Access Statistics for David Edmund Allen

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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 1 4 4 1 4 18 18
A Capital Adequacy Buffer Model 0 0 0 21 0 0 6 67
A Capital Adequacy Buffer Model 0 0 0 10 1 3 13 78
A Capital Adequacy Buffer Model 0 0 2 51 0 1 11 57
A Capital Adequacy Buffer Model 0 0 0 45 1 1 11 89
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 2 39 1 3 11 86
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 1 77 0 1 9 39
A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies 0 1 10 10 0 3 18 18
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 1 1 55 0 3 8 48
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 1 2 15 1 2 5 15
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 0 10 0 4 11 32
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 1 36 1 1 8 88
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 30 0 0 5 81
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 28 3 4 14 136
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series 0 0 1 8 0 1 14 53
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 1 2 0 1 14 25
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 30 0 0 12 41
Asymmetric Realized Volatility Risk 0 1 1 37 2 5 10 69
Asymmetric Realized Volatility Risk 0 0 0 84 1 3 7 49
Asymmetric Realized Volatility Risk 0 0 0 45 1 1 6 51
Carpooling with heterogeneous users in the bottleneck model 1 1 5 68 3 7 35 59
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 25 25 1 3 15 15
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 1 1 19 19 3 5 18 18
Daily Market News Sentiment and Stock Prices 0 1 2 6 2 6 19 48
Daily Market News Sentiment and Stock Prices 0 2 4 24 0 3 17 85
Daily Market News Sentiment and Stock Prices 1 5 10 49 5 12 57 130
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 2 22 1 1 13 45
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 19 0 1 10 36
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 14 0 1 9 29
Drawbacks in the 3-Factor Approach of Fama and French (2018) 5 10 12 12 14 30 39 39
Drawbacks in the 3-factor approach of Fama and French 2 2 17 17 2 5 15 15
Econometric modelling in finance and risk management: An overview 0 2 10 261 1 3 39 591
European Market Portfolio Diversifcation Strategies across the GFC 0 0 2 18 0 3 14 70
European Market Portfolio Diversification Strategies across the GFC 0 0 0 9 0 1 12 42
European Market Portfolio Diversification Strategies across the GFC 0 0 0 9 2 2 14 45
Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather 2 4 17 29 15 39 92 109
Fake News and Indifference to Truth 0 1 4 8 1 5 18 28
Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump 0 0 1 2 1 1 15 27
Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany 3 4 57 57 11 31 76 76
Fake news and indifference to truth: Dissecting tweets and State of the Union Addresses by Presidents Obama and Trump 0 0 2 16 1 3 16 22
Fake news and propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany 5 13 41 41 46 121 135 135
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 64 1 1 9 91
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 11 0 1 5 61
Financial Dependence Analysis: Applications of Vine Copulae 0 0 2 23 4 4 10 88
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 1 1 26 1 2 11 43
Hedge Fund Portfolio Diversification Strategies Across the GFC 1 1 1 36 2 3 15 80
Hedge Fund Portfolio Diversification Strategies across the GFC 0 0 0 18 2 3 12 52
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series 0 1 2 22 0 4 18 77
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 0 15 1 4 14 64
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 1 18 0 0 14 114
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 15 0 0 5 33
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 3 2 3 18 53
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 5 0 0 9 39
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 0 95 3 7 18 182
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies 0 0 1 50 0 0 7 61
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 4 0 1 11 59
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 2 11 1 2 14 89
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 1 7 3 3 11 64
REALIZED VOLATILITY RISK 0 0 0 78 1 1 8 177
Realized Volatility Risk 0 0 0 62 0 0 8 120
Realized Volatility Risk 0 0 0 90 0 1 9 99
Realized Volatility Risk 0 0 1 27 2 2 9 96
Realized Volatility Risk 0 0 0 68 0 0 8 125
Realized volatility risk 0 0 0 48 0 0 7 49
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 61 1 1 8 167
Recent Developments in Financial Economics and Econometrics: An Overview 0 1 3 44 1 2 14 180
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 89 0 0 10 316
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 1 52 1 1 19 151
Recent Developments in Financial Economics and Econometrics:An Overview 0 0 3 88 4 5 18 210
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression 0 0 0 55 0 0 8 150
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 0 26 0 2 7 45
Risk Measurement and Risk Modelling using Applications of Vine Copulas 0 0 0 39 0 1 9 50
Risk Measurement and risk modelling using applications of Vine Copulas 1 1 1 23 1 3 7 44
Risk Modeling and Management: An Overview 0 0 0 41 4 6 19 90
Risk Modelling and Management: An Overview 0 0 0 4 1 2 14 51
Risk Modelling and Management: An Overview 0 0 1 49 0 1 14 112
Risk Modelling and Management: An Overview 0 0 1 115 0 0 12 100
Risk Modelling and Management: An Overview 0 0 0 25 0 1 9 102
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective 0 1 6 35 0 4 13 81
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management 0 0 0 0 2 2 2 946
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions 0 0 1 76 0 2 9 91
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions 0 0 0 46 1 2 12 134
Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management 0 0 0 18 0 1 12 29
Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management 0 0 1 30 0 3 23 55
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 1 1
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 12 1 2 10 36
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 2 28 1 1 9 29
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 1 1 25 0 1 8 39
Volatility Spillovers from Australia's Major Trading Partners across the GFC 0 0 0 8 1 1 10 53
Volatility Spillovers from Australia's major trading partners across the GFC 0 1 2 26 0 1 15 103
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 3 1 1 11 55
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 31 0 4 16 153
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 9 0 1 9 87
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 18 2 3 8 106
Volatility Spillovers from the US to Australia and China across the GFC 1 1 2 43 1 3 11 73
Volatility Spillovers from the US to Australia and China across the GFC 0 0 0 12 0 0 6 57
Volatility spillovers from the US to Australia and China across the GFC 0 0 0 30 2 3 14 98
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment 0 0 4 4 0 1 7 7
Total Working Papers 23 60 297 3,323 170 428 1,513 8,721

