Abhay Kumar Singh

Edith Cowan University

Joondalup Drive

Perth

Joondalup , WA 6027

Australia

SCHOLARLY PAPERS

14

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1,668

CITATIONS
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18

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 326 (90,934)
Citation 1

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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 175 (169,334)

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Asset Selection, Factor Model, DEA, Quantile Regression

3.

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 146 (197,455)

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

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 Accounting, Finance and Economics
Downloads 141 (203,050)

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

5.

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 (216,737)
Citation 3

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

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 66 (339,859)

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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 64 (345,502)

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VaR, Quantile Regressions, Autoregressive, CAViaR

7.

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 117 (234,617)

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

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 Accounting, Finance and Economics
Downloads 94 (272,639)
Citation 1

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

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 Accounting, Finance and Economics and Edith Cowan University
Downloads 92 (276,471)
Citation 3

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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 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 (297,016)
Citation 1

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

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 71 (322,760)
Citation 10

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Extreme risk, Asymptotic dependence, VaR, Extreme Value Theory

12.

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 (325,292)

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CVaR, Mining Industry, Optimisation

13.

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 (376,960)

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

14.

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 (411,712)

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Tail risk, emerging Australian companies, extreme risk