14
H index
25
i10 index
602
Citations
David Edmund Allen : Citation Profile
Asia University (50% share) | RESEARCH PRODUCTION: 98 Articles 103 Papers 6 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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39 years (1986 - 2025). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with David Edmund Allen. | Is cited by:
| Cites to:
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Main data
Where David Edmund Allen has published?
Recent works citing David Edmund Allen (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Does Bubble Still Exist after COVID-19? Evidence from Hong Kong Housing Market. (2024). , Edward. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:28:y:2024:i:1:p:27-46. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Volatility spillovers across the spot and futures oil markets after news announcements. (2024). Gkillas, Konstantinos ; Floros, Christos ; Apostolakis, George N ; Wohar, Mark. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001250. Full description at Econpapers || Download paper |
| 2024 | Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield. (2024). Parnes, Dror. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001390. Full description at Econpapers || Download paper |
| 2024 | Can real-time investor sentiment help predict the high-frequency stock returns? Evidence from a mixed-frequency-rolling decomposition forecasting method. (2024). Chen, Ying ; Tang, Zhenpeng ; Cai, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s106294082400072x. Full description at Econpapers || Download paper |
| 2024 | A comparison of bitcoin futures return and return volatility based on news sentiment contemporaneously or lead-lag. (2024). Chou, Ke-Hsin ; Day, Min-Yuh ; Kao, Yu-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000846. Full description at Econpapers || Download paper |
| 2024 | Do optimistic portfolios outperform pessimistic portfolios: Evidence from textual sentiment. (2024). Seetharam, Yudhvir ; Nyakurukwa, Kingstone. In: Economics Letters. RePEc:eee:ecolet:v:242:y:2024:i:c:s0165176524003847. Full description at Econpapers || Download paper |
| 2024 | Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Rahbek, Anders ; Mikosch, Thomas ; Vilandt, Frederik. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299. Full description at Econpapers || Download paper |
| 2024 | Asymmetric effects of international oil prices on Chinas PPI in different industries——Research based on NARDL model. (2024). Xu, Fang ; Deng, Xiang. In: Energy. RePEc:eee:energy:v:290:y:2024:i:c:s0360544223035077. Full description at Econpapers || Download paper |
| 2024 | Vulnerability of a developing stock market to openness: One-way return and volatility transmissions. (2024). Bala, Ahmed Jinjiri ; Ibrahim, Masud Usman ; Hassan, Aminu. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001169. Full description at Econpapers || Download paper |
| 2024 | Harnessing the power of real-time forum opinion: Unveiling its impact on stock market dynamics using intraday high-frequency data in China. (2024). Chen, Kaijie ; Cai, YI ; Lin, Qiaofeng ; Tang, Zhenpeng ; Liu, Dinggao. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s105752192400142x. Full description at Econpapers || Download paper |
| 2024 | Bitcoin price volatility transmission between spot and futures markets. (2024). Apostolakis, George N. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001832. Full description at Econpapers || Download paper |
| 2024 | Corporate violations, traditional media and stock returns: Evidence from Chinese listed companies. (2024). Cheng, Gongpin ; Zhang, Zhipeng ; Jiang, Jiaqi. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s154461232401081x. Full description at Econpapers || Download paper |
| 2024 | Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system. (2024). Armanious, Amir. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s1572308924000585. Full description at Econpapers || Download paper |
| 2024 | Sustainable growth in mineral rich BRI countries: Linking institutional performance, Fintech, and green finance to environmental impact. (2024). Chen, Zhi ; Liu, Lei ; Al-Hiyari, Ahmad ; Nassani, Abdelmohsen. In: Resources Policy. RePEc:eee:jrpoli:v:96:y:2024:i:c:s0301420724005269. Full description at Econpapers || Download paper |
| 2024 | Dual effects of investor sentiment and uncertainty in financial markets. (2024). Ryu, Doojin ; Cho, Hoon ; Seok, Sangik. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:300-315. Full description at Econpapers || Download paper |
| 2024 | Exogenous oil supply shocks and global agricultural commodity prices: The role of biofuels. (2024). Zhang, Xindon ; Qiu, Feng ; Wei, Yanfeng ; Guo, Xiaoying ; Li, Changhong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:394-414. Full description at Econpapers || Download paper |
| 2024 | The Federal Reserve’s Quantitative Easing policy and volatility spillovers: Evidence from Australia. (2024). de Mello, Lurion ; Yahyaei, Hamid ; Singh, Abhay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003897. Full description at Econpapers || Download paper |
| 2024 | Travel behavior and system dynamics in a simple gamified automated multimodal network. (2024). Ben-Elia, Eran ; Etzioni, Shelly ; Collins, Mor. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:183:y:2024:i:c:s0965856424001083. Full description at Econpapers || Download paper |
| 2024 | Tailored priority allocation in the bottleneck model with general user heterogeneity. (2024). Geroliminis, Nikolas ; de Palma, Andr ; Yang, Zhenyu. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:190:y:2024:i:c:s0191261524002170. Full description at Econpapers || Download paper |
| 2024 | Financing a capital-constrained supply chain: Equity or debt. (2024). Xu, Xun ; He, Xiuli ; Sethi, Suresh ; Yan, Nina. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:188:y:2024:i:c:s1366554524002059. Full description at Econpapers || Download paper |
