9
H index
8
i10 index
313
Citations
David Edmund Allen : Citation Profile
Asia University (50% share) | RESEARCH PRODUCTION: 72 Articles 99 Papers 1 Books 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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33 years (1986 - 2019). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with David Edmund Allen. | Is cited by:
| Cites to:
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Main data
Where David Edmund Allen has published?
Recent works citing David Edmund Allen (2019 and 2018)
| Year | Title of citing document |
|---|---|
| 2017 | An Empirical Evaluation of Hedging Effectiveness of Crude Palm Oil Futures Market in Malaysia. (2017). Islam, Mohd Aminul . In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:303-314. Full description at Econpapers || Download paper |
| 2018 | Wide and Deep Learning for Peer-to-Peer Lending. (2018). Bastani, Kaveh ; Namavari, Hamed ; Asgari, Elham. In: Papers. RePEc:arx:papers:1810.03466. Full description at Econpapers || Download paper |
| 2018 | An Empirical Evidence of Over Reaction Hypothesis on Karachi Stock Exchange (KSE). (2018). Chhapra, Imran ; Ahmed, Farhan ; Saad, Sanyah ; Kashif, Muhammad. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:449-465. Full description at Econpapers || Download paper |
| 2017 | The Effect of Business and Financial Market Cycles on Credit Ratings: Evidence from the Last Two Decades. (2017). Stolowy, Hervé ; Astolfi, Pierre ; Paugam, Luc ; Lobo, Gerald J. In: Abacus. RePEc:bla:abacus:v:53:y:2017:i:1:p:59-93. Full description at Econpapers || Download paper |
| 2017 | Impact of the global financial crisis on Islamic and conventional stocks and bonds. (2017). Akhtar, Shumi ; Smith, Tom ; Jahromi, Maria. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:623-655. Full description at Econpapers || Download paper |
| 2017 | Fund Volatility Index using equity market state prices. (2017). O'Neill, Michael J ; Smith, Tom ; Liu, Zhangxin. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:837-853. Full description at Econpapers || Download paper |
| 2018 | Partial moment volatility indices. (2018). Liu, Zhangxin ; O'Neill, Michael J. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:1:p:195-215. Full description at Econpapers || Download paper |
| 2018 | International compliance with new Basel Accord principles for risk governance. (2018). Wright, Sue ; Magee, Shane ; Sheedy, Elizabeth . In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:1:p:279-311. Full description at Econpapers || Download paper |
| 2018 | A review of research on regulation changes in the Asiaâ€Pacific region. (2018). Chang, Millicent ; Wee, Marvin ; Jackson, Andrew B. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:635-667. Full description at Econpapers || Download paper |
| 2017 | ESTIMATING THE RETURN OF THE FINANCIAL TITLES OF THE COMPANIES FROM THE MANUFACTURING INDUSTRY, LISTED ON THE BUCHAREST STOCK EXCHANGE. (2017). Nicolae, Baltes ; Alexandra-Gabriela, Dragoe . In: Revista Economica. RePEc:blg:reveco:v:69:y:2017:i:3:p:19-28. Full description at Econpapers || Download paper |
| 2017 | Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48. Full description at Econpapers || Download paper |
| 2017 | A Study on the Volatility of the Bangladesh Stock Market — Based on GARCH Type Models. (2017). Bhowmik, Roni ; Kumar, Jewel Roy ; Shouyang, Wang ; Chao, WU. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:5:y:2017:i:3:p:193-215:n:1. Full description at Econpapers || Download paper |
| 2017 | Cross country relations in European tourist arrivals. (2017). Silva, Emmanuel Sirimal ; Hassani, Hossein ; Heravi, Saeed ; Ghodsi, Mansi . In: Annals of Tourism Research. RePEc:eee:anture:v:63:y:2017:i:c:p:151-168. Full description at Econpapers || Download paper |
| 2018 | New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. (2018). Tsuji, Chikashi. In: Applied Energy. RePEc:eee:appene:v:229:y:2018:i:c:p:1202-1217. Full description at Econpapers || Download paper |
| 2018 | Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2018). Chowdhury, Biplob ; Dungey, Mardi ; JEYASREEDHARAN, NAGARATNAM . In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:29-47. Full description at Econpapers || Download paper |
| 2019 | Modeling financial durations using penalized estimating functions. (2019). Zhang, Yaohua ; Thavaneswaran, Aerambamoorthy ; Ravishanker, Nalini ; Zou, Jian. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:145-158. Full description at Econpapers || Download paper |
| 2017 | Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect. (2017). Ahmed, Abdullahi ; Huo, Rui. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:260-272. Full description at Econpapers || Download paper |
| 2017 | Informativeness of the market news sentiment in the Taiwan stock market. (2017). Hsu, Yen-Ju ; Chen, Jen-Nan ; Wei, Yu-Chen ; Lu, Yang-Cheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:158-181. Full description at Econpapers || Download paper |
