Abhay Kumar-Singh

Edith Cowan University

Mount Lawley Campus

Perth

Churchlands 6018 WA

Australia

SCHOLARLY PAPERS

5

DOWNLOADS

623

CITATIONS

1

Scholarly Papers (5)

1.

Xtreme Credit Risk Models: Implications for Bank Capital Buffers

Systemic Risk, Basel III, Financial Stability and Regulation 2011
Number of pages: 22 Posted: 01 Mar 2011
School of Mathematics and Statistics, The University of Sydney, Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 204 (106,486)
Citation 1

Abstract:

credit risk, conditional value at risk, conditional probability of default, historical simulation, Monte Carlo simulation

2.

A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500

25th Australasian Finance and Banking Conference 2012
Number of pages: 19 Posted: 19 Aug 2012
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 149 (152,165)

Abstract:

S&P 500, VIX, Entropy, Non-Parametric Estimation, Quantile Regressions

3.

Nonparametric Multiple Change Point Analysis of the Global Financial Crisis

Number of pages: 14 Posted: 27 May 2013
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 110 (211,574)

Abstract:

Nonparametric Analysis, Multiple Change Points, Cluster Analysis, Global Financial Crisis

4.

Volatility Spillovers from Australia's Major Trading Partners Across the GFC

Number of pages: 25 Posted: 16 Aug 2014
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 103 (218,785)

Abstract:

Volatility Spillover Index, VAR analysis, Variance Decomposition, Cholesky-GARCH

Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis

Posted: 24 Aug 2009 Last Revised: 23 Aug 2010
David E. Allen, Abhay Kumar-Singh and Robert J. Powell
School of Mathematics and Statistics, The University of Sydney, Edith Cowan University and Edith Cowan University - School of Accounting, Finance and Economics

Abstract:

Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis

22nd Australasian Finance and Banking Conference 2009
Posted: 30 Aug 2009 Last Revised: 30 Jun 2010
David E. Allen, Abhay Kumar-Singh and Robert J. Powell
School of Mathematics and Statistics, The University of Sydney, Edith Cowan University and Edith Cowan University - School of Accounting, Finance and Economics

Abstract:

Factor models, OLS, quantile regression