David E. Allen

University of South Australia

Adjunct Professor of Finance

Centre for Applied Financial Studies

GPO Box 2471

Adelaide, 2471

Australia

School of Mathematics and Statistics, The University of Sydney

Visiting Professor

School of Mathematics and Statistics F07

University of Sydney

Sydney, New South Wales 2006

Australia

http://www.maths.usyd.edu.au

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

59

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45

Scholarly Papers (59)

The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management

Number of pages: 21 Posted: 13 Apr 2001
Harry Zheng, Lyn C. Thomas and David E. Allen
Imperial College London - Mathematical Finance, University of Southampton - School of Management and University of South Australia
Downloads 1,397 (9,740)

Abstract:

Portfolio choice, asset pricing, computational techniques, duration analysis

The Duration Derby: A Comparison of Duration-based Strategies in Asset Liability Management

Journal of Bond Trading & Management, Vol. 1, No. 4, pp. 371-80, April 2003
Posted: 17 Sep 2003
Harry Zheng, Lyn C. Thomas and David E. Allen
Imperial College London - Mathematical Finance, University of Southampton - School of Management and University of South Australia

Abstract:

approximate duration, asset liability management, linear programming

A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads

Number of pages: 36 Posted: 10 Aug 1998
University of Southampton - School of Management, University of South Australia and Monash University Dept Accounting & Finance
Downloads 1,108 (14,070)
Citation 2

Abstract:

A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads

International Review of Financial Analysis
Posted: 20 Aug 2001
University of Southampton - School of Management, University of South Australia and Monash University Dept Accounting & Finance

Abstract:

Bond pricing, credit ratings, credit spread, linear programming, Markov Chain, risk premium

3.

In Search of True Performance: Testing Benchmark-Model Validity in Managed Funds Context

Number of pages: 44 Posted: 27 Apr 2000
Victor Soucik and David E. Allen
School of Finance and Business Economics and University of South Australia
Downloads 835 (21,229)
Citation 4

Abstract:

4.

Modelling and Forecasting Dynamic VaR Thresholds for Risk Management and Regulation

Number of pages: 14 Posted: 24 Aug 2006
David E. Allen, Michael McAleer and Bernardo da Veiga
University of South Australia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Curtin University - School of Economics and Finance
Downloads 705 (26,520)

Abstract:

VaR, Portfolio GARCH, Basel II

5.

Using Regression Techniques to Estimate Futures Hedge Ratios, Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures

Edith Cowan Finance & Business Economics Working Paper
Number of pages: 49 Posted: 01 Oct 2001
University of South Australia, Curtin University - School of Economics and Finance, University of New South Wales (UNSW) - Finance and Accounting and Sydney Office
Downloads 688 (27,302)

Abstract:

Hedge ratios, cointegration, panel analysis

6.

Long Run Underperformance of Seasoned Equity Offerings: Fact or an Illusion?

Number of pages: 53 Posted: 16 Aug 1999
Victor Soucik and David E. Allen
School of Finance and Business Economics and University of South Australia
Downloads 677 (29,178)
Citation 3

Abstract:

7.

A Comment on 'the Information Content of Earnings and Prices: A Simultaneous Equations Approach' by W.H. Beaver, M.L. Mcanally, and C.H. Stinson (1997)

Number of pages: 27 Posted: 17 May 1999
University of South Australia, School of Finance and Business Economics and Monash University Dept Accounting & Finance
Downloads 584 (35,104)

Abstract:

8.

Backward to the Futures: A Test of Three Futures Markets

Number of pages: 26 Posted: 17 Nov 1999
University of South Australia, School of Finance and Business Economics, Monash University Dept Accounting & Finance and Government of Western Australia - Treasury
Downloads 543 (38,950)
Citation 2

Abstract:

9.

What Moves Stock Prices? Evidence that UK Stock Prices Deviate from Fundamentals

Number of pages: 39 Posted: 11 Dec 2000
David E. Allen and Wenling Joey Yang
University of South Australia and Securities Industry Research Centre of Asia Pacific (SIRCA)
Downloads 513 (41,903)

Abstract:

Sims-Bernanke Variance Decomposition, Trivariate Moving Average

10.

Forecasting Profitability and Earnings: A Study of the UK Stock Market (1982-2000)

EFMA 2002 London Meetings; School of Accounting, Finance and Economics Edith Cowan University
Number of pages: 23 Posted: 27 May 2002
David E. Allen and Heazry M. Salim
University of South Australia and School of Finance and Business Economics
Downloads 451 (48,934)
Citation 4

Abstract:

UK Company profitability, mean reversion

11.

