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David Edmund Allen

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Personal Details

First Name: David
Middle Name: Edmund
Last Name: Allen
Suffix:

RePEc Short-ID: pal66

Email:
Homepage: http://www.dallenwapty.com/
Postal Address: Professor D.E. Allen Centre for Applied Financial Studies Level 3, Way Lee Building City West Campus (view map) 37-44 North Tce Adelaide, South Australia
Phone:

Affiliation

(50%) Business School
University of South Australia
Location: Adelaide, Australia
Homepage: http://www.unisa.edu.au/business/
Email:
Phone: +61 8 8302 0179
Fax:
Postal: GPO Box 2471, Adelaide, SA 5001
Handle: RePEc:edi:dbusaau (more details at EDIRC)
(50%) School of Mathematics and Statistics, the University of Sydney
Homepage: http://www.maths.usyd.edu.au/
Location: Sydney, NSW, Australia

Works

as in new window

Working papers

  1. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE 2014-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Risk Measurement and risk modelling using applications of Vine Copulas," Documentos de Trabajo del ICAE 2014-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  3. David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series," Working Papers in Economics 14/04, University of Canterbury, Department of Economics and Finance.
  4. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Working Papers in Economics 14/23, University of Canterbury, Department of Economics and Finance.
  5. David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Documentos de Trabajo del ICAE 2014-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  6. Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modeling and Management: An Overview," Working Papers in Economics 13/22, University of Canterbury, Department of Economics and Finance.
  7. David Allen & Mohammad.A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "Financial Dependence Analysis: Applications of Vine Copulae," Documentos de Trabajo del ICAE 2013-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  8. David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013. "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers 13-020/III, Tinbergen Institute.
  9. Chia-Lin Chang & David Allen & Michael McAleer, 2013. "Recent Developments in Financial Economics and Econometrics: An Overview," Documentos de Trabajo del ICAE 2013-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  10. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "A Capital Adequacy Buffer Model," Documentos de Trabajo del ICAE 2013-33, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  11. David E Allen & Michael McAleer & Robert Powell & Abhay Kumar Singh, 2013. "Nonparametric Multiple Change Point Analysis of the Global Financial Crisis," Working papers, Edith Cowan University, School of Business 2013-02, Edith Cowan University, School of Business.
  12. D.E. Allen & Abhay K Singh & R. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions," Documentos de Trabajo del ICAE 2012-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  13. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2012. "Volatility Spillovers from the US to Australia and China across the GFC," Documentos de Trabajo del ICAE 2012-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  14. D.E. Allen & A. Kramadibrata & Michael McAleer & R. Powell & A. K. Singh, 2012. "A non-parametric and entropy based analysis of the relationship between the VIX and S&P500," Documentos de Trabajo del ICAE 2012-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  15. David E Allen & R.R Boffey & R. J. Powell, 2011. "A Quantile Monte Carlo approach to measuring extreme credit risk," Working papers, Edith Cowan University, School of Business 2011-02, Edith Cowan University, School of Business.
  16. David E Allen & R.R Boffey & R. J. Powell, 2011. "Survival of the fittest: contagion as a determinant of Canadian and Australian bank risk," Working papers, Edith Cowan University, School of Business 2011-03, Edith Cowan University, School of Business.
  17. David E Allen & Akhmad R. Kramadibrata & R. J. Powell & Abhay Kumar Singh, 2011. "Tail Risk for Australian Emerging Market Entities," Working papers, Edith Cowan University, School of Business 2011-07, Edith Cowan University, School of Business.
  18. Michael McAleer & David Allen & Ron Amram, 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," KIER Working Papers 805, Kyoto University, Institute of Economic Research.
  19. David E Allen & Akhmad R. Kramadibrata & R. J. Powell & Abhay Kumar Singh, 2011. "A Quantile Analysis of Default Risk for Speculative and Emerging Companies," Working papers, Edith Cowan University, School of Business 2011-05, Edith Cowan University, School of Business.
  20. David E Allen & Akhmad R. Kramadibrata & R. J. Powell & Abhay Kumar Singh, 2011. "Comparing Australian and US Corporate Default Risk using Quantile Regression," Working papers, Edith Cowan University, School of Business 2011-04, Edith Cowan University, School of Business.
  21. David E Allen & Akhmad R. Kramadibrata & R. J. Powell & Abhay Kumar Singh, 2011. "Optimising a Mining Portfolio Using CVaR," Working papers, Edith Cowan University, School of Business 2011-06, Edith Cowan University, School of Business.
  22. David E Allen & R.R Boffey & R. J. Powell, 2011. "Peas in a pod: Canadian and Australian banks before and during a Global Financial Crisis," Working papers, Edith Cowan University, School of Business 2011-01, Edith Cowan University, School of Business.
  23. David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CIRJE F-Series CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
  24. Allen, David E & Powell, Robert, 2008. "Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective," MPRA Paper 47206, University Library of Munich, Germany.
  25. Gao, Jiti & McAleer, Michael & Allen, Dave, 2006. "Econometric modelling in finance and risk management: An overview," MPRA Paper 11978, University Library of Munich, Germany, revised Nov 2007.
  26. Zheng, H. & Thomas, L.C. & Allen, D.E., 2001. "The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management," Papers 01-176, University of Southampton - Department of Accounting and Management Science.

