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 1 2 3 10 3 4 18 49
A Capital Adequacy Buffer Model 1 1 1 45 3 4 17 65
A Capital Adequacy Buffer Model 0 0 0 48 0 3 7 35
A Capital Adequacy Buffer Model 0 0 0 20 1 4 13 54
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 3 27 27 3 10 37 37
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 73 73 2 3 13 13
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 1 35 1 2 5 70
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 30 3 5 10 67
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 1 2 4 24 2 4 10 108
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series 0 1 5 5 3 9 25 25
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 27 27 3 4 13 13
Asymmetric Realized Volatility Risk 0 0 1 83 1 1 8 34
Asymmetric Realized Volatility Risk 0 0 1 44 2 3 10 38
Asymmetric Realized Volatility Risk 0 0 1 36 2 2 10 51
Daily Market News Sentiment and Stock Prices 1 1 1 30 2 7 15 29
Daily Market News Sentiment and Stock Prices 0 1 2 3 3 6 14 20
Daily Market News Sentiment and Stock Prices 1 5 11 19 5 15 36 55
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 1 17 2 2 11 16
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 1 1 4 19 2 3 14 21
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 3 14 1 1 9 12
Econometric modelling in finance and risk management: An overview 5 11 27 215 13 30 78 445
European Market Portfolio Diversifcation Strategies across the GFC 0 0 0 14 3 5 11 36
European Market Portfolio Diversification Strategies across the GFC 0 0 1 9 2 4 12 26
European Market Portfolio Diversification Strategies across the GFC 0 0 0 8 2 2 7 19
Financial Dependence Analysis: Applications of Vine Copulae 0 0 3 16 0 0 11 62
Financial Dependence Analysis: Applications of Vine Copulae 0 0 1 64 2 2 10 69
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 10 1 1 7 49
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 1 20 1 1 7 13
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 4 33 3 4 19 47
Hedge Fund Portfolio Diversification Strategies across the GFC 0 0 1 17 2 3 12 31
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series 0 0 0 13 0 1 7 40
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 1 2 17 1 2 14 91
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 1 1 1 15 2 2 10 44
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 2 2 5 15 21
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 4 0 2 11 26
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 14 1 3 9 18
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 1 1 10 91 5 12 40 144
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies 1 2 7 47 0 5 21 41
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 4 1 2 12 39
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 6 1 3 9 39
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 3 8 2 3 18 52
REALIZED VOLATILITY RISK 0 0 1 76 2 4 14 159
Realized Volatility Risk 0 0 0 90 3 4 10 86
Realized Volatility Risk 0 0 1 25 4 7 24 75
Realized Volatility Risk 0 0 0 68 2 2 6 111
Realized Volatility Risk 0 0 0 62 1 1 7 108
Realized volatility risk 0 0 2 47 2 2 10 36
Recent Developments in Financial Economics and Econometrics: An Overview 1 1 2 88 1 4 17 297
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 2 2 2 50 2 2 11 116
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 2 58 3 3 8 146
Recent Developments in Financial Economics and Econometrics:An Overview 1 2 2 79 3 4 16 157
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression 0 0 4 52 2 6 16 133
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 2 5 14 34
Risk Measurement and risk modelling using applications of Vine Copulas 0 0 2 20 1 1 9 28
Risk Modeling and Management: An Overview 0 0 1 40 1 5 13 55
Risk Modelling and Management: An Overview 0 0 1 48 2 3 10 89
Risk Modelling and Management: An Overview 0 0 0 2 1 1 4 24
Risk Modelling and Management: An Overview 0 0 4 113 0 2 10 74
Risk Modelling and Management: An Overview 0 1 3 21 2 4 16 77
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective 0 1 1 21 0 1 6 54
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management 0 0 0 0 1 2 8 939
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions 0 1 2 75 1 2 7 77
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions 0 2 4 45 1 4 12 113
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 2 21 21 0 5 12 12
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 1 8 8 1 3 9 9
Volatility Spillovers from Australia's Major Trading Partners across the GFC 0 1 1 6 0 4 15 34
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 7 21 2 10 25 74
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 3 1 3 17 35
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 2 3 6 30 7 11 20 116
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 9 0 0 5 76
