Access Statistics for David Edmund Allen

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Capital Adequacy Buffer Model 0 0 0 48 0 2 8 39
A Capital Adequacy Buffer Model 0 0 1 45 0 2 10 70
A Capital Adequacy Buffer Model 0 0 2 10 1 2 13 55
A Capital Adequacy Buffer Model 0 0 1 21 0 1 9 58
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 2 2 75 0 3 12 21
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 10 32 0 3 32 51
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 12 12 0 2 3 3
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 9 9 0 2 12 12
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 1 1 49 49 2 5 22 22
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 0 35 2 5 8 76
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 1 5 27 2 5 13 117
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 30 1 3 8 70
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series 1 1 2 6 2 3 17 32
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 1 1 1 1 3 3
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 27 1 2 11 18
Asymmetric Realized Volatility Risk 0 1 1 45 1 2 8 41
Asymmetric Realized Volatility Risk 0 0 1 84 1 1 4 36
Asymmetric Realized Volatility Risk 0 0 0 36 1 1 5 53
Daily Market News Sentiment and Stock Prices 1 3 5 34 3 10 23 45
Daily Market News Sentiment and Stock Prices 0 0 2 4 0 0 9 23
Daily Market News Sentiment and Stock Prices 0 0 6 20 1 4 26 63
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 3 20 1 1 11 26
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 1 18 0 0 5 19
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 1 14 0 0 5 15
Econometric modelling in finance and risk management: An overview 5 6 39 240 11 25 105 512
European Market Portfolio Diversifcation Strategies across the GFC 0 0 0 14 0 3 13 44
European Market Portfolio Diversification Strategies across the GFC 0 0 1 9 0 0 5 22
European Market Portfolio Diversification Strategies across the GFC 0 0 0 9 0 0 7 27
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 64 0 0 11 76
Financial Dependence Analysis: Applications of Vine Copulae 0 2 5 20 0 2 10 71
Financial Dependence Analysis: Applications of Vine Copulae 0 0 1 11 0 0 4 52
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 20 1 1 6 17
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 33 0 0 6 49
Hedge Fund Portfolio Diversification Strategies across the GFC 0 0 0 17 0 0 9 34
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series 0 1 6 19 0 2 13 52
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 1 17 0 0 4 92
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 1 15 0 0 3 45
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 2 0 2 10 26
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 1 15 0 2 8 23
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 1 5 0 2 6 29
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 2 6 95 0 8 28 158
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies 1 2 4 49 1 3 14 50
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 4 0 1 4 41
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 1 9 0 3 16 64
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 6 0 0 10 44
REALIZED VOLATILITY RISK 0 0 2 78 1 4 13 167
Realized Volatility Risk 0 0 0 90 1 1 5 87
Realized Volatility Risk 0 0 0 68 1 2 5 114
Realized Volatility Risk 0 1 1 26 1 5 19 85
Realized Volatility Risk 0 0 0 62 1 1 2 109
Realized volatility risk 0 0 1 48 1 1 4 38
Recent Developments in Financial Economics and Econometrics: An Overview 1 1 2 40 1 1 6 156
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 1 88 2 2 11 302
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 3 61 0 1 12 155
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 2 50 0 0 8 122
Recent Developments in Financial Economics and Econometrics:An Overview 0 0 4 81 4 4 17 169
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression 0 1 2 54 1 4 13 139
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 1 26 0 0 5 31
Risk Measurement and Risk Modelling using Applications of Vine Copulas 0 0 3 39 0 0 11 38
Risk Measurement and risk modelling using applications of Vine Copulas 0 0 2 22 0 0 5 32
Risk Modeling and Management: An Overview 0 0 0 40 1 3 13 61
Risk Modelling and Management: An Overview 0 0 0 48 1 3 7 93
Risk Modelling and Management: An Overview 0 0 5 25 1 4 19 89
Risk Modelling and Management: An Overview 0 1 2 114 1 4 9 80
Risk Modelling and Management: An Overview 0 0 1 3 1 4 8 31
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective 2 2 6 26 2 2 9 62
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management 0 0 0 0 1 2 4 941
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions 0 0 2 75 1 2 7 80
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions 0 0 2 45 1 2 9 117
Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management 0 28 28 28 1 14 14 14
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 1 1 12 12 1 4 14 18
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 10 21 0 3 16 18
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 26 26 1 4 10 10
Volatility Spillovers from Australia's Major Trading Partners across the GFC 0 0 3 8 1 1 9 38
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 3 1 2 8 40
Volatility Spillovers from Australia's major trading partners across the GFC 0 2 3 24 1 4 18 82
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 9 0 0 2 77
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 1 2 3 14 1 3 11 90
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 4 31 3 4 22 127
Volatility Spillovers from the US to Australia and China across the GFC 0 0 0 12 0 0 3 46
Volatility Spillovers from the US to Australia and China across the GFC 0 0 2 41 0 0 5 59
Volatility spillovers from the US to Australia and China across the GFC 0 0 1 30 0 1 3 79
Total Working Papers 14 61 315 2,843 67 206 925 6,492


