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 1 45 1 1 14 67
A Capital Adequacy Buffer Model 0 0 3 10 0 1 18 52
A Capital Adequacy Buffer Model 0 0 0 20 0 1 11 55
A Capital Adequacy Buffer Model 0 0 0 48 0 1 7 36
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 2 14 30 1 4 37 42
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 73 73 2 2 16 16
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 12 12 12 0 0 0 0
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 2 9 9 1 3 9 9
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 2 4 47 47 0 3 12 12
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 1 35 0 0 5 71
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 30 0 0 8 67
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 1 1 4 25 1 3 10 111
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series 0 0 4 5 0 3 23 28
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 11 27 0 1 11 14
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 1 1 0 1 2 2
Asymmetric Realized Volatility Risk 0 1 1 84 0 1 5 35
Asymmetric Realized Volatility Risk 0 0 1 44 0 0 10 39
Asymmetric Realized Volatility Risk 0 0 1 36 0 0 8 52
Daily Market News Sentiment and Stock Prices 1 1 2 31 1 5 14 34
Daily Market News Sentiment and Stock Prices 0 0 3 4 0 2 12 23
Daily Market News Sentiment and Stock Prices 1 1 9 20 1 2 31 58
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 1 3 20 2 4 12 25
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 2 14 0 2 7 14
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 1 1 18 0 2 8 19
Econometric modelling in finance and risk management: An overview 4 9 29 229 10 23 86 478
European Market Portfolio Diversifcation Strategies across the GFC 0 0 0 14 1 2 12 41
European Market Portfolio Diversification Strategies across the GFC 0 1 1 9 0 2 6 21
European Market Portfolio Diversification Strategies across the GFC 0 0 0 9 0 1 11 27
Financial Dependence Analysis: Applications of Vine Copulae 1 2 4 18 2 6 12 68
Financial Dependence Analysis: Applications of Vine Copulae 1 1 1 11 1 1 6 50
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 64 2 5 13 75
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 20 0 2 7 16
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 1 33 0 1 9 48
Hedge Fund Portfolio Diversification Strategies across the GFC 0 0 0 17 0 1 10 32
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series 2 3 4 17 4 8 13 49
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 1 17 0 0 12 92
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 1 15 0 0 8 44
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 2 1 2 13 23
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 1 1 15 0 2 7 21
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 1 1 5 0 1 9 27
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 5 92 0 1 27 147
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies 0 0 3 47 0 2 15 44
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 1 3 9 1 6 19 58
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 4 0 0 9 39
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 6 0 1 7 40
REALIZED VOLATILITY RISK 0 1 2 78 0 3 13 163
Realized Volatility Risk 0 0 0 62 0 0 6 108
Realized Volatility Risk 0 0 0 25 1 2 22 78
Realized Volatility Risk 0 0 0 90 0 0 6 86
Realized Volatility Risk 0 0 0 68 1 1 4 112
Realized volatility risk 0 1 3 48 0 1 7 37
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 1 38 0 1 7 153
Recent Developments in Financial Economics and Econometrics: An Overview 0 3 4 61 2 6 13 153
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 1 88 0 1 15 299
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 2 50 0 4 11 120
Recent Developments in Financial Economics and Econometrics:An Overview 0 0 4 81 1 4 17 164
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression 0 0 2 52 0 1 11 134
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 1 26 0 1 5 30
Risk Measurement and Risk Modelling using Applications of Vine Copulas 0 1 3 38 0 2 14 36
Risk Measurement and risk modelling using applications of Vine Copulas 0 1 2 22 0 2 7 31
Risk Modeling and Management: An Overview 0 0 1 40 1 3 14 58
Risk Modelling and Management: An Overview 0 2 5 24 0 4 19 83
Risk Modelling and Management: An Overview 0 0 0 48 0 1 4 90
Risk Modelling and Management: An Overview 0 0 2 113 0 2 7 76
Risk Modelling and Management: An Overview 1 1 1 3 1 3 7 27
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective 0 1 4 24 1 2 7 58
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management 0 0 0 0 0 0 6 939
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions 0 0 2 75 0 1 7 78
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions 0 0 4 45 0 2 11 115
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 1 2 11 11 1 2 13 13
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 21 21 1 1 13 13
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 26 26 0 2 5 5
Volatility Spillovers from Australia's Major Trading Partners across the GFC 0 1 3 8 0 2 11 37
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 5 22 0 3 21 78
