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 0 1 3 41
A Capital Adequacy Buffer Model 0 0 0 51 0 1 3 80
A Capital Adequacy Buffer Model 0 0 0 47 0 0 1 111
A Capital Adequacy Buffer Model 0 0 0 10 0 1 1 101
A Capital Adequacy Buffer Model 0 0 0 21 0 1 1 85
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 0 78 0 0 2 77
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices 0 0 1 41 0 0 2 165
A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies 0 0 0 13 0 2 3 58
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 0 10 0 1 2 60
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 0 16 1 1 5 41
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies 0 0 1 59 0 0 1 77
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 0 38 0 1 2 119
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 30 1 2 3 113
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 0 0 0 29 0 0 0 172
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series 0 0 0 15 0 2 7 104
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 34 0 1 2 68
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 2 0 0 0 43
Asset Pricing Tests, Endogeneity issues and Fama-French factors 0 1 1 6 0 2 11 32
Asymmetric Realized Volatility Risk 0 0 0 45 1 1 4 74
Asymmetric Realized Volatility Risk 0 0 0 37 0 0 0 91
Asymmetric Realized Volatility Risk 0 0 0 84 1 1 2 96
Carpooling with heterogeneous users in the bottleneck model 0 0 0 76 0 1 1 143
Cointegrated Dynamics for A Generalized Long Memory Process 0 0 0 25 0 0 2 31
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates 0 0 0 26 0 0 1 45
Cryptocurrencies, Diversification and the COVID-19 Pandemic 0 0 1 10 0 0 1 13
Daily Market News Sentiment and Stock Prices 0 0 0 31 0 2 3 143
Daily Market News Sentiment and Stock Prices 0 0 0 13 0 0 6 110
Daily Market News Sentiment and Stock Prices 0 0 0 69 0 2 3 330
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 14 0 0 1 42
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 21 0 0 1 49
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC 0 0 0 22 0 1 2 66
Drawbacks in the 3-Factor Approach of Fama and French (2018) 0 0 9 438 3 5 64 2,513
Drawbacks in the 3-factor approach of Fama and French 0 0 1 30 0 0 3 49
Econometric modelling in finance and risk management: An overview 0 0 0 261 0 0 5 609
European Market Portfolio Diversifcation Strategies across the GFC 0 0 0 21 0 0 2 101
European Market Portfolio Diversification Strategies across the GFC 0 0 0 11 0 0 1 63
European Market Portfolio Diversification Strategies across the GFC 0 0 0 12 0 0 0 70
Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather 0 0 1 105 0 1 14 818
Fake News and Indifference to Truth 0 0 0 14 0 1 3 83
Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump 0 0 0 7 0 0 2 111
Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany 0 1 4 84 4 32 139 354
Fake news and indifference to truth: Dissecting tweets and State of the Union Addresses by Presidents Obama and Trump 0 0 1 19 1 1 2 64
Fake news and propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany 0 0 1 128 1 2 43 2,645
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 23 0 0 0 107
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 12 0 0 0 73
Financial Dependence Analysis: Applications of Vine Copulae 0 0 0 67 0 0 0 111
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 27 0 0 1 69
Hedge Fund Portfolio Diversification Strategies Across the GFC 0 0 0 42 0 0 0 109
Hedge Fund Portfolio Diversification Strategies across the GFC 0 0 0 20 0 0 0 83
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series 0 1 2 29 0 2 5 166
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 0 15 0 1 2 92
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series 0 0 0 21 1 1 4 159
Modeling trading games in a stochastic non-life insurance market 0 0 4 8 0 0 5 8
Monetary Policies, US influence and other Factors Affecting Stock Prices in Japan 0 0 0 10 0 0 3 16
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 5 0 1 3 54
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 4 0 0 1 74
Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 16 0 1 4 76
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 0 97 0 1 2 229
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies 0 0 0 52 0 0 0 88
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 11 1 1 4 107
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 4 1 1 1 80
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis 0 0 0 7 0 0 0 82
REALIZED VOLATILITY RISK 0 0 0 80 0 0 1 198
Realized Volatility Risk 0 0 0 68 1 1 2 146
Realized Volatility Risk 0 0 0 29 0 0 1 113
Realized Volatility Risk 0 0 0 90 1 1 1 115
Realized Volatility Risk 0 0 0 62 1 1 3 133
Realized volatility risk 0 0 0 48 1 1 1 61
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 90 1 1 1 330
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 62 1 2 2 188
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 52 0 0 1 163
Recent Developments in Financial Economics and Econometrics: An Overview 0 0 0 45 2 3 6 204
Recent Developments in Financial Economics and Econometrics:An Overview 0 0 0 90 0 1 1 248
