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Robert John Powell

Personal Details

First Name:Robert
Middle Name:John
Last Name:Powell
Suffix:
RePEc Short-ID:ppo461
[This author has chosen not to make the email address public]
http://www.ecu.edu.au/schools/business/staff/profiles/associate-professors/dr-robert-john-powell

Affiliation

School of Business
Edith Cowan University

Perth, Australia
http://www.ecu.edu.au/schools/business/overview
RePEc:edi:sfcowau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2016-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2015. "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Econometric Institute Research Papers EI2015-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers 15-089/III, Tinbergen Institute.
  4. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "European Market Portfolio Diversifcation Strategies across the GFC," Working Papers in Economics 14/25, University of Canterbury, Department of Economics and Finance.
  5. 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.
  6. David E Allen & Mohammad.A. Ashraf & Michael McAleer & Robert J Powell & Abhay K Singh, 2013. "Financial Dependence Analysis: Applications of Vine Copulae," KIER Working Papers 843, Kyoto University, Institute of Economic Research.
  7. David E Allen & Michael McAleer & Robert J Powell & Abhay K Singh, 2013. "Nonparametric Multiple Change Point Analysis of the Global Financial Crisis," KIER Working Papers 866, Kyoto University, Institute of Economic Research.
  8. 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.
  9. 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.
  10. D.E. Allen & A. Kramadibrata & M. McAleer & R. Powell & A. K. Singh, 2012. "A non-parametric and entropy based analysis of the relationship between the VIX and S&P500," KIER Working Papers 827, Kyoto University, Institute of Economic Research.
  11. David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions," KIER Working Papers 831, Kyoto University, Institute of Economic Research.
  12. David E Allen & Michael McAleer & Robert J Powell & Abhay Kumar Singh, 2012. "Volatility spillovers from the US to Australia and China across the GFC," KIER Working Papers 838, Kyoto University, Institute of Economic Research.
  13. 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.

Articles

  1. Darren Pawski & Robert Powell & Anna Golab, 2022. "An Analysis of Whether Privately Owned Financial Planning Practices Are Transitioning to Fully Independent Advice Providers," JRFM, MDPI, vol. 15(8), pages 1-16, August.
  2. Pham, Thach N. & Powell, Robert & Bannigidadmath, Deepa, 2021. "Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
  3. Dinh, Dung V. & Powell, Robert J. & Vo, Duc H., 2021. "Forecasting corporate financial distress in the Southeast Asian countries: A market-based approach," Journal of Asian Economics, Elsevier, vol. 74(C).
  4. Do, A. & Powell, R. & Yong, J. & Singh, A., 2020. "Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  5. Robert J. Powell & Duc H. Vo, 2020. "A Comprehensive Stability Indicator for Banks," Risks, MDPI, vol. 8(1), pages 1-15, February.
  6. Robert Powell & Duc H. Vo & Thach N. Pham, 2019. "Cattle as a consistently resilient agricultural commodity," Applied Economics, Taylor & Francis Journals, vol. 51(55), pages 5911-5922, November.
  7. DAVID E. ALLEN & MICHAEL McALEER & ROBERT J. POWELL & ABHAY K. SINGH, 2018. "Non-Parametric Multiple Change Point Analysis Of The Global Financial Crisis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-23, June.
  8. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia," Risks, MDPI, vol. 6(4), pages 1-22, October.
  9. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Economic cycles and downside commodities risk," Applied Economics Letters, Taylor & Francis Journals, vol. 25(4), pages 258-263, February.
  10. R.J. Powell, 2017. "New perspectives on bank risk in Malaysia," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1326217-132, January.
  11. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017. "Volatility spillover and multivariate volatility impulse response analysis of GFC news events," Applied Economics, Taylor & Francis Journals, vol. 49(33), pages 3246-3262, July.
  12. Powell, Robert, 2017. "Research Bets and Behavioral IR," International Organization, Cambridge University Press, vol. 71(S1), pages 265-277, April.
  13. Powell, Robert J. & Vo, Duc H. & Pham, Thach N. & Singh, Abhay K., 2017. "The long and short of commodity tails and their relationship to Asian equity markets," Journal of Asian Economics, Elsevier, vol. 52(C), pages 32-44.
  14. Abhay K. Singh & David E. Allen & Robert J. Powell, 2017. "Tail dependence analysis of stock markets using extreme value theory," Applied Economics, Taylor & Francis Journals, vol. 49(45), pages 4588-4599, September.
  15. Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017. "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
  16. D. E. Allen & M. McAleer & R. J. Powell & A. K. Singh, 2016. "A capital adequacy buffer model," Applied Economics Letters, Taylor & Francis Journals, vol. 23(3), pages 175-179, February.
  17. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2016. "Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis," JRFM, MDPI, vol. 9(2), pages 1-18, June.
  18. Allen, D.E. & Powell, R.J. & Singh, A.K., 2016. "Take it to the limit: Innovative CVaR applications to extreme credit risk measurement," European Journal of Operational Research, Elsevier, vol. 249(2), pages 465-475.
  19. Powell, Robert, 2015. "Nuclear Brinkmanship, Limited War, and Military Power," International Organization, Cambridge University Press, vol. 69(3), pages 589-626, July.
  20. 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, vol. 93(C), pages 67-75.
  21. 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 1-22.
  22. 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," JRFM, MDPI, vol. 6(1), pages 1-25, October.
  23. Singh, Abhay K. & Allen, David E. & Robert, Powell J., 2013. "Extreme market risk and extreme value theory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 310-328.
  24. 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, vol. 15(1), pages 88-109.
  25. 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.
  26. David E Allen & Robert John Powell, 2013. "The Determinants of Capital Structure: Empirical evidence from Thai Banks," Information Management and Business Review, AMH International, vol. 5(8), pages 401-410.
  27. 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 1-24.
  28. 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.
  29. 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.
  30. 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.
  31. David E Allen & Robert Powell, 2012. "The fluctuating default risk of Australian banks," Australian Journal of Management, Australian School of Business, vol. 37(2), pages 297-325, August.
  32. 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 1-19.
  33. 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, September.

