David Edmund Allen : Citation Profile


Are you David Edmund Allen?

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

12

H index

19

i10 index

491

Citations

RESEARCH PRODUCTION:

86

Articles

72

Papers

6

Chapters

RESEARCH ACTIVITY:

   36 years (1986 - 2022). See details.
   Cites by year: 13
   Journals where David Edmund Allen has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 48 (8.91 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pal66
   Updated: 2022-11-19    RAS profile: 2022-08-12    
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Relations with other researchers


Works with:

McAleer, Michael (26)

Powell, Robert (4)

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 (34)

Vo, Duc (21)

Asai, Manabu (12)

Powell, Robert (11)

Tiwari, Aviral (10)

Chang, Chia-Lin (9)

NG, KOK HAUR (6)

Chan, Felix (5)

Pham, Thach (5)

Caporin, Massimiliano (5)

Wong, Wing-Keung (5)

Cites to:

McAleer, Michael (112)

Engle, Robert (50)

Bollerslev, Tim (29)

Diebold, Francis (26)

Campbell, John (18)

Shephard, Neil (16)

Fama, Eugene (16)

Bauwens, Luc (14)

Chang, Chia-Lin (14)

Granger, Clive (14)

Powell, Robert (13)

Main data


Where David Edmund Allen has published?


Journals with more than one article published# docs
Mathematics and Computers in Simulation (MATCOM)12
Annals of Financial Economics (AFE)7
Applied Economics7
JRFM6
Applied Economics Letters4
Australian Journal of Management4
Risks4
The North American Journal of Economics and Finance4
Sustainability4
Accounting and Finance4
Advances in Decision Sciences2
Journal of Econometrics2
International Review of Financial Analysis2
Energies2
Global Business and Economics Review2
Pacific-Basin Finance Journal2
Applied Financial Economics2
Scientometrics2
Journal of Business Finance & Accounting2

Working Papers Series with more than one paper published# docs
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, Germany6

Recent works citing David Edmund Allen (2022 and 2021)


YearTitle of citing document
2021Editorial in Honour of Professor Michael McAleer. (2021). Wong, Wing-Keung ; Tiwari, Aviral ; Moslehpour, Massoud ; Pan, Shin Hung. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:4:p:1-14.

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2021On a quantile autoregressive conditional duration model applied to high-frequency financial data. (2021). Vila, Roberto ; Balakrishnan, Narayanaswamy ; Saulo, Helton. In: Papers. RePEc:arx:papers:2109.03844.

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2022Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2021Stock Index Prediction using Cointegration test and Quantile Loss. (2021). Kang, Minjung ; Lee, Heejoon ; Cheong, Jaeyoung. In: Papers. RePEc:arx:papers:2109.15045.

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2021Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2021Bayesian Testing Of Granger Causality In Functional Time Series. (2021). Sikaria, Shubhangi ; Majumdar, Anandamayee ; Sen, Rituparna. In: Papers. RePEc:arx:papers:2112.15315.

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2022Multifractal cross-correlations of bitcoin and ether trading characteristics in the post-COVID-19 time. (2022). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2208.01445.

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2022The Econometrics of Financial Duration Modeling. (2022). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2208.02098.

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2021India VIX and Forecasting Ability of Symmetric and Asymmetric GARCH Models. (2021). Reddy, Y V ; Naik, Maithili S. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:252-262.

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2022An empirical investigation of the quality of value?at?risk disclosure in Australia. (2022). Smith, Daniel R ; Campbell, Angus. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:469-491.

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2022Do crop prices share common trends and common cycles?. (2022). Vatsa, Puneet. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:2:p:363-382.

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2022Nonlinear spillover and portfolio allocation characteristics of energy equity sectors: Evidence from the United States and Canada. (2022). Yoon, Seong-Min ; Kang, Sang Hoon ; Hernandez, Jose Arreola ; Arreolahernandez, Jose. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:1:p:1-33.

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2021Global financial networks and entrepreneurship. (2021). Inekwe, John. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:5:p:1261-1280.

