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 0 7 35
A Capital Adequacy Buffer Model 0 0 0 20 1 2 11 55
A Capital Adequacy Buffer Model 0 1 1 45 0 4 17 66
A Capital Adequacy Buffer Model 0 1 3 10 0 5 20 51
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 73 73 0 3 14 14
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 2 3 30 30 3 7 41 41
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 12 12 12 12 0 0 0 0
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 7 7 7 0 6 6 6
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 27 43 43 1 8 10 10
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 1 35 0 2 5 71
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 1 3 24 2 4 11 110
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 30 0 3 9 67
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series 0 0 5 5 1 4 26 26
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 1 1 1 1 2 2 2
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 27 27 1 4 14 14
Asymmetric Realized Volatility Risk 0 0 1 44 0 3 11 39
Asymmetric Realized Volatility Risk 0 0 1 36 0 3 9 52
Asymmetric Realized Volatility Risk 0 0 0 83 0 1 4 34
Daily Market News Sentiment and Stock Prices 0 1 1 30 1 3 13 30
Daily Market News Sentiment and Stock Prices 0 1 9 19 1 7 32 57
Daily Market News Sentiment and Stock Prices 0 1 3 4 1 5 13 22
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 1 1 1 18 2 5 9 19
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 3 14 2 3 9 14
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 1 2 4 20 2 4 13 23
Econometric modelling in finance and risk management: An overview 2 12 29 222 8 31 84 463
European Market Portfolio Diversifcation Strategies across the GFC 0 0 0 14 1 7 13 40
European Market Portfolio Diversification Strategies across the GFC 0 0 0 9 1 3 12 27
European Market Portfolio Diversification Strategies across the GFC 0 0 0 8 1 3 7 20
Financial Dependence Analysis: Applications of Vine Copulae 0 0 1 64 3 6 12 73
Financial Dependence Analysis: Applications of Vine Copulae 0 0 2 16 2 2 11 64
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 10 0 1 6 49
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 20 1 3 6 15
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 3 33 1 4 15 48
Hedge Fund Portfolio Diversification Strategies across the GFC 0 0 0 17 1 3 11 32
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series 0 1 1 14 1 2 7 42
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 1 17 0 2 14 92
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 1 1 15 0 2 8 44
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 4 0 0 9 26
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 2 1 3 14 22
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 14 1 3 7 20
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 2 7 92 1 8 33 147
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies 0 1 4 47 2 3 19 44
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 4 0 1 10 39
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 3 8 3 5 20 55
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 6 1 2 9 40
REALIZED VOLATILITY RISK 1 2 2 78 2 5 15 162
Realized Volatility Risk 0 0 0 90 0 3 9 86
Realized Volatility Risk 0 0 0 68 0 2 5 111
Realized Volatility Risk 0 0 0 25 0 5 22 76
Realized Volatility Risk 0 0 0 62 0 1 7 108
Realized volatility risk 0 0 2 47 0 2 10 36
Recent Developments in Financial Economics and Econometrics: An Overview 0 1 2 88 1 3 17 299
Recent Developments in Financial Economics and Econometrics: An Overview 0 2 2 50 4 6 12 120
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 1 38 1 1 12 153
Recent Developments in Financial Economics and Econometrics: An Overview 2 2 3 60 3 7 11 150
Recent Developments in Financial Economics and Econometrics:An Overview 0 3 4 81 2 8 20 162
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression 0 0 2 52 0 2 11 133
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 1 26 1 1 8 30
Risk Measurement and Risk Modelling using Applications of Vine Copulas 0 0 2 37 0 2 13 34
Risk Measurement and risk modelling using applications of Vine Copulas 0 1 1 21 1 3 7 30
Risk Modeling and Management: An Overview 0 0 1 40 1 2 13 56
Risk Modelling and Management: An Overview 0 0 3 113 2 2 9 76
Risk Modelling and Management: An Overview 1 2 4 23 3 7 18 82
Risk Modelling and Management: An Overview 0 0 0 48 1 3 7 90
Risk Modelling and Management: An Overview 0 0 0 2 2 3 6 26
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective 0 2 3 23 0 2 5 56
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management 0 0 0 0 0 1 7 939
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions 0 0 2 75 0 1 6 77
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions 0 0 4 45 2 3 13 115
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 21 21 0 0 12 12
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 26 26 26 1 4 4 4
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 1 2 10 10 1 4 12 12
Volatility Spillovers from Australia's Major Trading Partners across the GFC 0 1 2 7 0 1 12 35
Volatility Spillovers from Australia's major trading partners across the GFC 0 1 7 22 0 3 22 75
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 3 1 2 13 36
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 3 6 31 1 10 20 119
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 9 0 1 4 77
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 11 1 3 5 82
Volatility Spillovers from the US to Australia and China across the GFC 0 1 1 40 0 2 7 56
Volatility Spillovers from the US to Australia and China across the GFC 0 0 1 12 0 2 6 46
Volatility spillovers from the US to Australia and China across the GFC 1 1 11 30 1 2 23 78
Total Working Papers 24 126 405 2,728 80 291 1,036 6,099