Articles

  1. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(2), pages 80-109, June.
  2. Chia-Lin Chang & Allen, David & McAleer, Michael, 2013. "Recent developments in financial economics and econometrics: An overview," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 217–226.
  3. Allen, David & Ng, K.H. & Peiris, Shelton, 2013. "The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics," Economics Letters, Elsevier, vol. 120(1), pages 117-122.
  4. Allen, David E. & Amram, Ron & McAleer, Michael, 2013. "Volatility spillovers from the Chinese stock market to economic neighbours," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 94(C), pages 238-257.
  5. David E. Allen & Abhay Kumar Singh & Robert Powell, 2013. "Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions," Global Business and Economics Review, Inderscience Enterprises Ltd, Inderscience Enterprises Ltd, vol. 15(1), pages 88-109.
  6. Allen, David & Ng, K.H. & Peiris, Shelton, 2013. "Estimating and simulating Weibull models of risk or price durations: An application to ACD models," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 214-225.
  7. Josephine Sudiman & David Edmund Allen & Robert John Powell, 2013. "The Contribution Of Foreign Investors To Price Discovery In The Indonesian Stock Exchange," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1350008-1-1.
  8. Singh, Abhay K. & Allen, David E. & Robert, Powell J., 2013. "Extreme market risk and extreme value theory," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 94(C), pages 310-328.
  9. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2013. "A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 6(1), pages 6-30, October.
  10. Allen, D.E. & Kramadibrata, A.R. & Powell, R.J. & Singh, A.K., 2013. "Modelling tail credit risk using transition matrices," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 93(C), pages 67-75.
  11. Allen, David E. & Singh, Abhay K. & Powell, Robert J., 2013. "EVT and tail-risk modelling: Evidence from market indices and volatility series," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 355-369.
  12. Josephine Sudiman & David Allen & Robert Powell, 2013. "A Closer Look At The Characteristics Of Stock Holdings Of Foreign And Local Investors In The Indonesian Stock Exchange (Idx)," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 1350002-1-1.
  13. David E. Allen & Mohammad A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "Financial dependence analysis: applications of vine copulas," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(4), pages 403-435, November.
  14. David E Allen & Robert Powell, 2012. "The fluctuating default risk of Australian banks," Australian Journal of Management, Australian School of Business, Australian School of Business, vol. 37(2), pages 297-325, August.
  15. David Edmund Allen & Robert John Powell & Abhay Kumar Singh, 2012. "Beyond reasonable doubt: multiple tail risk measures applied to European industries," Applied Economics Letters, Taylor & Francis Journals, vol. 19(7), pages 671-676, May.
  16. David Allen & Robert Faff, 2012. "The Global Financial Crisis: some attributes and responses," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(1), pages 1-7, 03.
  17. D. E. Allen & A. K. Singh & R. Powell, 2012. "A Gourmet's delight: CAViaR and the Australian stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 19(15), pages 1493-1498, October.
  18. Allen, David E. & McAleer, Michael & Scharth, Marcel, 2011. "Monte Carlo option pricing with asymmetric realized volatility dynamics," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 81(7), pages 1247-1256.
  19. Yap, Ghialy & Allen, David, 2011. "Investigating other leading indicators influencing Australian domestic tourism demand," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 81(7), pages 1365-1374.
  20. D. E. Allen & R. J. Powell & A. K. Singh, 2011. "Quantile Regression As A Tool For Portfolio Investment Decisions During Times Of Financial Distress," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1150003-1-1.
  21. Timothy Sharp & Steven Li & David Allen, 2010. "Empirical performance of affine option pricing models: evidence from the Australian index options market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(6), pages 501-514.
  22. David E. Allen, 2009. "Measuring and modelling risk," Global Business and Economics Review, Inderscience Enterprises Ltd, Inderscience Enterprises Ltd, vol. 11(3/4), pages 199-224.
  23. Allen, David & Lazarov, Zdravetz & McAleer, Michael & Peiris, Shelton, 2009. "Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(8), pages 2535-2555.
  24. Allen, David E. & Gao, Jiti & McAleer, Michael, 2009. "Modelling and managing financial risk: An overview," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(8), pages 2521-2524.
  25. Allen, David & Yap, Ghialy & Shareef, Riaz, 2009. "Modelling interstate tourism demand in Australia: A cointegration approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(9), pages 2733-2740.