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2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

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2022‘Modelling’ UK tourism demand using fashion retail sales. (2022). Hassani, Hossein ; Silva, Emmanuel Sirimal. In: Annals of Tourism Research. RePEc:eee:anture:v:95:y:2022:i:c:s0160738322000792.

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2021Forecasting corporate financial distress in the Southeast Asian countries: A market-based approach. (2021). Vo, Duc ; Powell, Robert J ; Dinh, Dung V. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000221.

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2022Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic. (2022). Choi, Sun-Yong. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:179-193.

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2022Herding behaviour heterogeneity under economic and political risks: Evidence from GCC. (2022). Molyneux, Philip ; Albaity, Mohamed ; Mallek, Ray Saadaoui. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:345-361.

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2021Hedging futures performance with denoising and noise-assisted strategies. (2021). Yao, Yinhong ; Su, Kuangxi ; Zheng, Chengli. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000899.

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2021Stock Market’s responses to intraday investor sentiment. (2021). Ryu, Doojin ; Cho, Hoon ; Ik, Sang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001340.

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2022Lessons from naïve diversification about the risk-reward trade-off. (2022). Haensly, Paul J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001856.

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2022Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model. (2022). Zhang, Huanming ; Xie, Haibin ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000559.

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2021Predicting stock prices based on informed traders’ activities using deep neural networks. (2021). Kim, Soonho ; Na, Haejung. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001944.

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2022Autoregressive models for time series of random sums of positive variables: Application to tree growth as a function of climate and insect outbreak. (2022). Debaly, Zinsou Max ; Marchand, Philippe ; Girona, Miguel Montoro. In: Ecological Modelling. RePEc:eee:ecomod:v:471:y:2022:i:c:s0304380022001636.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2022Asset selection based on high frequency Sharpe ratio. (2022). Chen, Min ; Lian, Yimin ; Wang, Christina Dan. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:168-188.

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2023Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831.

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2022Tail risk, systemic risk and spillover risk of crude oil and precious metals. (2022). Benjasak, Chonlakan ; Kumpamool, Chamaiporn ; Chaudhry, Sajid M ; Ahmed, Rizwan. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002298.

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2021Dynamic measurement of news-driven information friction in Chinas carbon market: Theory and evidence. (2021). Xu, Tiantian ; Li, Houxuan ; Cao, Tingting ; Zhang, Heng-Guo. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320303340.

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2022An option pricing model based on a renewable energy price index. (2022). Li, Lei ; Zhu, DI ; Zhao, Laijun ; Ding, Jing ; Xue, Jian. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pb:s0360544221023653.

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2022Research on credit rating and risk measurement of electricity retailers based on Bayesian Best Worst Method-Cloud Model and improved Credit Metrics model in Chinas power market. (2022). Qi, ZE ; Zhao, Yihang ; Li, Bingkang ; Zhang, Yuanyuan. In: Energy. RePEc:eee:energy:v:252:y:2022:i:c:s0360544222009914.

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2022Analysis of risk correlations among stock markets during the COVID-19 pandemic. (2022). Chen, Yun ; Zhang, Chao ; Wu, Junfeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922001818.

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2021Wealth Distribution across Countries: Quality of Weibull, Dagum and Burr XII in Estimating Wealth over Time. (2021). Tzur, Joseph ; Jacobi, Arie. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001045.

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2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

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2021Political uncertainty, COVID-19 pandemic and stock market volatility transmission. (2021). Wohar, Mark ; Gkillas, Konstantinos ; Floros, Christos ; Apostolakis, George N. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001025.

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2021Stock market and deviations from covered interest parity. (2021). Ibhagui, Oyakhilome. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001104.

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2022High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis. (2022). Ziba, Damian ; Yarovaya, Larisa ; Katsiampa, Paraskevi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000610.

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2022Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic. (2022). Marco, Chi Keung ; Lucey, Brian ; Goodell, John W ; Brzeszczyski, Janusz ; Yarovaya, Larisa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000725.

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2022Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches. (2022). Choi, Sun-Yong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001093.

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2022Spillovers between Sukuks and Shariah-compliant equity markets. (2022). Balli, Hatice ; de Bruin, Anne ; Ozerballi, Hatice ; Billah, Mabruk. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:72:y:2022:i:c:s0927538x22000208.