| 2019 | Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data. (2019). Mohamed, Ibrahim ; Chan, Jennifer So-Kuen ; Ng, Kok-Haur ; Tan, Shay-Kee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:537-551. Full description at Econpapers || Download paper |
| 2017 | Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367. Full description at Econpapers || Download paper |
| 2017 | Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212. Full description at Econpapers || Download paper |
| 2018 | Financial distress and bankruptcy prediction: An appropriate model for listed firms in Vietnam. (2018). Vo, Binh Pham ; Do, Trung. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:4:p:616-624. Full description at Econpapers || Download paper |
| 2017 | Economic lot sampling inspection from defect counts with minimum conditional value-at-risk. (2017). Fernandez, Arturo J. In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:2:p:573-580. Full description at Econpapers || Download paper |
| 2018 | Tactical sales forecasting using a very large set of macroeconomic indicators. (2018). Aghezzaf, El-Houssaine ; Desmet, Bram ; Sagaert, Yves R ; Kourentzes, Nikolaos. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:2:p:558-569. Full description at Econpapers || Download paper |
| 2019 | Strategic fire-sales and price-mediated contagion in the banking system. (2019). Wagalath, Lakshithe ; Braouezec, Yann. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:3:p:1180-1197. Full description at Econpapers || Download paper |
| 2018 | Government connections and the persistence of profitability: Evidence from Chinese listed firms. (2018). Liu, LI ; Wang, Peipei ; Tian, Gary. In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:110-129. Full description at Econpapers || Download paper |
| 2017 | Optimal hedging in the US natural gas market: The effect of maturity and cointegration. (2017). Ghoddusi, Hamed ; Emamzadehfard, Sahar . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:92-105. Full description at Econpapers || Download paper |
| 2017 | Hedging downside risk of oil refineries: A vine copula approach. (2017). Sukcharoen, Kunlapath ; Leatham, David. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:493-507. Full description at Econpapers || Download paper |
| 2018 | Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model. (2018). Ji, Qiang ; Bouri, Elie ; Hussain, Syed Jawad ; Roubaud, David. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:14-27. Full description at Econpapers || Download paper |
| 2019 | Good and bad volatility spillovers: An asymmetric connectedness. (2019). Bensaida, Ahmed. In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95. Full description at Econpapers || Download paper |
| 2018 | The impact of Chinese financial markets on commodity currency exchange rates. (2018). Ma, Xiuying ; Wang, Chengqi ; Xu, Xiangyun ; Yang, Zhihua. In: Global Finance Journal. RePEc:eee:glofin:v:37:y:2018:i:c:p:186-198. Full description at Econpapers || Download paper |
| 2019 | Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market. (2019). Tiwari, Aviral Kumar ; Boako, Gideon ; Roubaud, David. In: International Economics. RePEc:eee:inteco:v:158:y:2019:i:c:p:77-90. Full description at Econpapers || Download paper |
| 2017 | Coupling detrended fluctuation analysis of Asian stock markets. (2017). Zhu, Yingming ; Yang, Liansheng ; Wang, Qizhen . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:337-350. Full description at Econpapers || Download paper |
| 2017 | A new parametric method of estimating the joint probability density. (2017). Alghalith, Moawia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:799-803. Full description at Econpapers || Download paper |
| 2018 | Hidden Markov model analysis of extreme behaviors of foreign exchange rates. (2018). Liu, Wei-Han. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1007-1019. Full description at Econpapers || Download paper |
| 2018 | Whether the fluctuation of China’s financial markets have impact on global commodity prices?. (2018). Liao, Jia ; Xu, Xiangyun ; Qian, QI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1030-1040. Full description at Econpapers || Download paper |
| 2018 | Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market. (2018). Yu, Honghai ; Sun, Wencong ; Fang, Libing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:931-940. Full description at Econpapers || Download paper |
| 2017 | A literature review of technical analysis on stock markets. (2017). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Lima, Jessica ; Farias, Rodolfo Toribio . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:115-126. Full description at Econpapers || Download paper |
| 2019 | The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks. (2019). Park, Jin Suk ; Newaz, Mohammad Khaleq. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:79-94. Full description at Econpapers || Download paper |
| 2019 | Comparing relative valuation efficiency between two stock markets. (2019). Chang, Yu-Wei ; Yi, Ronghua ; Chen, Jun ; Xing, Wen. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:159-167. Full description at Econpapers || Download paper |