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 0 3 6
A Gourmet's delight: CAViaR and the Australian stock market 0 0 0 18 0 2 3 70
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 1 1 1 16 2 2 10 82
A Test of the Persistence in the Performance of UK Managed Funds 0 0 0 0 0 0 0 0
A Test of the Persistence in the Performance of UK Managed Funds 0 0 0 7 0 1 6 224
A capital adequacy buffer model 0 0 1 4 0 0 4 37
A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices 0 0 2 4 1 1 13 29
A hidden Markov chain model for the term structure of bond credit risk spreads 0 0 0 128 0 0 1 345
An Examination of the Role of Time and its Impact on Price Revision 0 0 0 0 0 0 0 7
An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 1 0 4 11 18
Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions 0 0 2 37 2 5 8 108
Asymmetric Realized Volatility Risk 0 0 0 25 0 1 5 86
Australian domestic porfolio diversification and estimation risk: A review of investment strategies 0 0 0 18 0 0 0 153
Australian domestic portfolio diversification and estimation risk: A review of investment strategies 0 0 0 25 0 0 1 148
Benchmarking Australian fixed interest fund performance: finding the optimal factors 0 0 0 23 0 0 3 117
Beyond reasonable doubt: multiple tail risk measures applied to European industries 0 0 0 4 0 0 1 66
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market 0 0 0 6 0 0 6 39
Daily market news sentiment and stock prices 0 1 1 1 0 5 8 8
Determinants of the cross-section of stock returns in the Malaysian stock market 0 0 2 61 1 1 5 160
Do UK stock prices deviate from fundamentals? 0 0 1 6 1 1 11 60
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis 0 0 1 11 2 2 13 64
EVT and tail-risk modelling: Evidence from market indices and volatility series 0 0 3 19 2 6 12 89
Econometric modelling in finance and risk management: An overview 0 0 1 74 0 0 5 198
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 0 0 0 42 0 0 1 213
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 0 0 0 8 0 0 0 46
Efficient modelling and forecasting with range based volatility models and its application 0 1 2 2 1 3 10 16
Empirical performance of affine option pricing models: evidence from the Australian index options market 0 0 0 16 0 1 2 95
Estimating and simulating Weibull models of risk or price durations: An application to ACD models 0 0 0 14 0 0 4 67
Extreme market risk and extreme value theory 0 0 5 22 1 4 20 82
Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather 0 1 7 7 1 4 60 60
Financial dependence analysis: applications of vine copulas 0 0 0 9 0 1 9 45
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 0 0 0 82 0 0 8 262
Forecasting profitability and earnings: a study of the UK market (1982-2000) 0 0 4 69 0 1 8 202
Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models 0 0 2 2 0 0 13 17
Investigating other leading indicators influencing Australian domestic tourism demand 0 0 1 5 0 0 2 19
Long-run underperformance of seasoned equity offerings: Fact or an illusion? 0 0 0 2 0 2 3 32
Making sense of digital traces: An activity theory driven ontological approach 0 0 0 0 1 1 1 1
Measuring and modelling risk 0 0 0 12 0 0 0 36
Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants 1 1 5 8 1 4 25 36
