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 2 10 0 2 11 56
A Capital Adequacy Buffer Model 0 0 1 21 0 1 7 59
A Capital Adequacy Buffer Model 0 0 1 45 0 1 10 71
A Capital Adequacy Buffer Model 0 0 0 48 0 1 7 40
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 1 3 9 35 5 7 26 58
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 2 75 0 0 10 21
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 2 50 50 0 3 23 23
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 12 12 0 0 3 3
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 9 9 2 2 14 14
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 0 35 0 3 9 77
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 30 0 2 8 71
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 5 27 0 2 13 117
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series 0 1 2 6 0 2 13 32
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 1 1 1 3 5 5
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 1 1 28 0 3 10 20
Asymmetric Realized Volatility Risk 0 0 1 45 0 1 5 41
Asymmetric Realized Volatility Risk 0 0 1 84 0 1 3 36
Asymmetric Realized Volatility Risk 0 0 0 36 0 1 4 53
Daily Market News Sentiment and Stock Prices 0 0 2 4 0 1 10 24
Daily Market News Sentiment and Stock Prices 0 0 3 20 0 2 19 64
Daily Market News Sentiment and Stock Prices 1 2 6 35 3 7 24 49
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 1 18 0 1 6 20
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 14 0 1 5 16
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 2 20 1 3 9 28
Econometric modelling in finance and risk management: An overview 2 7 37 242 5 18 96 519
European Market Portfolio Diversifcation Strategies across the GFC 1 1 1 15 1 2 14 46
European Market Portfolio Diversification Strategies across the GFC 0 0 0 9 0 1 4 28
European Market Portfolio Diversification Strategies across the GFC 0 0 1 9 0 3 8 25
Financial Dependence Analysis: Applications of Vine Copulae 0 0 1 11 0 0 4 52
Financial Dependence Analysis: Applications of Vine Copulae 1 1 5 21 1 1 10 72
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 64 0 1 10 77
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 33 1 3 9 52
Hedge Fund Portfolio Diversification Strategies Across the GFC 1 1 1 21 1 6 10 22
Hedge Fund Portfolio Diversification Strategies across the GFC 0 0 0 17 0 3 8 37
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series 0 0 6 19 1 2 15 54
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 1 15 0 1 4 46
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 0 17 1 1 3 93
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 1 15 0 0 7 23
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 1 5 0 0 4 29
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 2 0 0 8 26
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 5 95 0 1 23 159
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies 0 1 3 49 0 2 12 51
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 1 9 0 0 14 64
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 4 0 0 3 41
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 6 0 0 6 44
REALIZED VOLATILITY RISK 0 0 2 78 0 1 11 167
Realized Volatility Risk 0 0 0 90 0 1 5 87
Realized Volatility Risk 0 0 1 26 0 2 16 86
Realized Volatility Risk 0 0 0 62 0 1 2 109
Realized Volatility Risk 0 0 0 68 0 2 6 115
Realized volatility risk 0 0 1 48 1 3 6 40
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 1 88 0 2 7 302
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 3 61 0 0 12 155
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 2 50 0 0 8 122
Recent Developments in Financial Economics and Econometrics: An Overview 0 2 3 41 0 3 8 158
Recent Developments in Financial Economics and Econometrics:An Overview 1 1 4 82 11 17 28 182
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression 0 0 2 54 0 1 9 139
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 0 26 0 0 2 31
Risk Measurement and Risk Modelling using Applications of Vine Copulas 0 0 3 39 0 0 7 38
Risk Measurement and risk modelling using applications of Vine Copulas 0 0 2 22 0 0 5 32
Risk Modeling and Management: An Overview 0 0 0 40 0 1 7 61
Risk Modelling and Management: An Overview 0 0 1 3 0 1 8 31
Risk Modelling and Management: An Overview 0 0 0 48 0 1 7 93
Risk Modelling and Management: An Overview 0 0 4 25 0 1 14 89
Risk Modelling and Management: An Overview 0 0 1 114 0 1 7 80
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective 1 4 7 28 2 6 12 66
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management 0 0 0 0 0 1 4 941
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions 0 0 1 75 0 1 5 80
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions 0 0 2 45 0 1 8 117
Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management 1 2 15 15 1 1 1 1
Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management 0 0 28 28 0 1 14 14
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 1 4 12 0 2 11 19
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 21 0 0 7 18
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 26 26 0 1 10 10
Volatility Spillovers from Australia's Major Trading Partners across the GFC 0 0 2 8 0 2 7 39
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 3 0 1 7 40
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 3 24 0 1 16 82
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 3 31 1 7 23 131