| 2018 | Dynamic hedging performance and downside risk: Evidence from Nikkei index futures. (2018). Ubukata, Masato. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:270-281. Full description at Econpapers || Download paper |
| 2019 | Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate. (2019). Yang, Lu ; Zeng, Yu-Feng ; Chen, Wang ; Hu, Shichao ; Peng, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:137-149. Full description at Econpapers || Download paper |
| 2019 | Fossil fuel share in the energy mix and economic growth. (2019). Kibria, Ahsan ; Oladi, Reza ; Akhundjanov, Sherzod B. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:253-264. Full description at Econpapers || Download paper |
| 2017 | Performance persistence in Chinese securities investment funds. (2017). Sherman, Meadhbh ; Gao, Jun ; Osullivan, Niall. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1467-1477. Full description at Econpapers || Download paper |
| 2017 | Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:100161. Full description at Econpapers || Download paper |
| 2018 | Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, H ; Ilomaki, J ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111556. Full description at Econpapers || Download paper |
| 2019 | Corporate Financial Distress of Industry Level Listings in an Emerging Market. (2019). Vo, Duc ; McAleer, Michael ; Pham, T. V.-T., ; Pham, B. V.-N., . In: Econometric Institute Research Papers. RePEc:ems:eureir:115613. Full description at Econpapers || Download paper |
| 2019 | Risk Analysis of Energy in Vietnam. (2019). Vo, Duc ; McAleer, Michael ; Duong, T. N.-T., ; Tran, N P. In: Econometric Institute Research Papers. RePEc:ems:eureir:115616. Full description at Econpapers || Download paper |
| 2017 | Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901. Full description at Econpapers || Download paper |
| 2018 | The Relationship Between Prices of Various Metals, Oil and Scarcity. (2018). Popp, Jozsef ; Mate, Domician ; Lakner, Zoltan ; Fekete, Maria Farkas ; Olah, Judit. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:9:p:2392-:d:169104. Full description at Econpapers || Download paper |
| 2018 | On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate. (2018). Yin, Hong-Ming ; Wu, Yuan ; Liang, Jin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:87-:d:188515. Full description at Econpapers || Download paper |
| 2019 | Herding in Smart-Beta Investment Products. (2019). Schenk-Hoppé, Klaus ; Krkoska, Eduard. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:47-:d:215980. Full description at Econpapers || Download paper |
| 2019 | VIX Futures as a Market Timing Indicator. (2019). Hourvouliades, Nikolas ; Fassas, Athanasios P. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:113-:d:244838. Full description at Econpapers || Download paper |
| 2018 | Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:105-:d:171554. Full description at Econpapers || Download paper |
| 2018 | On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets. (2018). Candila, Vincenzo ; Farace, Salvatore . In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:116-:d:174522. Full description at Econpapers || Download paper |
| 2018 | Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia. (2018). Vo, Duc ; Pham, Thach ; Powell, Robert J. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:121-:d:175543. Full description at Econpapers || Download paper |
| 2018 | The Asymptotic Decision Scenarios of an Emerging Stock Exchange Market: Extreme Value Theory and Artificial Neural Network. (2018). Musah, Abdul-Aziz Ibn ; Abdul-Rasheed, Alhassan Alolo ; Ud, Hira Salah. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:132-:d:183344. Full description at Econpapers || Download paper |
| 2018 | Is Liquidity Risk Priced? Theory and Evidence. (2018). Hur, Seok-Kyun ; Liu, Chang ; Chung, Chune Young. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1809-:d:149805. Full description at Econpapers || Download paper |
| 2017 | “Resolution of optimization problems and construction of efficient portfolios: An application to the Euro Stoxx 50 index. (2017). Sosvilla-Rivero, Simon ; Adame-Garcia, Victor ; Fernandez-Rodriguez, Fernando. In: IREA Working Papers. RePEc:ira:wpaper:201702. Full description at Econpapers || Download paper |
| 2019 | Firm Value and the Impact of Operational Management. (2019). Karathanasopoulos, Andreas ; Mitra, Sovan. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:1:d:10.1007_s10690-018-9258-1. Full description at Econpapers || Download paper |
| 2019 | Extreme spillovers of VIX fear index to international equity markets. (2019). Tongurai, Jittima ; Boonchoo, Pattana ; Padungsaksawasdi, Chaiyuth ; Cheuathonghua, Massaporn. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:1:d:10.1007_s11408-018-0323-6. Full description at Econpapers || Download paper |
| 2018 | Variance Persistence in the Greater China Region: A Multivariate GARCH Approach. (2018). Diaz, John Francis ; Tan, Genevieve Liao ; Qian, Peh Ying. In: Lahore Journal of Economics. RePEc:lje:journl:v:23:y:2018:i:2:p:49-68. Full description at Econpapers || Download paper |