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 1 1 36 0 1 8 119
A Gourmet's delight: CAViaR and the Australian stock market 0 0 1 17 0 1 8 64
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 2 13 1 4 15 61
A Test of the Persistence in the Performance of UK Managed Funds 0 0 0 6 6 11 19 209
A capital adequacy buffer model 0 1 2 2 0 3 24 24
A hidden Markov chain model for the term structure of bond credit risk spreads 0 0 3 128 2 3 8 336
An Examination of the Role of Time and its Impact on Price Revision 0 0 0 0 0 0 2 6
Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions 0 2 4 33 0 3 9 91
Asymmetric Realized Volatility Risk 0 0 2 24 0 4 18 72
Australian domestic porfolio diversification and estimation risk: A review of investment strategies 0 0 0 18 1 2 6 152
Australian domestic portfolio diversification and estimation risk: A review of investment strategies 0 0 0 25 0 1 4 136
Benchmarking Australian fixed interest fund performance: finding the optimal factors 0 0 0 23 0 1 5 110
Beyond reasonable doubt: multiple tail risk measures applied to European industries 0 0 0 4 0 1 3 64
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market 0 0 0 5 0 0 5 28
Determinants of the cross-section of stock returns in the Malaysian stock market 0 2 7 57 0 2 9 149
Do UK stock prices deviate from fundamentals? 2 2 2 4 5 8 11 25
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis 0 0 5 5 1 5 30 30
EVT and tail-risk modelling: Evidence from market indices and volatility series 0 0 2 15 0 5 19 69
Econometric modelling in finance and risk management: An overview 0 0 1 71 1 2 9 190
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 0 0 0 42 1 5 11 210
Empirical performance of affine option pricing models: evidence from the Australian index options market 0 0 0 16 0 1 4 90
Estimating and simulating Weibull models of risk or price durations: An application to ACD models 0 0 0 14 0 1 8 61
Extreme market risk and extreme value theory 0 0 2 10 0 2 14 41
Financial dependence analysis: applications of vine copulas 0 0 0 8 0 2 8 33
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 0 2 2 76 1 4 18 243
Forecasting profitability and earnings: a study of the UK market (1982-2000) 0 1 1 64 0 1 5 192
Investigating other leading indicators influencing Australian domestic tourism demand 0 1 1 4 0 2 5 16
Long-run underperformance of seasoned equity offerings: Fact or an illusion? 1 1 1 1 1 2 7 21
Measuring and modelling risk 0 0 3 12 0 5 15 36
Modelling and managing financial risk: An overview 0 0 0 2 0 3 12 23
Modelling interstate tourism demand in Australia: A cointegration approach 0 0 2 7 0 1 7 18
Modelling tail credit risk using transition matrices 0 2 2 11 0 3 7 45
Monte Carlo option pricing with asymmetric realized volatility dynamics 0 0 1 3 0 3 12 37
Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets 0 0 1 119 0 1 12 311
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 1 6 6 0 6 30 30
Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidder's Interests? 0 0 0 20 1 2 11 115
Purchasing Power Parity-evidence from a new panel test 0 0 0 50 0 0 2 193
QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS 0 1 5 10 0 3 13 34
Recent developments in financial economics and econometrics: An overview 0 2 3 16 1 6 15 72
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice 0 1 2 7 0 2 12 23
Some statistical models for durations and an application to News Corporation stock prices 0 0 0 1 0 1 2 11
Spare Debt Capacity: Company Practices in Australia, Britain and Japan 0 0 0 1 1 2 5 13
THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE 0 0 1 10 1 2 7 46
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement 0 0 3 3 1 3 13 23
Technical Change, Economies of Scope and Contestable Markets 0 0 1 11 1 1 4 38
The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective 1 1 6 19 3 4 19 59
The Global Financial Crisis: some attributes and responses 0 0 1 108 0 0 10 218
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics 0 0 0 10 0 2 6 55
The fluctuating default risk of Australian banks 1 1 1 11 1 2 8 42
The long-run performance of initial public offerings in Thailand 1 1 5 135 1 1 14 396
The suitability of a monetary union in East Asia: What does the cointegration approach tell? 0 0 0 3 0 1 8 17
The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk 0 0 0 28 0 1 4 132
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective 0 0 0 35 0 0 6 116
Volatility Spillovers from Australia's major trading partners across the GFC 0 4 5 5 1 10 11 11
Volatility spillovers from the Chinese stock market to economic neighbours 0 1 2 8 1 7 14 42
WHAT'S SO SUPER ABOUT SUPER? 0 0 0 1 0 0 1 9
YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL 0 0 1 5 0 3 12 37
Total Journal Articles 6 28 90 1,378 33 152 584 5,044


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 1 1 0 1 7 10
Total Chapters 0 0 1 1 0 1 7 10


Statistics updated 2017-05-02