Chapters

  1. Anna Golab & David E. Allen & Robert Powell, 2015. "Aspects of Volatility and Correlations in European Emerging Economies," Palgrave Macmillan Books, in: Nigel Finch (ed.), Emerging Markets and Sovereign Risk, chapter 4, pages 59-80, Palgrave Macmillan.
  2. Roberto Akyuwen & Raymond Boffey & Robert Powell & Krisna Wijaya, 2015. "Thoughts on Extreme Risk in Indonesia," Springer Proceedings in Business and Economics, in: Hadrian Geri Djajadikerta & Zhaoyong Zhang (ed.), A New Paradigm for International Business, edition 127, chapter 0, pages 213-225, Springer.
  3. David E. Allen & Singh Robert Powell, 2011. "Asset Pricing, the Fama—French Factor Model and the Implications of Quantile-Regression Analysis," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 7, pages 176-193, Palgrave Macmillan.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2016-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

    Cited by:

    1. Vincenzo Candila & Salvatore Farace, 2018. "On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets," Risks, MDPI, vol. 6(4), pages 1-16, October.
    2. Syed Kumail Abbas Rizvi & Bushra Naqvi & Nawazish Mirza, 2022. "Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs," Annals of Operations Research, Springer, vol. 313(1), pages 495-524, June.
    3. BenSaïda, Ahmed, 2019. "Good and bad volatility spillovers: An asymmetric connectedness," Journal of Financial Markets, Elsevier, vol. 43(C), pages 78-95.
    4. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2021. "Political uncertainty, COVID-19 pandemic and stock market volatility transmission," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    5. Choi, Sun-Yong, 2022. "Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 179-193.
    6. Shi, Yujie & Wang, Liming & Ke, Jian, 2021. "Does the US-China trade war affect co-movements between US and Chinese stock markets?," Research in International Business and Finance, Elsevier, vol. 58(C).
    7. Zainudin, Ahmad Danial & Mohamad, Azhar, 2021. "Financial contagion in the futures markets amidst global geo-economic events," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 288-308.

  2. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers 15-089/III, Tinbergen Institute.

    Cited by:

    1. Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2016. "Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 277-285.

  3. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "European Market Portfolio Diversifcation Strategies across the GFC," Working Papers in Economics 14/25, University of Canterbury, Department of Economics and Finance.

    Cited by:

    1. David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies Across the GFC," Documentos de Trabajo del ICAE 2014-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Víctor Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2017. "“Resolution of optimization problems and construction of efficient portfolios: An application to the Euro Stoxx 50 index"," IREA Working Papers 201702, University of Barcelona, Research Institute of Applied Economics, revised Feb 2017.

  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.

    Cited by:

    1. David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies Across the GFC," Documentos de Trabajo del ICAE 2014-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Sanjay Sehgal & Sakshi Saini & Florent Deisting, 2019. "Examining Dynamic Interdependencies Among Major Global Financial Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 23(1-2), pages 103-139, March - J.
    3. Cheng, Tingting & Xing, Shuo & Yao, Wenying, 2022. "An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    4. Balli, Faruk & Billah, Mabruk & Balli, Hatice Ozer & De Bruin, Anne, 2022. "Spillovers between Sukuks and Shariah-compliant equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
    5. Hou, Yang (Greg) & Li, Steven, 2020. "Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 166-188.
    6. Balli, Faruk & de Bruin, Anne & Chowdhury, Md Iftekhar Hasan, 2019. "Spillovers and the determinants in Islamic equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    7. Emawtee Bissoondoyal-Bheenick & Robert Brooks & Wei Chi & Hung Xuan Do, 2018. "Volatility spillover between the US, Chinese and Australian stock markets," Australian Journal of Management, Australian School of Business, vol. 43(2), pages 263-285, May.
    8. Newaz, Mohammad Khaleq & Park, Jin Suk, 2019. "The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 79-94.

  5. David E Allen & Mohammad.A. Ashraf & Michael McAleer & Robert J Powell & Abhay K Singh, 2013. "Financial Dependence Analysis: Applications of Vine Copulae," KIER Working Papers 843, Kyoto University, Institute of Economic Research.