| 2018 | Comparison of the Impact of Econometric Models on Hedging Performance by Crude Oil and Natural Gas. (2018). Benada, Ludk. In: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. RePEc:mup:actaun:actaun_2018066020423. Full description at Econpapers || Download paper |
| 2017 | A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk. (2017). Li, Longqing. In: MPRA Paper. RePEc:pra:mprapa:85645. Full description at Econpapers || Download paper |
| 2018 | Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries using Vine Copulas. (2018). Tiwari, Aviral ; GUPTA, RANGAN ; Pradhan, Ashis Kumar ; Cekin, Semih Emre. In: Working Papers. RePEc:pre:wpaper:201867. Full description at Econpapers || Download paper |
| 2018 | Volatility of ruble exchange rate: Oil and sanctions. (2018). Peresetsky, Anatoly ; Aganin, Artem. In: Applied Econometrics. RePEc:ris:apltrx:0353. Full description at Econpapers || Download paper |
| 2017 | The Relationship between Stock and Exchange Rates for BRICS Countries Pre - and Post - Crisis: A Mixed C - VINE Copula Model. (2017). Han, Yingying ; Zhou, Xiang. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:1:p:38-59. Full description at Econpapers || Download paper |
| 2017 | The nature of sellers’ cyber credit in C2C e-commerce: the perspective of social capital. (2017). Liang, Kun ; Jia, Zelin ; Ning, Weihong ; Lin, Zhangxi ; Jiang, Cuiqing. In: Electronic Commerce Research. RePEc:spr:elcore:v:17:y:2017:i:1:d:10.1007_s10660-016-9231-x. Full description at Econpapers || Download paper |
| 2017 | Dynamic responses and tail-dependence among commodities, the US real interest rate and the dollar. (2017). Mollick, Andre ; Nguyen, Khoa Huu ; Huang, Wanling . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1165-6. Full description at Econpapers || Download paper |
| 2017 | The application of technical trading rules developed from spot market prices on futures market prices using CAPM. (2017). Er, Hakan ; Hushmat, Adnan. In: Eurasian Business Review. RePEc:spr:eurasi:v:7:y:2017:i:3:d:10.1007_s40821-016-0056-2. Full description at Econpapers || Download paper |
| 2019 | People have the power: post IPO effects of intellectual capital disclosure. (2019). Cardi, Cristiana ; Severini, Sabrina ; Mazzoli, Camilla. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:43:y:2019:i:2:d:10.1007_s12197-018-9439-9. Full description at Econpapers || Download paper |
| 2018 | Performance and Persistence in Performance of Actively Managed Chinese Equity Funds. (2018). Zia-Ur-Rehman Rao, ; Umar, Muhammad ; Tauni, Muhammad Zubair ; Ahsan, Tanveer. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:16:y:2018:i:3:d:10.1007_s40953-017-0104-5. Full description at Econpapers || Download paper |
| 2019 | Conditional Dependence Modelling with Regular Vine Copulas. (2019). Omari, Cyprian ; Waititu, Anthony ; Mwita, Peter . In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:8:y:2019:i:1:f:8_1_5. Full description at Econpapers || Download paper |
| 2018 | Economic cycles and downside commodities risk. (2018). Vo, Duc ; Powell, Robert ; Pham, Thach. In: Applied Economics Letters. RePEc:taf:apeclt:v:25:y:2018:i:4:p:258-263. Full description at Econpapers || Download paper |
| 2017 | New perspectives on bank risk in Malaysia. (2017). Powell, R J ; McMillan, David. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1326217. Full description at Econpapers || Download paper |
| 2017 | The dynamics of price discovery for cross-listed stocks evidence from US and Chinese markets. (2017). Duppati, Geeta ; Hadsell, Lester ; Scrimgeour, Frank ; Hou, Yang. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1389675. Full description at Econpapers || Download paper |
| 2017 | Testing weak exogeneity in multiplicative error models. (2017). Xu, Yongdeng ; Luintel, Kul B. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:10:p:1617-1630. Full description at Econpapers || Download paper |
| 2017 | The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data. (2017). Xu, Yongdeng ; Taylor, Nick. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:7:p:1021-1035. Full description at Econpapers || Download paper |
| 2017 | Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170038. Full description at Econpapers || Download paper |
| 2018 | Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1825. Full description at Econpapers || Download paper |
| 2017 | Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory. (2017). Giles, David ; Chen, Qinlu . In: Econometrics Working Papers. RePEc:vic:vicewp:1704. Full description at Econpapers || Download paper |
| 2018 | Coordinating Supply Chain with Buy-Back Contracts in the Presence of Risk Aversion. (2018). Luo, Chunlin ; Cai, Qiang ; Mao, Xiaobing ; Tian, Xin. In: Asia-Pacific Journal of Operational Research (APJOR). RePEc:wsi:apjorx:v:35:y:2018:i:02:n:s0217595918400080. Full description at Econpapers || Download paper |
