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

  • Edith Cowan University - School of Business & Law

SCHOLARLY PAPERS

20

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7

CROSSREF CITATIONS

8

Scholarly Papers (20)

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1.

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

Number of pages: 25 Posted: 18 Apr 2013
David E. Allen, Abhay Kumar Singh, Robert J. Powell, Michael McAleer, James W. Taylor and Lyn C. Thomas
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 388 (128,536)
Citation 5

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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
David E. Allen, Akhmad Kramadibrata, Robert J. Powell and Abhay Kumar-Singh
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 279 (182,563)

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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 221 (229,486)
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 209 (241,653)

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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
David E. Allen, Michael McAleer, Robert J. Powell and Abhay Kumar-Singh
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 201 (250,525)

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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 181 (275,009)
Citation 1

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

7.

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 143 (335,233)
Citation 3

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at Risk, Conditional Value at Risk, Industry Sectors

8.

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 141 (339,020)
Citation 1

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

9.

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 132 (356,758)
Citation 3

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Emerging Markets, EU, Portfolio Diversification, Investment Returns

10.

Comparing Australian and US Corporate Default Risk Using Quantile Regression

Number of pages: 12 Posted: 28 Nov 2011
David E. Allen, Akhmad Kramadibrata, Robert J. Powell and Abhay Kumar Singh
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 126 (371,680)

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

11.

Nonparametric Multiple Change Point Analysis of the Global Financial Crisis

Number of pages: 14 Posted: 27 May 2013
David E. Allen, Michael McAleer, Robert J. Powell and Abhay Kumar-Singh
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 118 (387,841)
Citation 3

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

12.

Bank Risk: Does Size Matter?

Number of pages: 25 Posted: 28 Nov 2011
Robert J. Powell, Akhmad Kramadibrata, David E. Allen and Abhay Kumar Singh
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 115 (395,108)

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

13.

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

Number of pages: 25 Posted: 16 Aug 2014
David E. Allen, Michael McAleer, Robert J. Powell and Abhay Kumar-Singh
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 109 (410,723)

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

14.

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 97 (445,283)
Citation 5

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Extreme risk, Asymptotic dependence, VaR, Extreme Value Theory

15.

Optimising a Mining Portfolio Using CVaR

Number of pages: 12 Posted: 03 Dec 2011
David E. Allen, Akhmad Kramadibrata, Robert J. Powell and Abhay Kumar Singh
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 94 (454,525)

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CVaR, Mining Industry, Optimisation

16.

A Quantile Analysis of Default Risk for Speculative and Emerging Companies

Number of pages: 8 Posted: 03 Dec 2011
Robert J. Powell, David E. Allen, Akhmad Kramadibrata and Abhay Kumar Singh
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 79 (505,461)

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

17.

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 78 (513,097)

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Value at Risk, Distance to Default, Banks, Contagion

18.

Tail Risk for Australian Emerging Market Entities

Number of pages: 8 Posted: 03 Dec 2011
David E. Allen, Akhmad Kramadibrata, Robert J. Powell and Abhay Kumar Singh
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 71 (536,959)

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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

20.

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

Downloads 0 (1,029,675)

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