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 2 3 8 39
A Capital Adequacy Buffer Model 0 1 1 21 1 3 12 58
A Capital Adequacy Buffer Model 0 0 1 45 2 4 14 70
A Capital Adequacy Buffer Model 0 0 3 10 1 2 16 54
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 2 12 32 3 10 38 51
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 2 2 4 75 3 7 18 21
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 9 9 1 3 11 11
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 3 48 48 1 6 18 18
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 12 12 1 2 2 2
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 0 35 1 1 5 72
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 2 5 26 0 2 9 112
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 30 0 0 7 67
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series 0 0 1 5 0 1 17 29
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 27 0 2 10 16
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 1 1 0 0 2 2
Asymmetric Realized Volatility Risk 0 0 1 84 0 0 4 35
Asymmetric Realized Volatility Risk 0 0 0 36 0 0 5 52
Asymmetric Realized Volatility Risk 0 0 1 44 0 0 10 39
Daily Market News Sentiment and Stock Prices 0 0 2 4 0 0 9 23
Daily Market News Sentiment and Stock Prices 0 1 7 20 3 5 29 62
Daily Market News Sentiment and Stock Prices 2 3 4 33 6 8 20 41
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 3 20 0 2 11 25
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 1 18 0 0 8 19
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 2 14 0 1 7 15
Econometric modelling in finance and risk management: An overview 0 9 33 234 5 24 93 492
European Market Portfolio Diversifcation Strategies across the GFC 0 0 0 14 0 1 12 41
European Market Portfolio Diversification Strategies across the GFC 0 0 1 9 0 1 6 22
European Market Portfolio Diversification Strategies across the GFC 0 0 0 9 0 0 10 27
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 64 0 3 13 76
Financial Dependence Analysis: Applications of Vine Copulae 1 2 5 19 1 4 12 70
Financial Dependence Analysis: Applications of Vine Copulae 0 1 1 11 0 3 6 52
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 1 33 0 1 10 49
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 20 0 0 6 16
Hedge Fund Portfolio Diversification Strategies across the GFC 0 0 0 17 0 2 11 34
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series 0 3 5 18 0 5 11 50
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 1 17 0 0 9 92
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 1 15 0 1 6 45
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 2 1 3 12 25
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 1 5 1 1 7 28
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 1 15 1 1 8 22
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 1 2 5 94 2 5 25 152
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies 1 1 3 48 1 4 16 48
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 4 1 2 8 41
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 6 0 4 10 44
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 2 9 0 4 16 61
REALIZED VOLATILITY RISK 0 0 2 78 2 2 12 165
Realized Volatility Risk 0 0 0 25 2 5 19 82
Realized Volatility Risk 0 0 0 62 0 0 3 108
Realized Volatility Risk 0 0 0 68 1 2 4 113
Realized Volatility Risk 0 0 0 90 0 0 5 86
Realized volatility risk 0 0 2 48 0 0 5 37
Recent Developments in Financial Economics and Econometrics: An Overview 0 1 1 39 0 2 8 155
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 2 50 0 2 12 122
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 1 88 0 1 15 300
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 4 61 0 3 13 154
Recent Developments in Financial Economics and Econometrics:An Overview 0 0 4 81 0 2 16 165
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression 0 1 3 53 0 1 12 135
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 1 26 0 1 5 31
Risk Measurement and Risk Modelling using Applications of Vine Copulas 0 1 4 39 0 2 16 38
Risk Measurement and risk modelling using applications of Vine Copulas 0 0 2 22 0 1 6 32
Risk Modeling and Management: An Overview 0 0 1 40 1 2 13 59
Risk Modelling and Management: An Overview 0 0 0 48 1 1 5 91
Risk Modelling and Management: An Overview 0 1 1 3 1 2 8 28
Risk Modelling and Management: An Overview 0 1 5 25 1 3 21 86
Risk Modelling and Management: An Overview 1 1 3 114 2 2 8 78
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective 0 0 4 24 0 3 9 60
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management 0 0 0 0 1 1 5 940
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions 0 0 2 75 0 0 5 78
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions 0 0 2 45 0 0 7 115
Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management 27 27 27 27 6 6 6 6
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 1 11 11 1 3 15 15
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 21 21 1 4 16 16
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 26 26 1 2 7 7
Volatility Spillovers from Australia's Major Trading Partners across the GFC 0 0 3 8 0 0 10 37
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 3 0 1 10 38
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 5 22 1 1 19 79
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 9 0 0 3 77
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 1 1 12 1 5 9 88
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 5 31 0 4 21 123
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 1 7 59
Volatility spillovers from the US to Australia and China across the GFC 0 0 5 30 0 0 8 78
Total Working Papers 35 67 328 2,817 61 196 963 6,347

