David Edmund Allen : Citation Profile


Are you David Edmund Allen?

Asia University (50% share)
Edith Cowan University (20% share)

10

H index

12

i10 index

382

Citations

RESEARCH PRODUCTION:

80

Articles

99

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   34 years (1986 - 2020). See details.
   Cites by year: 11
   Journals where David Edmund Allen has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 58 (13.18 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pal66
   Updated: 2021-03-01    RAS profile: 2020-12-07    
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Relations with other researchers


Works with:

McAleer, Michael (45)

Powell, Robert (10)

Asai, Manabu (3)

Chang, Chia-Lin (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with David Edmund Allen.

Is cited by:

McAleer, Michael (42)

Vo, Duc (22)

Asai, Manabu (15)

Chang, Chia-Lin (12)

Powell, Robert (10)

Tiwari, Aviral (6)

Caporin, Massimiliano (6)

Chan, Felix (6)

Oxley, Les (5)

Pham, Thach (5)

NG, KOK HAUR (5)

Cites to:

McAleer, Michael (102)

Engle, Robert (39)

Bollerslev, Tim (26)

Diebold, Francis (22)

Chang, Chia-Lin (18)

Campbell, John (16)

Jorion, Philippe (12)

Racine, Jeffrey (12)

Chan, Felix (12)

Powell, Robert (12)

Johansen, Soren (12)

Main data


Where David Edmund Allen has published?


Journals with more than one article published# docs
Mathematics and Computers in Simulation (MATCOM)12
Applied Economics7
Journal of Risk and Financial Management5
Annals of Financial Economics (AFE)5
Accounting and Finance4
Applied Economics Letters4
The North American Journal of Economics and Finance4
Australian Journal of Management4
Sustainability4
Risks3
Applied Financial Economics2
Energies2
Global Business and Economics Review2
Pacific-Basin Finance Journal2
Journal of Business Finance & Accounting2
International Review of Financial Analysis2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econůmicas y Empresariales, Instituto Complutense de AnŠlisis Econůmico30
Tinbergen Institute Discussion Papers / Tinbergen Institute26
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute17
KIER Working Papers / Kyoto University, Institute of Economic Research9
MPRA Paper / University Library of Munich, Germany3

Recent works citing David Edmund Allen (2021 and 2020)


YearTitle of citing document
2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2020News 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.

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2020The 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.

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2020A 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.

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2020Exploiting ergodicity in forecasts of corporate profitability. (2020). Milakovi√Ą‚Ä°, Mishael ; Alfarano, Simone ; Mundt, Philipp. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302155.

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2020Price 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.

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2020Forecasting 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.

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2020Time-varying lead√Ę‚ā¨‚Äúlag 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.

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2020Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). Rodr√É∆í√ā¬≠guez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607.

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2020News 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.

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2020Time-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.

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2020Contagion 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.

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2020Liquidity 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.

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2020Volatility 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.

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2020Dependences 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.

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2020Volatility 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.

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2020Lotka√Ę‚ā¨‚ÄúVolterra 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.

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2020Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas. (2020). Tiwari, Aviral ; Pradhan, Ashis ; GUPTA, RANGAN ; √É∆í√ā‚Ä°ekin, Semih. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:207-217.

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2020Relationships 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.

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2020Volatility 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.

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2020Behavioural 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.

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2020Managing 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.

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2020Fifty 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.

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2021Temporal-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.

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2020A 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.

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2020A 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.

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2020The 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.

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2020Measurement 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.

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2020Social 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.

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2021The 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.

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2020Volatility 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.

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2020Consumer 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.

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2020The 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.

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Works by David Edmund Allen:


