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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

Volatility and correlations for stock markets in the emerging economies

Allen, David E.; Golab, A.; Powell, Robert - 2010

Persistent link: https://www.econbiz.de/10008666976

A closer look at the characteristics of stock holdings of foreign and local investors in the Indonesian stock exchange (IDX)

Sudiman, Josephine; Allen, David E.; Powell, Robert - In: Annals of financial economics 8 (2013) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10010192087

Aspects of volatility and correlations in European emerging economies

Golab, Anna; Allen, David E.; Powell, Robert - In: Emerging markets and sovereign risk, (pp. 59-80). 2015

Persistent link: https://www.econbiz.de/10010458449

Risk measurement and risk modelling using applications of vine copulas

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2014

This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular tool in financial applications, but is usually...

Persistent link: https://www.econbiz.de/10010349457