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

499

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: 88.    Total self citations: 48 (8.78 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pal66
   Updated: 2023-01-28    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)

Worthington, Andrew (5)

Pham, Thach (5)

Wong, Wing-Keung (5)

Caporin, Massimiliano (5)

Cites to:

McAleer, Michael (112)

Engle, Robert (50)

Bollerslev, Tim (29)

Diebold, Francis (26)

Bauwens, Luc (21)

Campbell, John (18)

Fama, Eugene (16)

Shephard, Neil (16)

Giot, Pierre (15)

Chang, Chia-Lin (14)

Granger, Clive (14)

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
Annals of Financial Economics (AFE)7
JRFM6
The North American Journal of Economics and Finance4
Applied Economics Letters4
Sustainability4
Australian Journal of Management4
Risks4
Accounting and Finance4
Pacific-Basin Finance Journal2
International Review of Financial Analysis2
Global Business and Economics Review2
Journal of Econometrics2
Energies2
Journal of Business Finance & Accounting2
Advances in Decision Sciences2
Scientometrics2
Applied Financial Economics2

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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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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2022Research on the Volatility of the Cotton Market under Different Term Structures: Perspective from Investor Attention. (2022). Zhou, Qingjie ; Zhu, Panpan ; Wu, You ; Zhang, Yinpeng. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:21:p:14389-:d:961941.

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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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2022Generalized, Partial and Canonical Correlation Coefficients. (2022). Vinod, H D. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:4:d:10.1007_s10614-021-10190-x.

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2022Symmetric and asymmetric nexus between economic freedom and stock market development in Pakistan. (2022). Islam, Kashif ; Haider, Syed Anees ; Bilal, Ahmad Raza. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:55:y:2022:i:4:d:10.1007_s10644-022-09385-5.

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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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2022In Search of Common Currency Anchor for ASEAN+3+3 Countries. (2022). Anwar, Aftab ; Ahmad, Shabbir ; Zafar, Tasneem ; Ur, Jamshaid. In: Journal of Policy Research (JPR). RePEc:rfh:jprjor:v:8:y:2022:i:3:p:237-264.

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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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2022The value of shape constraints in discrete moment problems: a review and extension. (2022). Alharbi, Talal ; Ninh, Anh ; Subasi, Ersoy. In: Annals of Operations Research. RePEc:spr:annopr:v:318:y:2022:i:1:d:10.1007_s10479-022-04789-y.

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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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2022Bayesian Testing of Granger Causality in Functional Time Series. (2022). Sikaria, Shubhangi ; Majumdar, Anandamayee ; Sen, Rituparna. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:20:y:2022:i:1:d:10.1007_s40953-022-00306-x.

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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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2021Predicting COVID-19 Cases and Deaths in the USA from Tests and State Populations In: Advances in Decision Sciences.
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2005Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets In: Accounting and Finance.
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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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2012The Global Financial Crisis: some attributes and responses In: Accounting and Finance.
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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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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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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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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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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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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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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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2014Asymmetric Realized Volatility Risk In: Working Papers in Economics.
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2014Asymmetric Realized Volatility Risk.(2014) In: JRFM.
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2014Asymmetric Realized Volatility Risk.(2014) In: Tinbergen Institute Discussion Papers.
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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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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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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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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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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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2018Cointegrated Dynamics for A Generalized Long Memory Process In: Econometric Institute Research Papers.
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2019Fake News and Propaganda: Trumps Democratic America and Hitlers National Socialist (Nazi) Germany In: Econometric Institute Research Papers.
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2019Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany.(2019) In: Sustainability.
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2019Drawbacks in the 3-Factor Approach of Fama and French (2018) In: Econometric Institute Research Papers.
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2015Multivariate Volatility Impulse Response Analysis of GFC News Events In: Econometric Institute Research Papers.
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2015Multivariate Volatility Impulse Response Analysis of GFC News Events.(2015) In: Tinbergen Institute Discussion Papers.
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2015Daily Market News Sentiment and Stock Prices In: Econometric Institute Research Papers.
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2019Daily market news sentiment and stock prices.(2019) In: Applied Economics.
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2015Daily Market News Sentiment and Stock Prices.(2015) In: Tinbergen Institute Discussion Papers.
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2015Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC In: Econometric Institute Research Papers.
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2015Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC.(2015) In: Tinbergen Institute Discussion Papers.
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2015Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies In: Econometric Institute Research Papers.
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2016Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies.(2016) In: Risks.
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2015Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies.(2015) In: Tinbergen Institute Discussion Papers.
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2016An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series In: Econometric Institute Research Papers.
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2017An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series.(2017) In: Applied Economics.
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2016An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series.(2016) In: Tinbergen Institute Discussion Papers.
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2016A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices In: Econometric Institute Research Papers.
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2018A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices.(2018) In: Applied Economics.
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2016A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices.(2016) In: Tinbergen Institute Discussion Papers.
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2016Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events In: Econometric Institute Research Papers.
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2017Volatility spillover and multivariate volatility impulse response analysis of GFC news events.(2017) In: Applied Economics.
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2016Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events.(2016) In: Tinbergen Institute Discussion Papers.
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2001The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management. In: University of Southampton - Department of Accounting and Management Science.
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2018Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management In: Energies.
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2012A non-parametric and entropy based analysis of the relationship between the VIX and S&P500.(2012) In: KIER Working Papers.
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2013A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500.(2013) In: Tinbergen Institute Discussion Papers.
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2016Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis In: JRFM.
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2018Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants In: Risks.
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2018President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change † In: Sustainability.
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2009Measuring and modelling risk In: Global Business and Economics Review.
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2013Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions In: Global Business and Economics Review.
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2012The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions In: KIER Working Papers.
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2012Volatility spillovers from the US to Australia and China across the GFC In: KIER Working Papers.
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2013Nonparametric Multiple Change Point Analysis of the Global Financial Crisis In: KIER Working Papers.
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2018NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS.(2018) In: Annals of Financial Economics (AFE).
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2011Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis In: Palgrave Macmillan Books.
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2015Aspects of Volatility and Correlations in European Emerging Economies In: Palgrave Macmillan Books.
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2018Carpooling with heterogeneous users in the bottleneck model In: Tinbergen Institute Discussion Papers.
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