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 0 0 8 0 3 5 45
A Capital Adequacy Buffer Model 0 0 0 47 1 3 6 117
A Capital Adequacy Buffer Model 0 0 0 51 1 2 5 84
A Capital Adequacy Buffer Model 0 0 0 21 0 1 4 88
A Capital Adequacy Buffer Model 0 0 0 10 1 2 4 104
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 0 41 0 1 2 167
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 0 78 2 2 3 80
A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies 0 0 0 13 0 0 4 60
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 0 59 0 3 5 82
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 0 10 0 1 3 62
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 0 16 2 2 4 44
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 0 38 2 2 7 125
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 30 5 8 11 122
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 1 30 0 1 4 176
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series 0 0 0 15 0 1 7 109
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 2 0 1 4 47
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 34 3 4 8 75
Asset Pricing Tests, Endogeneity issues and Fama-French factors 0 0 2 7 3 4 10 40
Asymmetric Realized Volatility Risk 0 0 0 45 2 4 6 79
Asymmetric Realized Volatility Risk 0 0 0 37 0 1 2 93
Asymmetric Realized Volatility Risk 0 0 0 84 0 1 4 99
Carpooling with heterogeneous users in the bottleneck model 0 0 0 76 1 2 5 147
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 1 5 7 38
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 0 0 2 47
Cryptocurrencies, Diversification and the COVID-19 Pandemic 0 0 1 11 1 2 6 19
Daily Market News Sentiment and Stock Prices 0 0 0 31 1 1 6 147
Daily Market News Sentiment and Stock Prices 0 1 1 70 4 6 10 338
Daily Market News Sentiment and Stock Prices 0 0 1 14 5 7 11 121
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 21 1 1 2 51
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 14 0 1 2 44
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 22 1 3 6 71
Drawbacks in the 3-Factor Approach of Fama and French (2018) 0 0 3 441 0 1 15 2,523
Drawbacks in the 3-factor approach of Fama and French 0 0 0 30 1 1 2 51
Econometric modelling in finance and risk management: An overview 0 0 0 261 1 1 2 611
European Market Portfolio Diversifcation Strategies across the GFC 0 0 0 21 0 0 1 102
European Market Portfolio Diversification Strategies across the GFC 0 0 0 12 0 1 2 72
European Market Portfolio Diversification Strategies across the GFC 0 0 0 11 0 2 3 66
Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather 0 1 2 107 0 2 9 826
Fake News and Indifference to Truth 1 1 1 15 1 3 7 89
Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump 0 0 1 8 0 2 8 119
Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany 0 1 6 89 4 13 105 427
Fake news and indifference to truth: Dissecting tweets and State of the Union Addresses by Presidents Obama and Trump 0 0 1 20 0 1 6 69
Fake news and propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany 0 0 2 130 2 2 21 2,664
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 12 0 1 5 78
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 23 1 1 2 109
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 67 1 2 4 115
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 27 0 2 4 73
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 42 1 3 4 113
Hedge Fund Portfolio Diversification Strategies across the GFC 0 0 0 20 1 1 3 86
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series 0 0 1 29 0 1 7 171
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 0 15 0 0 4 95
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 0 21 1 2 6 164
Modeling trading games in a stochastic non-life insurance market 0 0 0 8 1 3 4 12
Monetary Policies, US influence and other Factors Affecting Stock Prices in Japan 0 0 0 10 1 2 3 19
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 16 0 1 3 78
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 4 1 2 5 79
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 5 0 0 2 55
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 0 97 1 1 4 232
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies 0 0 0 52 0 1 2 90
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 11 1 2 5 111
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 4 1 2 4 83
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 7 0 0 2 84
REALIZED VOLATILITY RISK 0 0 0 80 3 4 6 204
Realized Volatility Risk 0 0 0 29 0 0 3 116
Realized Volatility Risk 0 0 0 90 4 5 7 121
Realized Volatility Risk 0 0 0 68 4 5 8 153
Realized Volatility Risk 0 0 0 62 1 2 4 136
Realized volatility risk 0 0 0 48 3 5 8 68
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 62 0 1 4 190
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 45 0 2 6 207
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 90 0 1 12 341
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 52 2 5 8 171
Recent Developments in Financial Economics and Econometrics:An Overview 0 1 1 91 0 3 7 254
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression 1 1 1 63 2 3 4 190
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 1 29 0 1 4 79
Risk Measurement and Risk Modelling using Applications of Vine Copulas 0 0 1 40 0 2 5 81