Empirical Testing of the Samuelson Hypothesis: An Application to Futures Markets in Australia, Singapore and the UK

Edith Cowan University Working Paper
Number of pages: 40 Posted: 25 Jun 2002
David E. Allen and Stuart N. Cruickshank
University of South Australia and School of Finance and Business Economics
Downloads 438 (47,031)
Citation 1

Abstract:

Futures Prices, Volatility, Samuelson Hypothesis, ARCH Modelling

12.

An Examination of the Role of Time and its Impact on Price Revision

ECU Working Paper Series
Number of pages: 23
Shelton Peiris, David E. Allen and Wenling Joey Yang
The University of Sydney, University of South Australia and Securities Industry Research Centre of Asia Pacific (SIRCA)
Downloads 419 (54,554)

Abstract:

Autoregressive, Conditional expectation, Intensity, Hazard func-tion, Stochastic process, Prediction, Estimation, Irregular data, Transaction data, Finance, Mid-quote price, Trade indicators, Autocorrelations, Volatility

13.

Performance of Seasoned Equity Offerings in a Risk Adjusted Environment

Number of pages: 44 Posted: 17 Aug 1999
David E. Allen and Victor Soucik
University of South Australia and School of Finance and Business Economics
Downloads 361 (65,779)
Citation 2

Abstract:

14.

Investors' Response To Mutual Fund Company Mergers

Number of pages: 25 Posted: 16 Aug 2001
David E. Allen and Jerry T. Parwada
University of South Australia and UNSW Australia Business School, School of Banking and Finance
Downloads 336 (67,753)

Abstract:

Mutual funds, Investor behaviour, Mergers and acquisitions

Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits

Edith Cowan U, School of Finance and Business Econ.
Number of pages: 26 Posted: 22 Feb 2002
David E. Allen and Jerry T. Parwada
University of South Australia and UNSW Australia Business School, School of Banking and Finance
Downloads 307 (78,618)

Abstract:

Bank deposits; Managed funds; Disintermediation

Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits

Journal of Business Finance & Accounting, Vol. 31, No. 7-8, pp. 1151-1170, September 2004
Number of pages: 20 Posted: 23 Sep 2004
David E. Allen and Jerry T. Parwada
University of South Australia and UNSW Australia Business School, School of Banking and Finance
Downloads 19 (458,816)
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Abstract:

16.

Realized Volatility Risk

Number of pages: 38 Posted: 11 Dec 2009 Last Revised: 25 Jan 2010
David E. Allen, Michael McAleer and Marcel Scharth
University of South Australia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and The University of Sydney
Downloads 302 (79,389)

Abstract:

Realized volatility, volatility of volatility, volatility risk, value-at-risk, forecasting, conditional heteroskedasticity

17.

Variation of Share Prices Due to Fundamental and Non-fundamental Innovations

EFMA 2001 Lugano Meetings
Number of pages: 43 Posted: 11 May 2001
David E. Allen and Wenling Joey Yang
University of South Australia and Securities Industry Research Centre of Asia Pacific (SIRCA)
Downloads 286 (83,078)
Citation 1

Abstract:

Fundamentals, Sims-Bernanke Variance Decomposition, Trivariate Moving Average Representation

18.

How Bank Risk Profiles Affect Their Strength: An Assessment of Banks in the Asia-Pacific Region

Edith Cowan University Accounting, Finance and Economics Working Paper
Number of pages: 35 Posted: 09 Apr 2004
David E. Allen, Mahendra Chandra and Jaime Y.P. Yong
University of South Australia, School of Finance and Business Economics and affiliation not provided to SSRN
Downloads 249 (97,457)

Abstract:

Asia Pacific bank risk, market risk, credit risk, capitalisation, functional diversification

Purchasing Power Parity - Evidence From a New Panel Test

Number of pages: 17 Posted: 05 Nov 2000
University of South Australia, School of Finance and Business Economics and Curtin University - School of Economics and Finance
Downloads 242 (102,090)

Abstract:

PPP, panel tests, fisher probabilities

Purchasing Power Parity - Evidence from A New Panel Test

Applied Economics, Vol. 34, No. 11, July 20, 2002
Posted: 10 Sep 2002
Curtin University - School of Economics and Finance, University of South Australia and School of Finance and Business Economics

Abstract:

Panel unit root tests, purchasing power parity

20.

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

Number of pages: 25 Posted: 18 Apr 2013
University of South Australia, 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 221 (86,719)

Abstract:

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

21.

Volatility Spillovers from the Chinese Stock Market to Economic Neighbours

Number of pages: 24 Posted: 24 Dec 2011
David E. Allen, Ron Amram and Michael McAleer
University of South Australia, affiliation not provided to SSRN and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 215 (109,407)

Abstract:

Volatility spillovers, VARMA-GARCH, VARMA-AGARCH, Chinese stock market

22.