    Cited by:

    1. Arreola Hernandez, Jose & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Al Janabi, Mazin A. M. & Reboredo, Juan Carlos, 2014. "Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach," MPRA Paper 73399, University Library of Munich, Germany, revised Aug 2016.
    2. Václav Klepáč & David Hampel, 2015. "Assessing Efficiency of D-Vine Copula ARMA-GARCH Method in Value at Risk Forecasting: Evidence from PSE Listed Companies," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(4), pages 1287-1295.
    3. Moawia Alghalith, 2022. "Methods in Econophysics: Estimating the Probability Density and Volatility," Papers 2301.10178, arXiv.org.
    4. Jules Clément Mba & Magdaline Mbong Mai, 2022. "A Particle Swarm Optimization Copula-Based Approach with Application to Cryptocurrency Portfolio Optimisation," JRFM, MDPI, vol. 15(7), pages 1-14, June.
    5. Luciana Dalla Valle & Maria Elena De Giuli & Claudia Tarantola & Claudio Manelli, 2014. "Default Probability Estimation via Pair Copula Constructions," Papers 1405.1309, arXiv.org, revised Aug 2015.
    6. David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Risk Measurement and Risk Modelling using Applications of Vine Copulas," Tinbergen Institute Discussion Papers 14-054/III, Tinbergen Institute.
    7. Ghufran Ahmad & Muhammad Suhail Rizwan & Dawood Ashraf, 2021. "Systemic risk and macroeconomic forecasting: A globally applicable copula‐based approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1420-1443, December.
    8. Alghalith, Moawia, 2017. "A new parametric method of estimating the joint probability density," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 799-803.
    9. Yingying HAN & Xiang ZHOU, 2017. "The Relationship between Stock and Exchange Rates for BRICS Countries Pre - and Post - Crisis: A Mixed C - VINE Copula Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 38-59, March.
    10. Yu, Lean & Zha, Rui & Stafylas, Dimitrios & He, Kaijian & Liu, Jia, 2020. "Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models," International Review of Financial Analysis, Elsevier, vol. 68(C).
    11. Sukcharoen, Kunlapath & Leatham, David J., 2017. "Hedging downside risk of oil refineries: A vine copula approach," Energy Economics, Elsevier, vol. 66(C), pages 493-507.

  6. David E Allen & Michael McAleer & Robert J Powell & Abhay K Singh, 2013. "Nonparametric Multiple Change Point Analysis of the Global Financial Crisis," KIER Working Papers 866, Kyoto University, Institute of Economic Research.

    Cited by:

    1. Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017. "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
    2. Massoud Moslehpour & Shin Hung Pan & Aviral Kumar Tiwari & Wing Keung Wong, 2021. "Editorial in Honour of Professor Michael McAleer," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(4), pages 1-14, December.

  7. 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.

    Cited by:

    1. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Economic cycles and downside commodities risk," Applied Economics Letters, Taylor & Francis Journals, vol. 25(4), pages 258-263, February.

  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.

    Cited by:

    1. Avdulaj Krenar & Barunik Jozef, 2017. "A semiparametric nonlinear quantile regression model for financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 81-97, February.
    2. Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stober, 2016. "Regime switching vine copula models for global equity and volatility indices," Papers 1604.05598, arXiv.org.
    3. Bekiros, Stelios & Jlassi, Mouna & Lucey, Brian & Naoui, Kamel & Uddin, Gazi Salah, 2017. "Herding behavior, market sentiment and volatility: Will the bubble resume?," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 107-131.
    4. Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stöber, 2017. "Regime Switching Vine Copula Models for Global Equity and Volatility Indices," Econometrics, MDPI, vol. 5(1), pages 1-38, January.
    5. Saadaoui Mallek, Ray & Albaity, Mohamed & Molyneux, Philip, 2022. "Herding behaviour heterogeneity under economic and political risks: Evidence from GCC," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 345-361.

  9. D.E. Allen & A. Kramadibrata & M. McAleer & R. Powell & A. K. Singh, 2012. "A non-parametric and entropy based analysis of the relationship between the VIX and S&P500," KIER Working Papers 827, Kyoto University, Institute of Economic Research.

    Cited by:

    1. Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2021. "Quantile Risk–Return Trade-Off," JRFM, MDPI, vol. 14(6), pages 1-14, June.
    2. Athanasios P. Fassas & Nikolas Hourvouliades, 2019. "VIX Futures as a Market Timing Indicator," JRFM, MDPI, vol. 12(3), pages 1-9, July.

  10. David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions," KIER Working Papers 831, Kyoto University, Institute of Economic Research.

    Cited by:

    1. Terence D. Agbeyegbe, 2015. "An inverted U‐shaped crude oil price return‐implied volatility relationship," Review of Financial Economics, John Wiley & Sons, vol. 27(1), pages 28-45, November.
    2. Badshah, Ihsan & Frijns, Bart & Knif, Johan & Tourani-Rad, Alireza, 2016. "Asymmetries of the intraday return-volatility relation," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 182-192.

  11. David E Allen & Michael McAleer & Robert J Powell & Abhay Kumar Singh, 2012. "Volatility spillovers from the US to Australia and China across the GFC," KIER Working Papers 838, Kyoto University, Institute of Economic Research.

    Cited by:

    1. Ataurima Arellano, Miguel & Rodríguez, Gabriel, 2020. "Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).

  12. 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.

    Cited by:

    1. Vo, D.H. & Tran, N.P. & Duong, T.N.-T. & McAleer, M.J., 2019. "Risk Analysis of Energy in Vietnam," Econometric Institute Research Papers EI2019-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Allen, D.E. & Powell, R.J. & Singh, A.K., 2016. "Take it to the limit: Innovative CVaR applications to extreme credit risk measurement," European Journal of Operational Research, Elsevier, vol. 249(2), pages 465-475.
    3. Ngoc Phu Tran & Thang Cong Nguyen & Duc Hong Vo & Michael McAleer, 2019. "Market Risk Analysis of Energy in Vietnam," Risks, MDPI, vol. 7(4), pages 1-13, November.