YearTitleTypeCited
2018FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP In: Advances in Decision Sciences.
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2018Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump.(2018) In: Tinbergen Institute Discussion Papers.
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2018Fake 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.
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2005Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets In: Accounting and Finance.
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article19
2006Benchmarking Australian fixed interest fund performance: finding the optimal factors In: Accounting and Finance.
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2009Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective In: Accounting and Finance.
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article11
2012The Global Financial Crisis: some attributes and responses In: Accounting and Finance.
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article6
1993WHATS SO SUPER ABOUT SUPER? In: Economic Papers.
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2013Making sense of digital traces: An activity theory driven ontological approach In: Journal of the American Society for Information Science and Technology.
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1999A Test of the Persistence in the Performance of UK Managed Funds In: Journal of Business Finance & Accounting.
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2004Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits In: Journal of Business Finance & Accounting.
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1986Technical Change, Economies of Scope and Contestable Markets In: South African Journal of Economics.
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2013Financial dependence analysis: applications of vine copulas In: Statistica Neerlandica.
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2013Financial Dependence Analysis: Applications of Vine Copulae.(2013) In: KIER Working Papers.
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2013Financial Dependence Analysis: Applications of Vine Copulae.(2013) In: Tinbergen Institute Discussion Papers.
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2013Financial Dependence Analysis: Applications of Vine Copulae.(2013) In: Documentos de Trabajo del ICAE.
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2020Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates In: Journal of Time Series Econometrics.
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2018Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates.(2018) In: Documentos de Trabajo del ICAE.
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2010Realized Volatility Risk In: Working Papers in Economics.
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2010Realized Volatility Risk.(2010) In: CARF F-Series.
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2010REALIZED VOLATILITY RISK.(2010) In: KIER Working Papers.
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2013Realized Volatility Risk.(2013) In: Tinbergen Institute Discussion Papers.
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2009Realized Volatility Risk.(2009) In: CIRJE F-Series.
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2013Realized volatility risk.(2013) In: Documentos de Trabajo del ICAE.
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2013Recent Developments in Financial Economics and Econometrics: An Overview In: Working Papers in Economics.
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2013Recent developments in financial economics and econometrics: An overview.(2013) In: The North American Journal of Economics and Finance.
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2013Recent Developments in Financial Economics and Econometrics: An Overview.(2013) In: Econometric Institute Research Papers.
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2013Recent Developments in Financial Economics and Econometrics:An Overview.(2013) In: KIER Working Papers.
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2013Recent Developments in Financial Economics and Econometrics: An Overview.(2013) In: Tinbergen Institute Discussion Papers.
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2013Recent Developments in Financial Economics and Econometrics: An Overview.(2013) In: Documentos de Trabajo del ICAE.
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2013Risk Modeling and Management: An Overview In: Working Papers in Economics.
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2013Risk Modelling and Management: An Overview.(2013) In: Econometric Institute Research Papers.
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2013Risk Modelling and Management: An Overview.(2013) In: KIER Working Papers.
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2013Risk Modelling and Management: An Overview.(2013) In: Tinbergen Institute Discussion Papers.
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2013Risk Modelling and Management: An Overview.(2013) In: Documentos de Trabajo del ICAE.
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2013A Capital Adequacy Buffer Model In: Working Papers in Economics.
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2013A Capital Adequacy Buffer Model.(2013) In: Econometric Institute Research Papers.
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2016A capital adequacy buffer model.(2016) In: Applied Economics Letters.
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2013A Capital Adequacy Buffer Model.(2013) In: Tinbergen Institute Discussion Papers.
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2013A Capital Adequacy Buffer Model.(2013) In: Documentos de Trabajo del ICAE.
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2014Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series In: Working Papers in Economics.
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2014Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series.(2014) In: Tinbergen Institute Discussion Papers.
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2014Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series.(2014) In: Documentos de Trabajo del ICAE.
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2014Risk Measurement and Risk Modelling Using Applications of Vine Copulas In: Working Papers in Economics.
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2017Risk Measurement and Risk Modelling Using Applications of Vine Copulas.(2017) In: Sustainability.
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2014Risk Measurement and Risk Modelling using Applications of Vine Copulas.(2014) In: Tinbergen Institute Discussion Papers.
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2014Risk Measurement and risk modelling using applications of Vine Copulas.(2014) In: Documentos de Trabajo del ICAE.
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2014Asymmetric Realized Volatility Risk In: Working Papers in Economics.
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2014Asymmetric Realized Volatility Risk.(2014) In: Journal of Risk and Financial Management.
