David Edmund Allen

Names

first:	David
middle:	Edmund
last:	Allen

Identifer

RePEc Short-ID:

pal66

Contact

homepage:	http://www.dallenwapty.com/
postal address:	Professor D.E. Allen School of Mathematics and Statistics, University of Sydney, NSW 2006. and School of Business and Law, Edith Cowan University, Joondalup WA 6027.

Affiliations

Asia University / College of Management / Department of Finance (weight: 50%)
- EDIRC entry
- location:
Edith Cowan University / School of Business (weight: 48%)
- EDIRC entry
- location:

Research profile

author of:

Fake News And Indifference To Truth: Dissecting Tweets And State Of The Union Addresses By Presidents Obama And Trump (RePEc:aag:wpaper:v:22:y:2018:i:1:p:180-203)
by David E. Allen & Michael McAleer & David McHardy Reid
Predicting COVID-19 Cases and Deaths in the USA from Tests and State Populations (RePEc:aag:wpaper:v:25:y:2021:i:2:p:1-27)
by David E. Allen & Michael McAleer
Modeling trading games in a stochastic non-life insurance market (RePEc:arx:papers:2311.10917)
by Leonard Mushunje & David Edmund Allen
Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets (RePEc:bla:acctfi:v:45:y:2005:i:2:p:301-321)
by Wenling Yang & David E. Allen
Benchmarking Australian fixed interest fund performance: finding the optimal factors (RePEc:bla:acctfi:v:46:y:2006:i:5:p:865-898)
by Victor Soucik & David E. Allen
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective (RePEc:bla:acctfi:v:49:y:2009:i:3:p:425-444)
by David E. Allen & Robert Powell
The Global Financial Crisis: some attributes and responses (RePEc:bla:acctfi:v:52:y:2012:i:1:p:1-7)
by David Allen & Robert Faff
What'S So Super About Super? (RePEc:bla:econpa:v:12:y:1993:i:3:p:44-62)
by D. E. Allen
Unknown item RePEc:bla:jamist:v:64:y:2013:i:12:p:2452-2467 (article)
A Test of the Persistence in the Performance of UK Managed Funds (RePEc:bla:jbfnac:v:26:y:1999:i:5-6:p:559-593)
by D. E. Allen & M. L. Tan
Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits (RePEc:bla:jbfnac:v:31:y:2004:i:7-8:p:1151-1170)
by David E. Allen & Jerry T. Parwada
Technical Change, Economies of Scope and Contestable Markets (RePEc:bla:sajeco:v:54:y:1986:i:2:p:113-119)
by D.E. Allen & J.N. Crook & W.D. Reekie
Financial dependence analysis: applications of vine copulas (RePEc:bla:stanee:v:67:y:2013:i:4:p:403-435)
by David E. Allen & Mohammad A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates (RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:18:n:2)
by Asai Manabu & Peiris Shelton & McAleer Michael & Allen David E.
Realized Volatility Risk (RePEc:cbt:econwp:10/26)
by David E. Allen & Michael McAleer & Marcel Scharth
Recent Developments in Financial Economics and Econometrics: An Overview (RePEc:cbt:econwp:13/06)
by Chia-Lin Chang & David Allen & Michael McAleer
Risk Modeling and Management: An Overview (RePEc:cbt:econwp:13/22)
by Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral
A Capital Adequacy Buffer Model (RePEc:cbt:econwp:13/35)
by David Allen & Michael McAleer & Robert Powell & Abhay Singh
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series (RePEc:cbt:econwp:14/04)
by David E. Allen & Michael McAleer & Abhay K. Singh
Risk Measurement and Risk Modelling Using Applications of Vine Copulas (RePEc:cbt:econwp:14/12)
by David E. Allen & Michael McAleer & Abhay K. Singh
Asymmetric Realized Volatility Risk (RePEc:cbt:econwp:14/20)
by David E. Allen & Michael McAleer & Marcel Scharth
Volatility Spillovers from Australia's major trading partners across the GFC (RePEc:cbt:econwp:14/23)
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
European Market Portfolio Diversifcation Strategies across the GFC (RePEc:cbt:econwp:14/25)
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
Hedge Fund Portfolio Diversification Strategies Across the GFC (RePEc:cbt:econwp:14/27)
by David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh
Realized Volatility Risk (RePEc:cfi:fseres:cf197)
by David E. Allen & Michael McAleer & Marcel Scharth
Estimating and simulating Weibull models of risk or price durations: An application to ACD models (RePEc:eee:ecofin:v:25:y:2013:i:c:p:214-225)
by Allen, David & Ng, K.H. & Peiris, Shelton
Recent developments in financial economics and econometrics: An overview (RePEc:eee:ecofin:v:26:y:2013:i:c:p:217-226)
by Chia-Lin Chang & Allen, David & McAleer, Michael
EVT and tail-risk modelling: Evidence from market indices and volatility series (RePEc:eee:ecofin:v:26:y:2013:i:c:p:355-369)
by Allen, David E. & Singh, Abhay K. & Powell, Robert J.
