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
"Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond": Comment 0 0 0 8 0 1 3 42
A Capital Adequacy Buffer Model 0 0 0 21 0 2 3 87
A Capital Adequacy Buffer Model 0 0 0 47 0 2 2 113
A Capital Adequacy Buffer Model 0 0 0 10 0 1 2 102
A Capital Adequacy Buffer Model 0 0 0 51 0 1 3 82
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 0 78 0 1 2 78
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 1 41 0 1 3 166
A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies 0 0 0 13 0 2 4 60
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 0 10 0 1 2 61
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 1 59 0 1 3 79
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 0 16 0 1 4 42
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 0 38 1 4 6 123
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 30 0 1 3 114
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 1 1 30 1 3 3 175
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series 0 0 0 15 0 3 5 107
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 2 0 2 2 45
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 34 0 2 4 70
Asset Pricing Tests, Endogeneity issues and Fama-French factors 0 0 1 6 1 2 10 34
Asymmetric Realized Volatility Risk 0 0 0 45 0 1 4 75
Asymmetric Realized Volatility Risk 0 0 0 84 0 1 3 97
Asymmetric Realized Volatility Risk 0 0 0 37 0 1 1 92
Carpooling with heterogeneous users in the bottleneck model 0 0 0 76 1 1 3 145
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 0 2 2 33
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 0 1 2 47
Cryptocurrencies, Diversification and the COVID-19 Pandemic 1 1 1 11 1 3 3 16
Daily Market News Sentiment and Stock Prices 0 0 0 69 0 2 5 332
Daily Market News Sentiment and Stock Prices 0 0 0 31 0 2 6 146
Daily Market News Sentiment and Stock Prices 0 0 0 13 0 2 4 113
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 14 0 1 2 43
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 21 0 1 2 50
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 22 0 2 4 68
Drawbacks in the 3-Factor Approach of Fama and French (2018) 1 2 2 440 3 7 18 2,520
Drawbacks in the 3-factor approach of Fama and French 0 0 0 30 0 1 3 50
Econometric modelling in finance and risk management: An overview 0 0 0 261 0 1 1 610
European Market Portfolio Diversifcation Strategies across the GFC 0 0 0 21 0 1 3 102
European Market Portfolio Diversification Strategies across the GFC 0 0 0 12 0 1 1 71
European Market Portfolio Diversification Strategies across the GFC 0 0 0 11 0 1 1 64
Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather 1 1 1 106 2 4 9 824
Fake News and Indifference to Truth 0 0 0 14 0 1 3 84
Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump 0 0 1 8 1 2 6 116
Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany 0 1 5 86 4 27 175 400
Fake news and indifference to truth: Dissecting tweets and State of the Union Addresses by Presidents Obama and Trump 0 1 2 20 0 2 5 67
Fake news and propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany 0 1 2 130 0 6 37 2,659
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 67 1 2 2 113
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 12 0 1 3 76
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 23 0 1 1 108
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 42 0 1 1 110
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 27 0 1 1 70
Hedge Fund Portfolio Diversification Strategies across the GFC 0 0 0 20 0 1 1 84
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series 0 0 1 29 0 4 7 170
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 0 15 0 2 3 94
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 0 21 0 3 7 162
Modeling trading games in a stochastic non-life insurance market 0 0 2 8 0 0 3 9
Monetary Policies, US influence and other Factors Affecting Stock Prices in Japan 0 0 0 10 0 1 3 17
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 4 0 1 2 76
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 5 0 1 2 55
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 16 0 1 4 77
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 0 97 0 1 2 230
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies 0 0 0 52 0 1 1 89
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 11 1 2 3 109
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 4 0 1 2 81
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 7 0 1 1 83
REALIZED VOLATILITY RISK 0 0 0 80 0 1 2 199
Realized Volatility Risk 0 0 0 90 0 1 2 116
Realized Volatility Risk 0 0 0 29 0 1 2 115
Realized Volatility Risk 0 0 0 68 0 1 4 148
Realized Volatility Risk 0 0 0 62 0 1 4 134
Realized volatility risk 0 0 0 48 0 1 2 62
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 62 0 1 3 189
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 52 0 2 3 166
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 90 2 6 8 337
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 45 0 1 5 205
Recent Developments in Financial Economics and Econometrics:An Overview 0 0 0 90 0 1 4 251
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression 0 0 0 62 0 1 1 187
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 1 29 1 2 3 78