| 2024 | Coordinative dispatching of shared and public transportation under passenger flow outburst. (2024). Chen, Xiqun ; Wang, Xiaohan ; Cheong, Taesu ; Xie, Chi. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:189:y:2024:i:c:s1366554524002461. Full description at Econpapers || Download paper |
| 2024 | Wheat Value Chains and Vertical Price Transmission in South Africa: A Nonlinear Autoregressive Diagnostic Lag Bound Approach. (2024). Akande, Joseph ; Swapi, Asemahle ; Hosu, Yiseyon Sunday. In: Economies. RePEc:gam:jecomi:v:12:y:2024:i:12:p:340-:d:1542534. Full description at Econpapers || Download paper |
| 2025 | Why Do Tourists Visit the Food Market? A Host–Guest Sharing Model Based on the Theory of Self-Regulation. (2025). Zheng, Chenrouyu ; Li, Fengjiao ; Liu, Jiaming ; Zhu, HE ; Lin, Shiran. In: Land. RePEc:gam:jlands:v:14:y:2025:i:2:p:407-:d:1592206. Full description at Econpapers || Download paper |
| 2024 | IMPACT OF CORPORATE LOAN DELEVERAGING ON BANKING PERFORMANCES IN INDONESIA. (2024). Sultansyah, Fariz Ahmad ; Aryani, Ade Dwi ; Hermawan, Danny ; Harun, Cicilia Anggadewi. In: Working Papers. RePEc:idn:wpaper:wp082024. Full description at Econpapers || Download paper |
| 2024 | Vine Copula Approach to Understand the Financial Dependence of the Istanbul Stock Exchange Index. (2024). Evkaya, Ozan ; Klekci, Bkre Yildirim ; Poyraz, Glden ; Gr, Smail. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10544-7. Full description at Econpapers || Download paper |
| 2024 | The impact of the COVID-19 outbreak on intra- and inter-regional domestic travel: Evidence from Spain. (2024). Gonzlez-Gmez, Manuel ; Otero-Girldez, Mara Soledad ; Chamorro-Rivas, Jos Mara ; Lvarez-Daz, Marcos. In: Tourism Economics. RePEc:sae:toueco:v:30:y:2024:i:4:p:1039-1061. Full description at Econpapers || Download paper |
| 2024 | Market risk spillover and the asymmetric effects of macroeconomic fundamentals on market risk across Vietnamese sectors. (2024). Vo, Duc Hong ; Nguyen, Hung Le-Phuc. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00602-2. Full description at Econpapers || Download paper |
Works by David Edmund Allen:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2018 | FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP In: Advances in Decision Sciences. [Full Text][Citation analysis] | article | 1 |
| 2018 | Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | ||
| 2021 | Predicting COVID-19 Cases and Deaths in the USA from Tests and State Populations In: Advances in Decision Sciences. [Full Text][Citation analysis] | article | 2 |
| 2023 | Modeling trading games in a stochastic non-life insurance market In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets In: Accounting and Finance. [Full Text][Citation analysis] | article | 26 |
| 2006 | Benchmarking Australian fixed interest fund performance: finding the optimal factors In: Accounting and Finance. [Full Text][Citation analysis] | article | 0 |
| 2009 | Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective In: Accounting and Finance. [Full Text][Citation analysis] | article | 14 |
| 2012 | The Global Financial Crisis: some attributes and responses In: Accounting and Finance. [Full Text][Citation analysis] | article | 6 |
| 1993 | WHATS SO SUPER ABOUT SUPER? In: Economic Papers. [Full Text][Citation analysis] | article | 0 |
| 2013 | Making sense of digital traces: An activity theory driven ontological approach In: Journal of the American Society for Information Science and Technology. [Full Text][Citation analysis] | article | 1 |
| 1999 | A Test of the Persistence in the Performance of UK Managed Funds In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 16 |
| 2004 | Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 0 |
| 1986 | Technical Change, Economies of Scope and Contestable Markets In: South African Journal of Economics. [Full Text][Citation analysis] | article | 0 |
| 2013 | Financial dependence analysis: applications of vine copulas In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 14 |
| 2013 | Financial Dependence Analysis: Applications of Vine Copulae.(2013) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2013 | Financial Dependence Analysis: Applications of Vine Copulae.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | ||
| 2020 | Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 1 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | ||
| 2010 | Realized Volatility Risk In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 20 |
| 2010 | Realized Volatility Risk.(2010) In: CARF F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2010 | REALIZED VOLATILITY RISK.(2010) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2013 | Realized Volatility Risk.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2009 | Realized Volatility Risk.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | ||
| 2013 | Recent Developments in Financial Economics and Econometrics: An Overview In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 4 |
| 2013 | Recent developments in financial economics and econometrics: An overview.(2013) In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2013 | Recent Developments in Financial Economics and Econometrics: An Overview.(2013) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2013 | Recent Developments in Financial Economics and Econometrics:An Overview.(2013) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2013 | Recent Developments in Financial Economics and Econometrics: An Overview.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | ||
| 2013 | Risk Modeling and Management: An Overview In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Risk Modelling and Management: An Overview.(2013) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2013 | Risk Modelling and Management: An Overview.(2013) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2013 | Risk Modelling and Management: An Overview.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | ||
