.
Allen, David E.'s
Scholarly Papers
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column.
Aggregate Statistics
Total 12,385
Total Citations 47
1.
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management
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Zheng, Harry Imperial College London - Mathematical Finance
Thomas, Lyn C. University of Southampton - School of Management
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Posted:
13 Apr 01
Last Revised:
29 Sep 03
1,296(6,104)
Zheng, Harry Imperial College London - Mathematical Finance
Thomas, Lyn C. University of Southampton - School of Management
Allen, David E. Edith Cowan University - School of Finance and Business Economics
0
approximate duration, asset liability management, linear programming
Zheng, Harry Imperial College London - Mathematical Finance
Thomas, Lyn C. University of Southampton - School of Management
Allen, David E. Edith Cowan University - School of Finance and Business Economics
1,296
Portfolio choice, asset pricing, computational techniques, duration analysis
2.
A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads
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Thomas, Lyn C. University of Southampton - School of Management
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Morkel-Kingsbury, Nigel Monash University Dept Accounting & Finance
Posted:
10 Aug 98
Last Revised:
26 Mar 02
1,068(8,437)
2
Thomas, Lyn C. University of Southampton - School of Management
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Morkel-Kingsbury, Nigel Monash University Dept Accounting & Finance
0
Bond pricing, credit ratings, credit spread, linear programming, Markov Chain, risk premium
Thomas, Lyn C. University of Southampton - School of Management
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Morkel-Kingsbury, Nigel Monash University Dept Accounting & Finance
1,068
2
3.
Soucik, Victor Edith Cowan University - School of Finance and Business Economics
Allen, David E. Edith Cowan University - School of Finance and Business Economics
819(12,839)
4
4.
Soucik, Victor Edith Cowan University - School of Finance and Business Economics
Allen, David E. Edith Cowan University - School of Finance and Business Economics
655(17,774)
3
5.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
MacDonald, Garry Curtin University of Technology - School of Economics and Finance
Walsh, Kathleen D. University of New South Wales (UNSW) - Finance and Accounting
Walsh, David M. Sydney Office
640(18,411)
Hedge ratios, cointegration, panel analysis
6.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
da Veiga, Bernardo Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
629(18,886)
VaR, Portfolio GARCH, Basel II
7.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Cruickshank, Stuart N. Edith Cowan University - School of Finance and Business Economics
Morkel-Kingsbury, Nigel Monash University Dept Accounting & Finance
575(21,384)
8.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Cruickshank, Stuart N. Edith Cowan University - School of Finance and Business Economics
Morkel-Kingsbury, Nigel Monash University Dept Accounting & Finance
Souness, Noel Government of Western Australia - Treasury
531(23,839)
2
9.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Yang, Wenling Joey Securities Industry Research Centre of Asia Pacific (SIRCA)
502(25,638)
Sims-Bernanke Variance Decomposition, Trivariate Moving Average
10.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Salim, Heazry M. Edith Cowan University - School of Finance and Business Economics
430(31,378)
4
UK Company profitability, mean reversion
11.
Peiris, Shelton University of Sydney - School of Mathematics and Statistics
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Yang, Wenling Joey Securities Industry Research Centre of Asia Pacific (SIRCA)
415(32,913)
Autoregressive, Conditional expectation, Intensity, Hazard func-tion, Stochastic process, Prediction, Estimation, Irregular data, Transaction data, Finance, Mid-quote price, Trade indicators, Autocorrelations, Volatility
12.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Cruickshank, Stuart N. Edith Cowan University - School of Finance and Business Economics
371(37,791)
1
Futures Prices, Volatility, Samuelson Hypothesis, ARCH Modelling
13.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Soucik, Victor Edith Cowan University - School of Finance and Business Economics
355(39,865)
2
14.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Parwada, Jerry T. University of New South Wales (UNSW) - School of Banking and Finance
324(44,510)
Mutual funds, Investor behaviour, Mergers and acquisitions
15.
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits
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Allen, David E. Edith Cowan University - School of Finance and Business Economics
Parwada, Jerry T. University of New South Wales (UNSW) - School of Banking and Finance
Posted:
22 Feb 02
Last Revised:
16 Apr 08
301(48,531)
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Parwada, Jerry T. University of New South Wales (UNSW) - School of Banking and Finance
19
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Parwada, Jerry T. University of New South Wales (UNSW) - School of Banking and Finance
282
Bank deposits; Managed funds; Disintermediation
16.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Yang, Wenling Joey Securities Industry Research Centre of Asia Pacific (SIRCA)
281(52,534)
1
Fundamentals, Sims-Bernanke Variance Decomposition, Trivariate Moving Average Representation
17.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Chandra, Mahendra Edith Cowan University - School of Finance and Business Economics
Yong, Jaime Y.P. affiliation not provided to SSRN
245(61,169)
Asia Pacific bank risk, market risk, credit risk, capitalisation, functional diversification
18.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Scharth, Marcel Australian School of Business, University of New South Wales
Posted:
11 Dec 09
Last Revised:
25 Jan 10
241(62,268)
1
Realized volatility, volatility of volatility, volatility risk, value-at-risk, forecasting, conditional heteroskedasticity
19.