Risk Measurement and Risk Modelling using Applications of Vine Copulas 0 0 0 39 0 1 1 77
Risk Measurement and risk modelling using applications of Vine Copulas 0 0 0 23 0 1 1 70
Risk Modeling and Management: An Overview 0 0 0 42 0 1 1 119
Risk Modelling and Management: An Overview 0 0 0 116 0 1 2 122
Risk Modelling and Management: An Overview 0 0 0 50 0 1 1 137
Risk Modelling and Management: An Overview 0 0 0 4 1 2 4 76
Risk Modelling and Management: An Overview 0 0 0 28 0 1 1 130
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective 0 1 2 43 0 2 4 124
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management 0 0 0 0 0 2 4 966
The Influence of Dust Levels on Atmospheric Carbon Dioxide and Global Temperature 0 0 0 5 0 1 5 36
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions 0 0 0 79 0 1 1 116
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions 0 0 0 48 0 1 2 163
Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management 0 0 0 18 1 2 3 42
Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management 0 0 0 33 0 1 3 99
Using Regression Techniques to Estimate Futures Hedge Ratios Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures 0 0 0 0 0 1 3 8
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 29 0 1 3 71
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 12 2 3 3 49
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 32 0 1 1 54
Volatility Spillovers from Australia's Major Trading Partners across the GFC 0 0 0 9 0 1 1 78
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 3 0 1 1 79
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 29 0 1 2 134
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 9 0 1 1 108
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 18 0 2 3 128
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 32 0 1 1 169
Volatility Spillovers from the US to Australia and China across the GFC 0 0 0 44 0 1 2 91
Volatility Spillovers from the US to Australia and China across the GFC 0 0 0 12 0 1 2 70
Volatility spillovers from the US to Australia and China across the GFC 0 0 0 33 0 2 2 117
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment 0 0 0 5 1 2 3 36
Total Working Papers 3 9 24 4,194 25 188 520 17,873


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 1 1 0 1 2 21
A Gourmet's delight: CAViaR and the Australian stock market 0 0 0 21 0 1 2 87
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 1 3 22 0 3 9 123
A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index 0 0 1 11 0 2 6 47
A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes 2 5 10 17 5 12 34 54
A Test of the Persistence in the Performance of UK Managed Funds 0 1 2 10 0 2 5 36
A capital adequacy buffer model 0 0 0 7 0 1 1 58
A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices 1 1 1 7 1 2 5 78
A hidden Markov chain model for the term structure of bond credit risk spreads 0 0 1 135 0 1 3 372
An Examination of the Role of Time and its Impact on Price Revision 0 0 0 0 0 1 2 15
An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 5 0 3 3 41
Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions 0 0 0 40 0 1 1 121
Asymmetric Realized Volatility Risk 0 0 0 26 0 1 3 126
Australian domestic porfolio diversification and estimation risk: A review of investment strategies 0 0 0 18 0 1 1 163
Australian domestic portfolio diversification and estimation risk: A review of investment strategies 0 0 0 25 0 1 3 161
Benchmarking Australian fixed interest fund performance: finding the optimal factors 0 0 0 23 0 1 1 129
Beyond reasonable doubt: multiple tail risk measures applied to European industries 0 0 0 4 0 1 1 71
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates 0 0 0 6 1 3 3 33
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market 0 0 0 7 0 2 2 50
Cryptocurrencies, Diversification and the COVID-19 Pandemic 0 0 0 3 0 1 4 13
Daily market news sentiment and stock prices 1 1 9 30 2 8 36 173
Determinants of the cross-section of stock returns in the Malaysian stock market 0 0 0 70 0 1 1 183
Do UK stock prices deviate from fundamentals? 0 0 0 9 0 2 3 84
Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE 0 0 0 2 0 2 3 31
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis 0 0 0 15 0 1 1 95
Drawbacks in the 3-Factor Approach of Fama and French (2018) 0 1 4 7 1 4 11 29
EVT and tail-risk modelling: Evidence from market indices and volatility series 0 0 1 32 0 2 10 141
Econometric modelling in finance and risk management: An overview 0 0 0 78 0 1 2 212
Editorial: Statement for the Special Issue in Honor of Michael McAleer 0 0 0 1 0 0 4 12
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 0 0 0 11 1 3 4 61
Efficient modelling and forecasting with range based volatility models and its application 0 1 1 5 0 3 3 38
Empirical performance of affine option pricing models: evidence from the Australian index options market 0 0 0 17 1 1 1 106
Estimating and simulating Weibull models of risk or price durations: An application to ACD models 0 0 0 20 0 1 2 87
Extreme market risk and extreme value theory 0 0 2 40 1 5 14 143
FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP 0 0 0 8 0 1 3 68
FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK? 0 0 1 3 0 1 2 26
Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany 1 1 2 8 1 2 7 73
Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather 0 3 4 18 0 5 13 150
Financial dependence analysis: applications of vine copulas 0 0 0 11 0 1 3 69
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 0 1 1 87 0 3 3 282
Forecasting profitability and earnings: a study of the UK market (1982-2000) 0 0 0 77 1 2 7 239
GARMA, HAR and Rules of Thumb for Modelling Realized Volatility 0 1 1 1 0 1 2 2
Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models 0 0 0 7 0 1 2 60
Improving Volatility Forecasting: A Study through Hybrid Deep Learning Methods with WGAN 0 0 1 1 0 0 6 6
Investigating other leading indicators influencing Australian domestic tourism demand 1 1 1 11 2 3 4 33
Investors' response to mutual fund company mergers 0 0 0 0 0 1 1 2
Long-run underperformance of seasoned equity offerings: Fact or an illusion? 0 0 0 3 0 1 3 52
Making sense of digital traces: An activity theory driven ontological approach 0 0 0 1 0 2 2 12
Measuring and modelling risk 0 0 0 12 0 1 2 46
Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants 0 0 0 13 0 1 1 85
Modelling and managing financial risk: An overview 0 1 2 6 0 3 5 61
Modelling interstate tourism demand in Australia: A cointegration approach 0 0 0 12 0 1 2 52
Modelling tail credit risk using transition matrices 1 2 2 18 1 3 3 87
Monte Carlo option pricing with asymmetric realized volatility dynamics 0 0 0 8 0 1 2 72
Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets 0 0 0 124 0 1 2 338
NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS 0 0 0 6 0 2 3 83
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 0 15 0 1 3 91
Optimal Time Series Forecasting Through the GARMA Model 0 0 0 0 1 1 15 15
PREDICTING CASES AND DEATHS IN EUROPE FROM COVID-19 TESTS AND COUNTRY POPULATIONS 0 0 0 5 0 1 1 22
Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidder's Interests? 0 0 0 0 0 1 3 21
Predicting COVID-19 Cases and Deaths in the USA from Tests and State Populations 0 0 0 21 0 1 14 87
President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change † 0 0 0 5 1 2 5 73
Purchasing Power Parity-evidence from a new panel test 0 0 0 51 0 2 3 211
QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS 0 1 4 11 0 2 9 33
Recent developments in financial economics and econometrics: An overview 0 0 0 23 0 2 5 115
Risk Analysis and Portfolio Modelling 0 0 0 13 0 1 4 61
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 0 2 0 2 4 54
Robust newsvendor problems: effect of discrete demands 0 0 1 8 0 1 5 58
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice 0 0 1 10 0 1 3 50
Some statistical models for durations and an application to News Corporation stock prices 0 0 0 1 0 1 2 20
Spare Debt Capacity: Company Practices in Australia, Britain and Japan 0 0 0 2 0 2 3 52
Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information? 0 0 0 2 0 1 4 21
THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE 0 0 1 3 0 1 3 21
Tail dependence analysis of stock markets using extreme value theory 0 0 0 11 0 1 2 41
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement 0 1 2 19 0 2 7 99
Technical Change, Economies of Scope and Contestable Markets 0 0 0 11 0 1 1 47
The Determinants of Capital Structure: Empirical evidence from Thai Banks 0 0 0 0 0 1 3 40
The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective 0 0 0 38 0 1 3 131
The Global Financial Crisis: some attributes and responses 0 0 0 111 1 2 3 247
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics 0 0 0 15 0 1 4 90
The fluctuating default risk of Australian banks 0 0 1 17 0 1 4 133
The long-run performance of initial public offerings in Thailand 0 0 0 147 2 2 3 438
The suitability of a monetary union in East Asia: What does the cointegration approach tell? 0 0 0 6 0 1 1 39
The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk 0 0 0 31 0 1 1 159
Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management 0 0 0 8 1 2 2 63
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective 0 0 0 37 0 1 3 142
Trump’s COVID-19 tweets and Dr. Fauci’s emails 0 0 0 3 0 2 6 32
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 16 0 1 3 79
Volatility spillover and multivariate volatility impulse response analysis of GFC news events 0 0 1 16 0 2 4 67
Volatility spillovers from the Chinese stock market to economic neighbours 0 0 0 10 0 1 5 93
WHAT'S SO SUPER ABOUT SUPER? 0 0 0 1 0 1 2 24
YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL 0 0 0 2 0 1 4 32
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality 0 0 1 3 0 1 5 14
Total Journal Articles 7 23 63 1,834 24 161 416 8,107
5 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
A Risk and Forecasting Analysis of West Texas Intermediate Prices 0 0 0 0 0 1 2 3
AUSFTA and its Implications for the Australian Stock Market 0 0 0 2 0 1 1 28
Aspects of Volatility and Correlations in European Emerging Economies 0 0 0 0 0 1 1 5
Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis 0 0 0 0 0 1 1 14
Currency Spillover Effects between the US Dollar and Some Major Currencies and Exchange Rate Forecasts Based on Neural Nets 0 0 1 1 0 1 3 12
The Consumption-Based Capital Asset-Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Context 0 0 0 0 0 3 3 15
Total Chapters 0 0 1 3 0 8 11 77


Statistics updated 2025-06-06