| 2013 | A Capital Adequacy Buffer Model In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2013 | A Capital Adequacy Buffer Model.(2013) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2016 | A capital adequacy buffer model.(2016) In: Applied Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2013 | A Capital Adequacy Buffer Model.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | ||
| 2014 | Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | ||
| 2014 | Risk Measurement and Risk Modelling Using Applications of Vine Copulas In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 14 |
| 2017 | Risk Measurement and Risk Modelling Using Applications of Vine Copulas.(2017) In: Sustainability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2014 | Risk Measurement and Risk Modelling using Applications of Vine Copulas.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | ||
| 2014 | Asymmetric Realized Volatility Risk In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 4 |
| 2014 | Asymmetric Realized Volatility Risk.(2014) In: JRFM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2014 | Asymmetric Realized Volatility Risk.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | ||
| 2014 | Volatility Spillovers from Australias major trading partners across the GFC In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 8 |
| 2017 | Volatility Spillovers from Australias major trading partners across the GFC.(2017) In: International Review of Economics & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2014 | Volatility Spillovers from Australias Major Trading Partners across the GFC.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | ||
| 2014 | European Market Portfolio Diversifcation Strategies across the GFC In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2014 | European Market Portfolio Diversification Strategies across the GFC.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | ||
| 2014 | Hedge Fund Portfolio Diversification Strategies Across the GFC In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Hedge Fund Portfolio Diversification Strategies across the GFC.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | ||
| 2013 | Estimating and simulating Weibull models of risk or price durations: An application to ACD models In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 10 |
| 2013 | EVT and tail-risk modelling: Evidence from market indices and volatility series In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 15 |
| 2017 | Efficient modelling and forecasting with range based volatility models and its application In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 4 |
| 2013 | The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2008 | Econometric modelling in finance and risk management: An overview In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2007 | Econometric modelling in finance and risk management: An overview.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2008 | Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 30 |
| 2016 | Take it to the limit: Innovative CVaR applications to extreme credit risk measurement In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 17 |
| 2002 | A hidden Markov chain model for the term structure of bond credit risk spreads In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 12 |
| 1998 | Determinants of the cross-section of stock returns in the Malaysian stock market In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 6 |
| 2004 | Do UK stock prices deviate from fundamentals? In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 11 |
| 2005 | Some statistical models for durations and an application to News Corporation stock prices In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 0 |
| 2008 | Long-run underperformance of seasoned equity offerings: Fact or an illusion? In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 3 |
| 2009 | Modelling and managing financial risk: An overview In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 2 |
| 2009 | Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 8 |
| 2009 | Modelling interstate tourism demand in Australia: A cointegration approach In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 11 |
| 2009 | The suitability of a monetary union in East Asia: What does the cointegration approach tell? In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 8 |
| 2011 | Monte Carlo option pricing with asymmetric realized volatility dynamics In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 3 |
| 2011 | Investigating other leading indicators influencing Australian domestic tourism demand In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 14 |
| 2013 | Modelling tail credit risk using transition matrices In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 5 |
| 2013 | Volatility spillovers from the Chinese stock market to economic neighbours In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 23 |
| 2011 | Volatility Spillovers from the Chinese Stock Market to Economic Neighbours.(2011) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2011 | Volatility Spillovers from the Chinese Stock Market to Economic Neighbours.(2011) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | ||
| 2013 | Extreme market risk and extreme value theory In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 11 |
| 1994 | Australian domestic portfolio diversification and estimation risk: A review of investment strategies In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 1 |
| 1995 | Australian domestic porfolio diversification and estimation risk: A review of investment strategies.(1995) In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2007 | AUSFTA and its Implications for the Australian Stock Market In: Chapters. [Full Text][Citation analysis] | chapter | 0 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2006 | Investors response to mutual fund company mergers In: International Journal of Managerial Finance. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2018 | Fake News and Indifference to Truth In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond: Comment In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | ||