Articles

  1. Pham, Thach N. & Powell, Robert & Bannigidadmath, Deepa, 2021. "Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).

    Cited by:

    1. Baomin Chen & Xinyun Yang & Zhenzhong Ma, 2022. "Fintech and Financial Risks of Systemically Important Commercial Banks in China: An Inverted U-Shaped Relationship," Sustainability, MDPI, vol. 14(10), pages 1-20, May.
    2. Das, Sanjiv R. & Kalimipalli, Madhu & Nayak, Subhankar, 2022. "Banking networks, systemic risk, and the credit cycle in emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    3. Ben Amor, Souhir & Althof, Michael & Härdle, Wolfgang Karl, 2022. "Financial Risk Meter for emerging markets," Research in International Business and Finance, Elsevier, vol. 60(C).

  2. Dinh, Dung V. & Powell, Robert J. & Vo, Duc H., 2021. "Forecasting corporate financial distress in the Southeast Asian countries: A market-based approach," Journal of Asian Economics, Elsevier, vol. 74(C).

    Cited by:

    1. Sun, Xiaojun & Lei, Yalin, 2021. "Research on financial early warning of mining listed companies based on BP neural network model," Resources Policy, Elsevier, vol. 73(C).

  3. Do, A. & Powell, R. & Yong, J. & Singh, A., 2020. "Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).

    Cited by:

    1. Cheng, Tingting & Xing, Shuo & Yao, Wenying, 2022. "An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    2. Jung-Bin Su, 2022. "The Research on the Interactions between the Emerging and Developed Markets: From Region and Structural Break Perspectives," Mathematics, MDPI, vol. 10(8), pages 1-38, April.
    3. Chung, Chien-Ping & Liao, Tzu-Hsiang & Lee, Hsiu-Chuan, 2021. "Volatility spillovers of A- and B-shares for the Chinese stock market and its impact on the Chinese index returns," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).

  4. Robert J. Powell & Duc H. Vo, 2020. "A Comprehensive Stability Indicator for Banks," Risks, MDPI, vol. 8(1), pages 1-15, February.

    Cited by:

    1. Thang Cong Nguyen & Tan Ngoc Vu & Duc Hong Vo & Michael McAleer, 2020. "Systematic Risk at the Industry Level: A Case Study of Australia," Risks, MDPI, vol. 8(2), pages 1-12, April.
    2. Dinh, Dung V. & Powell, Robert J. & Vo, Duc H., 2021. "Forecasting corporate financial distress in the Southeast Asian countries: A market-based approach," Journal of Asian Economics, Elsevier, vol. 74(C).

  5. DAVID E. ALLEN & MICHAEL McALEER & ROBERT J. POWELL & ABHAY K. SINGH, 2018. "Non-Parametric Multiple Change Point Analysis Of The Global Financial Crisis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-23, June.
    See citations under working paper version above.
  6. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia," Risks, MDPI, vol. 6(4), pages 1-22, October.

    Cited by:

    1. Robert J. Powell & Duc H. Vo, 2020. "A Comprehensive Stability Indicator for Banks," Risks, MDPI, vol. 8(1), pages 1-15, February.

  7. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Economic cycles and downside commodities risk," Applied Economics Letters, Taylor & Francis Journals, vol. 25(4), pages 258-263, February.

    Cited by:

    1. Ray-Ming Chen, 2022. "Economic Categorizing Based on DFT-induced Supervised Learning," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 125-150, January.
    2. Vo, Duc, 2019. "Portfolio Optimization and Diversification in China: Policy Implications for Vietnam and other Emerging Markets," MPRA Paper 103276, University Library of Munich, Germany.
    3. Duc Hong Vo & Quang Van Tuan & Trung Vu-Thanh Pham, 2019. "Sectoral Risks in Vietnam and Malaysia A Comparative Analysis," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(1), pages 62-87, March.
    4. Guhathakurta, Kousik & Dash, Saumya Ranjan & Maitra, Debasish, 2020. "Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications," Energy Economics, Elsevier, vol. 85(C).
    5. Ngoc Phu Tran & Thang Cong Nguyen & Duc Hong Vo & Michael McAleer, 2019. "Market Risk Analysis of Energy in Vietnam," Risks, MDPI, vol. 7(4), pages 1-13, November.
    6. Hoang Huy Nguyen & Chi Minh Ho & Duc Hong Vo, 2019. "An Empirical Test of Capital Structure Theories for the Vietnamese Listed Firms," JRFM, MDPI, vol. 12(3), pages 1-11, September.

  8. R.J. Powell, 2017. "New perspectives on bank risk in Malaysia," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1326217-132, January.

    Cited by:

    1. Robert J. Powell & Duc H. Vo, 2020. "A Comprehensive Stability Indicator for Banks," Risks, MDPI, vol. 8(1), pages 1-15, February.
    2. Dinh, Dung V. & Powell, Robert J. & Vo, Duc H., 2021. "Forecasting corporate financial distress in the Southeast Asian countries: A market-based approach," Journal of Asian Economics, Elsevier, vol. 74(C).

  9. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017. "Volatility spillover and multivariate volatility impulse response analysis of GFC news events," Applied Economics, Taylor & Francis Journals, vol. 49(33), pages 3246-3262, July.
    See citations under working paper version above.
  10. Powell, Robert J. & Vo, Duc H. & Pham, Thach N. & Singh, Abhay K., 2017. "The long and short of commodity tails and their relationship to Asian equity markets," Journal of Asian Economics, Elsevier, vol. 52(C), pages 32-44.

