David Edmund Allen : Citation Profile

Are you David Edmund Allen?

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

14

H index

24

i10 index

584

Citations

RESEARCH PRODUCTION:

97

Articles

103

Papers

6

Chapters

RESEARCH ACTIVITY:

   38 years (1986 - 2024). See details.
   Cites by year: 15
   Journals where David Edmund Allen has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 58 (9.03 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pal66
   Updated: 2024-11-04    RAS profile: 2024-09-06    
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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 (25)

Asai, Manabu (12)

Powell, Robert (11)

Chang, Chia-Lin (10)

Tiwari, Aviral (10)

NG, KOK HAUR (7)

Caporin, Massimiliano (6)

Worthington, Andrew (5)

Wong, Wing-Keung (5)

Chan, Felix (5)

Égert, Balázs (5)

Cites to:

Engle, Robert (51)

Bollerslev, Tim (32)

Diebold, Francis (29)

Bauwens, Luc (21)

Campbell, John (19)

Fama, Eugene (17)

Shephard, Neil (16)

Johansen, Soren (15)

Giot, Pierre (15)

Chang, Chia-Lin (14)

Powell, Robert (14)

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
JRFM7
Risks5
Accounting and Finance4
Sustainability4
Applied Economics Letters4
The North American Journal of Economics and Finance4
Australian Journal of Management4
Global Business and Economics Review2
International Review of Financial Analysis2
Advances in Decision Sciences2
Journal of Business Finance & Accounting2
Scientometrics2
Applied Financial Economics2
Energies2
Journal of Econometrics2
Pacific-Basin Finance Journal2

Working Papers Series with more than one paper published# docs
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico30
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
2024Does 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.

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2023El-Déficit-Fiscal-Deteriora-el-Tipo-de-Cambio-Real.-Evidencias-por-medio-de-un-modelo-de-EGDE-para-Argentina. (2023). Jorge, Oviedo ; Daniel, Mamondi Victor ; la Rosa, DE. 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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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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2023Lost in translation. When sentiment metrics for one market are derived from two different languages. (2023). Smales, Lee ; Khuu, Joyce ; Durand, Robert B. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000394.

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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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2024Volatility 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.

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2024Copper-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.

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2024Can 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.

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2024A 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.

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2024Tail 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.

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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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2024Asymmetric 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.

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2024Vulnerability 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.

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2024Harnessing 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.

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2024Bitcoin 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.

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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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2024Dual 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.

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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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2023Do bitcoin news information flow and return volatility fit the sequential information arrival hypothesis and the mixture of distribution hypothesis?. (2023). Chiu, Chien-Liang ; Day, Min-Yuh ; Chou, Ke-Hsin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:88:y:2023:i:c:p:365-385.

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2024Exogenous 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.

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2024Travel 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.

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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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2024The 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.

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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.
[Full Text][Citation analysis]		article26
2006Benchmarking Australian fixed interest fund performance: finding the optimal factors In: Accounting and Finance.
[Full Text][Citation analysis]		article0
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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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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