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 2 3 3 1 7 14 14
A Capital Adequacy Buffer Model 0 0 0 10 0 2 16 75
A Capital Adequacy Buffer Model 1 1 3 51 2 3 11 56
A Capital Adequacy Buffer Model 0 0 0 45 1 2 11 88
A Capital Adequacy Buffer Model 0 0 0 21 0 0 7 67
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 2 2 2 39 2 2 16 83
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 1 1 2 77 4 4 12 38
A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies 0 2 9 9 0 7 15 15
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 1 14 0 0 5 13
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 2 54 1 1 9 45
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 0 10 1 1 10 28
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 1 1 36 0 2 9 87
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 30 0 0 8 81
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 1 28 1 3 13 132
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series 0 0 2 8 3 4 16 52
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 30 1 1 14 41
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 1 2 3 3 14 24
Asymmetric Realized Volatility Risk 0 0 0 84 0 0 8 46
Asymmetric Realized Volatility Risk 0 0 0 36 0 0 7 64
Asymmetric Realized Volatility Risk 0 0 0 45 0 0 7 50
Carpooling with heterogeneous users in the bottleneck model 0 1 67 67 1 10 48 52
Cointegrated Dynamics for A Generalized Long Memory Process 0 1 25 25 0 1 12 12
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 1 18 18 1 5 13 13
Daily Market News Sentiment and Stock Prices 1 1 2 22 2 4 14 82
Daily Market News Sentiment and Stock Prices 0 2 6 44 6 17 57 118
Daily Market News Sentiment and Stock Prices 1 1 1 5 2 5 14 42
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 19 1 1 10 35
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 2 22 1 2 13 44
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 14 0 0 9 28
Drawbacks in the 3-Factor Approach of Fama and French (2018) 1 2 2 2 4 9 9 9
Drawbacks in the 3-factor approach of Fama and French 0 15 15 15 1 10 10 10
Econometric modelling in finance and risk management: An overview 1 2 9 259 1 4 47 588
European Market Portfolio Diversifcation Strategies across the GFC 0 1 2 18 1 3 13 67
European Market Portfolio Diversification Strategies across the GFC 0 0 0 9 1 2 12 41
European Market Portfolio Diversification Strategies across the GFC 0 0 0 9 0 1 14 43
Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather 2 6 25 25 4 32 70 70
Fake News and Indifference to Truth 0 1 5 7 2 4 18 23
Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump 0 1 1 2 1 4 17 26
Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany 4 53 53 53 8 45 45 45
Fake news and indifference to truth: Dissecting tweets and State of the Union Addresses by Presidents Obama and Trump 0 1 3 16 0 6 16 19
Fake news and propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany 1 28 28 28 6 14 14 14
Financial Dependence Analysis: Applications of Vine Copulae 0 0 2 23 2 2 9 84
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 11 0 0 5 60
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 64 0 0 8 90
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 2 25 0 2 12 41
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 1 35 0 2 16 77
Hedge Fund Portfolio Diversification Strategies across the GFC 0 0 0 18 0 1 9 49
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series 0 0 2 21 0 2 15 73
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 0 15 1 1 11 60
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 1 18 1 3 15 114
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 5 1 1 9 39
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 3 2 5 18 50
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 15 0 1 7 33
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 0 95 1 2 13 175
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies 0 0 1 50 0 2 8 61
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 4 1 3 13 58
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 1 7 1 1 10 61
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 2 2 11 1 3 15 87
REALIZED VOLATILITY RISK 0 0 0 78 0 1 7 176
Realized Volatility Risk 0 0 0 68 0 1 9 125
Realized Volatility Risk 0 0 0 90 0 0 9 98
Realized Volatility Risk 0 0 0 62 0 1 9 120
Realized Volatility Risk 0 0 1 27 0 1 7 94
Realized volatility risk 0 0 0 48 0 1 8 49
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 61 0 0 9 166
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 1 89 0 2 12 316
Recent Developments in Financial Economics and Econometrics: An Overview 1 1 2 43 2 2 13 178
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 2 52 2 5 21 150
Recent Developments in Financial Economics and Econometrics:An Overview 0 1 5 88 1 4 17 205
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression 0 0 0 55 2 2 8 150
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 0 26 1 2 6 43
Risk Measurement and Risk Modelling using Applications of Vine Copulas 0 0 0 39 0 2 8 49
Risk Measurement and risk modelling using applications of Vine Copulas 0 0 0 22 0 1 5 41
Risk Modeling and Management: An Overview 0 0 0 41 0 4 15 84
Risk Modelling and Management: An Overview 0 1 1 49 3 6 14 111
Risk Modelling and Management: An Overview 1 1 1 115 1 5 14 100
Risk Modelling and Management: An Overview 0 0 0 25 1 3 8 101
Risk Modelling and Management: An Overview 0 0 0 4 0 3 13 49
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective 1 1 5 34 2 2 9 77
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management 0 0 0 0 0 0 0 944
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions 0 0 1 76 0 1 8 89
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions 0 0 1 46 2 3 12 132
Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management 0 0 0 18 0 3 12 28
Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management 0 0 1 30 0 5 25 52
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 0 0 0
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 12 0 1 9 34
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 24 0 1 7 38
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 1 2 28 0 2 11 28
Volatility Spillovers from Australia's Major Trading Partners across the GFC 0 0 0 8 2 3 11 52
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 3 1 2 12 54
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 1 25 1 3 16 102
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 2 18 1 1 8 103
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 9 0 1 8 86
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 31 0 1 13 149
Volatility Spillovers from the US to Australia and China across the GFC 0 1 1 42 0 2 9 70
Volatility Spillovers from the US to Australia and China across the GFC 0 0 0 12 1 2 8 57
Volatility spillovers from the US to Australia and China across the GFC 0 0 0 30 1 5 13 95
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment 0 0 4 4 0 3 6 6
Total Working Papers 18 135 334 3,263 98 339 1,299 8,293
2 registered items for which data could not be found