    Cited by:

    1. Hu, Haiqing & Chen, Di & Sui, Bo & Zhang, Lang & Wang, Yinyin, 2020. "Price volatility spillovers between supply chain and innovation of financial pledges in China," Economic Modelling, Elsevier, vol. 89(C), pages 397-413.
    2. Duc Hong Vo & Quang Van Tuan & Trung Vu-Thanh Pham, 2019. "Sectoral Risks in Vietnam and Malaysia A Comparative Analysis," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(1), pages 62-87, March.
    3. Dinh, Dung V. & Powell, Robert J. & Vo, Duc H., 2021. "Forecasting corporate financial distress in the Southeast Asian countries: A market-based approach," Journal of Asian Economics, Elsevier, vol. 74(C).
    4. Hoang Huy Nguyen & Chi Minh Ho & Duc Hong Vo, 2019. "An Empirical Test of Capital Structure Theories for the Vietnamese Listed Firms," JRFM, MDPI, vol. 12(3), pages 1-11, September.

  11. Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017. "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
    See citations under working paper version above.
  12. D. E. Allen & M. McAleer & R. J. Powell & A. K. Singh, 2016. "A capital adequacy buffer model," Applied Economics Letters, Taylor & Francis Journals, vol. 23(3), pages 175-179, February.
    See citations under working paper version above.
  13. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2016. "Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis," JRFM, MDPI, vol. 9(2), pages 1-18, June.

    Cited by:

    1. Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    3. H. Fink & S. Geissel & J. Herbinger & F. T. Seifried, 2019. "Portfolio Optimization with Optimal Expected Utility Risk Measures," Working Paper Series 2019-07, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    4. S. Geissel & H. Graf & J. Herbinger & F. T. Seifried, 2022. "Portfolio optimization with optimal expected utility risk measures," Annals of Operations Research, Springer, vol. 309(1), pages 59-77, February.
    5. Haensly, Paul J., 2022. "Lessons from naïve diversification about the risk-reward trade-off," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    6. Abdullah Aloqab & Farouk Alobaidi & Bassam Raweh, 2018. "Operational Risk Management in Financial Institutions: An Overview," Business and Economic Research, Macrothink Institute, vol. 8(2), pages 11-32, June.
    7. Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia, 2019. "Quantifying Risk in Traditional Energy and Sustainable Investments," Sustainability, MDPI, vol. 11(3), pages 1-22, January.

  14. Allen, D.E. & Powell, R.J. & Singh, A.K., 2016. "Take it to the limit: Innovative CVaR applications to extreme credit risk measurement," European Journal of Operational Research, Elsevier, vol. 249(2), pages 465-475.

    Cited by:

    1. Zhang, Yuanyuan & Zhao, Huiru & Li, Bingkang & Zhao, Yihang & Qi, Ze, 2022. "Research on credit rating and risk measurement of electricity retailers based on Bayesian Best Worst Method-Cloud Model and improved Credit Metrics model in China's power market," Energy, Elsevier, vol. 252(C).
    2. Vo, D.H. & Tran, N.P. & Duong, T.N.-T. & McAleer, M.J., 2019. "Risk Analysis of Energy in Vietnam," Econometric Institute Research Papers EI2019-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Economic cycles and downside commodities risk," Applied Economics Letters, Taylor & Francis Journals, vol. 25(4), pages 258-263, February.
    4. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia," Risks, MDPI, vol. 6(4), pages 1-22, October.
    5. Chunlin Luo & Xin Tian & Xiaobing Mao & Qiang Cai, 2018. "Coordinating Supply Chain with Buy-Back Contracts in the Presence of Risk Aversion," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 35(02), pages 1-19, April.
    6. Ngoc Phu Tran & Thang Cong Nguyen & Duc Hong Vo & Michael McAleer, 2019. "Market Risk Analysis of Energy in Vietnam," Risks, MDPI, vol. 7(4), pages 1-13, November.
    7. Yfanti, Stavroula & Karanasos, Menelaos & Zopounidis, Constantin & Christopoulos, Apostolos, 2023. "Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics," European Journal of Operational Research, Elsevier, vol. 304(2), pages 813-831.
    8. Dawen Yan & Xiaohui Zhang & Mingzheng Wang, 2021. "A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations," Annals of Operations Research, Springer, vol. 299(1), pages 659-710, April.
    9. Sovan Mitra & Andreas Karathanasopoulos, 2019. "Firm Value and the Impact of Operational Management," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 61-85, March.
    10. Braouezec, Yann & Wagalath, Lakshithe, 2019. "Strategic fire-sales and price-mediated contagion in the banking system," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1180-1197.
    11. R.J. Powell, 2017. "New perspectives on bank risk in Malaysia," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1326217-132, January.
    12. Jose Arreola Hernandez & Sang Hoon Kang & Seong‐Min Yoon, 2022. "Nonlinear spillover and portfolio allocation characteristics of energy equity sectors: Evidence from the United States and Canada," Review of International Economics, Wiley Blackwell, vol. 30(1), pages 1-33, February.
    13. Fernández, Arturo J., 2017. "Economic lot sampling inspection from defect counts with minimum conditional value-at-risk," European Journal of Operational Research, Elsevier, vol. 258(2), pages 573-580.