Modelling and managing financial risk: An overview 0 0 0 3 0 1 6 36
Modelling interstate tourism demand in Australia: A cointegration approach 0 0 1 11 0 0 7 32
Modelling tail credit risk using transition matrices 1 1 2 14 1 1 8 56
Monte Carlo option pricing with asymmetric realized volatility dynamics 0 0 0 4 0 0 7 50
Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets 0 0 1 121 0 0 3 322
NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS 0 0 2 2 2 3 30 31
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 1 12 0 0 8 50
Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidder's Interests? 0 0 0 0 0 0 1 2
President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change † 0 0 1 4 3 4 24 43
Purchasing Power Parity-evidence from a new panel test 0 0 0 50 0 1 2 195
QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS 0 0 1 1 0 0 1 3
Recent developments in financial economics and econometrics: An overview 0 0 4 23 1 1 14 96
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 1 2 0 4 16 27
Robust newsvendor problems: effect of discrete demands 0 1 1 1 2 4 7 7
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice 0 0 0 7 0 1 4 33
Some statistical models for durations and an application to News Corporation stock prices 0 0 0 1 0 0 0 12
Spare Debt Capacity: Company Practices in Australia, Britain and Japan 0 0 0 1 0 1 2 22
THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE 0 0 0 1 0 0 1 6
Tail dependence analysis of stock markets using extreme value theory 1 1 4 6 1 1 9 22
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement 0 0 1 8 0 2 7 51
Technical Change, Economies of Scope and Contestable Markets 0 0 0 11 0 0 0 39
The Determinants of Capital Structure: Empirical evidence from Thai Banks 0 0 0 0 0 0 0 0
The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective 0 0 0 25 0 0 4 74
The Global Financial Crisis: some attributes and responses 0 0 0 109 0 0 0 227
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics 0 0 0 12 0 0 3 64
The fluctuating default risk of Australian banks 0 0 0 13 0 0 6 58
The long-run performance of initial public offerings in Thailand 0 0 1 142 0 0 7 412
The suitability of a monetary union in East Asia: What does the cointegration approach tell? 0 0 0 5 0 0 3 25
The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk 0 0 1 29 0 1 7 140
Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management 0 0 2 2 2 2 18 24
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective 0 0 0 35 0 1 3 122
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 3 12 1 6 22 48
Volatility spillover and multivariate volatility impulse response analysis of GFC news events 0 0 2 3 1 2 12 21
Volatility spillovers from the Chinese stock market to economic neighbours 0 1 1 10 1 2 8 59
WHAT'S SO SUPER ABOUT SUPER? 0 0 0 1 0 0 0 10
YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL 0 0 1 1 0 1 3 7
Total Journal Articles 4 9 72 1,470 31 91 548 5,769

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
R in Finance and Economics:A Beginner's Guide 1 3 13 19 1 7 28 37
Total Books 1 3 13 19 1 7 28 37

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 1 12
Total Chapters 0 0 0 1 0 0 1 12

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Statistics updated 2019-09-09