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 1 3 14 0 3 13 92
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 9 0 0 1 77
Volatility Spillovers from the US to Australia and China across the GFC 0 0 2 41 0 0 5 59
Volatility Spillovers from the US to Australia and China across the GFC 0 0 0 12 1 1 3 47
Volatility spillovers from the US to Australia and China across the GFC 0 0 1 30 0 0 3 79
Total Working Papers 10 31 302 2,873 40 162 851 6,587


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 2 2
A Gourmet's delight: CAViaR and the Australian stock market 0 0 0 17 0 1 3 66
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 2 3 15 0 3 11 66
A Test of the Persistence in the Performance of UK Managed Funds 0 0 1 7 0 1 17 215
A capital adequacy buffer model 0 0 2 3 1 2 12 31
A hidden Markov chain model for the term structure of bond credit risk spreads 0 0 1 128 0 3 10 342
An Examination of the Role of Time and its Impact on Price Revision 0 0 0 0 1 1 1 7
Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions 0 0 2 33 0 1 5 93
Asymmetric Realized Volatility Risk 1 1 1 25 1 2 9 76
Australian domestic porfolio diversification and estimation risk: A review of investment strategies 0 0 0 18 0 0 3 152
Australian domestic portfolio diversification and estimation risk: A review of investment strategies 0 0 0 25 0 0 2 137
Benchmarking Australian fixed interest fund performance: finding the optimal factors 0 0 0 23 0 1 2 111
Beyond reasonable doubt: multiple tail risk measures applied to European industries 0 0 0 4 0 1 2 65
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market 0 0 0 5 0 0 0 28
Determinants of the cross-section of stock returns in the Malaysian stock market 0 0 3 58 0 1 5 152
Do UK stock prices deviate from fundamentals? 0 0 2 4 0 4 22 39
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis 0 0 5 8 1 2 22 41
EVT and tail-risk modelling: Evidence from market indices and volatility series 0 0 1 16 1 4 13 75
Econometric modelling in finance and risk management: An overview 0 0 1 72 0 0 3 191
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 0 0 0 42 0 0 7 212
Efficient modelling and forecasting with range based volatility models and its application 0 0 0 0 0 0 0 0
Empirical performance of affine option pricing models: evidence from the Australian index options market 0 0 0 16 0 1 3 92
Estimating and simulating Weibull models of risk or price durations: An application to ACD models 0 0 0 14 0 1 2 62
Extreme market risk and extreme value theory 0 0 2 12 2 3 13 51
Financial dependence analysis: applications of vine copulas 1 1 1 9 1 1 3 34
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 0 2 6 80 0 2 11 249
Forecasting profitability and earnings: a study of the UK market (1982-2000) 0 0 2 65 1 1 3 194
Investigating other leading indicators influencing Australian domestic tourism demand 0 0 1 4 0 1 3 17
Long-run underperformance of seasoned equity offerings: Fact or an illusion? 0 0 1 1 1 2 6 24
Measuring and modelling risk 0 0 0 12 0 0 5 36
Modelling and managing financial risk: An overview 0 0 1 3 1 1 11 30
Modelling interstate tourism demand in Australia: A cointegration approach 0 1 2 9 0 1 4 21
Modelling tail credit risk using transition matrices 0 0 3 12 0 1 6 47
Monte Carlo option pricing with asymmetric realized volatility dynamics 0 0 1 4 0 3 7 41
Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets 0 1 1 120 1 2 5 315
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 9 11 0 0 19 38
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 0 193
QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS 0 0 0 0 0 0 1 1
Recent developments in financial economics and econometrics: An overview 1 2 4 18 1 6 15 79
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 0 0 0 0 0 0
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice 0 0 1 7 1 1 4 25
Some statistical models for durations and an application to News Corporation stock prices 0 0 0 1 0 0 2 12
Spare Debt Capacity: Company Practices in Australia, Britain and Japan 0 0 0 1 0 0 3 14
THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE 0 0 0 0 1 1 3 3
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement 1 1 3 6 1 4 18 38
Technical Change, Economies of Scope and Contestable Markets 0 0 0 11 0 0 2 39
The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective 1 1 7 24 1 1 14 67
The Global Financial Crisis: some attributes and responses 0 0 1 109 0 2 5 223
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics 0 1 1 11 0 3 6 59
The fluctuating default risk of Australian banks 0 1 2 12 2 4 9 49
The long-run performance of initial public offerings in Thailand 0 0 3 136 1 1 6 399
The suitability of a monetary union in East Asia: What does the cointegration approach tell? 0 0 1 4 0 0 4 19
The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk 0 0 0 28 0 0 1 132
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective 0 0 0 35 0 0 0 116
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 7 7 0 2 20 20
Volatility spillovers from the Chinese stock market to economic neighbours 0 0 2 9 1 4 14 49
WHAT'S SO SUPER ABOUT SUPER? 0 0 0 1 0 0 0 9
YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL 0 0 0 0 1 1 2 2
Total Journal Articles 5 14 84 1,345 23 78 381 4,900
3 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 0 1 0 0 1 10
Total Chapters 0 0 0 1 0 0 1 10


Statistics updated 2018-01-04