| 2019 | Exploiting ergodicity in forecasts of corporate profitability. (2019). Milaković, Mishael ; Alfarano, Simone ; Mundt, Philipp. In: BERG Working Paper Series. RePEc:zbw:bamber:147. Full description at Econpapers || Download paper |
Works by David Edmund Allen:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2005 | Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets In: Accounting and Finance. [Full Text][Citation analysis] | article | 16 |
| 2006 | Benchmarking Australian fixed interest fund performance: finding the optimal factors In: Accounting and Finance. [Full Text][Citation analysis] | article | 0 |
| 2009 | Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective In: Accounting and Finance. [Full Text][Citation analysis] | article | 7 |
| 2012 | The Global Financial Crisis: some attributes and responses In: Accounting and Finance. [Full Text][Citation analysis] | article | 4 |
| 1993 | WHATS SO SUPER ABOUT SUPER? In: Economic Papers. [Full Text][Citation analysis] | article | 0 |
| 2013 | Making sense of digital traces: An activity theory driven ontological approach In: Journal of the American Society for Information Science and Technology. [Full Text][Citation analysis] | article | 0 |
| 1999 | A Test of the Persistence in the Performance of UK Managed Funds In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 15 |
| 2004 | Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 1 |
| 1986 | Technical Change, Economies of Scope and Contestable Markets In: South African Journal of Economics. [Full Text][Citation analysis] | article | 0 |
| 2013 | Financial dependence analysis: applications of vine copulas In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 7 |
| 2013 | Financial Dependence Analysis: Applications of Vine Copulae.(2013) In: KIER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2013 | Financial Dependence Analysis: Applications of Vine Copulae.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2013 | Financial Dependence Analysis: Applications of Vine Copulae.(2013) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2010 | Realized Volatility Risk In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 23 |
| 2010 | Realized Volatility Risk.(2010) In: CARF F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2010 | REALIZED VOLATILITY RISK.(2010) In: KIER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2013 | Realized Volatility Risk.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2009 | Realized Volatility Risk.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2013 | Realized volatility risk.(2013) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2013 | Recent Developments in Financial Economics and Econometrics: An Overview In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 4 |
| 2013 | Recent developments in financial economics and econometrics: An overview.(2013) In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2013 | Recent Developments in Financial Economics and Econometrics: An Overview.(2013) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2013 | Recent Developments in Financial Economics and Econometrics:An Overview.(2013) In: KIER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2013 | Recent Developments in Financial Economics and Econometrics: An Overview.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2013 | Recent Developments in Financial Economics and Econometrics: An Overview.(2013) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2013 | Risk Modeling and Management: An Overview In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Risk Modelling and Management: An Overview.(2013) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2013 | Risk Modelling and Management: An Overview.(2013) In: KIER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2013 | Risk Modelling and Management: An Overview.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2013 | Risk Modelling and Management: An Overview.(2013) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2013 | A Capital Adequacy Buffer Model In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2013 | A Capital Adequacy Buffer Model.(2013) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | A capital adequacy buffer model.(2016) In: Applied Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2013 | A Capital Adequacy Buffer Model.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2013 | A Capital Adequacy Buffer Model.(2013) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2014 | Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2014 | Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series.(2014) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2014 | Risk Measurement and Risk Modelling Using Applications of Vine Copulas In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 7 |
| 2017 | Risk Measurement and Risk Modelling Using Applications of Vine Copulas.(2017) In: Sustainability. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 2014 | Risk Measurement and Risk Modelling using Applications of Vine Copulas.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2014 | Risk Measurement and risk modelling using applications of Vine Copulas.(2014) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2014 | Asymmetric Realized Volatility Risk In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 3 |