  15. Powell, Robert, 2015. "Nuclear Brinkmanship, Limited War, and Military Power," International Organization, Cambridge University Press, vol. 69(3), pages 589-626, July.

    Cited by:

    1. Pradeep, Siddhartha, 2019. "Game theory, Strategies and the convoluted triangle - India, Pakistan, Kashmir," EconStor Preprints 195929, ZBW - Leibniz Information Centre for Economics.

  16. 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, vol. 93(C), pages 67-75.

    Cited by:

    1. Kun Liang & Cuiqing Jiang & Zhangxi Lin & Weihong Ning & Zelin Jia, 2017. "The nature of sellers’ cyber credit in C2C e-commerce: the perspective of social capital," Electronic Commerce Research, Springer, vol. 17(1), pages 133-147, March.
    2. Michael McAleer & Felix Chan & Les Oxley, 2013. "Modelling and Simulation: An Overview," Tinbergen Institute Discussion Papers 13-069/III, Tinbergen Institute.

  17. 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," JRFM, MDPI, vol. 6(1), pages 1-25, October.
    See citations under working paper version above.
  18. Singh, Abhay K. & Allen, David E. & Robert, Powell J., 2013. "Extreme market risk and extreme value theory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 310-328.

    Cited by:

    1. David E. Giles & Qinlu Chen, 2014. "Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory," Econometrics Working Papers 1402, Department of Economics, University of Victoria.
    2. Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," Tinbergen Institute Discussion Papers 13-085/III, Tinbergen Institute, revised 08 Jul 2013.
    3. Laudagé, Christian & Desmettre, Sascha & Wenzel, Jörg, 2019. "Severity modeling of extreme insurance claims for tariffication," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 77-92.
    4. Abdul-Aziz Ibn Musah & Jianguo Du & Hira Salah Ud din Khan & Alhassan Alolo Abdul-Rasheed Akeji, 2018. "The Asymptotic Decision Scenarios of an Emerging Stock Exchange Market: Extreme Value Theory and Artificial Neural Network," Risks, MDPI, vol. 6(4), pages 1-24, November.
    5. Reboredo, Juan C. & Ugando, Mikel, 2015. "Downside risks in EU carbon and fossil fuel markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 111(C), pages 17-35.
    6. Eduard Krkoska & Klaus Reiner Schenk-Hoppé, 2019. "Herding in Smart-Beta Investment Products," JRFM, MDPI, vol. 12(1), pages 1-14, March.
    7. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    8. Salhi, Khaled & Deaconu, Madalina & Lejay, Antoine & Champagnat, Nicolas & Navet, Nicolas, 2016. "Regime switching model for financial data: Empirical risk analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 148-157.
    9. Runjie Xu & Chuanmin Mi & Nan Ye & Tom Marshall & Yadong Xiao & Hefan Shuai, 2020. "Risk Fluctuation Characteristics of Internet Finance: Combining Industry Characteristics with Ecological Value," Papers 2001.09798, arXiv.org.

  19. 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, vol. 15(1), pages 88-109.

    Cited by:

    1. Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2017. "Quantile relationships between standard, diffusion and jump betas across Japanese banks," Working Papers 2017-10, University of Tasmania, Tasmanian School of Business and Economics.
    2. Uribe, Jorge M. & Chuliá, Helena & Guillén, Montserrat, 2017. "Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 52-68.
    3. Laura Ferrando & Román Ferrer & Francisco Jareño, 2017. "Interest Rate Sensitivity of Spanish Industries: A Quantile Regression Approach," Manchester School, University of Manchester, vol. 85(2), pages 212-242, March.

  20. 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.

    Cited by:

    1. Sharif Mozumder & Arafatur Rahman, 2016. "Market Risk Of Investment In Us Subprime Crisis: Comparison Of A Pure Diffusion And A Pure Jump Model," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 1-17, September.
    2. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
    3. Herrera, Rodrigo & Schipp, Bernhard, 2014. "Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 218-238.
    4. Wang, Peiwan & Zong, Lu, 2020. "Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    5. 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.
    6. Su, Jung-Bin, 2014. "Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 1-39.
    7. Srilakshminarayana Gali, 2021. "The Behavior of Extreme and Cumulative Stock Price Random Variables during the Crisis Periods-A Study of Nifty 50 Stocks," Economic Research Guardian, Weissberg Publishing, vol. 11(1), pages 103-129, June.
    8. Ahmed, Rizwan & Chaudhry, Sajid M. & Kumpamool, Chamaiporn & Benjasak, Chonlakan, 2022. "Tail risk, systemic risk and spillover risk of crude oil and precious metals," Energy Economics, Elsevier, vol. 112(C).
    9. Hussain, Saiful Izzuan & Li, Steven, 2015. "Modeling the distribution of extreme returns in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 263-276.
    10. Zheng, Chengli & Su, Kuangxi & Yao, Yinhong, 2021. "Hedging futures performance with denoising and noise-assisted strategies," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    11. Liu, Yanxin & Li, Johnny Siu-Hang & Ng, Andrew Cheuk-Yin, 2015. "Option pricing under GARCH models with Hansen's skewed-t distributed innovations," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 108-125.
    12. Roni Bhowmik & Wu Chao & Wang Shouyang & Jewel Roy Kumar, 2017. "A Study on the Volatility of the Bangladesh Stock Market — Based on GARCH Type Models," Journal of Systems Science and Information, De Gruyter, vol. 5(3), pages 193-215, June.
    13. Feria-Domínguez, José Manuel & Jiménez-Rodríguez, Enrique & Sholarin, Ola, 2015. "Tackling the over-dispersion of operational risk: Implications on capital adequacy requirements," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 206-221.
    14. Li, Longqing, 2017. "A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk," MPRA Paper 85645, University Library of Munich, Germany.