Risk Measurement and risk modelling using applications of Vine Copulas 0 0 0 23 2 2 3 72
Risk Modeling and Management: An Overview 0 0 0 42 0 1 2 120
Risk Modelling and Management: An Overview 0 0 0 4 2 2 5 78
Risk Modelling and Management: An Overview 0 0 0 116 0 1 3 123
Risk Modelling and Management: An Overview 0 0 0 50 0 2 3 139
Risk Modelling and Management: An Overview 0 0 0 28 1 2 3 132
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective 0 0 1 43 1 3 5 127
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management 0 0 0 0 2 5 8 971
The Influence of Dust Levels on Atmospheric Carbon Dioxide and Global Temperature 0 0 0 5 0 1 5 37
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions 0 0 0 79 0 1 2 117
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions 0 0 0 48 1 3 5 166
Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management 0 0 0 18 1 1 3 43
Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management 0 0 0 33 2 3 7 103
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 3 8
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 32 0 2 3 56
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 12 1 2 5 51
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 29 0 1 11 79
Volatility Spillovers from Australia's Major Trading Partners across the GFC 0 0 0 9 1 2 3 80
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 3 1 2 3 81
Volatility Spillovers from Australia's major trading partners across the GFC 0 1 1 30 0 3 4 137
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 18 0 1 4 129
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 9 0 1 2 109
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 32 1 3 4 172
Volatility Spillovers from the US to Australia and China across the GFC 0 0 0 44 2 2 3 93
Volatility Spillovers from the US to Australia and China across the GFC 0 0 0 12 0 1 3 71
Volatility spillovers from the US to Australia and China across the GFC 0 0 0 33 1 2 4 119
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment 0 0 0 5 1 2 5 38
Total Working Papers 2 7 29 4,207 96 221 616 18,149

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 4 23
A Gourmet's delight: CAViaR and the Australian stock market 0 0 0 21 0 0 1 87
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 1 22 0 1 5 124
A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index 0 0 1 12 3 3 7 51
A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes 1 2 10 19 3 8 35 64
A Test of the Persistence in the Performance of UK Managed Funds 0 0 1 10 0 0 3 36
A capital adequacy buffer model 0 0 0 7 0 1 2 59
A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices 0 0 2 8 2 6 15 88
A hidden Markov chain model for the term structure of bond credit risk spreads 0 0 0 135 0 1 2 373
An Examination of the Role of Time and its Impact on Price Revision 0 0 0 0 2 2 4 17
An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 5 1 2 6 44
Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions 0 0 0 40 0 1 3 123
Asymmetric Realized Volatility Risk 0 0 0 26 2 4 7 130
Australian domestic porfolio diversification and estimation risk: A review of investment strategies 0 0 0 18 1 2 3 165
Australian domestic portfolio diversification and estimation risk: A review of investment strategies 0 0 0 25 2 3 4 164
Benchmarking Australian fixed interest fund performance: finding the optimal factors 0 0 0 23 0 2 3 131
Beyond reasonable doubt: multiple tail risk measures applied to European industries 0 0 0 4 0 1 2 72
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates 0 0 0 6 0 4 8 38
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market 0 1 1 8 1 2 5 53
Cryptocurrencies, Diversification and the COVID-19 Pandemic 0 0 0 3 0 0 3 13
Daily market news sentiment and stock prices 0 0 5 32 3 6 33 187
Determinants of the cross-section of stock returns in the Malaysian stock market 0 0 0 70 2 2 4 186
Do UK stock prices deviate from fundamentals? 0 0 0 9 2 2 5 86
Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE 0 0 0 2 1 1 4 32
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis 0 0 0 15 0 1 2 96
Drawbacks in the 3-Factor Approach of Fama and French (2018) 0 0 2 7 0 0 7 29
EVT and tail-risk modelling: Evidence from market indices and volatility series 0 0 2 34 0 4 11 148
Econometric modelling in finance and risk management: An overview 0 0 0 78 0 1 6 216
Editorial: Statement for the Special Issue in Honor of Michael McAleer 0 0 0 1 0 0 1 12
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 1 1 1 12 2 4 7 65
Efficient modelling and forecasting with range based volatility models and its application 0 0 2 6 0 0 4 39
Empirical performance of affine option pricing models: evidence from the Australian index options market 0 0 0 17 1 3 4 109
Estimating and simulating Weibull models of risk or price durations: An application to ACD models 0 0 0 20 3 3 6 92
Extreme market risk and extreme value theory 0 1 2 41 1 3 13 147
FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP 0 0 0 8 0 0 3 68
FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK? 0 0 0 3 1 2 3 28
Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany 0 0 1 8 0 1 7 75
Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather 0 0 4 18 0 1 10 152
