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 1 1 45 1 5 18 66
A Capital Adequacy Buffer Model 0 0 0 48 0 2 7 35
A Capital Adequacy Buffer Model 0 0 0 20 0 2 12 54
A Capital Adequacy Buffer Model 0 2 3 10 2 6 20 51
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 73 73 1 3 14 14
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 1 2 28 28 1 6 38 38
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 1 35 1 3 6 71
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 2 4 24 0 4 10 108
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 30 0 4 10 67
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series 0 1 5 5 0 6 25 25
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 27 27 0 3 13 13
Asymmetric Realized Volatility Risk 0 0 1 83 0 1 8 34
Asymmetric Realized Volatility Risk 0 0 1 36 1 3 11 52
Asymmetric Realized Volatility Risk 0 0 1 44 1 3 11 39
Daily Market News Sentiment and Stock Prices 0 1 1 30 0 4 15 29
Daily Market News Sentiment and Stock Prices 1 2 3 4 1 7 15 21
Daily Market News Sentiment and Stock Prices 0 2 10 19 1 11 34 56
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 3 14 0 1 9 12
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 1 17 1 3 11 17
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 1 4 19 0 2 13 21
Econometric modelling in finance and risk management: An overview 5 15 30 220 10 32 83 455
European Market Portfolio Diversifcation Strategies across the GFC 0 0 0 14 3 7 13 39
European Market Portfolio Diversification Strategies across the GFC 0 0 0 8 0 2 7 19
European Market Portfolio Diversification Strategies across the GFC 0 0 1 9 0 2 12 26
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 10 0 1 6 49
Financial Dependence Analysis: Applications of Vine Copulae 0 0 1 64 1 3 11 70
Financial Dependence Analysis: Applications of Vine Copulae 0 0 3 16 0 0 10 62
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 4 33 0 4 17 47
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 20 1 2 7 14
Hedge Fund Portfolio Diversification Strategies across the GFC 0 0 1 17 0 2 12 31
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series 1 1 1 14 1 2 8 41
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 1 1 15 0 2 10 44
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 2 17 1 2 15 92
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 14 1 3 8 19
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 2 0 3 15 21
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 4 0 1 10 26
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 1 2 9 92 2 10 36 146
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies 0 1 6 47 1 3 19 42
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 6 0 1 9 39
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 3 8 0 2 18 52
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 4 0 1 12 39
REALIZED VOLATILITY RISK 1 1 1 77 1 4 14 160
Realized Volatility Risk 0 0 0 90 0 4 10 86
Realized Volatility Risk 0 0 0 62 0 1 7 108
Realized Volatility Risk 0 0 0 68 0 2 6 111
Realized Volatility Risk 0 0 0 25 1 6 24 76
Realized volatility risk 0 0 2 47 0 2 10 36
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 1 38 0 2 15 152
Recent Developments in Financial Economics and Econometrics: An Overview 0 1 2 88 1 3 17 298
Recent Developments in Financial Economics and Econometrics: An Overview 0 2 2 50 0 2 11 116
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 2 58 1 4 9 147
Recent Developments in Financial Economics and Econometrics:An Overview 2 3 4 81 3 6 19 160
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression 0 0 4 52 0 3 14 133
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 1 26 0 0 8 29
Risk Measurement and Risk Modelling using Applications of Vine Copulas 0 1 2 37 0 3 14 34
Risk Measurement and risk modelling using applications of Vine Copulas 1 1 3 21 1 2 10 29
Risk Modeling and Management: An Overview 0 0 1 40 0 1 12 55
Risk Modelling and Management: An Overview 0 0 3 113 0 1 8 74
Risk Modelling and Management: An Overview 0 0 1 48 0 3 8 89
Risk Modelling and Management: An Overview 0 0 0 2 0 1 4 24
Risk Modelling and Management: An Overview 1 1 3 22 2 4 16 79
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective 2 2 3 23 2 2 6 56
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management 0 0 0 0 0 2 8 939
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions 0 1 2 75 0 2 7 77
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions 0 2 4 45 0 4 12 113
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 1 1 9 9 2 3 11 11
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 21 21 0 1 12 12