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression 0 0 0 62 0 0 1 186
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 0 28 0 0 1 75
Risk Measurement and Risk Modelling using Applications of Vine Copulas 0 0 0 39 0 0 0 76
Risk Measurement and risk modelling using applications of Vine Copulas 0 0 0 23 0 0 1 69
Risk Modeling and Management: An Overview 0 0 0 42 0 0 1 118
Risk Modelling and Management: An Overview 0 0 0 28 0 0 0 129
Risk Modelling and Management: An Overview 0 0 0 50 0 0 0 136
Risk Modelling and Management: An Overview 0 0 0 4 0 0 1 73
Risk Modelling and Management: An Overview 0 0 0 116 0 0 0 120
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective 0 0 1 42 0 0 3 122
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management 0 0 0 0 1 1 4 964
The Influence of Dust Levels on Atmospheric Carbon Dioxide and Global Temperature 0 0 0 5 2 2 11 34
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions 0 0 0 79 0 0 0 115
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions 0 0 0 48 0 1 3 162
Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management 0 0 0 18 0 0 1 40
Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management 0 0 0 33 0 0 1 96
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 6
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 1 32 0 0 2 53
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 12 0 0 0 46
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events 0 0 0 29 1 1 1 69
Volatility Spillovers from Australia's Major Trading Partners across the GFC 0 0 0 9 0 0 0 77
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 3 0 0 1 78
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 29 0 0 2 133
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 32 0 0 0 168
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 9 0 0 0 107
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours 0 0 0 18 0 1 2 126
Volatility Spillovers from the US to Australia and China across the GFC 0 0 0 12 0 0 2 68
Volatility Spillovers from the US to Australia and China across the GFC 0 0 0 44 0 0 2 90
Volatility spillovers from the US to Australia and China across the GFC 0 0 0 33 0 0 0 115
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment 0 0 0 5 0 0 4 33
Total Working Papers 0 3 29 4,181 28 93 454 17,626


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 1 1 1 0 1 2 20
A Gourmet's delight: CAViaR and the Australian stock market 0 0 1 21 0 0 2 86
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 0 0 2 21 1 1 7 120
A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index 0 0 1 11 0 1 6 45
A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes 0 0 2 9 2 7 18 36
A Test of the Persistence in the Performance of UK Managed Funds 0 0 3 9 0 1 6 34
A capital adequacy buffer model 0 0 2 7 0 0 2 57
A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices 0 0 0 6 0 2 4 75
A hidden Markov chain model for the term structure of bond credit risk spreads 0 0 1 135 0 0 3 371
An Examination of the Role of Time and its Impact on Price Revision 0 0 0 0 0 1 1 14
An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series 0 0 0 5 0 0 1 38
Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions 0 0 0 40 0 0 0 120
Asymmetric Realized Volatility Risk 0 0 0 26 1 1 1 124
Australian domestic porfolio diversification and estimation risk: A review of investment strategies 0 0 0 18 0 0 1 162
Australian domestic portfolio diversification and estimation risk: A review of investment strategies 0 0 0 25 0 0 3 160
Benchmarking Australian fixed interest fund performance: finding the optimal factors 0 0 0 23 0 0 0 128
Beyond reasonable doubt: multiple tail risk measures applied to European industries 0 0 0 4 0 0 0 70
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 0 0 0 48
Cryptocurrencies, Diversification and the COVID-19 Pandemic 0 0 1 3 1 2 4 12
Daily market news sentiment and stock prices 0 1 10 28 3 9 36 163
Determinants of the cross-section of stock returns in the Malaysian stock market 0 0 1 70 0 0 1 182
Do UK stock prices deviate from fundamentals? 0 0 1 9 0 0 1 81
Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE 0 0 0 2 0 1 1 29
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis 0 0 0 15 0 0 0 94
Drawbacks in the 3-Factor Approach of Fama and French (2018) 1 1 4 6 2 3 13 25
EVT and tail-risk modelling: Evidence from market indices and volatility series 0 0 2 32 1 2 10 139
Econometric modelling in finance and risk management: An overview 0 0 0 78 0 1 1 211
Editorial: Statement for the Special Issue in Honor of Michael McAleer 0 0 1 1 1 1 7 12
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits 0 0 0 11 0 0 2 58
Efficient modelling and forecasting with range based volatility models and its application 0 0 0 4 0 0 1 35
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 0 0 1 86
Extreme market risk and extreme value theory 0 1 3 40 1 3 10 137
FAKE NEWS AND INDIFFERENCE TO TRUTH: DISSECTING TWEETS AND STATE OF THE UNION ADDRESSES BY PRESIDENTS OBAMA AND TRUMP 0 0 0 8 0 1 1 66
FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK? 0 0 2 3 0 0 2 25
Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany 0 0 1 7 2 2 4 70
Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather 0 1 2 15 1 3 14 145
Financial dependence analysis: applications of vine copulas 0 0 0 11 0 1 1 67
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks 0 0 1 86 0 0 2 279
Forecasting profitability and earnings: a study of the UK market (1982-2000) 0 0 0 77 0 1 8 237
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 0 1 2 59
Improving Volatility Forecasting: A Study through Hybrid Deep Learning Methods with WGAN 0 1 1 1 0 2 6 6
Investigating other leading indicators influencing Australian domestic tourism demand 0 0 0 10 0 0 1 30
Investors' response to mutual fund company mergers 0 0 0 0 0 0 0 1
Long-run underperformance of seasoned equity offerings: Fact or an illusion? 0 0 0 3 0 0 4 51
Making sense of digital traces: An activity theory driven ontological approach 0 0 0 1 0 0 0 10
Measuring and modelling risk 0 0 0 12 0 1 1 45
Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants 0 0 0 13 0 0 1 84
Modelling and managing financial risk: An overview 0 0 1 5 0 1 2 58
Modelling interstate tourism demand in Australia: A cointegration approach 0 0 0 12 0 0 1 50
Modelling tail credit risk using transition matrices 0 0 1 16 0 0 1 84
Monte Carlo option pricing with asymmetric realized volatility dynamics 0 0 0 8 1 1 1 71
Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets 0 0 0 124 0 0 2 336
NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS 0 0 1 6 0 0 3 81
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies 0 0 0 15 1 1 1 89
PREDICTING CASES AND DEATHS IN EUROPE FROM COVID-19 TESTS AND COUNTRY POPULATIONS 0 0 1 5 0 0 1 21
Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidder's Interests? 0 0 0 0 0 1 2 20
Predicting COVID-19 Cases and Deaths in the USA from Tests and State Populations 0 0 0 21 1 6 11 84
President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change † 0 0 0 5 0 1 2 69
Purchasing Power Parity-evidence from a new panel test 0 0 0 51 1 1 1 209
QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS 0 2 3 9 1 6 8 30
Recent developments in financial economics and econometrics: An overview 0 0 0 23 1 2 3 112
Risk Analysis and Portfolio Modelling 0 0 0 13 0 0 2 58
Risk Measurement and Risk Modelling Using Applications of Vine Copulas 0 0 0 2 1 2 2 52
Robust newsvendor problems: effect of discrete demands 0 1 1 8 0 2 4 57
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice 0 0 1 10 0 0 2 49
Some statistical models for durations and an application to News Corporation stock prices 0 0 0 1 0 0 0 18
Spare Debt Capacity: Company Practices in Australia, Britain and Japan 0 0 0 2 0 0 3 50
Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information? 0 0 0 2 0 0 3 20
THE CONTRIBUTION OF FOREIGN INVESTORS TO PRICE DISCOVERY IN THE INDONESIAN STOCK EXCHANGE 0 0 1 3 0 0 3 20
Tail dependence analysis of stock markets using extreme value theory 0 0 1 11 0 0 2 40
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement 0 1 2 18 1 4 7 97
Technical Change, Economies of Scope and Contestable Markets 0 0 0 11 0 0 0 46
The Determinants of Capital Structure: Empirical evidence from Thai Banks 0 0 0 0 0 2 2 39
The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective 0 0 5 38 0 0 12 130
The Global Financial Crisis: some attributes and responses 0 0 0 111 0 0 1 245
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics 0 0 1 15 0 0 2 87
The fluctuating default risk of Australian banks 0 0 1 17 1 1 4 131
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 0 0 0 38
The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk 0 0 0 31 0 0 2 158
Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management 0 0 0 8 0 0 0 61
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective 0 0 0 37 0 2 2 141
Trump’s COVID-19 tweets and Dr. Fauci’s emails 0 0 0 3 0 1 7 30
Volatility Spillovers from Australia's major trading partners across the GFC 0 0 0 16 0 1 3 77
Volatility spillover and multivariate volatility impulse response analysis of GFC news events 1 1 3 16 2 2 8 65
Volatility spillovers from the Chinese stock market to economic neighbours 0 0 0 10 1 3 4 92
WHAT'S SO SUPER ABOUT SUPER? 0 0 0 1 0 0 0 22
YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL 0 0 0 2 1 2 6 31
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality 0 0 1 3 0 1 5 13
Total Journal Articles 2 11 67 1,806 29 92 319 7,900
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 0 0 1 2
AUSFTA and its Implications for the Australian Stock Market 0 0 0 2 0 0 2 27
Aspects of Volatility and Correlations in European Emerging Economies 0 0 0 0 0 0 0 4
Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis 0 0 0 0 0 0 1 13
Currency Spillover Effects between the US Dollar and Some Major Currencies and Exchange Rate Forecasts Based on Neural Nets 0 1 1 1 0 2 2 11
The Consumption-Based Capital Asset-Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Context 0 0 0 0 0 0 2 12
Total Chapters 0 1 1 3 0 2 8 69


Statistics updated 2025-02-05