| 2014 | Asymmetric Realized Volatility Risk.(2014) In: Journal of Risk and Financial Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2014 | Asymmetric Realized Volatility Risk.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2014 | Asymmetric Realized Volatility Risk.(2014) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2014 | Volatility Spillovers from Australias major trading partners across the GFC In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Volatility Spillovers from Australias major trading partners across the GFC.(2017) In: International Review of Economics & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2014 | Volatility Spillovers from Australias Major Trading Partners across the GFC.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2014 | Volatility Spillovers from Australias major trading partners across the GFC.(2014) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2014 | European Market Portfolio Diversifcation Strategies across the GFC In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
| 2014 | European Market Portfolio Diversification Strategies across the GFC.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2014 | European Market Portfolio Diversification Strategies across the GFC.(2014) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2014 | Hedge Fund Portfolio Diversification Strategies Across the GFC In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Hedge Fund Portfolio Diversification Strategies across the GFC.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2014 | Hedge Fund Portfolio Diversification Strategies Across the GFC.(2014) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2013 | Estimating and simulating Weibull models of risk or price durations: An application to ACD models In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 7 |
| 2013 | EVT and tail-risk modelling: Evidence from market indices and volatility series In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 9 |
| 2017 | Efficient modelling and forecasting with range based volatility models and its application In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2013 | The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2008 | Econometric modelling in finance and risk management: An overview In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2007 | Econometric modelling in finance and risk management: An overview.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2008 | Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
| 2016 | Take it to the limit: Innovative CVaR applications to extreme credit risk measurement In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 8 |
| 2002 | A hidden Markov chain model for the term structure of bond credit risk spreads In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 7 |
| 1998 | Determinants of the cross-section of stock returns in the Malaysian stock market In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 3 |
| 2004 | Do UK stock prices deviate from fundamentals? In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 9 |
| 2005 | Some statistical models for durations and an application to News Corporation stock prices In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 0 |
| 2008 | Long-run underperformance of seasoned equity offerings: Fact or an illusion? In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 2 |
| 2009 | Modelling and managing financial risk: An overview In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 1 |
| 2009 | Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 8 |
| 2009 | Modelling interstate tourism demand in Australia: A cointegration approach In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 7 |
| 2009 | The suitability of a monetary union in East Asia: What does the cointegration approach tell? In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 5 |
| 2011 | Monte Carlo option pricing with asymmetric realized volatility dynamics In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 1 |
| 2011 | Investigating other leading indicators influencing Australian domestic tourism demand In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 7 |
| 2013 | Modelling tail credit risk using transition matrices In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 6 |
| 2013 | Volatility spillovers from the Chinese stock market to economic neighbours In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 12 |
| 2011 | Volatility Spillovers from the Chinese Stock Market to Economic Neighbours.(2011) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2011 | Volatility Spillovers from the Chinese Stock Market to Economic Neighbours.(2011) In: KIER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2011 | Volatility Spillovers from the Chinese Stock Market to Economic Neighbours.(2011) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2013 | Extreme market risk and extreme value theory In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 6 |
