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Yet another ACD model : the autoregressive conditional directional duration (ACDD) model

Jeyasreedharan, Nagaratnam; Allen, David E.; Yang, Wenling - In: Annals of financial economics 9 (2014) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10010489145

Volatility spillovers from Australia's major trading partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014

Persistent link: https://www.econbiz.de/10010410189

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014

Persistent link: https://www.econbiz.de/10010410196

Asset selection using factor model and data envelope analysis : a quantile regression approach

Singh, Abhay Kumar; Allen, David E. - 2010

Persistent link: https://www.econbiz.de/10008760318

CAViaR and the Australian stock markets : an appetiser

Allen, David E.; Singh, Abhay Kumar - 2010

Persistent link: https://www.econbiz.de/10008760322

The Global Financial Crisis : some attributes and responses

Allen, David; Faff, Robert W. - In: Accounting and finance : journal of the Accounting … 52 (2012) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10009512731

Hedge fund portfolio diversification strategies across the GFC

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2014

This paper features an analysis of the effectiveness of a range of portfolio diversfication strategies as applied to a set of 17 years of monthly hedge fund index returns on a set of ten market indices representing 13 major hedge fund categories, as compiled by the EDHEC Risk Institute. The...

Persistent link: https://www.econbiz.de/10010465157

Hedge fund portfolio diversification strategies across the GFC

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2014

Persistent link: https://www.econbiz.de/10011296524

Volatility spillovers from Australia's major trading partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These...

Persistent link: https://www.econbiz.de/10010391535

Modelling and forecasting dynamic VaR thresholds for risk management and regulation

Allen, David E. (contributor); McAleer, Michael (contributor) - 2005

Persistent link: https://www.econbiz.de/10003097567