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

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2,303

CITATIONS
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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
School of Mathematics and Statistics, The University of Sydney, 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 324 (90,626)

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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 Accounting, Finance and Economics and Edith Cowan University
Downloads 251 (118,974)
Citation 1

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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 Accounting, Finance and Economics
Downloads 174 (168,386)

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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.

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 173 (169,314)

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

5.

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 Accounting, Finance and Economics
Downloads 139 (203,312)

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

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 Accounting, Finance and Economics
Downloads 136 (206,909)
Citation 1

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

7.

Multivariate Financial Dependence Analysis of Asian Markets Using Vine Copulas

Number of pages: 32 Posted: 14 Jun 2014
Edith Cowan University, School of Mathematics and Statistics, The University of Sydney, Edith Cowan University - School of Accounting, Finance and Economics and Australian Institute of Business
Downloads 130 (214,608)

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

8.

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 113 (238,275)

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

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 Accounting, Finance and Economics and Edith Cowan Unversity
Downloads 110 (242,817)

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Emerging Markets, EU, Portfolio Diversification, Investment Returns

10.

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 106 (249,246)

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

11.

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 Accounting, Finance and Economics
Downloads 95 (268,254)
Citation 2

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at Risk, Conditional Value at Risk, Industry Sectors

12.

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 Accounting, Finance and Economics
Downloads 92 (273,838)

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

13.

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 Accounting, Finance and Economics and Edith Cowan University
Downloads 92 (273,838)
Citation 2

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

14.

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, School of Mathematics and Statistics, The University of Sydney and Edith Cowan University
Downloads 82 (294,129)
Citation 1

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

15.

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 Accounting, Finance and Economics
Downloads 71 (319,714)

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Extreme risk, Asymptotic dependence, VaR, Extreme Value Theory

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 Accounting, Finance and Economics and Edith Cowan University
Downloads 70 (322,154)

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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 Accounting, Finance and Economics, School of Mathematics and Statistics, The University of Sydney, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 52 (373,244)
Citation 1

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

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
School of Mathematics and Statistics, The University of Sydney, School of Finance and Business Economics and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 50 (379,698)

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Value at Risk, Distance to Default, Banks, Contagion

19.

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 Accounting, Finance and Economics and Edith Cowan University
Downloads 42 (407,538)

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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
School of Mathematics and Statistics, The University of Sydney and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 1 (633,584)
Citation 3
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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
School of Mathematics and Statistics, The University of Sydney and Edith Cowan University - School of Accounting, Finance and Economics

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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 Accounting, Finance and Economics

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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 Accounting, Finance and Economics

Abstract:

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Factor models, OLS, quantile regression