10
H index
12
i10 index
382
Citations
David Edmund Allen : Citation Profile
Asia University (50% share) | RESEARCH PRODUCTION: 80 Articles 99 Papers 1 Books 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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34 years (1986 - 2020). 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 (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307. Full description at Econpapers || Download paper |
| 2020 | News media analytics in finance: a survey. (2020). Hahn, Tobias ; Vanstone, Bruce ; Marty, Tom. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1385-1434. Full description at Econpapers || Download paper |
| 2020 | The discrete and differential impact of monetary policy. (2020). McCredie, Bronwyn. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2919-2937. Full description at Econpapers || Download paper |
| 2020 | A response surface analysis of critical values for the lead?lag ratio with application to high frequency and non?synchronous financial data. (2020). Rajaguru, Gulasekaran ; O'Neill, Michael. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3979-3990. Full description at Econpapers || Download paper |
| 2020 | Exploiting ergodicity in forecasts of corporate profitability. (2020). Milaković, Mishael ; Alfarano, Simone ; Mundt, Philipp. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302155. Full description at Econpapers || Download paper |
| 2020 | Price volatility spillovers between supply chain and innovation of financial pledges in China. (2020). Wang, Yinyin ; Zhang, Lang ; Sui, BO ; Chen, DI ; Hu, Haiqing. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:397-413. Full description at Econpapers || Download paper |
| 2020 | Forecasting volatility with component conditional autoregressive range model. (2020). Hou, Xinmeng ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081930083x. Full description at Econpapers || Download paper |
| 2020 | Time-varying lead–lag structure between investor sentiment and stock market. (2020). Li, Hong-Yu ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303973. Full description at Econpapers || Download paper |
| 2020 | Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). RodrÃÂguez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607. Full description at Econpapers || Download paper |
| 2020 | News sentiment, credit spreads, and information asymmetry. (2020). Wang, Xinjie ; Liu, Zhechen ; Yang, Shanxiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300760. Full description at Econpapers || Download paper |
| 2020 | Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. (2020). Singh, Anuradha ; Powell, Robert ; Yong, J ; Do, A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819301342. Full description at Econpapers || Download paper |
| 2020 | Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S.. (2020). Zong, LU ; Wang, Peiwan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302864. Full description at Econpapers || Download paper |
| 2020 | Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229. Full description at Econpapers || Download paper |
| 2020 | Volatility spillovers for energy prices: A diagonal BEKK approach. (2020). Faghihian, Fatemeh ; Ghoddusi, Hamed ; Zolfaghari, Mehdi. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303054. Full description at Econpapers || Download paper |
| 2020 | Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models. (2020). Liu, Jia ; He, Kaijian ; Stafylas, Dimitrios ; Zha, Rui ; Yu, Lean. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918304964. Full description at Econpapers || Download paper |
| 2020 | Volatility and dynamic currency hedging. (2020). McDonald, Judith Ann ; Min, Hong-Ghi ; Cho, Jae-Beom. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s104244311930321x. Full description at Econpapers || Download paper |
| 2020 | Lotka–Volterra signals in ASEAN currency exchange rates. (2020). White, Reilly ; Marinakis, Yorgos D ; Walsh, Steven T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119320862. Full description at Econpapers || Download paper |
| 2020 | Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas. (2020). Tiwari, Aviral ; Pradhan, Ashis ; GUPTA, RANGAN ; Çekin, Semih. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:207-217. Full description at Econpapers || Download paper |
| 2020 | Relationships between agricultural energy and farming indicators. (2020). Martinho, V. J. P. D., . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:132:y:2020:i:c:s1364032120303877. Full description at Econpapers || Download paper |
| 2020 | Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188. Full description at Econpapers || Download paper |
| 2020 | Behavioural analysis of socially responsible investment managers: specialists versus non-specialists. (2020). Vicente, Ruth ; Alda, Mercedes. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920300647. Full description at Econpapers || Download paper |
| 2020 | Managing bottleneck congestion with incentives. (2020). Wu, Ji Yan ; Sun, Jian ; Xu, Xiangdong ; Tian, YE ; Xiao, Feng. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:134:y:2020:i:c:p:143-166. Full description at Econpapers || Download paper |
| 2020 | Fifty years of the bottleneck model: A bibliometric review and future research directions. (2020). Huang, Hai-Jun ; Yang, Hai ; Li, Zhi-Chun. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:139:y:2020:i:c:p:311-342. Full description at Econpapers || Download paper |
| 2021 | Temporal-spatial allocation of bottleneck capacity for managing morning commute with carpool. (2021). Huang, Hai-Jun ; Xiao, Ling-Ling ; Liu, Ronghui. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:143:y:2021:i:c:p:177-200. Full description at Econpapers || Download paper |
| 2020 | A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data. (2020). Vila, Roberto ; Cunha, Danubia R ; Fernandez, Rodrigo N ; Saulo, Helton. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:45-:d:327540. Full description at Econpapers || Download paper |
| 2020 | A Comprehensive Stability Indicator for Banks. (2020). Vo, Duc ; Powell, Robert J. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:13-:d:315737. Full description at Econpapers || Download paper |
| 2020 | The Impact of Term Fake News on the Scientific Community. Scientific Performance and Mapping in Web of Science. (2020). Jimenez, Carmen Rodriguez ; Moreno, Antonio Jose ; Prieto, Mariano Sanz ; Garcia, Gerardo Gomez. In: Social Sciences. RePEc:gam:jscscx:v:9:y:2020:i:5:p:73-:d:355633. Full description at Econpapers || Download paper |
| 2020 | Measurement of Systemic Risk in Global Financial Markets and Its Application in Forecasting Trading Decisions. (2020). Rahman, Sanzidur ; Sriboonchitta, Songsak ; Qi, Yang ; Song, Quanrui ; Liu, Jianxu. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4000-:d:357862. Full description at Econpapers || Download paper |
| 2020 | Social Housing: An Appraisal Model of the Economic Benefits in Urban Regeneration Programs. (2020). Rugolo, Alessandro ; Calabro, Francesco ; della Spina, Lucia. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:2:p:609-:d:308502. Full description at Econpapers || Download paper |
| 2021 | The Discrete Moment Problem with Nonconvex Shape Constraints. (2021). He, Simai ; Chen, XI ; Zhang, Teng ; Ryan, Christopher Thomas ; Jiang, BO. In: Operations Research. RePEc:inm:oropre:v:69:y:2021:i:1:p:279-296. Full description at Econpapers || Download paper |
| 2020 | Volatility and asymmetric dependence in Central and East European stock markets. (2020). Vo, Thi Thuy Anh ; Mollah, Sabur ; Mobarek, Asma ; Joseph, Nathan Lael. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:4:d:10.1007_s11156-020-00874-0. Full description at Econpapers || Download paper |
| 2020 | Consumer marketplace lending in Australia: Credit scores and loan funding success. (2020). Deer, Luke ; Grant, Andrew. In: Australian Journal of Management. RePEc:sae:ausman:v:45:y:2020:i:4:p:607-623. Full description at Econpapers || Download paper |
