Robert J. Powell

Edith Cowan University - School of Accounting, Finance and Economics

Joondalup Campus

Perth

Joondalup 6027, WA

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

22

DOWNLOADS
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2,042

CITATIONS
Rank 24,087

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Top 24,087

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11

Scholarly Papers (22)

1.

Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

Number of pages: 25 Posted: 18 Apr 2013
University of South Australia, Edith Cowan University, Edith Cowan University - School of Accounting, Finance and Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, University of Oxford - Said Business School and University of Southampton - School of Management
Downloads 221 (89,187)

Abstract:

Return-Volatility relationship, quantile regression, copula, copula quantile regression, volatility index, tail dependence

2.

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
University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 204 (102,370)
Citation 1

Abstract:

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

3.

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
University of South Australia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 149 (147,017)

Abstract:

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

4.

Peas in a Pod: Canadian and Australian Banks Before and During a Global Financial Crisis

Number of pages: 7 Posted: 12 Jul 2011 Last Revised: 25 Jul 2011
David E. Allen, Ray Boffey and Robert J. Powell
University of South Australia, School of Finance and Business Economics and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 148 (148,589)

Abstract:

Value at Risk, Conditional Value at Risk, Distance to Default; Probability of Default, Conditional Distance to Default, Conditional Probability of Default

5.

A Quantile Monte Carlo Approach to Measuring Extreme Credit Risk

Number of pages: 8 Posted: 24 Oct 2011
David E. Allen, Ray Boffey and Robert J. Powell
University of South Australia, School of Finance and Business Economics and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 120 (176,770)
Citation 1

Abstract:

Value at Risk, Distance to Default, Probability of Default, Monte Carlo, Quantile Regression

6.

Nonparametric Multiple Change Point Analysis of the Global Financial Crisis

Number of pages: 14 Posted: 27 May 2013
University of South Australia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 110 (198,121)

Abstract:

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

7.

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

Number of pages: 25 Posted: 16 Aug 2014
University of South Australia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 103 (204,879)

Abstract:

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

8.

Volatility and Correlations for Stock Markets in the Emerging Economies of Central and Eastern Europe: Implications for European Investors

Number of pages: 22 Posted: 22 May 2010
David E. Allen, Robert J. Powell and Anna Golab
University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan Unversity
Downloads 93 (216,423)

Abstract:

Emerging Markets, EU, Portfolio Diversification, Investment Returns

9.

Multivariate Financial Dependence Analysis of Asian Markets Using Vine Copulas

Number of pages: 32 Posted: 14 Jun 2014
Edith Cowan University, University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics and University of Waikato
Downloads 86 (191,816)

Abstract:

Financial Dependence, Vine Copula, Asian Financial Crisis, Global Financial Crisis

10.

Modelling and Forecasting Intraday Market Risk with Application to Stock Indices

Number of pages: 25 Posted: 16 Feb 2014
Abhay Kumar Singh, David E. Allen and Robert J. Powell
Edith Cowan University, University of South Australia and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 84 (196,815)

Abstract:

Intraday returns, VaR, Expected Shortfall, GARCH, realized variance

11.

Bank Risk: Does Size Matter?

Number of pages: 25 Posted: 28 Nov 2011
Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Accounting, Finance and Economics, University of South Australia and Edith Cowan University
Downloads 68 (246,467)
Citation 1

Abstract:

Bank Risk, Value at Risk, Conditional Value at Risk, Probability of Default, Conditional Probability of Default

12.

Comparing Australian and US Corporate Default Risk Using Quantile Regression

Number of pages: 12 Posted: 28 Nov 2011
University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 67 (239,073)
Citation 2

Abstract:

Probability of Default, Quantile Regression, Australian Banks, United States Banks

13.

Measuring and Optimising Extreme Sectoral Risk in Australia

Number of pages: 24 Posted: 09 Jul 2010
David E. Allen and Robert J. Powell
University of South Australia and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 67 (242,657)
Citation 2

Abstract:

at Risk, Conditional Value at Risk, Industry Sectors

14.

Optimising a Mining Portfolio Using CVaR

Number of pages: 12 Posted: 03 Dec 2011
University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 59 (279,648)

Abstract:

CVaR, Mining Industry, Optimisation

15.

Intraday Volatility Forecast in Australian Equity Market

Number of pages: 7 Posted: 13 Aug 2013
Abhay Kumar Singh, David E. Allen and Robert J. Powell
Edith Cowan University, University of South Australia and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 46 (268,458)

Abstract:

intraday returns, volatility, value at risk, ARCH, realized variance

16.

A Quantile Analysis of Default Risk for Speculative and Emerging Companies

Number of pages: 8 Posted: 03 Dec 2011
Edith Cowan University - School of Accounting, Finance and Economics, University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 44 (323,984)
Citation 1

Abstract:

Quantile Regression, Emerging and speculative companies, extreme risk and return

17.

Risk and Dependence Analysis of Australian Stock Market - The Case of Extreme Value Theory

25th Australasian Finance and Banking Conference 2012
Number of pages: 22 Posted: 26 Aug 2012
Abhay Kumar Singh, David E. Allen and Robert J. Powell
Edith Cowan University, University of South Australia and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 43 (301,620)

Abstract:

Extreme risk, Asymptotic dependence, VaR, Extreme Value Theory

18.

Survival of the Fittest: Contagion as a Determinant of Canadian and Australian Bank Risk

Number of pages: 9 Posted: 24 Oct 2011
David E. Allen, Ray Boffey and Robert J. Powell
University of South Australia, School of Finance and Business Economics and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 39 (333,017)

Abstract:

Value at Risk, Distance to Default, Banks, Contagion

19.

Tail Risk for Australian Emerging Market Entities

Number of pages: 8 Posted: 03 Dec 2011
University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 36 (352,474)

Abstract:

Tail risk, emerging Australian companies, extreme risk

20.

Transitional Credit Modelling and its Relationship to Market Value at Risk: An Australian Sectoral Perspective

Accounting & Finance, Vol. 49, Issue 3, pp. 425-444, September 2009
Number of pages: 20 Posted: 08 Oct 2009
David E. Allen and Robert J. Powell
University of South Australia and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 1 (522,131)
Citation 3

Abstract:

21.

The Fluctuating Default Risk of Australian Banks

Australian Journal of Management, Vol. 37, No. 2, 2012
Posted: 03 Aug 2012
David E. Allen and Robert J. Powell
University of South Australia and Edith Cowan University - School of Accounting, Finance and Economics

Abstract:

Banks, credit risk, default, financial crisis

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
University of South Australia, 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
University of South Australia, Edith Cowan University and Edith Cowan University - School of Accounting, Finance and Economics

Abstract:

Factor models, OLS, quantile regression