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2022An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective. (2022). Yao, Wenying ; Xing, Shuo ; Cheng, Tingting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22001159.

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2021The effect of online environmental news on green industry stocks: The mediating role of investor sentiment. (2021). Shen, Xiaohong ; Yu, Guangjin ; Wang, Gaoshan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:573:y:2021:i:c:s037843712100251x.

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2021Financial contagion in the futures markets amidst global geo-economic events. (2021). Mohamad, Azhar ; Zainudin, Ahmad Danial. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:288-308.

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2021Does the US-China trade war affect co-movements between US and Chinese stock markets?. (2021). Ke, Jian ; Wang, Liming ; Shi, Yujie. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000982.

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2021Temporal-spatial allocation of bottleneck capacity for managing morning commute with carpool. (2021). Huang, Hai-Jun ; Liu, Ronghui ; Xiao, Ling-Ling. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:143:y:2021:i:c:p:177-200.

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2021Modeling and managing the morning commute problem with park-and-ride-sharing. (2021). Liu, Haoxiang ; Szeto, W Y ; Long, Jiancheng ; Huang, Zhihui. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:150:y:2021:i:c:p:190-226.

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2021Cost-sharing mechanism design for ride-sharing. (2021). Vayanos, Phebe ; Uhan, Nelson A ; Dessouky, Maged M ; Hu, Shichun. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:150:y:2021:i:c:p:410-434.

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2022Influence of dynamic congestion with scheduling preferences on carpooling matching with heterogeneous users. (2022). Geroliminis, Nikolas ; Stokkink, Patrick ; de Palma, Andre. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:155:y:2022:i:c:p:479-498.

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2021In- and Out-of-Sample Performance of Nonlinear Models in International Price Differential Forecasting in a Commodity Country Framework. (2021). Rubino, Nicola. In: Eurasian Journal of Economics and Finance. RePEc:ejn:ejefjr:v:9:y:2021:i:2:p:107-127.

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2021Modelling Ridesharing in a Large Network with Dynamic Congestion. (2021). Javaudin, Lucas ; de Palma, Andre ; Tarpin-Pitre, Leandre ; Stokkink, Patrick. In: THEMA Working Papers. RePEc:ema:worpap:2021-16.

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2022Ride-sharing with Inflexible Drivers in the Paris Metropolitan Area. (2022). de Palma, Andre ; Tarpin-Pitre, Leandre ; Stokkink, Patrick ; Javaudin, Lucas. In: THEMA Working Papers. RePEc:ema:worpap:2022-03.

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2022.

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2022.

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2021Order Routing Decisions for a Fragmented Market: A Review. (2021). Zhao, LE ; Mishra, Suchismita. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:556-:d:680965.

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2021Optimal Returns in Indian Stock Market during Global Pandemic: A Comparative Study. (2021). Srivastava, Hari Mohan ; Debnath, Pradip. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:12:p:592-:d:697507.

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2021Does the Croatian Stock Market Have Seasonal Affective Disorder?. (2021). Škrinjarić, Tihana ; Ego, Boko ; Marasovi, Branka. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:2:p:89-:d:503333.

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2021Modeling of Bank Credit Risk Management Using the Cost Risk Model. (2021). Drobyazko, Svetlana ; Nehoda, Yuliia ; Yanenkova, Iryna ; Berezovska, Lyudmyla ; Zavhorodnii, Andrii. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:211-:d:549906.

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2021Quantile Risk–Return Trade-Off. (2021). Savva, Christos ; Christiansen, Charlotte ; Aslanidis, Nektarios. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:249-:d:568106.

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2022Integrated Intellectual Investment Portfolio as an Efficient Instrument to Manage Personal Financial Investment. (2022). Stasytyt, Viktorija ; Rutkauskas, Aleksandras Vytautas. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:1:p:30-:d:722100.

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2022A Particle Swarm Optimization Copula-Based Approach with Application to Cryptocurrency Portfolio Optimisation. (2022). Mai, Magdaline Mbong ; Mba, Jules Clement. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:7:p:285-:d:849511.