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 11 1 1 5 80
Volatility Spillovers from the US to Australia and China across the GFC 0 0 1 12 2 2 7 46
Volatility Spillovers from the US to Australia and China across the GFC 0 0 0 39 1 1 6 55
Volatility spillovers from the US to Australia and China across the GFC 0 0 15 29 1 1 28 77
Total Working Papers 20 51 324 2,606 141 296 1,055 5,947


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 35 0 0 8 118
A Gourmet's delight: CAViaR and the Australian stock market 0 0 1 17 1 1 8 64
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 1 2 13 2 4 13 59
A Test of the Persistence in the Performance of UK Managed Funds 0 0 0 6 0 0 10 198
A capital adequacy buffer model 0 0 1 1 1 6 22 22
A hidden Markov chain model for the term structure of bond credit risk spreads 0 1 3 128 0 1 7 333
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 2 2 4 33 3 3 9 91
Asymmetric Realized Volatility Risk 0 0 2 24 2 6 16 70
Australian domestic porfolio diversification and estimation risk: A review of investment strategies 0 0 0 18 1 2 6 151
Australian domestic portfolio diversification and estimation risk: A review of investment strategies 0 0 0 25 1 1 4 136
Benchmarking Australian fixed interest fund performance: finding the optimal factors 0 0 0 23 1 1 5 110
Beyond reasonable doubt: multiple tail risk measures applied to European industries 0 0 0 4 1 1 9 64
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market 0 0 0 5 0 1 8 28
Determinants of the cross-section of stock returns in the Malaysian stock market 1 1 6 56 1 1 10 148
Do UK stock prices deviate from fundamentals? 0 0 0 2 2 2 9 19
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis 0 3 5 5 2 10 27 27
EVT and tail-risk modelling: Evidence from market indices and volatility series 0 0 3 15 1 4 16 65
Econometric modelling in finance and risk management: An overview 0 0 1 71 1 1 14 189
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 0 0 1 42 2 2 13 207
Empirical performance of affine option pricing models: evidence from the Australian index options market 0 0 0 16 1 1 6 90
Estimating and simulating Weibull models of risk or price durations: An application to ACD models 0 0 0 14 1 2 9 61
Extreme market risk and extreme value theory 0 0 2 10 1 4 14 40
Financial dependence analysis: applications of vine copulas 0 0 0 8 2 3 9 33
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 2 2 2 76 3 6 25 242
Forecasting profitability and earnings: a study of the UK market (1982-2000) 0 0 0 63 0 0 5 191
Investigating other leading indicators influencing Australian domestic tourism demand 0 0 0 3 1 1 4 15
Long-run underperformance of seasoned equity offerings: Fact or an illusion? 0 0 0 0 0 3 7 19
Measuring and modelling risk 0 0 4 12 3 4 14 34
Modelling and managing financial risk: An overview 0 0 0 2 0 1 10 20
Modelling interstate tourism demand in Australia: A cointegration approach 0 0 2 7 1 1 7 18
Modelling tail credit risk using transition matrices 1 1 1 10 2 3 7 44
Monte Carlo option pricing with asymmetric realized volatility dynamics 0 1 1 3 3 5 13 37
Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets 0 0 1 119 1 1 12 311
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 3 5 5 2 10 26 26
Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidder's Interests? 0 0 0 20 1 3 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 1 2 5 10 2 4 12 33
Recent developments in financial economics and econometrics: An overview 2 2 4 16 4 6 17 70
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice 1 2 4 7 2 3 14 23
Some statistical models for durations and an application to News Corporation stock prices 0 0 0 1 1 1 3 11
Spare Debt Capacity: Company Practices in Australia, Britain and Japan 0 0 0 1 1 1 5 12
THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE 0 0 1 10 1 1 6 45
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement 0 0 3 3 1 1 15 21
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 2 6 18 0 4 18 55
The Global Financial Crisis: some attributes and responses 0 0 1 108 0 0 13 218
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics 0 0 0 10 1 2 6 54
The fluctuating default risk of Australian banks 0 0 0 10 1 1 7 41
The long-run performance of initial public offerings in Thailand 0 1 5 134 0 3 14 395
The suitability of a monetary union in East Asia: What does the cointegration approach tell? 0 0 0 3 0 2 8 16
The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk 0 0 0 28 1 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 0 0 1 7 4 4 14 39
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 2 5 12 36
Total Journal Articles 10 25 79 1,359 65 134 577 4,956
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 1 1 7 10
Total Chapters 0 0 1 1 1 1 7 10


Statistics updated 2017-03-07