  21. David E Allen & Robert John Powell, 2013. "The Determinants of Capital Structure: Empirical evidence from Thai Banks," Information Management and Business Review, AMH International, vol. 5(8), pages 401-410.

    Cited by:

    1. Rafet Aktas & Bilge Bakin & Gokhan Celik, 2015. "The Determinants of Banks’ Capital Adequacy Ratio: Some Evidence from South Eastern European Countries," Journal of Economics and Behavioral Studies, AMH International, vol. 7(1), pages 79-88.
    2. Odunayo Magret Olarewaju & Joseph Olorunfemi Akande, 2016. "An Empirical Analysis of Capital Adequacy Determinants in Nigerian Banking Sector," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(12), pages 132-142, December.

  22. 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.
    See citations under working paper version above.
  23. 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.

    Cited by:

    1. Vo, D.H. & Tran, N.P. & Duong, T.N.-T. & McAleer, M.J., 2019. "Risk Analysis of Energy in Vietnam," Econometric Institute Research Papers EI2019-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Economic cycles and downside commodities risk," Applied Economics Letters, Taylor & Francis Journals, vol. 25(4), pages 258-263, February.
    3. Ngoc Phu Tran & Thang Cong Nguyen & Duc Hong Vo & Michael McAleer, 2019. "Market Risk Analysis of Energy in Vietnam," Risks, MDPI, vol. 7(4), pages 1-13, November.
    4. Pradip Debnath & Hari Mohan Srivastava, 2021. "Optimal Returns in Indian Stock Market during Global Pandemic: A Comparative Study," JRFM, MDPI, vol. 14(12), pages 1-13, December.
    5. Powell, Robert J. & Vo, Duc H. & Pham, Thach N. & Singh, Abhay K., 2017. "The long and short of commodity tails and their relationship to Asian equity markets," Journal of Asian Economics, Elsevier, vol. 52(C), pages 32-44.

  24. 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.

    Cited by:

    1. Katherine Uylangco & Siqiwen Li, 2016. "An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 699-718, November.
    2. Wu, JunFeng & Zhang, Chao & Chen, Yun, 2022. "Analysis of risk correlations among stock markets during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 83(C).
    3. Peng, Wei & Hu, Shichao & Chen, Wang & Zeng, Yu-feng & Yang, Lu, 2019. "Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 137-149.

  25. David E Allen & Robert Powell, 2012. "The fluctuating default risk of Australian banks," Australian Journal of Management, Australian School of Business, vol. 37(2), pages 297-325, August.

    Cited by:

    1. Maria H. Kim & Graham Partington, 2015. "Dynamic forecasts of financial distress of Australian firms," Australian Journal of Management, Australian School of Business, vol. 40(1), pages 135-160, February.
    2. Duc Hong Vo & Binh Vo-Ninh Pham & Trung Vu-Thanh Pham & Michael McAleer, 2019. "Corporate Financial Distress of Industry Level Listings in an Emerging Market," Documentos de Trabajo del ICAE 2019-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    3. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
    4. Mamiza Haq & Necmi K. Avkiran & Amine Tarazi, 2019. "Does market discipline impact bank charter value? The case for Australia and Canada," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(1), pages 253-276, March.
    5. Silvio Tarca & Marek Rutkowski, 2014. "Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia," Papers 1412.0064, arXiv.org, revised Jul 2016.
    6. Katherine Uylangco & Siqiwen Li, 2016. "An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 699-718, November.
    7. Duc Hong Vo & Quang Van Tuan & Trung Vu-Thanh Pham, 2019. "Sectoral Risks in Vietnam and Malaysia A Comparative Analysis," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(1), pages 62-87, March.
    8. Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017. "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
    9. Andrew Grant & Luke Deer, 2020. "Consumer marketplace lending in Australia: Credit scores and loan funding success," Australian Journal of Management, Australian School of Business, vol. 45(4), pages 607-623, November.
    10. Kabir, Md. Nurul & Worthington, Andrew & Gupta, Rakesh, 2015. "Comparative credit risk in Islamic and conventional bank," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 327-353.
    11. Williams, Barry, 2016. "The impact of non-interest income on bank risk in Australia," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 16-37.
    12. Duc Hong Vo & Binh Ninh Vo Pham & Chi Minh Ho & Michael McAleer, 2019. "Corporate Financial Distress of Industry Level Listings in Vietnam," JRFM, MDPI, vol. 12(4), pages 1-17, September.
    13. John Nkwoma Inekwe & Yi Jin & Maria Rebecca Valenzuela, 2018. "Global financial network and liquidity risk," Australian Journal of Management, Australian School of Business, vol. 43(4), pages 593-613, November.
    14. Dinh, Dung V. & Powell, Robert J. & Vo, Duc H., 2021. "Forecasting corporate financial distress in the Southeast Asian countries: A market-based approach," Journal of Asian Economics, Elsevier, vol. 74(C).
    15. Angus Campbell & Daniel R. Smith, 2022. "An empirical investigation of the quality of value‐at‐risk disclosure in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(1), pages 469-491, March.
    16. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    17. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2016. "Emerging trends in Asia-Pacific finance research: A review of recent influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 66-76.
    18. Pham Vo Ninh, Binh & Do Thanh, Trung & Vo Hong, Duc, 2018. "Financial distress and bankruptcy prediction: An appropriate model for listed firms in Vietnam," Economic Systems, Elsevier, vol. 42(4), pages 616-624.