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2022.

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2022.

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2021.

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2022Expectations of Macroeconomic News Announcements: Bitcoin vs. Traditional Assets. (2022). Greta, Ivan ; Mui, Ivan. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:6:p:123-:d:837021.

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2022What Do School Children Know about Climate Change? A Social Sciences Approach. (2022). Hernandez, Maria ; Morote, Alvaro-Francisco. In: Social Sciences. RePEc:gam:jscscx:v:11:y:2022:i:4:p:179-:d:792965.

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2022Rating transitions forecasting: a filtering approach. (2021). Lelong, Jerome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Working Papers. RePEc:hal:wpaper:hal-03347521.

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2021The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment. (2021). Wang, Yue ; Shen, Xiaohong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:5049179.

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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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2022Climate Change and Macro Prices in Nigeria: A Nonlinear Analysis. (2022). Foye, Victoria. In: Managing Global Transitions. RePEc:mgt:youmgt:v:20:y:2022:i:2:p:167-203.

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2021Heterogeneous Households’ Choices of Departure Time and Residential Location in a Multiple-origin Single-destination Rail System: Market Equilibrium and the First-best Solution. (2021). Kono, Tatsuhito ; Konagane, Joji. In: MPRA Paper. RePEc:pra:mprapa:108507.

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2022Re-Study on Dynamic Connectedness between Macroeconomic Indicators and the Stock Market in China. (2022). Hung, Ngo Thai. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2022:i:2:p:104-124.

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2022Do COVID-19 Incidence and Government Intervention Influence Media Indices?. (2022). Kapar, Burcu ; Buigut, Steven. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:79-100.

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2021A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations. (2021). Wang, Mingzheng ; Zhang, Xiaohui ; Yan, Dawen. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03571-2.

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2021Robust newsvendor problems with compound Poisson demands. (2021). Ninh, Anh. In: Annals of Operations Research. RePEc:spr:annopr:v:302:y:2021:i:1:d:10.1007_s10479-021-03996-3.

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2022Portfolio optimization with optimal expected utility risk measures. (2022). Seifried, F T ; Herbinger, J ; Graf, H ; Geissel, S. In: Annals of Operations Research. RePEc:spr:annopr:v:309:y:2022:i:1:d:10.1007_s10479-021-04403-7.

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2022The distributionally robust optimization model for a remanufacturing system under cap-and-trade policy: a newsvendor approach. (2022). Zhang, Yuzhong ; Xu, Jianteng ; Bai, Qingguo. In: Annals of Operations Research. RePEc:spr:annopr:v:309:y:2022:i:2:d:10.1007_s10479-020-03642-4.

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2022Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs. (2022). Mirza, Nawazish ; Naqvi, Bushra ; Abbas, Syed Kumail. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04367-8.

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2021Optimal quantile hedging under Markov regime switching. (2021). Lien, Donald ; Yu, Xiaojian ; Wang, Ziling. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01831-5.

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2021Measuring Market Risk of Commercial Banks Implementing VaR with Historical Simulation Approach. (2021). Minhaz-Ul-Haq, . In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:11:y:2021:i:4:f:11_4_4.

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2021The Behavior of Extreme and Cumulative Stock Price Random Variables during the Crisis Periods-A Study of Nifty 50 Stocks. (2021). Gali, Srilakshminarayana. In: Economic Research Guardian. RePEc:wei:journl:v:11:y:2021:i:1:p:103-129.

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2021Granger causality of bivariate stationary curve time series. (2021). Beyaztas, Ufuk ; Ji, Kaiying ; Shang, Han Lin. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:4:p:626-635.

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2021Systemic risk and macroeconomic forecasting: A globally applicable copula?based approach. (2021). Ashraf, Dawood ; Rizwan, Muhammad Suhail ; Ahmad, Ghufran. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1420-1443.

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2022VECM Modelling of the Price Dynamics for Fuels, Agricultural Commodities and Biofuels. (2022). Kravec, Peter ; Janda, Karel. In: EconStor Preprints. RePEc:zbw:esprep:259404.

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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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