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
University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 204 (105,254)
Citation 1

Abstract:

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

23.

The Present Value of Pacific Basin Stock Markets: A Domestic and External Factor Model

Edith Cowan U. Accounting Finance and Economics Working Paper No. 2004.1
Number of pages: 34 Posted: 01 Jul 2004
David E. Allen, Lee Lim and Trent Winduss
University of South Australia, School of Finance and Business Economics and Rothschild Australia
Downloads 195 (125,606)

Abstract:

Cointegration, stock returns, present value model, Pacific-Basin markets

24.

Post-Takeover Effects on Thai Bidding Firms

Number of pages: 28 Posted: 24 Aug 2006
David E. Allen and Amporn Soongswang
University of South Australia and Sripatum University - Graduate College of Management
Downloads 181 (129,848)

Abstract:

Mergers, Acquisitions, Takeovers, Tender Offers, Bidding Firms, Long-run Returns, Event study, Emerging Markets, Thailand

25.

Forecasting Profitablility and Earnings: A Study of the UK Stock Market (1982-2000)

EFMA 2002 London Meetings
Number of pages: 23 Posted: 08 Jun 2002
David E. Allen and Heazry M. Salim
University of South Australia and School of Finance and Business Economics
Downloads 174 (136,545)
Citation 4

Abstract:

Excess Volatility, Variance Bound Tests, Mutual Funds, Investment Trusts, Net Asset Value

26.

An Examination of the Role of Time in Ultra-High Frequency Data and its Impact on Price Revisions in News Corporation Stock

Edith Cowan University Accounting, Finance and Economics Working Paper
Number of pages: 23 Posted: 09 Apr 2004
David E. Allen, Shelton Peiris and Wenling Joey Yang
University of South Australia, The University of Sydney and Securities Industry Research Centre of Asia Pacific (SIRCA)
Downloads 167 (144,486)

Abstract:

Autoregressive, Conditional expectation, Intensity, Hazard function

27.

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
University of South Australia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 149 (148,364)

Abstract:

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

28.

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
University of South Australia, School of Finance and Business Economics and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 148 (151,516)

Abstract:

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

29.

Performance Benchmarking Managed Funds: Australian Fixed Interest Funds

Edith Cowan U, School of Accounting, Finance and Economics Working Paper
Number of pages: 64 Posted: 10 Sep 2002
Victor Soucik and David E. Allen
School of Finance and Business Economics and University of South Australia
Downloads 139 (169,618)

Abstract:

Performance Benchmarking, Fixed Interest Managed Funds

30.

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
University of South Australia and Edith Cowan University
Downloads 137 (152,335)
Citation 1

Abstract:

Asset Selection, Factor Model, DEA, Quantile Regression

31.

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
University of South Australia, School of Finance and Business Economics and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 120 (181,053)
Citation 1

Abstract:

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

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
University of South Australia and Edith Cowan University
Downloads 61 (296,719)

Abstract:

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
University of South Australia and Edith Cowan University
Downloads 59 (301,875)

Abstract:

VaR, Quantile Regressions, Autoregressive, CAViaR

33.

Nonparametric Multiple Change Point Analysis of the Global Financial Crisis

Number of pages: 14 Posted: 27 May 2013
University of South Australia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 110 (204,161)

Abstract:

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

34.

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

Number of pages: 25 Posted: 16 Aug 2014
University of South Australia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 103 (211,191)

Abstract:

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

35.

Limit Order Trading and Information Asymmetry: Empirical Evidence About the Evolution of Liquidity on an Order Driven Market

FEMARC Edith Cowan University Working Paper No. 0802
Number of pages: 31 Posted: 23 Jul 2008
David E. Allen and Joey Wenling Yang
University of South Australia and University of Western Australia - UWA Business School
Downloads 99 (215,439)

Abstract:

Evolution of liquidity, Informed trader, Limit order, Information asymmetry

36.

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
University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan Unversity
Downloads 93 (218,489)

Abstract:

Emerging Markets, EU, Portfolio Diversification, Investment Returns

37.

Multivariate Financial Dependence Analysis of Asian Markets Using Vine Copulas

Number of pages: 32 Posted: 14 Jun 2014
Edith Cowan University, University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics and University of Waikato
Downloads 86 (195,176)

Abstract:

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

38.

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, University of South Australia and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 84 (198,926)

Abstract:

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

39.

The Third Generation ACD Model: A Semiparametric Approach

Number of pages: 39 Posted: 23 Jul 2008
Pipat Wongsaart, Jiti Gao and David E. Allen
University of Western Australia, Monash University - Department of Econometrics & Business Statistics and University of South Australia
Downloads 82 (244,677)

Abstract:

Semiparametric ACD model, Conditional durations, Simulations

40.