Purchasing Power Parity - Evidence From a New Panel Test
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Allen, David E. Edith Cowan University - School of Finance and Business Economics
Cruickshank, Stuart N. Edith Cowan University - School of Finance and Business Economics
MacDonald, Garry Curtin University of Technology - School of Economics and Finance
Posted:
05 Nov 00
Last Revised:
10 Sep 02
236(63,688)
MacDonald, Garry Curtin University of Technology - School of Economics and Finance
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Cruickshank, Stuart N. Edith Cowan University - School of Finance and Business Economics
0
Panel unit root tests, purchasing power parity
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Cruickshank, Stuart N. Edith Cowan University - School of Finance and Business Economics
MacDonald, Garry Curtin University of Technology - School of Economics and Finance
236
PPP, panel tests, fisher probabilities
20.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Amram, Ron affiliation not provided to SSRN
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
197(76,712)
Volatility spillovers, VARMA-GARCH, VARMA-AGARCH, Chinese stock market
21.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Lim, Lee Edith Cowan University - School of Finance and Business Economics
Winduss, Trent Rothschild Australia
188(80,345)
Cointegration, stock returns, present value model, Pacific-Basin markets
22.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Kramadibrata, Akhmad Edith Cowan University - School of Accounting, Finance and Economics
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Kumar-Singh, Abhay Edith Cowan University
175(85,948)
1
credit risk, conditional value at risk, conditional probability of default, historical simulation, Monte Carlo simulation
23.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Soongswang, Amporn Shinawatra University - School of Management (SOM)
173(86,931)
Mergers, Acquisitions, Takeovers, Tender Offers, Bidding Firms, Long-run Returns, Event study, Emerging Markets, Thailand
24.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Salim, Heazry M. Edith Cowan University - School of Finance and Business Economics
167(89,745)
4
Excess Volatility, Variance Bound Tests, Mutual Funds, Investment Trusts, Net Asset Value
25.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Peiris, Shelton University of Sydney - School of Mathematics and Statistics
Yang, Wenling Joey Securities Industry Research Centre of Asia Pacific (SIRCA)
163(91,820)
Autoregressive, Conditional expectation, Intensity, Hazard function
26.
Soucik, Victor Edith Cowan University - School of Finance and Business Economics
Allen, David E. Edith Cowan University - School of Finance and Business Economics
138(106,336)
Performance Benchmarking, Fixed Interest Managed Funds
27.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Singh, Abhay Kumar Edith Cowan University
116(122,550)
1
Asset Selection, Factor Model, DEA, Quantile Regression
28.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Boffey, Ray Edith Cowan University - Faculty of Business and Public Management
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Posted:
12 Jul 11
Last Revised:
25 Jul 11
113(125,054)
Value at Risk, Conditional Value at Risk, Distance to Default; Probability of Default, Conditional Distance to Default, Conditional Probability of Default
29.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Boffey, Ray Edith Cowan University - Faculty of Business and Public Management
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
109(128,486)
1
Value at Risk, Distance to Default, Probability of Default, Monte Carlo, Quantile Regression
30.
CAViaR and the Australian Stock Markets: An Appetiser
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Allen, David E. Edith Cowan University - School of Finance and Business Economics
Singh, Abhay Kumar Edith Cowan University
Posted:
10 May 10
Last Revised:
25 Aug 10
92(144,451)
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Singh, Abhay Kumar Edith Cowan University
Posted:
23 Aug 10
Last Revised:
25 Aug 10
40
VaR, Quantile Regressions, Autoregressive, CAViaR
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Singh, Abhay Kumar Edith Cowan University
Posted:
10 May 10
Last Revised:
23 Aug 10
52
VaR, Quantile Regressions, Autoregressive, CAViaR
31.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Yang, Joey Wenling University of Western Australia - UWA Business School
92(144,451)
Evolution of liquidity, Informed trader, Limit order, Information asymmetry
32.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Kumar-Singh, Abhay Edith Cowan University
83(154,390)
S&P 500, VIX, Entropy, Non-Parametric Estimation, Quantile Regressions
33.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Golab, Anna Edith Cowan Unversity
78(160,414)
Emerging Markets, EU, Portfolio Diversification, Investment Returns
34.