| 2018 | Cointegrated Dynamics for A Generalized Long Memory Process In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Fake News and Propaganda: Trumps Democratic America and Hitlers National Socialist (Nazi) Germany In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany.(2019) In: Sustainability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | ||
| 2019 | Drawbacks in the 3-Factor Approach of Fama and French (2018) In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Drawbacks in the 3-Factor Approach of Fama and French (2018).(2023) In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2015 | Multivariate Volatility Impulse Response Analysis of GFC News Events In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Multivariate Volatility Impulse Response Analysis of GFC News Events.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | ||
| 2015 | Daily Market News Sentiment and Stock Prices In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 22 |
| 2019 | Daily market news sentiment and stock prices.(2019) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
| 2015 | Daily Market News Sentiment and Stock Prices.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | ||
| 2015 | Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | ||
| 2015 | Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 5 |
| 2016 | Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies.(2016) In: Risks. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2015 | Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2016 | An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 5 |
| 2017 | An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series.(2017) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2016 | An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | ||
| 2016 | A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 14 |
| 2018 | A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices.(2018) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2016 | A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2016 | Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 10 |
| 2017 | Volatility spillover and multivariate volatility impulse response analysis of GFC news events.(2017) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2016 | Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
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| 2016 | A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
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| 2001 | The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management. In: University of Southampton - Department of Accounting and Management Science. [Citation analysis] | paper | 4 |
| 2025 | Optimal Time Series Forecasting Through the GARMA Model In: Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management In: Energies. [Full Text][Citation analysis] | article | 7 |
| 2017 | Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
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| 2020 | A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index In: Energies. [Full Text][Citation analysis] | article | 6 |
| 2019 | Risk Analysis and Portfolio Modelling In: JRFM. [Full Text][Citation analysis] | article | 3 |
| 2020 | Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information? In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2022 | Cryptocurrencies, Diversification and the COVID-19 Pandemic In: JRFM. [Full Text][Citation analysis] | article | 6 |
| 2021 | Cryptocurrencies, Diversification and the COVID-19 Pandemic.(2021) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2024 | Improving Volatility Forecasting: A Study through Hybrid Deep Learning Methods with WGAN In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2013 | A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 In: JRFM. [Full Text][Citation analysis] | article | 3 |
| 2012 | A non-parametric and entropy based analysis of the relationship between the VIX and S&P500.(2012) In: KIER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2013 | A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
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| 2016 | Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis In: JRFM. [Full Text][Citation analysis] | article | 7 |
| 2023 | GARMA, HAR and Rules of Thumb for Modelling Realized Volatility In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2018 | Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants In: Risks. [Full Text][Citation analysis] | article | 1 |
| 2020 | Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2021 | A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes In: Risks. [Full Text][Citation analysis] | article | 7 |
| 2018 | President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change † In: Sustainability. [Full Text][Citation analysis] | article | 1 |
| 2018 | Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models In: Sustainability. [Full Text][Citation analysis] | article | 7 |
| 2009 | Measuring and modelling risk In: Global Business and Economics Review. [Full Text][Citation analysis] | article | 0 |
| 2013 | Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions In: Global Business and Economics Review. [Full Text][Citation analysis] | article | 4 |
| 2012 | The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions In: KIER Working Papers. [Full Text][Citation analysis] | paper | 2 |
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| 2012 | Volatility spillovers from the US to Australia and China across the GFC In: KIER Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Volatility Spillovers from the US to Australia and China across the GFC.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