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A CLOSER LOOK AT THE CHARACTERISTICS OF STOCK HOLDINGS OF FOREIGN AND LOCAL INVESTORS IN THE INDONESIAN STOCK EXCHANGE (IDX) 0 0 0 0 0 0 1 1
A Gourmet's delight: CAViaR and the Australian stock market 0 0 0 17 0 0 2 65
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 1 1 2 14 2 4 10 65
A Test of the Persistence in the Performance of UK Managed Funds 0 0 1 7 0 2 16 214
A capital adequacy buffer model 0 0 2 3 0 3 15 29
A hidden Markov chain model for the term structure of bond credit risk spreads 0 0 1 128 1 2 9 340
An Examination of the Role of Time and its Impact on Price Revision 0 0 0 0 0 0 0 6
Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions 0 0 2 33 0 1 4 92
Asymmetric Realized Volatility Risk 0 0 0 24 1 3 11 75
Australian domestic porfolio diversification and estimation risk: A review of investment strategies 0 0 0 18 0 0 3 152
Australian domestic portfolio diversification and estimation risk: A review of investment strategies 0 0 0 25 0 0 2 137
Benchmarking Australian fixed interest fund performance: finding the optimal factors 0 0 0 23 0 0 2 110
Beyond reasonable doubt: multiple tail risk measures applied to European industries 0 0 0 4 0 0 1 64
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market 0 0 0 5 0 0 2 28
Determinants of the cross-section of stock returns in the Malaysian stock market 0 0 4 58 0 0 5 151
Do UK stock prices deviate from fundamentals? 0 0 2 4 2 3 20 37
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis 0 1 6 8 0 4 25 39
EVT and tail-risk modelling: Evidence from market indices and volatility series 0 1 1 16 1 2 12 72
Econometric modelling in finance and risk management: An overview 0 1 2 72 0 1 4 191
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 0 0 0 42 0 0 9 212
Empirical performance of affine option pricing models: evidence from the Australian index options market 0 0 0 16 0 1 2 91
Estimating and simulating Weibull models of risk or price durations: An application to ACD models 0 0 0 14 0 0 2 61
Extreme market risk and extreme value theory 0 0 3 12 0 2 13 48
Financial dependence analysis: applications of vine copulas 0 0 0 8 0 0 3 33
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 1 2 5 79 1 4 12 248
Forecasting profitability and earnings: a study of the UK market (1982-2000) 0 0 2 65 0 0 2 193
Investigating other leading indicators influencing Australian domestic tourism demand 0 0 1 4 0 0 2 16
Long-run underperformance of seasoned equity offerings: Fact or an illusion? 0 0 1 1 0 0 7 22
Measuring and modelling risk 0 0 1 12 0 0 8 36
Modelling and managing financial risk: An overview 0 0 1 3 0 0 11 29
Modelling interstate tourism demand in Australia: A cointegration approach 1 1 2 9 1 2 6 21
Modelling tail credit risk using transition matrices 0 1 3 12 0 1 5 46
Monte Carlo option pricing with asymmetric realized volatility dynamics 0 1 2 4 2 3 10 40
Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets 0 0 0 119 0 1 3 313
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 2 10 11 0 3 24 38
Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidder's Interests? 0 0 0 0 0 0 0 0
Purchasing Power Parity-evidence from a new panel test 0 0 0 50 0 0 0 193
QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS 0 0 0 0 0 0 1 1
Recent developments in financial economics and econometrics: An overview 0 0 2 16 2 2 11 75
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice 0 0 2 7 0 0 5 24
Some statistical models for durations and an application to News Corporation stock prices 0 0 0 1 0 0 2 12
Spare Debt Capacity: Company Practices in Australia, Britain and Japan 0 0 0 1 0 1 3 14
THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE 0 0 0 0 0 1 2 2
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement 0 0 2 5 0 2 14 34
Technical Change, Economies of Scope and Contestable Markets 0 0 0 11 0 0 2 39
The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective 0 2 8 23 0 3 16 66
The Global Financial Crisis: some attributes and responses 0 0 1 109 0 2 3 221
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics 0 0 0 10 1 1 5 57
The fluctuating default risk of Australian banks 1 1 2 12 1 2 6 46
The long-run performance of initial public offerings in Thailand 0 1 3 136 0 2 6 398
The suitability of a monetary union in East Asia: What does the cointegration approach tell? 0 0 1 4 0 0 5 19
The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk 0 0 0 28 0 0 1 132
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective 0 0 0 35 0 0 1 116
Volatility Spillovers from Australia's major trading partners across the GFC 0 1 7 7 1 4 19 19
Volatility spillovers from the Chinese stock market to economic neighbours 0 0 2 9 2 3 12 47
WHAT'S SO SUPER ABOUT SUPER? 0 0 0 1 0 0 0 9
YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL 0 0 0 0 0 1 1 1
Total Journal Articles 4 16 84 1,335 18 66 378 4,840


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
AUSFTA and its Implications for the Australian Stock Market 0 0 0 1 0 0 1 10
Total Chapters 0 0 0 1 0 0 1 10


Statistics updated 2017-11-04