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 1 1 3 42
A Capital Adequacy Buffer Model 0 0 0 51 1 2 5 82
A Capital Adequacy Buffer Model 0 0 0 47 2 2 3 113
A Capital Adequacy Buffer Model 0 0 0 21 1 1 2 86
A Capital Adequacy Buffer Model 0 0 0 10 1 1 2 102
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 1 41 1 1 3 166
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 0 78 1 1 3 78
A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies 0 0 0 13 1 1 3 59
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 0 16 1 2 6 42
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 0 10 1 1 3 61
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 1 59 1 2 3 79
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 0 38 2 2 4 121
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 29 1 1 1 173
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 30 1 2 3 114
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series 0 0 0 15 2 2 4 106
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 2 2 2 2 45
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 34 2 2 4 70
Asset Pricing Tests, Endogeneity issues and Fama-French factors 0 0 1 6 1 1 10 33
Asymmetric Realized Volatility Risk 0 0 0 84 1 2 3 97
Asymmetric Realized Volatility Risk 0 0 0 37 1 1 1 92
Asymmetric Realized Volatility Risk 0 0 0 45 1 2 4 75
Carpooling with heterogeneous users in the bottleneck model 0 0 0 76 0 1 2 144
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 1 1 1 32
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 1 2 2 47
Cryptocurrencies, Diversification and the COVID-19 Pandemic 0 0 1 10 2 2 3 15
Daily Market News Sentiment and Stock Prices 0 0 0 31 2 3 6 146
Daily Market News Sentiment and Stock Prices 0 0 0 69 2 2 5 332
Daily Market News Sentiment and Stock Prices 0 0 0 13 2 3 7 113
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 14 1 1 2 43
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 21 1 1 2 50
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 22 2 2 4 68
Drawbacks in the 3-Factor Approach of Fama and French (2018) 0 0 3 438 3 6 41 2,516
Drawbacks in the 3-factor approach of Fama and French 0 0 1 30 1 1 4 50
Econometric modelling in finance and risk management: An overview 0 0 0 261 1 1 6 610
European Market Portfolio Diversifcation Strategies across the GFC 0 0 0 21 1 1 3 102
European Market Portfolio Diversification Strategies across the GFC 0 0 0 11 1 1 2 64
European Market Portfolio Diversification Strategies across the GFC 0 0 0 12 1 1 1 71
Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather 0 0 1 105 2 4 12 822
Fake News and Indifference to Truth 0 0 0 14 1 1 3 84
Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump 0 1 1 8 1 4 5 115
Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany 0 1 5 85 13 36 166 386
Fake news and indifference to truth: Dissecting tweets and State of the Union Addresses by Presidents Obama and Trump 0 0 1 19 1 3 4 66
Fake news and propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany 0 1 2 129 4 13 44 2,657
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 23 1 1 1 108
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 67 1 1 1 112
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 12 1 3 3 76
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 27 1 1 1 70
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 42 1 1 1 110
Hedge Fund Portfolio Diversification Strategies across the GFC 0 0 0 20 1 1 1 84
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series 0 0 1 29 4 4 8 170
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 0 15 2 2 4 94
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 0 21 2 3 6 161
Modeling trading games in a stochastic non-life insurance market 0 0 4 8 0 1 5 9
Monetary Policies, US influence and other Factors Affecting Stock Prices in Japan 0 0 0 10 1 1 3 17
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 4 1 2 2 76
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 5 1 1 3 55
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 16 1 1 4 77
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 0 97 1 1 2 230
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies 0 0 0 52 1 1 1 89
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 7 1 1 1 83
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 11 1 2 3 108
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 4 1 2 2 81
REALIZED VOLATILITY RISK 0 0 0 80 1 1 2 199
Realized Volatility Risk 0 0 0 90 1 2 2 116
Realized Volatility Risk 0 0 0 29 1 2 3 115
Realized Volatility Risk 0 0 0 62 1 2 4 134
Realized Volatility Risk 0 0 0 68 1 3 4 148
Realized volatility risk 0 0 0 48 1 2 2 62
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 52 1 2 3 165
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 62 1 2 3 189
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 90 3 5 5 334
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 45 1 3 5 205
Recent Developments in Financial Economics and Econometrics:An Overview 0 0 0 90 1 3 4 251
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression 0 0 0 62 1 1 1 187