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 3 0 2 12 37
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 9 0 0 4 77
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 11 0 2 5 83
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 5 31 2 3 19 121
Volatility Spillovers from the US to Australia and China across the GFC 0 1 2 41 0 2 8 58
Volatility Spillovers from the US to Australia and China across the GFC 0 0 1 12 0 0 5 46
Volatility spillovers from the US to Australia and China across the GFC 0 1 6 30 0 1 10 78
Total Working Papers 15 61 382 2,765 44 176 967 6,195


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 1 1 1 1
A Gourmet's delight: CAViaR and the Australian stock market 0 0 1 17 0 1 8 65
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 1 13 0 1 12 61
A Test of the Persistence in the Performance of UK Managed Funds 1 1 1 7 2 8 19 211
A capital adequacy buffer model 0 1 3 3 0 1 21 25
A hidden Markov chain model for the term structure of bond credit risk spreads 0 0 2 128 1 4 8 338
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 0 2 33 0 0 5 91
Asymmetric Realized Volatility Risk 0 0 1 24 0 0 13 72
Australian domestic porfolio diversification and estimation risk: A review of investment strategies 0 0 0 18 0 1 6 152
Australian domestic portfolio diversification and estimation risk: A review of investment strategies 0 0 0 25 0 1 5 137
Benchmarking Australian fixed interest fund performance: finding the optimal factors 0 0 0 23 0 0 4 110
Beyond reasonable doubt: multiple tail risk measures applied to European industries 0 0 0 4 0 0 3 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 1 1 6 58 1 1 8 150
Do UK stock prices deviate from fundamentals? 0 2 2 4 1 12 16 32
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis 2 2 6 7 3 5 30 34
EVT and tail-risk modelling: Evidence from market indices and volatility series 0 0 2 15 0 0 17 69
Econometric modelling in finance and risk management: An overview 0 0 1 71 0 1 7 190
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 0 0 0 42 0 3 13 212
Empirical performance of affine option pricing models: evidence from the Australian index options market 0 0 0 16 0 0 4 90
Estimating and simulating Weibull models of risk or price durations: An application to ACD models 0 0 0 14 0 0 6 61
Extreme market risk and extreme value theory 1 1 3 11 1 4 15 45
Financial dependence analysis: applications of vine copulas 0 0 0 8 0 0 6 33
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 0 0 2 76 0 1 14 243
Forecasting profitability and earnings: a study of the UK market (1982-2000) 0 0 1 64 0 0 5 192
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 1 1 1 1 2 8 22
Measuring and modelling risk 0 0 3 12 0 0 13 36
Modelling and managing financial risk: An overview 0 1 1 3 1 6 16 29
Modelling interstate tourism demand in Australia: A cointegration approach 1 1 1 8 1 1 5 19
Modelling tail credit risk using transition matrices 0 0 2 11 0 0 7 45
Monte Carlo option pricing with asymmetric realized volatility dynamics 0 0 1 3 0 0 10 37
Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets 0 0 0 119 0 1 10 312
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 1 7 7 0 1 28 31
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 2 193
QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS 0 0 0 0 1 1 1 1
Recent developments in financial economics and econometrics: An overview 0 0 3 16 0 2 13 73
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice 0 0 2 7 0 1 11 24
Some statistical models for durations and an application to News Corporation stock prices 0 0 0 1 1 1 3 12
Spare Debt Capacity: Company Practices in Australia, Britain and Japan 0 0 0 1 0 1 4 13
THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE 0 0 0 0 1 1 1 1
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement 0 2 4 5 1 8 17 30
Technical Change, Economies of Scope and Contestable Markets 0 0 1 11 0 1 4 38
The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective 0 2 6 20 1 5 19 61
The Global Financial Crisis: some attributes and responses 1 1 2 109 1 1 8 219
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics 0 0 0 10 0 0 6 55
The fluctuating default risk of Australian banks 0 1 1 11 1 3 9 44
The long-run performance of initial public offerings in Thailand 0 1 4 135 0 1 13 396
The suitability of a monetary union in East Asia: What does the cointegration approach tell? 1 1 1 4 1 1 7 18
The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk 0 0 0 28 0 0 3 132
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective 0 0 0 35 0 0 5 116
Volatility Spillovers from Australia's major trading partners across the GFC 0 1 6 6 0 4 14 14
Volatility spillovers from the Chinese stock market to economic neighbours 1 1 2 9 1 2 10 43
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 0 0 0 0 0 0
Total Journal Articles 9 22 83 1,313 22 89 503 4,751
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
AUSFTA and its Implications for the Australian Stock Market 0 0 1 1 0 0 6 10
Total Chapters 0 0 1 1 0 0 6 10


Statistics updated 2017-07-04