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| 2013 | Nonparametric Multiple Change Point Analysis of the Global Financial Crisis In: KIER Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Nonparametric Multiple Change Point Analysis of the Global Financial Crisis.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
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| 2018 | NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS.(2018) In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2011 | A Risk and Forecasting Analysis of West Texas Intermediate Prices In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
| 2011 | The Consumption-Based Capital Asset-Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Context In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
| 2011 | Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis In: Palgrave Macmillan Books. [Citation analysis] | chapter | 1 |
| 2015 | Aspects of Volatility and Correlations in European Emerging Economies In: Palgrave Macmillan Books. [Citation analysis] | chapter | 2 |
| 2020 | The Influence of Dust Levels on Atmospheric Carbon Dioxide and Global Temperature In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Monetary Policies, US influence and other Factors Affecting Stock Prices in Japan In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Asset Pricing Tests, Endogeneity issues and Fama-French factors In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2013 | The Determinants of Capital Structure: Empirical evidence from Thai Banks In: Information Management and Business Review. [Full Text][Citation analysis] | article | 4 |
| 1991 | The Determinants of the Capital Structure of Listed Australian Companies: The Financial Managers Perspective In: Australian Journal of Management. [Full Text][Citation analysis] | article | 17 |
| 2000 | Spare Debt Capacity: Company Practices in Australia, Britain and Japan In: Australian Journal of Management. [Full Text][Citation analysis] | article | 4 |
| 2005 | An Examination of the Role of Time and its Impact on Price Revision In: Australian Journal of Management. [Full Text][Citation analysis] | article | 0 |
| 2012 | The fluctuating default risk of Australian banks In: Australian Journal of Management. [Full Text][Citation analysis] | article | 19 |
| 2019 | Robust newsvendor problems: effect of discrete demands In: Annals of Operations Research. [Full Text][Citation analysis] | article | 6 |
| 2018 | Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather In: Scientometrics. [Full Text][Citation analysis] | article | 2 |
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| 2022 | Trump’s COVID-19 tweets and Dr. Fauci’s emails In: Scientometrics. [Full Text][Citation analysis] | article | 0 |
| 2012 | A Gourmets delight: CAViaR and the Australian stock market In: Applied Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2012 | Beyond reasonable doubt: multiple tail risk measures applied to European industries In: Applied Economics Letters. [Full Text][Citation analysis] | article | 6 |
| 1995 | The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk In: Applied Economics Letters. [Full Text][Citation analysis] | article | 6 |
| 2010 | Empirical performance of affine option pricing models: evidence from the Australian index options market In: Applied Financial Economics. [Full Text][Citation analysis] | article | 1 |
| 1999 | The long-run performance of initial public offerings in Thailand In: Applied Financial Economics. [Full Text][Citation analysis] | article | 12 |
| 2002 | Purchasing Power Parity-evidence from a new panel test In: Applied Economics. [Full Text][Citation analysis] | article | 18 |
| 2005 | Forecasting profitability and earnings: a study of the UK market (1982-2000) In: Applied Economics. [Full Text][Citation analysis] | article | 11 |
| 2017 | Tail dependence analysis of stock markets using extreme value theory In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
| 2015 | Semiparametric Autoregressive Conditional Duration Model: Theory and Practice In: Econometric Reviews. [Full Text][Citation analysis] | article | 5 |
| 2022 | “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 1 |
| 2013 | Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2018 | Carpooling with heterogeneous users in the bottleneck model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 16 |
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| 2002 | Using Regression Techniques to Estimate Futures Hedge Ratios Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures In: Published Paper Series. [Citation analysis] | paper | 0 |
| 2011 | QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 2 |
| 2013 | A CLOSER LOOK AT THE CHARACTERISTICS OF STOCK HOLDINGS OF FOREIGN AND LOCAL INVESTORS IN THE INDONESIAN STOCK EXCHANGE (IDX) In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 0 |
| 2013 | THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 0 |
| 2014 | YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 0 |
| 2020 | FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK? In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 0 |
| 2020 | PREDICTING CASES AND DEATHS IN EUROPE FROM COVID-19 TESTS AND COUNTRY POPULATIONS In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 0 |
| 2023 | Editorial: Statement for the Special Issue in Honor of Michael McAleer In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 0 |
| 2006 | Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidders Interests? In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). [Full Text][Citation analysis] | article | 4 |
| 2019 | Currency Spillover Effects between the US Dollar and Some Major Currencies and Exchange Rate Forecasts Based on Neural Nets In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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