| 1994 | Australian domestic portfolio diversification and estimation risk: A review of investment strategies In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 1 |
| 1995 | Australian domestic porfolio diversification and estimation risk: A review of investment strategies.(1995) In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2007 | AUSFTA and its Implications for the Australian Stock Market In: Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2018 | Fake News and Indifference to Truth In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond: Comment In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyondâ€: Comment.(2018) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Cointegrated Dynamics for A Generalized Long Memory Process In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Fake News and Propaganda: Trumps Democratic America and Hitlers National Socialist (Nazi) Germany In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Fake news and propaganda: Trumps Democratic America and Hitlers National Socialist (Nazi) Germany.(2019) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2019 | Drawbacks in the 3-Factor Approach of Fama and French (2018) In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Multivariate Volatility Impulse Response Analysis of GFC News Events In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Multivariate Volatility Impulse Response Analysis of GFC News Events.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2015 | Multivariate Volatility Impulse Response Analysis of GFC News Events.(2015) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2015 | Daily Market News Sentiment and Stock Prices In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Daily market news sentiment and stock prices.(2019) In: Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2015 | Daily Market News Sentiment and Stock Prices.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2015 | Daily Market News Sentiment and Stock Prices.(2015) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2015 | Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2015 | Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC.(2015) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2015 | Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies.(2016) In: Risks. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2015 | Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series.(2017) In: Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2016 | An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series.(2016) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2018 | A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices.(2018) In: Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2016 | A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2016 | Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Volatility spillover and multivariate volatility impulse response analysis of GFC news events.(2017) In: Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2016 | Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2016 | Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events.(2016) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2016 | A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2016 | A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies.(2016) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2001 | The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management. In: University of Southampton - Department of Accounting and Management Science. [Citation analysis] | paper | 3 |
| 2018 | Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management In: Energies. [Full Text][Citation analysis] | article | 1 |
| 2017 | Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2017 | Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management.(2017) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2013 | A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 In: Journal of Risk and Financial Management. [Full Text][Citation analysis] | article | 1 |
| 2012 | A non-parametric and entropy based analysis of the relationship between the VIX and S&P500.(2012) In: KIER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2013 | A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2012 | A non-parametric and entropy based analysis of the relationship between the VIX and S&P500.(2012) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis In: Journal of Risk and Financial Management. [Full Text][Citation analysis] | article | 2 |
| 2018 | Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2018 | President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change †In: Sustainability. [Full Text][Citation analysis] | article | 0 |
| 2018 | Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models In: Sustainability. [Full Text][Citation analysis] | article | 0 |
| 2009 | Measuring and modelling risk In: Global Business and Economics Review. [Full Text][Citation analysis] | article | 0 |
| 2013 | Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions In: Global Business and Economics Review. [Full Text][Citation analysis] | article | 4 |