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 2 3 6
A Gourmet's delight: CAViaR and the Australian stock market 0 0 0 18 0 0 1 68
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 0 15 0 2 11 80
A Test of the Persistence in the Performance of UK Managed Funds 0 0 0 7 0 0 5 223
A capital adequacy buffer model 0 1 1 4 0 1 4 37
A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices 0 0 3 4 2 2 18 28
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 1 1 1 2 9 14
Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions 1 1 3 37 1 1 6 103
Asymmetric Realized Volatility Risk 0 0 0 25 0 0 8 85
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 1 1 1 148
Benchmarking Australian fixed interest fund performance: finding the optimal factors 0 0 0 23 0 0 4 117
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 1 6 0 1 7 39
Determinants of the cross-section of stock returns in the Malaysian stock market 0 0 2 61 1 2 5 159
Do UK stock prices deviate from fundamentals? 0 0 1 6 0 3 11 59
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis 0 0 1 11 1 2 16 62
EVT and tail-risk modelling: Evidence from market indices and volatility series 1 2 3 19 1 3 7 83
Econometric modelling in finance and risk management: An overview 1 1 2 74 1 2 6 198
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 0 0 0 42 0 0 1 213
Efficient modelling and forecasting with range based volatility models and its application 0 0 1 1 0 2 8 13
Empirical performance of affine option pricing models: evidence from the Australian index options market 0 0 0 16 0 0 1 94
Estimating and simulating Weibull models of risk or price durations: An application to ACD models 0 0 0 14 0 1 4 67
Extreme market risk and extreme value theory 1 2 6 22 3 6 20 78
Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather 1 3 6 6 2 13 56 56
Financial dependence analysis: applications of vine copulas 0 0 0 9 1 1 8 44
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 0 0 0 82 1 1 9 262
Forecasting profitability and earnings: a study of the UK market (1982-2000) 0 1 4 69 0 1 7 201
Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models 1 1 2 2 2 5 17 17
Investigating other leading indicators influencing Australian domestic tourism demand 1 1 1 5 1 2 2 19
Long-run underperformance of seasoned equity offerings: Fact or an illusion? 0 0 0 2 0 0 3 30
Making sense of digital traces: An activity theory driven ontological approach 0 0 0 0 0 0 0 0
Measuring and modelling risk 0 0 0 12 0 0 0 36
Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants 1 2 5 7 3 7 30 32
Modelling and managing financial risk: An overview 0 0 0 3 0 0 5 35
Modelling interstate tourism demand in Australia: A cointegration approach 1 1 1 11 3 3 7 32
Modelling tail credit risk using transition matrices 0 0 1 13 2 2 7 55
Monte Carlo option pricing with asymmetric realized volatility dynamics 0 0 0 4 0 0 8 50
Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets 0 0 1 121 0 2 4 322
NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS 0 2 2 2 1 11 28 28
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 1 12 0 1 9 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 † 1 1 4 4 4 6 39 39
Purchasing Power Parity-evidence from a new panel test 0 0 0 50 0 0 1 194
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 2 2 5 23 2 3 14 95
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 1 1 2 0 2 15 23
Robust newsvendor problems: effect of discrete demands 0 0 0 0 1 3 3 3
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice 0 0 0 7 0 1 4 32
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 1 21
THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE 0 0 1 1 0 1 2 6
Tail dependence analysis of stock markets using extreme value theory 0 1 4 5 0 4 11 21
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement 1 1 1 8 1 5 7 49
Technical Change, Economies of Scope and Contestable Markets 0 0 0 11 0 0 0 39
The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective 0 0 0 25 2 3 5 74
The Global Financial Crisis: some attributes and responses 0 0 0 109 0 0 2 227
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics 0 0 0 12 0 1 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 3 142 0 3 9 412
The suitability of a monetary union in East Asia: What does the cointegration approach tell? 0 0 1 5 0 1 4 25
The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk 0 0 1 29 0 1 6 139
Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management 1 1 2 2 1 4 22 22
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective 0 0 0 35 0 0 3 121
Volatility Spillovers from Australia's major trading partners across the GFC 0 1 5 12 1 6 19 42
Volatility spillover and multivariate volatility impulse response analysis of GFC news events 0 0 3 3 0 0 13 19
Volatility spillovers from the Chinese stock market to economic neighbours 0 0 0 9 0 0 6 57
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 1 1 1 0 2 2 6
Total Journal Articles 14 27 82 1,453 41 129 557 5,629


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 2 5 15 16 4 9 27 30
Total Books 2 5 15 16 4 9 27 30


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


Statistics updated 2019-06-03