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Efficient modelling and forecasting with range based volatility models and its application
Kok Haur Ng
;
Peiris, Shelton
;
Chan, Jennifer So-kuen
; …
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 448-460
Persistent link: https://www.econbiz.de/10011938162
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2
Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu
;
Peiris, Shelton
;
McAleer, Michael
;
Allen, …
- In:
Journal of time series econometrics
12
(
2020
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012258310
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3
Semiparametric autoregressive conditional duration model : theory and practice
Saart, Patrick W.
;
Gao, Jiti
;
Allen, David E.
- In:
Econometric reviews
34
(
2015
)
6/10
,
pp. 849-881
Persistent link: https://www.econbiz.de/10011483396
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4
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement
Allen, David E.
;
Powell, R. J.
;
Singh, Abhay Kumar
- In:
European journal of operational research : EJOR
249
(
2016
)
2
,
pp. 465-475
Persistent link: https://www.econbiz.de/10011436713
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5
A capital adequacy buffer model
Allen, David E.
;
McAleer, Michael
;
Powell, R. J.
; …
- In:
Applied economics letters
23
(
2016
)
1/3
,
pp. 175-179
Persistent link: https://www.econbiz.de/10011414540
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6
Non-parametric multiple change point analysis of the global financial crisis
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
- In:
Annals of financial economics
13
(
2018
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011931167
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7
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
- In:
Applied economics
49
(
2017
)
31/33
,
pp. 3246-3262
Persistent link: https://www.econbiz.de/10011774739
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8
Volatility spillovers from Australia's major trading partners across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
- In:
International review of economics & finance : IREF
47
(
2017
),
pp. 159-175
Persistent link: https://www.econbiz.de/10011740133
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9
Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar
;
Allen, David E.
;
Powell, Robert
- In:
Applied economics
49
(
2017
)
45
,
pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
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10
A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices
Allen, David E.
;
Chang, Chia-Lin
;
McAleer, Michael
; …
- In:
Applied economics
50
(
2018
)
7
,
pp. 804-823
Persistent link: https://www.econbiz.de/10011847174
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