| 2012 | The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions In: KIER Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions.(2012) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2012 | Volatility spillovers from the US to Australia and China across the GFC In: KIER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Volatility Spillovers from the US to Australia and China across the GFC.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2012 | Volatility Spillovers from the US to Australia and China across the GFC.(2012) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2013 | Nonparametric Multiple Change Point Analysis of the Global Financial Crisis In: KIER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Nonparametric Multiple Change Point Analysis of the Global Financial Crisis.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2013 | Nonparametric Multiple Change Point Analysis of the Global Financial Crisis.(2013) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS.(2018) In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2008 | Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 1991 | The Determinants of the Capital Structure of Listed Australian Companies: The Financial Managers Perspective In: Australian Journal of Management. [Full Text][Citation analysis] | article | 12 |
| 2000 | Spare Debt Capacity: Company Practices in Australia, Britain and Japan In: Australian Journal of Management. [Full Text][Citation analysis] | article | 1 |
| 2005 | An Examination of the Role of Time and its Impact on Price Revision In: Australian Journal of Management. [Full Text][Citation analysis] | article | 0 |
| 2012 | The fluctuating default risk of Australian banks In: Australian Journal of Management. [Full Text][Citation analysis] | article | 7 |
| 2019 | Robust newsvendor problems: effect of discrete demands In: Annals of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2018 | Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather In: Scientometrics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Fake News and Indifference to Scientific Fact: President Trumps Confused Tweets on Global Warming, Climate Change and Weather.(2018) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2012 | A Gourmets delight: CAViaR and the Australian stock market In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2012 | Beyond reasonable doubt: multiple tail risk measures applied to European industries In: Applied Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 1995 | The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk In: Applied Economics Letters. [Full Text][Citation analysis] | article | 6 |
| 2010 | Empirical performance of affine option pricing models: evidence from the Australian index options market In: Applied Financial Economics. [Full Text][Citation analysis] | article | 1 |
| 1999 | The long-run performance of initial public offerings in Thailand In: Applied Financial Economics. [Full Text][Citation analysis] | article | 10 |
| 2002 | Purchasing Power Parity-evidence from a new panel test In: Applied Economics. [Full Text][Citation analysis] | article | 12 |
| 2005 | Forecasting profitability and earnings: a study of the UK market (1982-2000) In: Applied Economics. [Full Text][Citation analysis] | article | 8 |
| 2017 | Tail dependence analysis of stock markets using extreme value theory In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
| 2015 | Semiparametric Autoregressive Conditional Duration Model: Theory and Practice In: Econometric Reviews. [Full Text][Citation analysis] | article | 4 |
| 2013 | Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2018 | Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Fake news and indifference to truth: Dissecting tweets and State of the Union Addresses by Presidents Obama and Trump.(2018) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Carpooling with heterogeneous users in the bottleneck model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Drawbacks in the 3-factor approach of Fama and French In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Using Regression Techniques to Estimate Futures Hedge Ratios Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures In: Published Paper Series. [Citation analysis] | paper | 0 |
| 2011 | QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 0 |
| 2013 | A CLOSER LOOK AT THE CHARACTERISTICS OF STOCK HOLDINGS OF FOREIGN AND LOCAL INVESTORS IN THE INDONESIAN STOCK EXCHANGE (IDX) In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 0 |
| 2013 | THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 0 |
| 2014 | YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 0 |
| 2006 | Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidders Interests? In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). [Full Text][Citation analysis] | article | 0 |
| 2017 | R in Finance and Economics:A Beginners Guide In: World Scientific Books. [Full Text][Citation analysis] | book | 0 |
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