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 1 1 29 1 2 2 77
Risk Measurement and Risk Modelling using Applications of Vine Copulas 0 0 0 39 1 1 1 77
Risk Measurement and risk modelling using applications of Vine Copulas 0 0 0 23 1 1 1 70
Risk Modeling and Management: An Overview 0 0 0 42 1 1 2 119
Risk Modelling and Management: An Overview 0 0 0 4 1 2 3 75
Risk Modelling and Management: An Overview 0 0 0 50 1 1 1 137
Risk Modelling and Management: An Overview 0 0 0 28 1 1 1 130
Risk Modelling and Management: An Overview 0 0 0 116 1 2 2 122
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective 0 0 1 42 1 1 3 123
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management 0 0 0 0 1 2 3 965
The Influence of Dust Levels on Atmospheric Carbon Dioxide and Global Temperature 0 0 0 5 1 4 8 36
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions 0 0 0 79 1 1 1 116
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions 0 0 0 48 1 1 4 163
Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management 0 0 0 18 1 1 2 41
Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management 0 0 0 33 1 3 4 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 1 2 3 8
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 29 1 3 3 71
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 12 1 1 1 47
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 1 32 1 1 3 54
Volatility Spillovers from Australia's Major Trading Partners across the GFC 0 0 0 9 1 1 1 78
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 3 1 1 2 79
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 29 1 1 2 134
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 32 1 1 1 169
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 9 1 1 1 108
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 18 1 1 3 127
Volatility Spillovers from the US to Australia and China across the GFC 0 0 0 44 1 1 2 91
Volatility Spillovers from the US to Australia and China across the GFC 0 0 0 12 1 2 2 70
Volatility spillovers from the US to Australia and China across the GFC 0 0 0 33 2 2 2 117
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment 0 0 0 5 1 2 3 35
Total Working Papers 0 4 26 4,185 137 224 554 17,822


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 1 1 3 21
A Gourmet's delight: CAViaR and the Australian stock market 0 0 1 21 1 1 3 87
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 2 21 2 3 9 122
A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index 0 0 1 11 2 2 8 47
A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes 2 5 7 14 6 14 29 48
A Test of the Persistence in the Performance of UK Managed Funds 0 0 1 9 1 1 5 35
A capital adequacy buffer model 0 0 1 7 1 1 2 58
A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices 0 0 0 6 1 2 6 77
A hidden Markov chain model for the term structure of bond credit risk spreads 0 0 1 135 1 1 3 372
An Examination of the Role of Time and its Impact on Price Revision 0 0 0 0 1 1 2 15
An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 5 3 3 4 41
Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions 0 0 0 40 1 1 1 121
Asymmetric Realized Volatility Risk 0 0 0 26 1 3 3 126
Australian domestic porfolio diversification and estimation risk: A review of investment strategies 0 0 0 18 1 1 2 163
Australian domestic portfolio diversification and estimation risk: A review of investment strategies 0 0 0 25 1 1 4 161
Benchmarking Australian fixed interest fund performance: finding the optimal factors 0 0 0 23 1 1 1 129
Beyond reasonable doubt: multiple tail risk measures applied to European industries 0 0 0 4 1 1 1 71
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates 0 0 0 6 0 0 0 30
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market 0 0 0 7 2 2 2 50
Cryptocurrencies, Diversification and the COVID-19 Pandemic 0 0 1 3 1 2 5 13
Daily market news sentiment and stock prices 0 1 8 29 4 9 35 169
Determinants of the cross-section of stock returns in the Malaysian stock market 0 0 1 70 1 1 2 183
Do UK stock prices deviate from fundamentals? 0 0 0 9 2 3 3 84
Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE 0 0 0 2 1 1 2 30
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis 0 0 0 15 1 1 1 95
Drawbacks in the 3-Factor Approach of Fama and French (2018) 1 2 4 7 2 4 12 27
EVT and tail-risk modelling: Evidence from market indices and volatility series 0 0 1 32 1 2 10 140
Econometric modelling in finance and risk management: An overview 0 0 0 78 1 1 2 212
Editorial: Statement for the Special Issue in Honor of Michael McAleer 0 0 0 1 0 1 5 12
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 0 0 0 11 2 2 3 60
Efficient modelling and forecasting with range based volatility models and its application 1 1 1 5 3 3 3 38
Empirical performance of affine option pricing models: evidence from the Australian index options market 0 0 0 17 0 0 0 105
Estimating and simulating Weibull models of risk or price durations: An application to ACD models 0 0 0 20 1 1 2 87
Extreme market risk and extreme value theory 0 0 2 40 2 4 12 140
FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP 0 0 0 8 1 2 3 68
FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK? 0 0 1 3 1 1 2 26
Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany 0 0 1 7 1 4 6 72
Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather 2 2 3 17 4 5 16 149
Financial dependence analysis: applications of vine copulas 0 0 0 11 1 2 3 69
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 1 1 2 87 3 3 4 282
Forecasting profitability and earnings: a study of the UK market (1982-2000) 0 0 0 77 1 1 8 238
GARMA, HAR and Rules of Thumb for Modelling Realized Volatility 0 0 0 0 0 0 1 1
Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models 0 0 0 7 1 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 0 0 0 10 1 1 2 31
Investors' response to mutual fund company mergers 0 0 0 0 1 1 1 2
Long-run underperformance of seasoned equity offerings: Fact or an illusion? 0 0 0 3 1 1 5 52
Making sense of digital traces: An activity theory driven ontological approach 0 0 0 1 2 2 2 12
Measuring and modelling risk 0 0 0 12 1 1 2 46
Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants 0 0 0 13 1 1 2 85
Modelling and managing financial risk: An overview 0 0 1 5 1 1 3 59
Modelling interstate tourism demand in Australia: A cointegration approach 0 0 0 12 1 2 2 52
Modelling tail credit risk using transition matrices 1 1 2 17 2 2 3 86
Monte Carlo option pricing with asymmetric realized volatility dynamics 0 0 0 8 1 2 2 72
Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets 0 0 0 124 1 2 2 338
NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS 0 0 0 6 2 2 3 83
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 0 15 1 3 3 91
Optimal Time Series Forecasting Through the GARMA Model 0 0 0 0 0 14 14 14
PREDICTING CASES AND DEATHS IN EUROPE FROM COVID-19 TESTS AND COUNTRY POPULATIONS 0 0 0 5 1 1 1 22
Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidder's Interests? 0 0 0 0 1 1 3 21
Predicting COVID-19 Cases and Deaths in the USA from Tests and State Populations 0 0 0 21 1 4 14 87
President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change † 0 0 0 5 1 3 4 72
Purchasing Power Parity-evidence from a new panel test 0 0 0 51 2 3 3 211
QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS 0 1 3 10 1 3 8 32
Recent developments in financial economics and econometrics: An overview 0 0 0 23 1 3 4 114
Risk Analysis and Portfolio Modelling 0 0 0 13 1 3 4 61
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 0 2 1 2 3 53
Robust newsvendor problems: effect of discrete demands 0 0 1 8 1 1 5 58
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice 0 0 1 10 1 1 3 50
Some statistical models for durations and an application to News Corporation stock prices 0 0 0 1 1 2 2 20
Spare Debt Capacity: Company Practices in Australia, Britain and Japan 0 0 0 2 2 2 5 52
Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information? 0 0 0 2 1 1 4 21
THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE 0 0 1 3 1 1 3 21
Tail dependence analysis of stock markets using extreme value theory 0 0 0 11 1 1 2 41
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement 1 1 3 19 2 3 9 99
Technical Change, Economies of Scope and Contestable Markets 0 0 0 11 1 1 1 47
The Determinants of Capital Structure: Empirical evidence from Thai Banks 0 0 0 0 1 1 3 40
The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective 0 0 4 38 1 1 9 131
The Global Financial Crisis: some attributes and responses 0 0 0 111 1 1 2 246
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics 0 0 1 15 1 3 5 90
The fluctuating default risk of Australian banks 0 0 1 17 1 3 5 133
The long-run performance of initial public offerings in Thailand 0 0 0 147 0 0 1 436
The suitability of a monetary union in East Asia: What does the cointegration approach tell? 0 0 0 6 1 1 1 39
The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk 0 0 0 31 1 1 2 159
Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management 0 0 0 8 1 1 1 62
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective 0 0 0 37 1 1 3 142
Trump’s COVID-19 tweets and Dr. Fauci’s emails 0 0 0 3 2 2 9 32
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 16 1 2 3 79
Volatility spillover and multivariate volatility impulse response analysis of GFC news events 0 1 3 16 1 3 8 66
Volatility spillovers from the Chinese stock market to economic neighbours 0 0 0 10 1 2 5 93
WHAT'S SO SUPER ABOUT SUPER? 0 0 0 1 1 2 2 24
YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL 0 0 0 2 1 2 4 32
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality 0 0 1 3 1 1 5 14
Total Journal Articles 9 16 63 1,820 117 192 428 8,063
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 1 1 2 3
AUSFTA and its Implications for the Australian Stock Market 0 0 0 2 1 1 2 28
Aspects of Volatility and Correlations in European Emerging Economies 0 0 0 0 1 1 1 5
Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis 0 0 0 0 1 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 1 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 2 2 2 14
Total Chapters 0 0 1 3 7 7 11 76


Statistics updated 2025-04-04