Efficient modelling and forecasting with range based volatility models and its application (RePEc:eee:ecofin:v:42:y:2017:i:c:p:448-460)
by Ng, Kok Haur & Peiris, Shelton & Chan, Jennifer So-kuen & Allen, David & Ng, Kooi Huat
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics (RePEc:eee:ecolet:v:120:y:2013:i:1:p:117-122)
by Allen, David & Ng, K.H. & Peiris, Shelton
Econometric modelling in finance and risk management: An overview (RePEc:eee:econom:v:147:y:2008:i:1:p:1-4)
by Gao, Jiti & McAleer, Michael & Allen, David E.
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks (RePEc:eee:econom:v:147:y:2008:i:1:p:163-185)
by Allen, David & Chan, Felix & McAleer, Michael & Peiris, Shelton
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement (RePEc:eee:ejores:v:249:y:2016:i:2:p:465-475)
by Allen, D.E. & Powell, R.J. & Singh, A.K.
A hidden Markov chain model for the term structure of bond credit risk spreads (RePEc:eee:finana:v:11:y:2002:i:3:p:311-329)
by Thomas, Lyn C. & Allen, David E. & Morkel-Kingsbury, Nigel
Determinants of the cross-section of stock returns in the Malaysian stock market (RePEc:eee:finana:v:7:y:1998:i:3:p:253-275)
by Allen, D. E. & Cleary, F.
Do UK stock prices deviate from fundamentals? (RePEc:eee:matcom:v:64:y:2004:i:3:p:373-383)
by Allen, D.E & Yang, W
Some statistical models for durations and an application to News Corporation stock prices (RePEc:eee:matcom:v:68:y:2005:i:5:p:545-552)
by Peiris, Shelton & Allen, David & Yang, Wenling
Long-run underperformance of seasoned equity offerings: Fact or an illusion? (RePEc:eee:matcom:v:78:y:2008:i:2:p:146-154)
by Allen, D.E. & Soucik, V.
Modelling and managing financial risk: An overview (RePEc:eee:matcom:v:79:y:2009:i:8:p:2521-2524)
by Allen, David E. & Gao, Jiti & McAleer, Michael
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market (RePEc:eee:matcom:v:79:y:2009:i:8:p:2535-2555)
by Allen, David & Lazarov, Zdravetz & McAleer, Michael & Peiris, Shelton
Modelling interstate tourism demand in Australia: A cointegration approach (RePEc:eee:matcom:v:79:y:2009:i:9:p:2733-2740)
by Allen, David & Yap, Ghialy & Shareef, Riaz
The suitability of a monetary union in East Asia: What does the cointegration approach tell? (RePEc:eee:matcom:v:79:y:2009:i:9:p:2927-2937)
by Sato, Kiyotaka & Zhang, Zhaoyong & Allen, David
Monte Carlo option pricing with asymmetric realized volatility dynamics (RePEc:eee:matcom:v:81:y:2011:i:7:p:1247-1256)
by Allen, David E. & McAleer, Michael & Scharth, Marcel
Investigating other leading indicators influencing Australian domestic tourism demand (RePEc:eee:matcom:v:81:y:2011:i:7:p:1365-1374)
by Yap, Ghialy & Allen, David
Modelling tail credit risk using transition matrices (RePEc:eee:matcom:v:93:y:2013:i:c:p:67-75)
by Allen, D.E. & Kramadibrata, A.R. & Powell, R.J. & Singh, A.K.