  26. David E. Allen & Robert Powell, 2009. "Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(3), pages 425-444.
  27. Sato, Kiyotaka & Zhang, Zhaoyong & Allen, David, 2009. "The suitability of a monetary union in East Asia: What does the cointegration approach tell?," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(9), pages 2927-2937.
  28. Gao, Jiti & McAleer, Michael & Allen, David E., 2008. "Econometric modelling in finance and risk management: An overview," Journal of Econometrics, Elsevier, Elsevier, vol. 147(1), pages 1-4, November.
  29. Allen, D.E. & Soucik, V., 2008. "Long-run underperformance of seasoned equity offerings: Fact or an illusion?," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 78(2), pages 146-154.
  30. Allen, David & Chan, Felix & McAleer, Michael & Peiris, Shelton, 2008. "Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks," Journal of Econometrics, Elsevier, Elsevier, vol. 147(1), pages 163-185, November.
  31. David E. Allen & Jerry T. Parwada, 2006. "Investors' response to mutual fund company mergers," International Journal of Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 2(2), pages 121-135, July.
  32. Victor Soucik & David E. Allen, 2006. "Benchmarking Australian fixed interest fund performance: finding the optimal factors," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(5), pages 865-898.
  33. D. E. Allen & A. Soongswang, 2006. "Post-Takeover Effects on Thai Bidding Firms: Are Takeovers in the Bidder's Interests?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 509-531.
  34. Peiris, Shelton & Allen, David & Yang, Wenling, 2005. "Some statistical models for durations and an application to News Corporation stock prices," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 68(5), pages 545-552.
  35. Wenling Yang & David E. Allen, 2005. "Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(2), pages 301-321.
  36. David Allen & Shelton Peiris & Joey Wenling Yang, 2005. "An Examination of the Role of Time and its Impact on Price Revision," Australian Journal of Management, Australian School of Business, Australian School of Business, vol. 30(2), pages 283-301, December.
  37. D. E. Allen & H. M. Salim, 2005. "Forecasting profitability and earnings: a study of the UK market (1982-2000)," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(17), pages 2009-2018.
  38. Allen, D.E & Yang, W, 2004. "Do UK stock prices deviate from fundamentals?," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 64(3), pages 373-383.
  39. David E. Allen & Jerry T. Parwada, 2004. "Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7-8), pages 1151-1170.
  40. G. MacDonald & D. Allen & S. Cruickshank, 2002. "Purchasing Power Parity-evidence from a new panel test," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 34(11), pages 1319-1324.
  41. Thomas, Lyn C. & Allen, David E. & Morkel-Kingsbury, Nigel, 2002. "A hidden Markov chain model for the term structure of bond credit risk spreads," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 311-329.
  42. D. E. Allen, 2000. "Spare Debt Capacity: Company Practices in Australia, Britain and Japan," Australian Journal of Management, Australian School of Business, Australian School of Business, vol. 25(3), pages 299-326, December.
  43. D. E. Allen & N. J. Morkel-Kingsbury & W. Piboonthanakiat, 1999. "The long-run performance of initial public offerings in Thailand," Applied Financial Economics, Taylor & Francis Journals, vol. 9(3), pages 215-232.
  44. D. E. Allen & M. L. Tan, 1999. "A Test of the Persistence in the Performance of UK Managed Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(5&6), pages 559-593.
  45. Allen, D. E. & Cleary, F., 1998. "Determinants of the cross-section of stock returns in the Malaysian stock market," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 253-275.
  46. D. E. Allen & Robert Prince, 1995. "The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk," Applied Economics Letters, Taylor & Francis Journals, vol. 2(8), pages 280-283.
  47. Allen, Dave E. & Sugianto, Richard, 1995. "Australian domestic porfolio diversification and estimation risk: A review of investment strategies," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 3(1), pages 142-143, May.
  48. D. E. Allen, 1993. "What'S So Super About Super?," Economic Papers, The Economic Society of Australia, vol. 12(3), pages 44-62, 09.
  49. D. E. Allen, 1991. "The Determinants of the Capital Structure of Listed Australian Companies: The Financial Manager's Perspective," Australian Journal of Management, Australian School of Business, Australian School of Business, vol. 16(2), pages 103-128, December.
  50. D.E. Allen & J.N. Crook & W.D. Reekie, 1986. "Technical Change, Economies of Scope and Contestable Markets," South African Journal of Economics, Economic Society of South Africa, vol. 54(2), pages 113-119, 06.

