Abhay Kumar Singh

Edith Cowan University

Joondalup Drive

Perth

Joondalup , WA 6027

Australia

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 35,643

SSRN RANKINGS

Top 35,643

in Total Papers Downloads

1,702

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (14)

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 343 (110,619)
Citation 5

Abstract:

Loading...

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

2.

Asset Selection Using a Factor Model and Data Envelope Analysis-A Quantile Regression Approach

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 14 Posted: 25 Aug 2010
David E. Allen and Abhay Kumar Singh
School of Mathematics and Statistics, The University of Sydney and Edith Cowan University
Downloads 202 (188,790)

Abstract:

Loading...

Asset Selection, Factor Model, DEA, Quantile Regression

3.

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 171 (218,733)

Abstract:

Loading...

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

4.

A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies

Number of pages: 24 Posted: 03 Dec 2016
David E. Allen, Michael McAleer and Abhay Kumar Singh
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Edith Cowan University
Downloads 167 (223,095)

Abstract:

Loading...

Bio-fuels , time series, cointegration, Markov-switching, VECM, Impulse Responses, Volatility

CAViaR and the Australian Stock Markets: An Appetiser

Number of pages: 19 Posted: 10 May 2010 Last Revised: 23 Aug 2010
David E. Allen and Abhay Kumar Singh
School of Mathematics and Statistics, The University of Sydney and Edith Cowan University
Downloads 79 (383,856)

Abstract:

Loading...

VaR, Quantile Regressions, Autoregressive, CAViaR

CAViaR and the Australian Stock Markets: An Appetiser

Number of pages: 24 Posted: 23 Aug 2010 Last Revised: 25 Aug 2010
David E. Allen and Abhay Kumar Singh
School of Mathematics and Statistics, The University of Sydney and Edith Cowan University
Downloads 68 (418,044)

Abstract:

Loading...

VaR, Quantile Regressions, Autoregressive, CAViaR

6.

A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices

Number of pages: 24 Posted: 03 Dec 2016
School of Mathematics and Statistics, The University of Sydney, National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Edith Cowan University
Downloads 123 (284,624)

Abstract:

Loading...

Bio-fuels , time series, cointegration , Markov-switching , VECM, Impulse Responses, Volatility

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 Accounting, Finance and Economics
Downloads 111 (306,118)
Citation 1

Abstract:

Loading...

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

8.

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 96 (337,291)

Abstract:

Loading...

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

9.

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 87 (358,681)

Abstract:

Loading...

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

10.

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 78 (382,743)

Abstract:

Loading...

CVaR, Mining Industry, Optimisation

11.

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 77 (385,625)
Citation 5

Abstract:

Loading...

Extreme risk, Asymptotic dependence, VaR, Extreme Value Theory

12.

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 54 (462,224)

Abstract:

Loading...

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

13.

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 46 (495,084)

Abstract:

Loading...

Tail risk, emerging Australian companies, extreme risk

14.

The Power of Crowds: Grand Challenges in the Asia-Pacific Region

Australian Journal of Management, Vol. 44, No. 4, 2019
Posted: 17 Dec 2019
affiliation not provided to SSRN, Australian National University (ANU), University of Queensland - Business School and Edith Cowan University

Abstract:

Loading...

Crowdsourcing, grand challenges, open innovation, lead users