Volatility spillovers from the Chinese stock market to economic neighbours (RePEc:eee:matcom:v:94:y:2013:i:c:p:238-257)
by Allen, David E. & Amram, Ron & McAleer, Michael
Extreme market risk and extreme value theory (RePEc:eee:matcom:v:94:y:2013:i:c:p:310-328)
by Singh, Abhay K. & Allen, David E. & Robert, Powell J.
Australian domestic portfolio diversification and estimation risk: A review of investment strategies (RePEc:eee:pacfin:v:2:y:1994:i:2-3:p:293-318)
by Allen, Dave E. & Sugianto, Richard
Australian domestic porfolio diversification and estimation risk: A review of investment strategies (RePEc:eee:pacfin:v:3:y:1995:i:1:p:142-143)
by Allen, Dave E. & Sugianto, Richard
Volatility Spillovers from Australia's major trading partners across the GFC (RePEc:eee:reveco:v:47:y:2017:i:c:p:159-175)
by Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K.
AUSFTA and its Implications for the Australian Stock Market (RePEc:elg:eechap:3931_9)
by David Allen & Lee K. Lim & Trent Winduss
Unknown item RePEc:eme:ijmf00:17439130610657340 (article)
Investors' response to mutual fund company mergers (RePEc:eme:ijmfpp:17439130610657340)
by David E. Allen & Jerry T. Parwada
Unknown item RePEc:eme:mf0000:eb018439 (article)
Unknown item RePEc:eme:mf0000:eb018440 (article)
Unknown item RePEc:eme:mf0000:eb018443 (article)
Unknown item RePEc:eme:mf0000:eb018493 (article)
Fake News and Indifference to Truth (RePEc:ems:eureir:105873)
by Allen, D.E. & McAleer, M.J. & McHardy Reid, D.
"Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond": Comment (RePEc:ems:eureir:110017)
by Allen, D.E. & McAleer, M.J.
Cointegrated Dynamics for A Generalized Long Memory Process (RePEc:ems:eureir:110018)
by Asai, M. & Peiris, S. & McAleer, M.J. & Allen, D.E.
Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany (RePEc:ems:eureir:115615)
by Allen, D.E. & McAleer, M.J.
Drawbacks in the 3-Factor Approach of Fama and French (2018) (RePEc:ems:eureir:115746)
by Allen, D.E. & McAleer, M.J.
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours (RePEc:ems:eureir:31966)
by Allen, D.E. & McAleer, M.J. & Amram, R.
Recent Developments in Financial Economics and Econometrics: An Overview (RePEc:ems:eureir:38695)
by Chang, C-L. & Allen, D.E. & McAleer, M.J.
Risk Modelling and Management: An Overview (RePEc:ems:eureir:40777)
by Chang, C-L. & Allen, D.E. & McAleer, M.J. & Pérez-Amaral, T.
A Capital Adequacy Buffer Model (RePEc:ems:eureir:50131)
by Allen, D.E. & Powell, R.J. & Singh, A.K.
Multivariate Volatility Impulse Response Analysis of GFC News Events (RePEc:ems:eureir:78711)
by Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K.
Daily Market News Sentiment and Stock Prices (RePEc:ems:eureir:78713)
by Allen, D.E. & McAleer, M.J. & Singh, A.K.
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC (RePEc:ems:eureir:79216)
by Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K.
Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies (RePEc:ems:eureir:79217)
by Allen, D.E. & McAleer, M.J. & Peiris, S. & Singh, A.K.
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series (RePEc:ems:eureir:80108)
by Allen, D.E. & McAleer, M.J. & Singh, A.K.
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices (RePEc:ems:eureir:93112)
by Allen, D.E. & Chang, C-L. & McAleer, M.J. & Singh, A.K.
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events (RePEc:ems:eureir:98037)
by Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K.