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 1 1 1
A Gourmet's delight: CAViaR and the Australian stock market 0 0 0 17 0 0 3 65
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 1 13 0 0 9 61
A Test of the Persistence in the Performance of UK Managed Funds 0 1 1 7 1 4 18 213
A capital adequacy buffer model 0 0 2 3 2 3 19 28
A hidden Markov chain model for the term structure of bond credit risk spreads 0 0 2 128 1 2 9 339
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 1 1 4 92
Asymmetric Realized Volatility Risk 0 0 0 24 1 1 10 73
Australian domestic porfolio diversification and estimation risk: A review of investment strategies 0 0 0 18 0 0 4 152
Australian domestic portfolio diversification and estimation risk: A review of investment strategies 0 0 0 25 0 0 3 137
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 2 64
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market 0 0 0 5 0 0 3 28
Determinants of the cross-section of stock returns in the Malaysian stock market 0 1 6 58 0 2 7 151
Do UK stock prices deviate from fundamentals? 0 0 2 4 0 3 17 34
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis 0 2 6 7 0 4 24 35
EVT and tail-risk modelling: Evidence from market indices and volatility series 1 1 2 16 1 2 13 71
Econometric modelling in finance and risk management: An overview 1 1 2 72 1 1 6 191
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 0 0 0 42 0 0 10 212
Empirical performance of affine option pricing models: evidence from the Australian index options market 0 0 0 16 1 1 2 91
Estimating and simulating Weibull models of risk or price durations: An application to ACD models 0 0 0 14 0 0 5 61
Extreme market risk and extreme value theory 0 2 3 12 1 3 12 47
Financial dependence analysis: applications of vine copulas 0 0 0 8 0 0 4 33
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 0 1 3 77 1 2 12 245
Forecasting profitability and earnings: a study of the UK market (1982-2000) 0 1 2 65 0 1 3 193
Investigating other leading indicators influencing Australian domestic tourism demand 0 0 1 4 0 0 4 16
Long-run underperformance of seasoned equity offerings: Fact or an illusion? 0 0 1 1 0 1 7 22
Measuring and modelling risk 0 0 3 12 0 0 12 36
Modelling and managing financial risk: An overview 0 0 1 3 0 1 13 29
Modelling interstate tourism demand in Australia: A cointegration approach 0 1 1 8 0 1 4 19
Modelling tail credit risk using transition matrices 1 1 3 12 1 1 6 46
Monte Carlo option pricing with asymmetric realized volatility dynamics 1 1 2 4 1 1 8 38
Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets 0 0 0 119 0 0 5 312
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 2 4 11 11 2 6 28 37
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 1 193
QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS 0 0 0 0 0 1 1 1
Recent developments in financial economics and econometrics: An overview 0 0 2 16 0 0 10 73
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice 0 0 2 7 0 0 7 24
Some statistical models for durations and an application to News Corporation stock prices 0 0 0 1 0 1 2 12
Spare Debt Capacity: Company Practices in Australia, Britain and Japan 0 0 0 1 0 0 2 13
THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE 0 0 0 0 0 1 1 1
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement 0 0 4 5 1 4 17 33
Technical Change, Economies of Scope and Contestable Markets 0 0 0 11 0 1 2 39
The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective 1 2 8 22 2 5 17 65
The Global Financial Crisis: some attributes and responses 0 1 2 109 0 1 7 219
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics 0 0 0 10 0 1 5 56
The fluctuating default risk of Australian banks 0 0 1 11 0 1 4 44
The long-run performance of initial public offerings in Thailand 1 1 3 136 2 2 8 398
The suitability of a monetary union in East Asia: What does the cointegration approach tell? 0 1 1 4 0 2 6 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 3 116
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 6 6 1 2 16 16
Volatility spillovers from the Chinese stock market to economic neighbours 0 1 2 9 1 3 11 45
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 0 0 0
Total Journal Articles 8 23 88 1,327 22 67 410 4,796

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 3 10
Total Chapters 0 0 0 1 0 0 3 10

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Statistics updated 2017-09-03