NEP Fields

47 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (8) 2009-12-19 2010-07-03 2010-09-18 2012-02-01 2012-02-01 2013-02-03 2013-12-15 2014-01-17. Author is listed
  2. NEP-BEC: Business Economics (4) 2009-12-19 2010-07-03 2010-09-18 2011-01-03
  3. NEP-CBA: Central Banking (1) 2014-01-17
  4. NEP-CFN: Corporate Finance (3) 2013-12-15 2014-07-13 2014-08-20
  5. NEP-CMP: Computational Economics (1) 2012-02-01
  6. NEP-ECM: Econometrics (4) 2009-12-19 2010-07-03 2012-11-03 2013-01-26
  7. NEP-ETS: Econometric Time Series (4) 2010-07-03 2010-09-18 2011-01-03 2014-08-02
  8. NEP-FMK: Financial Markets (10) 2009-12-19 2010-09-18 2012-09-09 2012-11-03 2012-11-11 2013-01-19 2013-01-26 2014-01-17 2014-01-17 2014-02-08. Author is listed
  9. NEP-FOR: Forecasting (9) 2010-07-03 2010-09-18 2011-01-03 2013-07-15 2013-07-15 2014-01-17 2014-07-13 2014-08-02 2014-08-16. Author is listed
  10. NEP-MST: Market Microstructure (8) 2009-12-19 2010-07-03 2010-09-18 2011-01-03 2014-01-17 2014-07-13 2014-08-02 2014-08-16. Author is listed
  11. NEP-ORE: Operations Research (3) 2014-08-02 2014-08-16 2014-08-20
  12. NEP-RMG: Risk Management (26) 2008-12-14 2010-07-03 2010-09-18 2011-01-03 2012-02-01 2012-02-01 2012-02-01 2012-02-01 2012-02-01 2012-02-01 2012-11-03 2012-11-11 2013-01-26 2013-01-26 2013-01-26 2013-07-15 2013-12-15 2014-01-17 2014-01-17 2014-01-17 2014-01-17 2014-05-17 2014-05-24 2014-07-13 2014-08-02 2014-08-16. Author is listed
  13. NEP-SEA: South East Asia (5) 2012-01-10 2013-01-26 2013-01-26 2013-02-03 2014-02-08. Author is listed
  14. NEP-TUR: Tourism Economics (1) 2014-02-02
  15. NEP-UPT: Utility Models & Prospect Theory (2) 2009-12-19 2010-07-03

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