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies (RePEc:ems:eureir:98658)
by Allen, D.E. & McAleer, M.J. & Singh, A.K.
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management (RePEc:fth:sotoam:01-176)
by Zheng, H. & Thomas, L.C. & Allen, D.E.
Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management (RePEc:gam:jeners:v:11:y:2018:i:7:p:1627-:d:153801)
by David E. Allen & Michael McAleer
A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index (RePEc:gam:jeners:v:13:y:2020:i:15:p:4011-:d:394147)
by David E. Allen & Michael McAleer
Risk Analysis and Portfolio Modelling (RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:154-:d:269386)
by David Edmund Allen & Elisa Luciano
Stochastic Volatility and GARCH: Do Squared End-of-Day Returns Provide Similar Information? (RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:202-:d:410152)
by David Edmund Allen
Cryptocurrencies, Diversification and the COVID-19 Pandemic (RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:103-:d:758104)
by David E. Allen
Improving Volatility Forecasting: A Study through Hybrid Deep Learning Methods with WGAN (RePEc:gam:jjrfmx:v:17:y:2024:i:9:p:380-:d:1462741)
by Adel Hassan A. Gadhi & Shelton Peiris & David E. Allen
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 (RePEc:gam:jjrfmx:v:6:y:2013:i:1:p:6-30:d:29740)
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh
Asymmetric Realized Volatility Risk (RePEc:gam:jjrfmx:v:7:y:2014:i:2:p:80-109:d:37458)
by David E. Allen & Michael McAleer & Marcel Scharth
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis (RePEc:gam:jjrfmx:v:9:y:2016:i:2:p:6-:d:72448)
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
GARMA, HAR and Rules of Thumb for Modelling Realized Volatility (RePEc:gam:jrisks:v:11:y:2023:i:10:p:179-:d:1260782)
by David Edmund Allen & Shelton Peiris
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies (RePEc:gam:jrisks:v:4:y:2016:i:1:p:7-:d:65863)
by David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh
Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants (RePEc:gam:jrisks:v:6:y:2018:i:2:p:52-:d:144971)
by Rasika Yatigammana & Shelton Peiris & Richard Gerlach & David Edmund Allen
Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE (RePEc:gam:jrisks:v:8:y:2020:i:1:p:12-:d:315296)
by David E. Allen & Michael McAleer
A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes (RePEc:gam:jrisks:v:9:y:2021:i:11:p:195-:d:671113)
by David E. Allen & Michael McAleer
President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change † (RePEc:gam:jsusta:v:10:y:2018:i:7:p:2310-:d:156124)
by David E. Allen & Michael McAleer
Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models (RePEc:gam:jsusta:v:10:y:2018:i:8:p:2695-:d:161253)
by David E Allen & Vince Hooper
Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany (RePEc:gam:jsusta:v:11:y:2019:i:19:p:5181-:d:269414)
by David E. Allen & Michael McAleer
Risk Measurement and Risk Modelling Using Applications of Vine Copulas (RePEc:gam:jsusta:v:9:y:2017:i:10:p:1762-:d:113713)
by David E. Allen & Michael McAleer & Abhay K. Singh
Measuring and modelling risk (RePEc:ids:gbusec:v:11:y:2009:i:3/4:p:199-224)
by David E. Allen
Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions (RePEc:ids:gbusec:v:15:y:2013:i:1:p:88-109)
by David E. Allen & Abhay Kumar Singh & Robert Powell
Realized Volatility Risk (RePEc:kyo:wpaper:753)
by David E. Allen & Michael McAleer & Marcel Scharth
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours (RePEc:kyo:wpaper:805)
by Michael McAleer & David Allen & Ron Amram
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 (RePEc:kyo:wpaper:827)
by D.E. Allen & A. Kramadibrata & M. McAleer & R. Powell & A. K. Singh
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions (RePEc:kyo:wpaper:831)
by David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas
Volatility spillovers from the US to Australia and China across the GFC (RePEc:kyo:wpaper:838)
