Robert J. Powell

Edith Cowan University - School of Business & Law

270 Joondalup Dr

Joondalup , WA 6027

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

20

DOWNLOADS
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SSRN RANKINGS

Top 30,513

in Total Papers Downloads

3,157

SSRN CITATIONS
Rank 48,151

SSRN RANKINGS

Top 48,151

in Total Papers Citations

8

CROSSREF CITATIONS

10

Scholarly Papers (20)

1.

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

Number of pages: 25 Posted: 18 Apr 2013
School of Mathematics and Statistics, The University of Sydney, Edith Cowan University, Edith Cowan University - School of Business & Law, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, University of Oxford - Said Business School and University of Southampton - School of Management
Downloads 427 (129,339)
Citation 5

Abstract:

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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
School of Mathematics and Statistics, The University of Sydney, Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Business & Law and Edith Cowan University
Downloads 293 (195,263)
Citation 2

Abstract:

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

3.

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
School of Mathematics and Statistics, The University of Sydney, School of Finance and Business Economics and Edith Cowan University - School of Business & Law
Downloads 251 (228,220)
Citation 3

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

4.

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, School of Mathematics and Statistics, The University of Sydney and Edith Cowan University - School of Business & Law
Downloads 244 (234,566)

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

5.

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 Business & Law and Edith Cowan University
Downloads 231 (247,313)

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

6.

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
School of Mathematics and Statistics, The University of Sydney, School of Finance and Business Economics and Edith Cowan University - School of Business & Law
Downloads 210 (270,577)
Citation 1

Abstract:

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

7.

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, School of Mathematics and Statistics, The University of Sydney and Edith Cowan University - School of Business & Law
Downloads 176 (317,102)
Citation 1

Abstract:

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

8.

Measuring and Optimising Extreme Sectoral Risk in Australia

Number of pages: 24 Posted: 09 Jul 2010
David E. Allen and Robert J. Powell
School of Mathematics and Statistics, The University of Sydney and Edith Cowan University - School of Business & Law
Downloads 161 (342,577)
Citation 3

Abstract:

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at Risk, Conditional Value at Risk, Industry Sectors

9.

Comparing Australian and US Corporate Default Risk Using Quantile Regression

Number of pages: 12 Posted: 28 Nov 2011
School of Mathematics and Statistics, The University of Sydney, Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Business & Law and Edith Cowan University
Downloads 150 (363,202)

Abstract:

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

10.

Bank Risk: Does Size Matter?

Number of pages: 25 Posted: 28 Nov 2011
Edith Cowan University - School of Business & Law, Edith Cowan University - School of Accounting, Finance and Economics, School of Mathematics and Statistics, The University of Sydney and Edith Cowan University
Downloads 143 (377,416)

Abstract:

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

11.

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
School of Mathematics and Statistics, The University of Sydney, Edith Cowan University - School of Business & Law and Edith Cowan Unversity
Downloads 141 (381,597)
Citation 3

Abstract:

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Emerging Markets, EU, Portfolio Diversification, Investment Returns

12.

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 Business & Law and Edith Cowan University
Downloads 119 (434,698)
Citation 3

Abstract:

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

13.

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, School of Mathematics and Statistics, The University of Sydney and Edith Cowan University - School of Business & Law
Downloads 112 (454,772)
Citation 5

Abstract:

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Extreme risk, Asymptotic dependence, VaR, Extreme Value Theory

14.

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 Business & Law and Edith Cowan University
Downloads 110 (460,876)
Citation 1

Abstract:

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

15.

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
School of Mathematics and Statistics, The University of Sydney, School of Finance and Business Economics and Edith Cowan University - School of Business & Law
Downloads 103 (483,087)

Abstract:

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Value at Risk, Distance to Default, Banks, Contagion

16.

Optimising a Mining Portfolio Using CVaR

Number of pages: 12 Posted: 03 Dec 2011
School of Mathematics and Statistics, The University of Sydney, Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Business & Law and Edith Cowan University
Downloads 100 (492,908)

Abstract:

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CVaR, Mining Industry, Optimisation

17.

A Quantile Analysis of Default Risk for Speculative and Emerging Companies

Number of pages: 8 Posted: 03 Dec 2011
Edith Cowan University - School of Business & Law, School of Mathematics and Statistics, The University of Sydney, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 99 (496,175)

Abstract:

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

18.

Tail Risk for Australian Emerging Market Entities

Number of pages: 8 Posted: 03 Dec 2011
School of Mathematics and Statistics, The University of Sydney, Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Business & Law and Edith Cowan University
Downloads 87 (538,689)

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Tail risk, emerging Australian companies, extreme risk

19.

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
School of Mathematics and Statistics, The University of Sydney and Edith Cowan University - School of Business & Law

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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
School of Mathematics and Statistics, The University of Sydney, Edith Cowan University and Edith Cowan University - School of Business & Law

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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 Business & Law

Abstract:

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Factor models, OLS, quantile regression