Semiparametric Autoregressive Conditional Duration Model: Theory and Practice

Number of pages: 50 Posted: 17 Jul 2012 Last Revised: 26 Sep 2012
Patrick W. Saart, Jiti Gao and David E. Allen
University of Canterbury, Monash University - Department of Econometrics & Business Statistics and University of South Australia
Downloads 74 (241,087)
Citation 2

Abstract:

41.

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, University of South Australia and Edith Cowan University
Downloads 68 (254,007)
Citation 1

Abstract:

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

42.

Comparing Australian and US Corporate Default Risk Using Quantile Regression

Number of pages: 12 Posted: 28 Nov 2011
University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 67 (242,879)
Citation 2

Abstract:

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

43.

Measuring and Optimising Extreme Sectoral Risk in Australia

Number of pages: 24 Posted: 09 Jul 2010
David E. Allen and Robert J. Powell
University of South Australia and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 67 (248,306)
Citation 2

Abstract:

at Risk, Conditional Value at Risk, Industry Sectors

44.

Optimising a Mining Portfolio Using CVaR

Number of pages: 12 Posted: 03 Dec 2011
University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 59 (285,869)

Abstract:

CVaR, Mining Industry, Optimisation

45.

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, University of South Australia and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 46 (261,947)

Abstract:

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

46.

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, University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 44 (333,940)
Citation 1

Abstract:

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

47.

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, University of South Australia and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 43 (300,372)

Abstract:

Extreme risk, Asymptotic dependence, VaR, Extreme Value Theory

48.

Semiparametric Autoregressive Conditional Duration Model: Theory and Practice

Number of pages: 50 Posted: 05 Sep 2012 Last Revised: 06 Sep 2012
Patrick W. Saart, Jiti Gao and David E. Allen
University of Canterbury, Monash University - Department of Econometrics & Business Statistics and University of South Australia
Downloads 41 (325,031)
Citation 2

Abstract:

Dependent point process, duration, hazard rate and random measure, irregularly

49.

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
University of South Australia, School of Finance and Business Economics and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 39 (343,249)

Abstract:

Value at Risk, Distance to Default, Banks, Contagion

50.

An Alternative Semiparametric Regression Approach to Nonlinear Duration Modeling: Theory and Practice

Number of pages: 60 Posted: 18 Sep 2010
Jiti Gao, Pipat Wongsaart and David E. Allen
Monash University - Department of Econometrics & Business Statistics, University of Western Australia and University of South Australia
Downloads 39 (346,479)

Abstract:

Dependent point process, duration, hazard rate and random measure, irregularly spaced high frequency data, semiparametric time series

51.

Tail Risk for Australian Emerging Market Entities

Number of pages: 8 Posted: 03 Dec 2011
University of South Australia, Edith Cowan University - School of Accounting, Finance and Economics, Edith Cowan University - School of Accounting, Finance and Economics and Edith Cowan University
Downloads 36 (363,254)

Abstract:

Tail risk, emerging Australian companies, extreme risk

52.

Benchmarking Australian Fixed Interest Fund Performance: Finding the Optimal Factors

Accounting and Finance, Vol. 46, No. 5, pp. 865-898, December 2006
Number of pages: 34 Posted: 17 Nov 2006
Victor Soucik and David E. Allen
School of Finance and Business Economics and University of South Australia
Downloads 31 (385,743)
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Abstract:

53.

Multivariate GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets

Accounting and Finance, Vol. 45, No. 2, pp. 301-321, July 2005
Number of pages: 21 Posted: 05 Jun 2005
Joey Wenling Yang and David E. Allen
University of Western Australia - UWA Business School and University of South Australia
Downloads 15 (463,663)
Citation 6
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Abstract:

54.

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
University of South Australia and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 1 (535,951)
Citation 3
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Abstract:

55.

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

Number of pages: 24 Posted: 03 Dec 2016
University of South Australia, 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 0 (234,252)

Abstract:

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

56.

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
University of South Australia, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Edith Cowan University
Downloads 0 (205,496)

Abstract:

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

57.

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
University of South Australia and Edith Cowan University - School of Accounting, Finance and Economics

Abstract:

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
University of South Australia, Edith Cowan University and Edith Cowan University - School of Accounting, Finance and Economics

Abstract:

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
University of South Australia, Edith Cowan University and Edith Cowan University - School of Accounting, Finance and Economics

Abstract:

Factor models, OLS, quantile regression

59.

A Direct Test of the Pecking Order Hypothesis in an Australian Context

Working Paper ISBN NO. 0-7298-0251-5
Posted: 24 Mar 1997
David E. Allen and M.R. Clissold
University of South Australia and Edith Cowan University

Abstract: