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Details about David Edmund Allen

E-mail:
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:School of Mathematics and Statistics, the University of Sydney
School of Business, Edith Cowan University, (more information at EDIRC)

Access statistics for papers by David Edmund Allen.

Last updated 2017-08-24. Update your information in the RePEc Author Service.

Short-id: pal66


Jump to Journal Articles Chapters

Working Papers

2017

  1. A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    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
  2. Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2016

  1. A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016) Downloads
  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 (2)
    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
  3. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
    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 (2016) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads

2015

  1. Daily Market News Sentiment and Stock Prices
    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 View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015) Downloads View citations (5)
  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
    Tinbergen Institute Discussion Papers, Tinbergen 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 View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric 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 in Risks (2016)

2014

  1. Asymmetric Realized Volatility Risk
    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 (2014) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads

    See also Journal Article in Journal of Risk and Financial Management (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 (3)
    Also in 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)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (1)
  3. Hedge Fund Portfolio Diversification Strategies Across the GFC
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads 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) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (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 (4)
    Also in 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)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) Downloads View citations (1)
  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 (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (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 View citations (2)
  6. Volatility Spillovers from Australia's Major Trading Partners across the GFC
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (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 View citations (1)

    See also Journal Article in International Review of Economics & Finance (2017)

2013

  1. A Capital Adequacy Buffer Model
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads
    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 in Applied Economics Letters (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
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2012) Downloads

    See also Journal Article in Journal of Risk and Financial Management (2013)
  3. 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 Downloads View citations (5)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (5)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (5)

    See also Journal Article in Statistica Neerlandica (2013)
  4. Nonparametric Multiple Change Point Analysis of the Global Financial Crisis
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 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 View citations (1)
  5. Realized Volatility Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (9)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (6)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (7)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) 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
  6. Recent Developments in Financial Economics and Econometrics: An Overview
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (4)
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (3)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads View citations (4)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2013) Downloads View citations (4)

    See also Journal Article in The North American Journal of Economics and Finance (2013)
  7. Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  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 Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric 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
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads
  9. Volatility Spillovers from the US to Australia and China across the GFC
    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 (2012) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (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 View citations (2)
    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
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads View citations (4)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads View citations (4)

    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (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

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 in Journal of Econometrics (2008)

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 (1)

Journal Articles

2017

  1. Volatility Spillovers from Australia's major trading partners across the GFC
    International Review of Economics & Finance, 2017, 47, (C), 159-175 Downloads
    See also Working Paper (2014)

2016

  1. A capital adequacy buffer model
    Applied Economics Letters, 2016, 23, (3), 175-179 Downloads
    See also Working Paper (2013)
  2. Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis
    Journal of Risk and Financial Management, 2016, 9, (2), 1-18 Downloads View citations (3)
  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
    See also Working Paper (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 (1)

2015

  1. Semiparametric Autoregressive Conditional Duration Model: Theory and Practice
    Econometric Reviews, 2015, 34, (6-10), 849-881 Downloads View citations (2)

2014

  1. Asymmetric Realized Volatility Risk
    Journal of Risk and Financial Management, 2014, 7, (2), 1-30 Downloads
    See also Working Paper (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
    Journal of Risk and Financial Management, 2013, 6, (1), 1-25 Downloads
    See also Working Paper (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 (1)
  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 (11)
  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 (5)
  6. Extreme market risk and extreme value theory
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 310-328 Downloads View citations (9)
  7. Financial dependence analysis: applications of vine copulas
    Statistica Neerlandica, 2013, 67, (4), 403-435 Downloads View citations (7)
    See also Working Paper (2013)
  8. Modelling tail credit risk using transition matrices
    Mathematics and Computers in Simulation (MATCOM), 2013, 93, (C), 67-75 Downloads View citations (6)
  9. 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 (2013)
  10. THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE
    Annals of Financial Economics (AFE), 2013, 08, (02), 1-24 Downloads
  11. 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)
  12. Volatility spillovers from the Chinese stock market to economic neighbours
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 238-257 Downloads View citations (5)
    See also Working Paper (2011)

2012

  1. A Gourmet's delight: CAViaR and the Australian stock market
    Applied Economics Letters, 2012, 19, (15), 1493-1498 Downloads
  2. Beyond reasonable doubt: multiple tail risk measures applied to European industries
    Applied Economics Letters, 2012, 19, (7), 671-676 Downloads
  3. The Global Financial Crisis: some attributes and responses
    Accounting and Finance, 2012, 52, (1), 1-7 Downloads View citations (4)
  4. The fluctuating default risk of Australian banks
    Australian Journal of Management, 2012, 37, (2), 297-325 Downloads View citations (9)

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 (3)
  2. Monte Carlo option pricing with asymmetric realized volatility dynamics
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1247-1256 Downloads View citations (1)
  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

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 (10)
  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 (2)
  4. Modelling interstate tourism demand in Australia: A cointegration approach
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2733-2740 Downloads View citations (1)
  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 (4)
  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 (5)

2008

  1. Econometric modelling in finance and risk management: An overview
    Journal of Econometrics, 2008, 147, (1), 1-4 Downloads
    See also Working Paper (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 (17)
  3. Long-run underperformance of seasoned equity offerings: Fact or an illusion?
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 146-154 Downloads

2006

  1. Benchmarking Australian fixed interest fund performance: finding the optimal factors
    Accounting and Finance, 2006, 46, (5), 865-898 Downloads
  2. 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

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 (3)
  3. Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets
    Accounting and Finance, 2005, 45, (2), 301-321 Downloads View citations (11)
  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 (5)
  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 View citations (1)

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 (3)
  2. Purchasing Power Parity-evidence from a new panel test
    Applied Economics, 2002, 34, (11), 1319-1324 Downloads View citations (5)

2000

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

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 (12)
  2. The long-run performance of initial public offerings in Thailand
    Applied Financial Economics, 1999, 9, (3), 215-232 Downloads View citations (7)

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 (2)

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 (4)

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 (11)

1986

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

Chapters

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
 
Page updated 2017-10-17