2010

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

2009

  1. 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 Downloads View citations (11)
  2. Measuring and modelling risk
    Global Business and Economics Review, 2009, 11, (3/4), 199-224 Downloads
  3. Modelling and managing financial risk: An overview
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2521-2524 Downloads View citations (3)
  4. Modelling interstate tourism demand in Australia: A cointegration approach
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2733-2740 Downloads View citations (9)
  5. 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 Downloads View citations (8)
  6. Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective
    Accounting and Finance, 2009, 49, (3), 425-444 Downloads View citations (19)

2008

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

2006

  1. Benchmarking Australian fixed interest fund performance: finding the optimal factors
    Accounting and Finance, 2006, 46, (5), 865-898 Downloads
  2. Investors' response to mutual fund company mergers
    International Journal of Managerial Finance, 2006, 2, (2), 121-135 Downloads
  3. 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 Downloads View citations (4)

2005

  1. An Examination of the Role of Time and its Impact on Price Revision
    Australian Journal of Management, 2005, 30, (2), 283-301 Downloads
  2. Forecasting profitability and earnings: a study of the UK market (1982-2000)
    Applied Economics, 2005, 37, (17), 2009-2018 Downloads View citations (11)
  3. Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets
    Accounting and Finance, 2005, 45, (2), 301-321 Downloads View citations (25)
  4. Some statistical models for durations and an application to News Corporation stock prices
    Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 545-552 Downloads

2004

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

2002

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

2000

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

1999

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

1998

  1. Determinants of the cross-section of stock returns in the Malaysian stock market
    International Review of Financial Analysis, 1998, 7, (3), 253-275 Downloads View citations (5)

1995

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

1993

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

1991

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

1986

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

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 Downloads

2015

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

2011

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

2007

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