by David E Allen & Michael McAleer & Robert J Powell & Abhay Kumar Singh
Recent Developments in Financial Economics and Econometrics:An Overview (RePEc:kyo:wpaper:842)
by Chia-Lin Chang & David E Allen & Michael McAleer
Financial Dependence Analysis: Applications of Vine Copulae (RePEc:kyo:wpaper:843)
by David E Allen & Mohammad.A. Ashraf & Michael McAleer & Robert J Powell & Abhay K Singh
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis (RePEc:kyo:wpaper:866)
by David E Allen & Michael McAleer & Robert J Powell & Abhay K Singh
Risk Modelling and Management: An Overview (RePEc:kyo:wpaper:872)
by Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral
A Risk and Forecasting Analysis of West Texas Intermediate Prices (RePEc:pal:palchp:978-0-230-29810-1_10)
by David E. Allen & Abhay Kumar Singh
The Consumption-Based Capital Asset-Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Context (RePEc:pal:palchp:978-0-230-29810-1_5)
by David E. Allen & Lurion Demello
Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis (RePEc:pal:palchp:978-0-230-29810-1_7)
by David E. Allen & Singh Robert Powell
Aspects of Volatility and Correlations in European Emerging Economies (RePEc:pal:palchp:978-1-137-45066-1_4)
by Anna Golab & David E. Allen & Robert Powell
The Influence of Dust Levels on Atmospheric Carbon Dioxide and Global Temperature (RePEc:pra:mprapa:103862)
by Allen, David & Sandakchiev, Danail & Hooper, Vincent & Ivanov, Ivan
Monetary Policies, US influence and other Factors Affecting Stock Prices in Japan (RePEc:pra:mprapa:111734)
by Allen, David & Mizuno, Hiro
Cryptocurrencies, Diversification and the COVID-19 Pandemic (RePEc:pra:mprapa:111735)
by Allen, David
Asset Pricing Tests, Endogeneity issues and Fama-French factors (RePEc:pra:mprapa:113610)
by Allen, David
Econometric modelling in finance and risk management: An overview (RePEc:pra:mprapa:11978)
by Gao, Jiti & McAleer, Michael & Allen, Dave
Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective (RePEc:pra:mprapa:47206)
by Allen, David E & Powell, Robert
The Determinants of Capital Structure: Empirical evidence from Thai Banks (RePEc:rnd:arimbr:v:5:y:2013:i:8:p:401-410)
by David E Allen & Robert John Powell
The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective (RePEc:sae:ausman:v:16:y:1991:i:2:p:103-128)
by D. E. Allen
Spare Debt Capacity: Company Practices in Australia, Britain and Japan (RePEc:sae:ausman:v:25:y:2000:i:3:p:299-326)
by D. E. Allen
An Examination of the Role of Time and its Impact on Price Revision (RePEc:sae:ausman:v:30:y:2005:i:2:p:283-301)
by David Allen & Shelton Peiris & Joey Wenling Yang
The fluctuating default risk of Australian banks (RePEc:sae:ausman:v:37:y:2012:i:2:p:297-325)
by David E Allen & Robert Powell
Robust newsvendor problems: effect of discrete demands (RePEc:spr:annopr:v:275:y:2019:i:2:d:10.1007_s10479-018-3016-7)
by Anh Ninh & Honggang Hu & David Allen
Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather (RePEc:spr:scient:v:117:y:2018:i:1:d:10.1007_s11192-018-2847-y)
by David E. Allen & Michael McAleer
Trump’s COVID-19 tweets and Dr. Fauci’s emails (RePEc:spr:scient:v:127:y:2022:i:3:d:10.1007_s11192-021-04243-z)
by David E. Allen & Michael McAleer
A Gourmet's delight: CAViaR and the Australian stock market (RePEc:taf:apeclt:v:19:y:2012:i:15:p:1493-1498)
by D. E. Allen & A. K. Singh & R. Powell
Beyond reasonable doubt: multiple tail risk measures applied to European industries (RePEc:taf:apeclt:v:19:y:2012:i:7:p:671-676)
by David Edmund Allen & Robert John Powell & Abhay Kumar Singh
The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk (RePEc:taf:apeclt:v:2:y:1995:i:8:p:280-283)
by D. E. Allen & Robert Prince
A capital adequacy buffer model (RePEc:taf:apeclt:v:23:y:2016:i:3:p:175-179)
by D. E. Allen & M. McAleer & R. J. Powell & A. K. Singh
Unknown item RePEc:taf:apfiec:v:20:y:2010:i:6:p:501-514 (article)