Financial dependence analysis: applications of vine copulas 0 0 0 11 0 0 3 69
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 0 0 1 87 1 2 6 285
Forecasting profitability and earnings: a study of the UK market (1982-2000) 0 0 0 77 1 1 4 240
GANs and synthetic financial data: calculating VaR* 0 0 0 0 1 2 2 2
GARMA, HAR and Rules of Thumb for Modelling Realized Volatility 0 0 1 1 0 1 2 3
Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models 0 0 0 7 1 2 5 63
Improving Volatility Forecasting: A Study through Hybrid Deep Learning Methods with WGAN 0 0 1 1 1 1 4 8
Investigating other leading indicators influencing Australian domestic tourism demand 1 1 2 12 3 3 6 36
Investors' response to mutual fund company mergers 0 0 0 0 0 0 1 2
Long-run underperformance of seasoned equity offerings: Fact or an illusion? 0 0 0 3 0 0 1 52
Making sense of digital traces: An activity theory driven ontological approach 0 0 0 1 0 0 2 12
Measuring and modelling risk 0 0 0 12 0 1 3 47
Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants 0 0 0 13 0 2 4 88
Modelling and managing financial risk: An overview 0 0 1 6 1 2 6 63
Modelling interstate tourism demand in Australia: A cointegration approach 0 0 0 12 3 3 5 55
Modelling tail credit risk using transition matrices 0 0 2 18 0 0 6 90
Monte Carlo option pricing with asymmetric realized volatility dynamics 0 0 0 8 0 0 2 72
Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets 0 0 0 124 1 3 5 341
NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS 0 0 1 7 0 2 5 86
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 0 15 0 2 5 93
Optimal Time Series Forecasting Through the GARMA Model 0 0 0 0 0 1 17 17
PREDICTING CASES AND DEATHS IN EUROPE FROM COVID-19 TESTS AND COUNTRY POPULATIONS 1 1 1 6 1 2 3 24
Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidder's Interests? 0 0 0 0 0 1 3 22
Predicting COVID-19 Cases and Deaths in the USA from Tests and State Populations 0 0 0 21 1 3 12 90
President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change † 0 0 0 5 2 3 8 76
Purchasing Power Parity-evidence from a new panel test 0 0 0 51 1 2 6 214
QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS 0 1 5 12 0 2 11 35
Recent developments in financial economics and econometrics: An overview 1 1 1 24 1 1 6 116
Risk Analysis and Portfolio Modelling 0 0 0 13 2 2 6 64
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 0 2 1 2 6 56
Robust newsvendor problems: effect of discrete demands 0 0 1 8 0 2 5 60
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice 0 0 0 10 1 2 3 52
Some statistical models for durations and an application to News Corporation stock prices 0 0 0 1 1 2 6 24
Spare Debt Capacity: Company Practices in Australia, Britain and Japan 0 0 0 2 0 1 3 53
Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information? 0 0 0 2 0 0 1 21
THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE 0 0 0 3 0 1 3 23
Tail dependence analysis of stock markets using extreme value theory 0 0 0 11 1 1 3 43
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement 0 0 2 19 0 1 7 100
Technical Change, Economies of Scope and Contestable Markets 0 0 0 11 1 2 3 49
The Determinants of Capital Structure: Empirical evidence from Thai Banks 0 0 0 0 2 3 7 44
The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective 0 0 0 38 1 1 2 132
The Global Financial Crisis: some attributes and responses 0 0 0 111 1 1 3 248
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics 0 0 0 15 1 2 7 94
The fluctuating default risk of Australian banks 1 1 1 18 1 3 7 137
The long-run performance of initial public offerings in Thailand 0 0 0 147 1 2 4 440
The suitability of a monetary union in East Asia: What does the cointegration approach tell? 0 0 0 6 0 2 3 41
The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk 0 0 0 31 2 2 3 161
Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management 0 0 0 8 0 0 2 63
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective 0 0 0 37 1 2 6 145
Trump’s COVID-19 tweets and Dr. Fauci’s emails 0 0 0 3 1 2 6 35
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 16 2 3 6 82
Volatility spillover and multivariate volatility impulse response analysis of GFC news events 0 0 1 16 1 4 10 73
Volatility spillovers from the Chinese stock market to economic neighbours 0 0 0 10 1 3 9 98
WHAT'S SO SUPER ABOUT SUPER? 0 0 0 1 1 2 5 27
YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL 0 0 0 2 0 0 4 33
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality 0 0 0 3 2 3 5 17
Total Journal Articles 6 10 57 1,852 77 171 530 8,338
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 4
AUSFTA and its Implications for the Australian Stock Market 0 0 0 2 1 1 2 29
Aspects of Volatility and Correlations in European Emerging Economies 0 0 0 0 1 2 3 7
Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis 0 0 0 0 0 1 2 15
Currency Spillover Effects between the US Dollar and Some Major Currencies and Exchange Rate Forecasts Based on Neural Nets 0 0 1 1 1 2 6 15
The Consumption-Based Capital Asset-Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Context 0 0 0 0 0 2 5 17
Total Chapters 0 0 1 3 4 9 20 87

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Statistics updated 2025-11-08