Details about Robert John Powell

Access statistics for papers by Robert John Powell.

Last updated 2025-01-07. Update your information in the RePEc Author Service.

Short-id: ppo461

Working Papers

2016

1. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
   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)
   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

2. Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC
   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 (2015)
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015)
3. 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
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (1)
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) View citations (1)

2014

4. 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)
5. Volatility Spillovers from Australia's Major Trading Partners across the GFC
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
   Also in 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

6. A Capital Adequacy Buffer Model
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
   Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (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 A capital adequacy buffer model, Applied Economics Letters, Taylor & Francis Journals (2016) View citations (1) (2016)
7. 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 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)
   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)
8. 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 KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (16)
   Tinbergen Institute Discussion Papers, Tinbergen Institute (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)
9. Nonparametric Multiple Change Point Analysis of the Global Financial Crisis
   KIER Working Papers, Kyoto University, Institute of Economic Research 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)
   Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (1)
   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)
10. Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
11. Volatility Spillovers from the US to Australia and China across the GFC
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    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)

2012

12. 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)

2008

13. 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)

Journal Articles

2024

1. Tail risk network analysis of Asian banks
   Global Finance Journal, 2024, 62, (C)

2023

2. The relationship between responsible financial behaviours and financial wellbeing: The case of buy‐now‐pay‐later
   Accounting and Finance, 2023, 63, (4), 4431-4451 View citations (1)

2022

3. An Analysis of Whether Privately Owned Financial Planning Practices Are Transitioning to Fully Independent Advice Providers
   JRFM, 2022, 15, (8), 1-16
4. Factors affecting the growth of small privately‐owned financial planning businesses
   Australian Economic Papers, 2022, 61, (4), 717-737

2021

5. Forecasting corporate financial distress in the Southeast Asian countries: A market-based approach
   Journal of Asian Economics, 2021, 74, (C) View citations (6)
6. Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures
   Pacific-Basin Finance Journal, 2021, 70, (C) View citations (6)

2020

7. A Comprehensive Stability Indicator for Banks
   Risks, 2020, 8, (1), 1-15 View citations (2)
8. Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models
   The North American Journal of Economics and Finance, 2020, 54, (C) View citations (6)

2019

9. Cattle as a consistently resilient agricultural commodity
   Applied Economics, 2019, 51, (55), 5911-5922

2018

10. Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia
    Risks, 2018, 6, (4), 1-22 View citations (1)
11. Economic cycles and downside commodities risk
    Applied Economics Letters, 2018, 25, (4), 258-263 View citations (6)
12. 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)

2017

13. New perspectives on bank risk in Malaysia
    Cogent Economics & Finance, 2017, 5, (1), 1326217 View citations (2)
14. Research Bets and Behavioral IR
    International Organization, 2017, 71, (S1), S265-S277
15. Tail dependence analysis of stock markets using extreme value theory
    Applied Economics, 2017, 49, (45), 4588-4599
16. The long and short of commodity tails and their relationship to Asian equity markets
    Journal of Asian Economics, 2017, 52, (C), 32-44 View citations (5)
17. 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)
18. 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, Tinbergen Institute Discussion Papers (2016) (2016)

2016

19. 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, Econometric Institute Research Papers (2013) View citations (1) (2013)
20. Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis
    JRFM, 2016, 9, (2), 1-18 View citations (10)
21. 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

22. Nuclear Brinkmanship, Limited War, and Military Power
    International Organization, 2015, 69, (3), 589-626 View citations (4)

2013

23. 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
24. 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)
25. 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)
26. 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)
27. Extreme market risk and extreme value theory
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 310-328 View citations (14)
28. 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)
29. Modelling tail credit risk using transition matrices
    Mathematics and Computers in Simulation (MATCOM), 2013, 93, (C), 67-75 View citations (5)
30. THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE
    Annals of Financial Economics (AFE), 2013, 08, (02), 1-24
31. The Determinants of Capital Structure: Empirical evidence from Thai Banks
    Information Management and Business Review, 2013, 5, (8), 401-410 View citations (3)

2012

32. A Gourmet's delight: CAViaR and the Australian stock market
    Applied Economics Letters, 2012, 19, (15), 1493-1498 View citations (3)
33. Beyond reasonable doubt: multiple tail risk measures applied to European industries
    Applied Economics Letters, 2012, 19, (7), 671-676 View citations (6)
34. The fluctuating default risk of Australian banks
    Australian Journal of Management, 2012, 37, (2), 297-325 View citations (23)

2011

35. 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)

2009

36. 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)

Chapters

2015

1. Aspects of Volatility and Correlations in European Emerging Economies
   Palgrave Macmillan View citations (2)
2. Thoughts on Extreme Risk in Indonesia
   Springer

2011

3. Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis
   Palgrave Macmillan View citations (2)