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2014Asymmetric Realized Volatility Risk.(2014) In: Tinbergen Institute Discussion Papers.
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2014Asymmetric Realized Volatility Risk.(2014) In: Documentos de Trabajo del ICAE.
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2014Volatility Spillovers from Australias major trading partners across the GFC In: Working Papers in Economics.
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2017Volatility Spillovers from Australias major trading partners across the GFC.(2017) In: International Review of Economics & Finance.
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2014Volatility Spillovers from Australias Major Trading Partners across the GFC.(2014) In: Tinbergen Institute Discussion Papers.
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2014Volatility Spillovers from Australias major trading partners across the GFC.(2014) In: Documentos de Trabajo del ICAE.
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2014European Market Portfolio Diversifcation Strategies across the GFC In: Working Papers in Economics.
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2014European Market Portfolio Diversification Strategies across the GFC.(2014) In: Tinbergen Institute Discussion Papers.
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2014European Market Portfolio Diversification Strategies across the GFC.(2014) In: Documentos de Trabajo del ICAE.
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2014Hedge Fund Portfolio Diversification Strategies Across the GFC In: Working Papers in Economics.
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2014Hedge Fund Portfolio Diversification Strategies across the GFC.(2014) In: Tinbergen Institute Discussion Papers.
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2014Hedge Fund Portfolio Diversification Strategies Across the GFC.(2014) In: Documentos de Trabajo del ICAE.
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2013Estimating and simulating Weibull models of risk or price durations: An application to ACD models In: The North American Journal of Economics and Finance.
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2013EVT and tail-risk modelling: Evidence from market indices and volatility series In: The North American Journal of Economics and Finance.
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2017Efficient modelling and forecasting with range based volatility models and its application In: The North American Journal of Economics and Finance.
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2013The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics In: Economics Letters.
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2008Econometric modelling in finance and risk management: An overview In: Journal of Econometrics.
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2007Econometric modelling in finance and risk management: An overview.(2007) In: MPRA Paper.
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2008Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks In: Journal of Econometrics.
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2016Take it to the limit: Innovative CVaR applications to extreme credit risk measurement In: European Journal of Operational Research.
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2002A hidden Markov chain model for the term structure of bond credit risk spreads In: International Review of Financial Analysis.
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1998Determinants of the cross-section of stock returns in the Malaysian stock market In: International Review of Financial Analysis.
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2004Do UK stock prices deviate from fundamentals? In: Mathematics and Computers in Simulation (MATCOM).
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2005Some statistical models for durations and an application to News Corporation stock prices In: Mathematics and Computers in Simulation (MATCOM).
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2008Long-run underperformance of seasoned equity offerings: Fact or an illusion? In: Mathematics and Computers in Simulation (MATCOM).
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2009Modelling and managing financial risk: An overview In: Mathematics and Computers in Simulation (MATCOM).
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2009Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market In: Mathematics and Computers in Simulation (MATCOM).
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2009Modelling interstate tourism demand in Australia: A cointegration approach In: Mathematics and Computers in Simulation (MATCOM).
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2009The suitability of a monetary union in East Asia: What does the cointegration approach tell? In: Mathematics and Computers in Simulation (MATCOM).
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2011Monte Carlo option pricing with asymmetric realized volatility dynamics In: Mathematics and Computers in Simulation (MATCOM).
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2011Investigating other leading indicators influencing Australian domestic tourism demand In: Mathematics and Computers in Simulation (MATCOM).
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2013Modelling tail credit risk using transition matrices In: Mathematics and Computers in Simulation (MATCOM).
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2013Volatility spillovers from the Chinese stock market to economic neighbours In: Mathematics and Computers in Simulation (MATCOM).
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2011Volatility Spillovers from the Chinese Stock Market to Economic Neighbours.(2011) In: Econometric Institute Research Papers.
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2011Volatility Spillovers from the Chinese Stock Market to Economic Neighbours.(2011) In: KIER Working Papers.
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2011Volatility Spillovers from the Chinese Stock Market to Economic Neighbours.(2011) In: Documentos de Trabajo del ICAE.
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2013Extreme market risk and extreme value theory In: Mathematics and Computers in Simulation (MATCOM).
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1994Australian domestic portfolio diversification and estimation risk: A review of investment strategies In: Pacific-Basin Finance Journal.
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1995Australian domestic porfolio diversification and estimation risk: A review of investment strategies.(1995) In: Pacific-Basin Finance Journal.
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2007AUSFTA and its Implications for the Australian Stock Market In: Chapters.
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2018Fake News and Indifference to Truth In: Econometric Institute Research Papers.
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2018Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond: Comment In: Econometric Institute Research Papers.
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