  26. 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 1-19.

    Cited by:

    1. Allen, D.E. & McAleer, M.J. & Singh, A.K., 2015. "Daily Market News Sentiment and Stock Prices," Econometric Institute Research Papers EI2015-23, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Jaeyoung Cheong & Heejoon Lee & Minjung Kang, 2021. "Stock Index Prediction using Cointegration test and Quantile Loss," Papers 2109.15045, arXiv.org.

  27. 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, September.

    Cited by:

    1. Vo, D.H. & Tran, N.P. & Duong, T.N.-T. & McAleer, M.J., 2019. "Risk Analysis of Energy in Vietnam," Econometric Institute Research Papers EI2019-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Duc Hong Vo & Binh Vo-Ninh Pham & Trung Vu-Thanh Pham & Michael McAleer, 2019. "Corporate Financial Distress of Industry Level Listings in an Emerging Market," Documentos de Trabajo del ICAE 2019-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    3. Minhaz-Ul-Haq, 2021. "Measuring Market Risk of Commercial Banks Implementing VaR with Historical Simulation Approach," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(4), pages 1-4.
    4. 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.
    5. Katherine Uylangco & Siqiwen Li, 2016. "An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 699-718, November.
    6. David E Allen & Robert Powell, 2012. "The fluctuating default risk of Australian banks," Australian Journal of Management, Australian School of Business, vol. 37(2), pages 297-325, August.
    7. Vijay A. Murik, 2013. "Bond pricing with a surface of zero coupon yields," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 497-512, June.
    8. Allen, D.E. & Powell, R.J. & Singh, A.K., 2016. "Take it to the limit: Innovative CVaR applications to extreme credit risk measurement," European Journal of Operational Research, Elsevier, vol. 249(2), pages 465-475.
    9. Henry Asante Antwi & Zhou Lulin & Ethel Yiranbon & James Onuche Ayegba & Mary-Ann Yebaoh & Emmanuel Osei Bonsu, 2014. "Risk Modelling in Healthcare Markets: a Comparative Analysis of three Risk Measurement Approaches," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(2), pages 271-281, April.
    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, vol. 93(C), pages 67-75.
    11. Ngoc Phu Tran & Thang Cong Nguyen & Duc Hong Vo & Michael McAleer, 2019. "Market Risk Analysis of Energy in Vietnam," Risks, MDPI, vol. 7(4), pages 1-13, November.
    12. BALTES Nicolae & DRAGOE Alexandra-Gabriela-Maria, 2017. "Estimating The Return Of The Financial Titles Of The Companies From The Manufacturing Industry, Listed On The Bucharest Stock Exchange," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(3), pages 19-28, August.
    13. 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.
    14. Robert J. Powell & Duc H. Vo, 2020. "A Comprehensive Stability Indicator for Banks," Risks, MDPI, vol. 8(1), pages 1-15, February.
    15. Angus Campbell & Daniel R. Smith, 2022. "An empirical investigation of the quality of value‐at‐risk disclosure in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(1), pages 469-491, March.
    16. R.J. Powell, 2017. "New perspectives on bank risk in Malaysia," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1326217-132, January.
    17. Millicent Chang & Andrew B. Jackson & Marvin Wee, 2018. "A review of research on regulation changes in the Asia‐Pacific region," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(3), pages 635-667, September.

Chapters

  1. Anna Golab & David E. Allen & Robert Powell, 2015. "Aspects of Volatility and Correlations in European Emerging Economies," Palgrave Macmillan Books, in: Nigel Finch (ed.), Emerging Markets and Sovereign Risk, chapter 4, pages 59-80, Palgrave Macmillan.

    Cited by:

    1. Tihana Škrinjarić, 2021. "Profiting on the Stock Market in Pandemic Times: Study of COVID-19 Effects on CESEE Stock Markets," Mathematics, MDPI, vol. 9(17), pages 1-20, August.
    2. Tihana Škrinjarić & Branka Marasović & Boško Šego, 2021. "Does the Croatian Stock Market Have Seasonal Affective Disorder?," JRFM, MDPI, vol. 14(2), pages 1-16, February.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 18 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (11) 2012-11-03 2012-11-11 2013-01-26 2013-12-15 2014-01-17 2014-11-01 2014-11-22 2015-01-09 2015-11-15 2015-12-01 2015-12-20. Author is listed
  2. NEP-FMK: Financial Markets (6) 2012-09-09 2012-11-03 2012-11-11 2013-01-19 2013-01-26 2015-12-20. Author is listed
  3. NEP-ETS: Econometric Time Series (3) 2015-09-18 2016-10-23 2017-03-12
  4. NEP-BAN: Banking (2) 2013-12-15 2014-01-17
  5. NEP-CFN: Corporate Finance (2) 2013-12-15 2016-10-30
  6. NEP-CBA: Central Banking (1) 2014-01-17
  7. NEP-ECM: Econometrics (1) 2012-11-03
  8. NEP-ORE: Operations Research (1) 2017-03-12
  9. NEP-SEA: South East Asia (1) 2013-01-26

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