Wongsaart, Pipat University of Western Australia
Gao, Jiti Monash University - Department of Econometrics & Business Statistics
Allen, David E. Edith Cowan University - School of Finance and Business Economics
75(164,302)
Semiparametric ACD model, Conditional durations, Simulations
35.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
59(187,234)
2
at Risk, Conditional Value at Risk, Industry Sectors
36.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Kramadibrata, Akhmad Edith Cowan University - School of Accounting, Finance and Economics
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Singh, Abhay Kumar Edith Cowan University
53(197,209)
2
Probability of Default, Quantile Regression, Australian Banks, United States Banks
37.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Kramadibrata, Akhmad Edith Cowan University - School of Accounting, Finance and Economics
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Singh, Abhay Kumar Edith Cowan University
52(198,978)
CVaR, Mining Industry, Optimisation
38.
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Kramadibrata, Akhmad Edith Cowan University - School of Accounting, Finance and Economics
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Singh, Abhay Kumar Edith Cowan University
50(202,445)
1
Bank Risk, Value at Risk, Conditional Value at Risk, Probability of Default, Conditional Probability of Default
39.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Singh, Abhay Kumar Edith Cowan University
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Taylor, James W. University of Oxford - Said Business School
Thomas, Lyn C. University of Southampton - School of Management
43(215,906)
Return-Volatility relationship, quantile regression, copula, copula quantile regression, volatility index, tail dependence
40.
Saart, Patrick W. University of Canterbury
Gao, Jiti Monash University - Department of Econometrics & Business Statistics
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Posted:
17 Jul 12
Last Revised:
26 Sep 12
42(217,965)
2
41.
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Kramadibrata, Akhmad Edith Cowan University - School of Accounting, Finance and Economics
Singh, Abhay Kumar Edith Cowan University
36(230,844)
1
Quantile Regression, Emerging and speculative companies, extreme risk and return
42.
Gao, Jiti Monash University - Department of Econometrics & Business Statistics
Wongsaart, Pipat University of Western Australia
Allen, David E. Edith Cowan University - School of Finance and Business Economics
33(237,888)
Dependent point process, duration, hazard rate and random measure, irregularly spaced high frequency data, semiparametric time series
43.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Boffey, Ray Edith Cowan University - Faculty of Business and Public Management
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
31(243,031)
Value at Risk, Distance to Default, Banks, Contagion
44.
Soucik, Victor Edith Cowan University - School of Finance and Business Economics
Allen, David E. Edith Cowan University - School of Finance and Business Economics
31(243,031)
45.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Kramadibrata, Akhmad Edith Cowan University - School of Accounting, Finance and Economics
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Singh, Abhay Kumar Edith Cowan University
26(257,495)
Tail risk, emerging Australian companies, extreme risk
46.
Saart, Patrick W. University of Canterbury
Gao, Jiti Monash University - Department of Econometrics & Business Statistics
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Posted:
05 Sep 12
Last Revised:
06 Sep 12
23(267,410)
2
Dependent point process, duration, hazard rate and random measure, irregularly
47.
Yang, Joey Wenling University of Western Australia - UWA Business School
Allen, David E. Edith Cowan University - School of Finance and Business Economics
15(295,737)
7
48.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
McAleer, Michael Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Kumar-Singh, Abhay Edith Cowan University
10(313,256)
Nonparametric Analysis, Multiple Change Points, Cluster Analysis, Global Financial Crisis
49.
Singh, Abhay Kumar Edith Cowan University
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
7(322,643)
Extreme risk, Asymptotic dependence, VaR, Extreme Value Theory
50.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
1(346,769)
3
51.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Banks, credit risk, default, financial crisis
52.
Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis
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Allen, David E. Edith Cowan University - School of Finance and Business Economics
Kumar-Singh, Abhay Edith Cowan University
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Posted:
24 Aug 09
Last Revised:
23 Aug 10
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Kumar-Singh, Abhay Edith Cowan University
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Posted:
30 Aug 09
Last Revised:
30 Jun 10
0
Factor models, OLS, quantile regression
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Kumar-Singh, Abhay Edith Cowan University
Powell, Robert J. Edith Cowan University - School of Accounting, Finance and Economics
Posted:
24 Aug 09
Last Revised:
23 Aug 10
0
53.
Allen, David E. Edith Cowan University - School of Finance and Business Economics
Clissold, M.R. Edith Cowan University