| 2020 | The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise. (2020). Alola, Andrew Adewale ; Skenderoglu, Omer ; Akdag, Saffet. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:13:y:2020:i:1:d:10.1007_s12076-020-00244-3. Full description at Econpapers || Download paper |
Works by David Edmund Allen:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2018 | FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP In: Advances in Decision Sciences. [Full Text][Citation analysis] | article | 0 |
| 2018 | Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 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 | |
| 2005 | Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets In: Accounting and Finance. [Full Text][Citation analysis] | article | 19 |
| 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 | 11 |
| 2012 | The Global Financial Crisis: some attributes and responses In: Accounting and Finance. [Full Text][Citation analysis] | article | 6 |
| 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 | 2 |
| 2004 | Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 0 |
| 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 | 8 |
| 2013 | Financial Dependence Analysis: Applications of Vine Copulae.(2013) In: KIER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | 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: 8 | 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: 8 | paper | |
| 2020 | Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2018 | Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates.(2018) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2010 | Realized Volatility Risk In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 22 |
| 2010 | Realized Volatility Risk.(2010) In: CARF F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2010 | REALIZED VOLATILITY RISK.(2010) In: KIER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2013 | Realized Volatility Risk.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2009 | Realized Volatility Risk.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2013 | Realized volatility risk.(2013) In: Documentos de Trabajo del ICAE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | 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 | 13 |
| 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: 13 | 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: 13 | 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: 13 | 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 | 4 |
| 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: 4 | 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: 4 | 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: 4 | 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 | 10 |
| 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 | 2 |
| 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 | 27 |
| 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 | 10 |
| 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 | 8 |
| 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 | 4 |
| 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 | 8 |
| 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 | 6 |
| 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 | 9 |
| 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 | 15 |
| 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: 15 | 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: 15 | 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: 15 | paper | |
| 2013 | Extreme market risk and extreme value theory In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 7 |
| 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 | 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 Beyond”: 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 | 1 |
| 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: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany.(2019) In: Sustainability. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 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 | 2 |
| 2019 | Daily market news sentiment and stock prices.(2019) In: Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | 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: 2 | 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: 2 | 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 | 2 |
| 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: 2 | 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: 2 | 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 | 3 |
| 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: 3 | 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: 3 | 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: 3 | 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 | 4 |
| 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: 4 | 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: 4 | 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 | 5 |
| 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: 5 | 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: 5 | paper | |
| 2020 | A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index In: Energies. [Full Text][Citation analysis] | article | 0 |
| 2019 | Risk Analysis and Portfolio Modelling In: Journal of Risk and Financial Management. [Full Text][Citation analysis] | article | 1 |
| 2020 | Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information? In: Journal of Risk and Financial Management. [Full Text][Citation analysis] | article | 0 |
| 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 | 4 |
| 2018 | Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2020 | Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE 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 | 1 |
| 2018 | Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models In: Sustainability. [Full Text][Citation analysis] | article | 1 |
| 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 | 1 |
| 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: 1 | 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: 1 | paper | |
| 2013 | Nonparametric Multiple Change Point Analysis of the Global Financial Crisis In: KIER Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 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: 1 | 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: 1 | 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: 1 | article | |
| 2020 | The Influence of Dust Levels on Atmospheric Carbon Dioxide and Global Temperature In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2013 | The Determinants of Capital Structure: Empirical evidence from Thai Banks In: Information Management and Business Review. [Full Text][Citation analysis] | article | 2 |
| 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 | 16 |
| 2000 | Spare Debt Capacity: Company Practices in Australia, Britain and Japan In: Australian Journal of Management. [Full Text][Citation analysis] | article | 4 |
| 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 | 14 |
| 2019 | Robust newsvendor problems: effect of discrete demands In: Annals of Operations Research. [Full Text][Citation analysis] | article | 3 |
| 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 | 2 |
| 2012 | Beyond reasonable doubt: multiple tail risk measures applied to European industries In: Applied Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 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 | 11 |
| 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 | 9 |
| 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 | Carpooling with heterogeneous users in the bottleneck model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 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 |
| 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 |
| 2019 | Currency Spillover Effects between the US Dollar and Some Major Currencies and Exchange Rate Forecasts Based on Neural Nets In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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