Volatility Spillovers from Australia's Major Trading Partners across the GFC 1 1 2 7 1 3 16 35
Volatility Spillovers from Australia's major trading partners across the GFC 1 1 8 22 1 9 26 75
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 3 0 2 17 35
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 11 1 2 6 81
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 9 1 1 6 77
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 1 3 7 31 2 10 21 118
Volatility Spillovers from the US to Australia and China across the GFC 0 0 1 12 0 2 7 46
Volatility Spillovers from the US to Australia and China across the GFC 1 1 1 40 1 2 7 56
Volatility spillovers from the US to Australia and China across the GFC 0 0 14 29 0 1 27 77
Total Working Papers 21 56 333 2,627 53 264 1,063 6,000


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) 1 1 1 36 1 1 9 119
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 1 2 13 1 5 14 60
A Test of the Persistence in the Performance of UK Managed Funds 0 0 0 6 5 5 14 203
A capital adequacy buffer model 1 1 2 2 2 5 24 24
A hidden Markov chain model for the term structure of bond credit risk spreads 0 1 3 128 1 2 8 334
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 2 5 18 72
Australian domestic porfolio diversification and estimation risk: A review of investment strategies 0 0 0 18 0 2 5 151
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 7 28
Determinants of the cross-section of stock returns in the Malaysian stock market 1 2 7 57 1 2 11 149
Do UK stock prices deviate from fundamentals? 0 0 0 2 1 3 9 20
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis 0 2 5 5 2 10 29 29
EVT and tail-risk modelling: Evidence from market indices and volatility series 0 0 3 15 4 7 20 69
Econometric modelling in finance and risk management: An overview 0 0 1 71 0 1 14 189
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 0 0 0 42 2 4 12 209
Empirical performance of affine option pricing models: evidence from the Australian index options market 0 0 0 16 0 1 5 90
Estimating and simulating Weibull models of risk or price durations: An application to ACD models 0 0 0 14 0 1 9 61
Extreme market risk and extreme value theory 0 0 2 10 1 3 15 41
Financial dependence analysis: applications of vine copulas 0 0 0 8 0 2 9 33
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 0 2 2 76 0 4 22 242
Forecasting profitability and earnings: a study of the UK market (1982-2000) 1 1 1 64 1 1 6 192
Investigating other leading indicators influencing Australian domestic tourism demand 1 1 1 4 1 2 5 16
Long-run underperformance of seasoned equity offerings: Fact or an illusion? 0 0 0 0 1 2 7 20
Measuring and modelling risk 0 0 3 12 2 5 15 36
Modelling and managing financial risk: An overview 0 0 0 2 3 4 13 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 1 2 2 11 1 4 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 1 4 6 6 4 11 30 30
Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidder's Interests? 0 0 0 20 0 1 11 114
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 1 3 13 34
Recent developments in financial economics and econometrics: An overview 0 2 4 16 1 7 17 71
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice 0 1 3 7 0 2 13 23
Some statistical models for durations and an application to News Corporation stock prices 0 0 0 1 0 1 3 11
Spare Debt Capacity: Company Practices in Australia, Britain and Japan 0 0 0 1 0 1 5 12
THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE 0 0 1 10 0 1 6 45
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement 0 0 3 3 1 2 14 22
Technical Change, Economies of Scope and Contestable Markets 0 0 1 11 0 0 4 37
The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective 0 1 6 18 1 3 18 56
The Global Financial Crisis: some attributes and responses 0 0 1 108 0 0 12 218
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics 0 0 0 10 1 2 6 55
The fluctuating default risk of Australian banks 0 0 0 10 0 1 7 41
The long-run performance of initial public offerings in Thailand 0 1 4 134 0 2 13 395
The suitability of a monetary union in East Asia: What does the cointegration approach tell? 0 0 0 3 1 2 9 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 7 116
Volatility spillovers from the Chinese stock market to economic neighbours 1 1 2 8 2 6 15 41
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 1 1 5 1 5 13 37
Total Journal Articles 8 28 83 1,367 45 144 592 5,001
1 registered items for which data could not be found


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 2017-04-03