David Edmund Allen : Citation Profile


Are you David Edmund Allen?

Asia University (50% share)
Edith Cowan University (48% share)

13

H index

22

i10 index

550

Citations

RESEARCH PRODUCTION:

96

Articles

73

Papers

6

Chapters

RESEARCH ACTIVITY:

   37 years (1986 - 2023). See details.
   Cites by year: 14
   Journals where David Edmund Allen has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 49 (8.18 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pal66
   Updated: 2024-01-16    RAS profile: 2024-01-04    
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Relations with other researchers


Works with:

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

Is cited by:

Vo, Duc (21)

Asai, Manabu (12)

Powell, Robert (11)

Tiwari, Aviral (10)

Chang, Chia-Lin (9)

NG, KOK HAUR (7)

Caporin, Massimiliano (6)

Vinod, Hrishikesh (5)

Worthington, Andrew (5)

Chan, Felix (5)

Wong, Wing-Keung (5)

Cites to:

Engle, Robert (51)

Bollerslev, Tim (32)

Diebold, Francis (29)

Bauwens, Luc (21)

Campbell, John (18)

Shephard, Neil (16)

Fama, Eugene (16)

Giot, Pierre (15)

Johansen, Soren (15)

Chang, Chia-Lin (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)9
Applied Economics7
JRFM6
Risks5
Australian Journal of Management4
Accounting and Finance4
Applied Economics Letters4
The North American Journal of Economics and Finance4
Sustainability4
Journal of Econometrics2
Scientometrics2
Energies2
Global Business and Economics Review2
International Review of Financial Analysis2
Pacific-Basin Finance Journal2
Journal of Business Finance & Accounting2
Advances in Decision Sciences2

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 (2024 and 2023)


YearTitle of citing document
2023El-Déficit-Fiscal-Deteriora-el-Tipo-de-Cambio-Real.-Evidencias-por-medio-de-un-modelo-de-EGDE-para-Argentina. (2023). la Rosa, DE ; Jorge, Oviedo ; Daniel, Mamondi Victor. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4666.

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2023Rating 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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2023Bitcoin 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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2023.

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2023Foreign exchange hedging using regime-switching models: the case of pound sterling. (2023). Fatouh, Mahmoud ; Papapostolou, Nikos C ; Moutzouris, Ioannis C ; Lee, Taehyun. In: Bank of England working papers. RePEc:boe:boeewp:1042.

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2023Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis. (2023). , Mike. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000130.

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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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2023The US-China trade war and the volatility linkages between energy and agricultural commodities. (2023). Poon, Wai-Ching ; Bouri, Elie ; Hasanov, Akram Shavkatovich ; Ling, Natalie Fang. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001032.

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2023Hedging effectiveness of bitcoin and gold: Evidence from G7 stock markets. (2023). Kinkyo, Takuji ; Xu, Lei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s104244312300032x.

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2023Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic. (2023). Caporin, Massimiliano ; Khosravi, Reza ; Ghazani, Majid Mirzaee. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006006.

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2023Dependence structure among rare earth and financial markets: A multiscale-vine copula approach. (2023). Bouri, Elie ; Kamal, Elham. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003379.

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2023On a quantile autoregressive conditional duration model. (2023). Vila, Roberto ; Balakrishnan, Narayanaswamy ; Saulo, Helton. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:203:y:2023:i:c:p:425-448.

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2023Managing ridesharing with incentives in a bottleneck model. (2023). Sun, Jian ; Tian, YE ; Wu, Jiyan. In: Research in Transportation Economics. RePEc:eee:retrec:v:101:y:2023:i:c:s0739885923000896.

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2023Causality Estimation in Panel Data. (2023). Vinod, Hrishikesh. In: Fordham Economics Discussion Paper Series. RePEc:frd:wpaper:dp2023-09er:dp2023-09.

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2023Uncovering the Effect of News Signals on Daily Stock Market Performance: An Econometric Analysis. (2023). Kemal, Muhammad Ali ; Kay-Khine, Pwint ; Baiqing, Sun ; Raza, Shahid. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:3:p:99-:d:1210725.

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2023.

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2023Sustainable Quality Management Based on Metrological Sampling Scheme Design: A Case Study of Food Processor. (2023). Chen, Zhisong ; Zhang, Bin ; Yang, Fengping ; Wang, Mingquan. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:6:p:5283-:d:1099108.