Unknown item RePEc:taf:apfiec:v:9:y:1999:i:3:p:215-232 (article)
Purchasing Power Parity-evidence from a new panel test (RePEc:taf:applec:v:34:y:2002:i:11:p:1319-1324)
by G. MacDonald & D. Allen & S. Cruickshank
Forecasting profitability and earnings: a study of the UK market (1982-2000) (RePEc:taf:applec:v:37:y:2005:i:17:p:2009-2018)
by D. E. Allen & H. M. Salim
Volatility spillover and multivariate volatility impulse response analysis of GFC news events (RePEc:taf:applec:v:49:y:2017:i:33:p:3246-3262)
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh
Tail dependence analysis of stock markets using extreme value theory (RePEc:taf:applec:v:49:y:2017:i:45:p:4588-4599)
by Abhay K. Singh & David E. Allen & Robert J. Powell
An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series (RePEc:taf:applec:v:49:y:2017:i:7:p:677-692)
by David E Allen & Michael McAleer & Abhay K Singh
A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices (RePEc:taf:applec:v:50:y:2018:i:7:p:804-823)
by David E. Allen & Chialin Chang & Michael McAleer & Abhay K Singh
Daily market news sentiment and stock prices (RePEc:taf:applec:v:51:y:2019:i:30:p:3212-3235)
by David E. Allen & Michael McAleer & Abhay K. Singh
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice (RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:849-881)
by Patrick W. Saart & Jiti Gao & David E. Allen
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality (RePEc:taf:jnlasa:v:117:y:2022:i:537:p:214-224)
by David E. Allen & Michael McAleer
Volatility Spillovers from the US to Australia and China across the GFC (RePEc:tin:wpaper:20130009)
by David E. Allen & Michael McAleer & R.J. Powell & A.K. Singh
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 (RePEc:tin:wpaper:20130018)
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression (RePEc:tin:wpaper:20130020)
by David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas
Recent Developments in Financial Economics and Econometrics: An Overview (RePEc:tin:wpaper:20130021)
by Chia-Lin Chang & David Allen & Michael McAleer
Financial Dependence Analysis: Applications of Vine Copulae (RePEc:tin:wpaper:20130022)
by David E. Allen & Mohammad A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis (RePEc:tin:wpaper:20130072)
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
Risk Modelling and Management: An Overview (RePEc:tin:wpaper:20130085)
by Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral
Realized Volatility Risk (RePEc:tin:wpaper:20130092)
by David E. Allen & Michael McAleer & Marcel Scharth
A Capital Adequacy Buffer Model (RePEc:tin:wpaper:20130168)
by David Allen & Michael McAleer
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series (RePEc:tin:wpaper:20140014)
by David E. Allen & Michael McAleer & Abhay K. Singh
Risk Measurement and Risk Modelling using Applications of Vine Copulas (RePEc:tin:wpaper:20140054)
by David E. Allen & Michael McAleer & Abhay K. Singh
Asymmetric Realized Volatility Risk (RePEc:tin:wpaper:20140075)
by David E. Allen & Michael McAleer & Marcel Scharth
Volatility Spillovers from Australia's Major Trading Partners across the GFC (RePEc:tin:wpaper:20140106)
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
European Market Portfolio Diversification Strategies across the GFC (RePEc:tin:wpaper:20140134)
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
Hedge Fund Portfolio Diversification Strategies across the GFC (RePEc:tin:wpaper:20140151)
by David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh
Multivariate Volatility Impulse Response Analysis of GFC News Events (RePEc:tin:wpaper:20150089)
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh
Daily Market News Sentiment and Stock Prices (RePEc:tin:wpaper:20150090)
by David E. Allen & Michael McAleer & Abhay K. Singh
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC (RePEc:tin:wpaper:20150122)
by David E. Allen & Michael McAleer & Robert J. Powell & Abbay K. Singh
