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Details about Robert John Powell

Homepage:http://www.ecu.edu.au/schools/business/staff/profiles/associate-professors/dr-robert-john-powell
Workplace:School of Business, Edith Cowan University, (more information at EDIRC)

Access statistics for papers by Robert John Powell.

Last updated 2019-09-26. Update your information in the RePEc Author Service.

Short-id: ppo461


Jump to Journal Articles

Working Papers

2016

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

    See also Journal Article in Applied Economics (2017)

2015

  1. 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
  2. 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 View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015) Downloads View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (1)

2014

  1. 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 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 View citations (1)
  2. 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)

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

2013

  1. 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 Downloads View citations (1)
    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)

    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 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

    See also Journal Article in Journal of Risk and Financial Management (2013)
  3. Financial Dependence Analysis: Applications of Vine Copulae
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (8)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads View citations (8)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (8)

    See also Journal Article in Statistica Neerlandica (2013)
  4. Nonparametric Multiple Change Point Analysis of the Global Financial Crisis
    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 (2013) Downloads View citations (1)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads

    See also Journal Article in Annals of Financial Economics (AFE) (2018)
  5. Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  6. 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)

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 (1)

Journal Articles

2018

  1. Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia
    Risks, 2018, 6, (4), 1-22 Downloads
  2. Economic cycles and downside commodities risk
    Applied Economics Letters, 2018, 25, (4), 258-263 Downloads
  3. NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS
    Annals of Financial Economics (AFE), 2018, 13, (02), 1-23 Downloads
    See also Working Paper (2013)

2017

  1. New perspectives on bank risk in Malaysia
    Cogent Economics & Finance, 2017, 5, (1), 1326217 Downloads
  2. Research Bets and Behavioral IR
    International Organization, 2017, 71, (S1), S265-S277 Downloads
  3. Tail dependence analysis of stock markets using extreme value theory
    Applied Economics, 2017, 49, (45), 4588-4599 Downloads
  4. The long and short of commodity tails and their relationship to Asian equity markets
    Journal of Asian Economics, 2017, 52, (C), 32-44 Downloads View citations (1)
  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 (1)
    See also Working Paper (2014)
  6. Volatility spillover and multivariate volatility impulse response analysis of GFC news events
    Applied Economics, 2017, 49, (33), 3246-3262 Downloads View citations (2)
    See also Working Paper (2016)

2016

  1. A capital adequacy buffer model
    Applied Economics Letters, 2016, 23, (3), 175-179 Downloads View citations (1)
    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 (7)
  3. 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 (8)

2015

  1. Nuclear Brinkmanship, Limited War, and Military Power
    International Organization, 2015, 69, (03), 589-626 Downloads View citations (1)

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 (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 (13)
  5. Extreme market risk and extreme value theory
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 310-328 Downloads View citations (11)
  6. Financial dependence analysis: applications of vine copulas
    Statistica Neerlandica, 2013, 67, (4), 403-435 Downloads View citations (10)
    See also Working Paper (2013)
  7. Modelling tail credit risk using transition matrices
    Mathematics and Computers in Simulation (MATCOM), 2013, 93, (C), 67-75 Downloads View citations (6)
  8. THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE
    Annals of Financial Economics (AFE), 2013, 08, (02), 1-24 Downloads
  9. The Determinants of Capital Structure: Empirical evidence from Thai Banks
    Information Management and Business Review, 2013, 5, (8), 401-410 Downloads View citations (1)

2012

  1. A Gourmet's delight: CAViaR and the Australian stock market
    Applied Economics Letters, 2012, 19, (15), 1493-1498 Downloads View citations (1)
  2. Beyond reasonable doubt: multiple tail risk measures applied to European industries
    Applied Economics Letters, 2012, 19, (7), 671-676 Downloads View citations (3)
  3. The fluctuating default risk of Australian banks
    Australian Journal of Management, 2012, 37, (2), 297-325 Downloads View citations (11)

2011

  1. 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 (3)

2009

  1. 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 (11)
 
Page updated 2019-10-22