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2023The Relationship between Macroeconomic Factors and Tourism Demand for OIC Countries . (2023). Jemin, Shaidathul. In: GATR Journals. RePEc:gtr:gatrjs:jber238.

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2023Rating transitions forecasting: a filtering approach. (2023). Picard, Tom ; Lelong, Jerome ; Cousin, Areski. In: Post-Print. RePEc:hal:journl:hal-03347521.

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2023Dependence Analysis of the ISE100 Banking Sector Using Vine Copula. (2023). Evkaya, Ozan ; Gur, Ismail ; Poyraz, Gulden ; Kulekci, Bukre Yildirim. In: Istanbul Journal of Economics-Istanbul Iktisat Dergisi. RePEc:ist:journl:v:73:y:2023:i:1:p:55-81.

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2023Is Cross-Hedging Effective for Mitigating Equity Investment Risks in the Indian Banking Sector?. (2023). Jose, Nithin. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:1:d:10.1007_s10690-022-09383-7.

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2023Impact of government integrity and corruption on sustainable stock market development: linear and nonlinear evidence from Pakistan. (2023). Kamboh, Muhammad Husnain ; Sardar, Samina ; Saeed, Zeeshan ; Bilal, Ahmad Raza ; Islam, Kashif. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:4:d:10.1007_s10644-023-09523-7.

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2023Stock Markets’ Reactions to the Announcement of the Hosts. An Event Study in the Analysis of Large Sporting Events in the Years 1976–2032. (2023). Potrykus, Marcin ; Zawadzki, Krystian M. In: Journal of Sports Economics. RePEc:sae:jospec:v:24:y:2023:i:6:p:759-800.

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2023Market fear, investor mood, sentiment, economic uncertainty and tourism sector in the United States amid COVID-19 pandemic: A spillover analysis. (2023). Kumar, Dilip ; Zargar, Faisal Nazir. In: Tourism Economics. RePEc:sae:toueco:v:29:y:2023:i:2:p:551-558.

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2023Psychological factors of Canadian and Mexican tourists and the US tourism sector. (2023). Istiak, Khandokar. In: Tourism Economics. RePEc:sae:toueco:v:29:y:2023:i:5:p:1328-1354.

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2023Estimating conservative profitability of a newsboy-type product with exponentially distributed demand based on multiple samples. (2023). Yang, Yu-Cheng ; Lin, He-Jhen ; Su, Rung-Hung. In: Annals of Operations Research. RePEc:spr:annopr:v:322:y:2023:i:2:d:10.1007_s10479-023-05167-y.

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2023An Application of Extreme Value Theory for Measuring Financial Risk in BRICS Economies. (2023). Nnanatu, Chibuzor ; Ranganai, Edmore ; Utazi, Chigozie ; Afuecheta, Emmanuel. In: Annals of Data Science. RePEc:spr:aodasc:v:10:y:2023:i:2:d:10.1007_s40745-020-00294-w.

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2023Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality. (2023). Gherghina, Ştefan ; Simionescu, Liliana Nicoleta. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00430-w.

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2023Determining the (A)symmetric Role of Business–Consumer Confidence in Outward–Inward Tourism in Russia: A Competitiveness Perspective. (2023). Alola, Andrew Adewale ; Baeva, Darya. In: International Journal of Global Business and Competitiveness. RePEc:spr:ijogbc:v:18:y:2023:i:1:d:10.1007_s42943-023-00077-z.

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2023Quantile Regression Based Enhanced Indexing with Portfolio Rebalancing. (2023). Mehra, Aparna ; Sehgal, Ruchika. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:3:d:10.1007_s40953-023-00355-w.

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2023Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities. (2023). Liu, Liyu ; Kang, Hanwen ; Yan, BO ; Chen, Zhuo. In: Review of Economic Design. RePEc:spr:reecde:v:27:y:2023:i:1:d:10.1007_s10058-021-00276-1.

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2023Modeling Long Term Return Distribution and Nonparametric Market Risk Estimation. (2023). Powdel, Tushar Kanti ; Dutta, Santanu. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-023-00303-x.

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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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2023Modeling trading games in a stochastic non-life insurance market In: Papers.
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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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article13
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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article1
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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2020Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates In: Journal of Time Series Econometrics.
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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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2006Investors response to mutual fund company mergers In: International Journal of Managerial Finance.
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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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2023Drawbacks in the 3-Factor Approach of Fama and French (2018).(2023) In: Annals of Financial Economics (AFE).
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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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