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies (RePEc:tin:wpaper:20150125)
by David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh
An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series (RePEc:tin:wpaper:20160026)
by David E. Allen & Michael McAleer & Abhay K. Singh
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices (RePEc:tin:wpaper:20160038)
by David E. Allen & Chialin Chang & Michael McAleer & Abhay K. Singh
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events (RePEc:tin:wpaper:20160084)
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies (RePEc:tin:wpaper:20170013)
by David E. Allen & Michael McAleer & Abhay K. Singh
Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management (RePEc:tin:wpaper:20170069)
by David Allen & Michael McAleer
Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump (RePEc:tin:wpaper:20180020)
by David E. Allen & Michael McAleer & David M. Reid
Carpooling with heterogeneous users in the bottleneck model (RePEc:tin:wpaper:20180054)
by Xiaojuan Yu & Vincent van den Berg & Erik Verhoef
Realized Volatility Risk (RePEc:tky:fseres:2009cf693)
by David E. Allen & Michael McAleer & Marcel Scharth
Volatility Spillovers from the Chinese Stock Market to Economic Neighbours (RePEc:ucm:doicae:1138)
by David E. Allen & Ron Amram & Michael McAleer
A non-parametric and entropy based analysis of the relationship between the VIX and S&P500 (RePEc:ucm:doicae:1219)
by D.E. Allen & A. Kramadibrata & Michael McAleer & R. Powell & A. K. Singh
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions (RePEc:ucm:doicae:1224)
by D.E. Allen & Abhay K Singh & R. Powell & Michael McAleer & James Taylor & Lyn Thomas
Volatility Spillovers from the US to Australia and China across the GFC (RePEc:ucm:doicae:1230)
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
Recent Developments in Financial Economics and Econometrics: An Overview (RePEc:ucm:doicae:1303)
by Chia-Lin Chang & David Allen & Michael McAleer
Financial Dependence Analysis: Applications of Vine Copulae (RePEc:ucm:doicae:1305)
by David Allen & Mohammad.A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh
Nonparametric Multiple Change Point Analysis of the Global Financial Crisis (RePEc:ucm:doicae:1317)
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
Risk Modelling and Management: An Overview (RePEc:ucm:doicae:1322)
by Chia-Lin Chang & David E. Allen & Michael McAleer & Ju-Ting Tang & Teodosio Pérez Amaral
Realized volatility risk (RePEc:ucm:doicae:1326)
by David E. Allen & Michael McAleer & Marcel Scharth
A Capital Adequacy Buffer Model (RePEc:ucm:doicae:1333)
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series (RePEc:ucm:doicae:1402)
by David E. Allen & Michael McAleer & Abhay K. Singh
Risk Measurement and risk modelling using applications of Vine Copulas (RePEc:ucm:doicae:1409)
by David E. Allen & Michael McAleer & Abhay K. Singh
Asymmetric Realized Volatility Risk (RePEc:ucm:doicae:1416)
by David E. Allen & Michael McAleer & Marcel Scharth
Volatility Spillovers from Australia's major trading partners across the GFC (RePEc:ucm:doicae:1426)
by David E. Allen & Michael McAleer & Abhay K. Singh
European Market Portfolio Diversification Strategies across the GFC (RePEc:ucm:doicae:1427)
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
Hedge Fund Portfolio Diversification Strategies Across the GFC (RePEc:ucm:doicae:1432)
by David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh
Multivariate Volatility Impulse Response Analysis of GFC News Events (RePEc:ucm:doicae:1510)
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
Daily Market News Sentiment and Stock Prices (RePEc:ucm:doicae:1511)
by David E. Allen & Michael McAleer & Abhay K. Singh
Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC (RePEc:ucm:doicae:1519)
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events (RePEc:ucm:doicae:1616)
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh
An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series (RePEc:ucm:doicae:1701)
by David E. Allen & Michael McAleer & Abhay K. Singh
A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies (RePEc:ucm:doicae:1703)
by David E. Allen & Michael McAleer & Abhay K. Singh
Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management (RePEc:ucm:doicae:1722)
by David E. Allen & Michael McAleer
Fake news and indifference to truth: Dissecting tweets and State of the Union Addresses by Presidents Obama and Trump (RePEc:ucm:doicae:1807)
by David E. Allen & Michael McAleer & David McHardy Reid
Fake News and Indifference to Scientific Fact: President Trump's Confused Tweets on Global Warming, Climate Change and Weather (RePEc:ucm:doicae:1817)
by David E. Allen & Michael McAleer & David McHardy Reid
A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies (RePEc:ucm:doicae:1818)
by David E. Allen & Michael McAleer & Abhay K. Singh
Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates (RePEc:ucm:doicae:1822)
by Manabu Asai & Shelton Peiris & Michael McAleer & David E. Allen
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment (RePEc:ucm:doicae:1823)
by David E. Allen & Michael McAleer
Drawbacks in the 3-factor approach of Fama and French (RePEc:ucm:doicae:1902)
by David E. Allen & Michael McAleer
Fake news and propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany (RePEc:ucm:doicae:1916)
by David E. Allen & Michael McAleer
Using Regression Techniques to Estimate Futures Hedge Ratios Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures (RePEc:uts:ppaper:2002-3)
by David Allen & Garry MacDonald & Kathleen Walsh & D Walsh
Quantile Regression As A Tool For Portfolio Investment Decisions During Times Of Financial Distress (RePEc:wsi:afexxx:v:06:y:2011:i:01:n:s2010495211500035)
by D. E. Allen & R. J. Powell & A. K. Singh
A Closer Look At The Characteristics Of Stock Holdings Of Foreign And Local Investors In The Indonesian Stock Exchange (Idx) (RePEc:wsi:afexxx:v:08:y:2013:i:01:n:s2010495213500024)
by Josephine Sudiman & David Allen & Robert Powell
The Contribution Of Foreign Investors To Price Discovery In The Indonesian Stock Exchange (RePEc:wsi:afexxx:v:08:y:2013:i:02:n:s2010495213500085)
by Josephine Sudiman & David Edmund Allen & Robert John Powell
Yet Another Acd Model: The Autoregressive Conditional Directional Duration (Acdd) Model (RePEc:wsi:afexxx:v:09:y:2014:i:01:n:s2010495214500043)
by Nagaratnam Jeyasreedharan & David E Allen & Joey Wenling Yang
Non-Parametric Multiple Change Point Analysis Of The Global Financial Crisis (RePEc:wsi:afexxx:v:13:y:2018:i:02:n:s2010495218500082)
by DAVID E. ALLEN & MICHAEL McALEER & ROBERT J. POWELL & ABHAY K. SINGH
Flattening The Curve In Risk Management Of Covid-19: Do Lockdowns Work? (RePEc:wsi:afexxx:v:15:y:2020:i:04:n:s2010495220500116)
by David E. Allen & Michael Mcaleer
Predicting Cases And Deaths In Europe From Covid-19 Tests And Country Populations (RePEc:wsi:afexxx:v:15:y:2020:i:04:n:s2010495220500177)
by David E. Allen & Michael Mcaleer
Drawbacks in the 3-Factor Approach of Fama and French (2018) (RePEc:wsi:afexxx:v:18:y:2023:i:01:n:s2010495222400012)
by David E. Allen & Michael McAleer
Editorial: Statement for the Special Issue in Honor of Michael McAleer (RePEc:wsi:afexxx:v:18:y:2023:i:01:n:s2010495223020013)
by David Allen & Moawia Alghalith & Wing-Keung Wong
Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidder's Interests? (RePEc:wsi:rpbfmp:v:09:y:2006:i:04:n:s0219091506000847)
by D. E. Allen & A. Soongswang
Currency Spillover Effects between the US Dollar and Some Major Currencies and Exchange Rate Forecasts Based on Neural Nets (RePEc:wsi:wschap:9789813236653_0008)
by David E. Allen & Petko Kalev & Shelton Peiris & Abhay K. Singh

The profile is maintained by David Edmund Allen

Permanent link: http://authors.repec.org/pro/pal66/