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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

:

270 Joondalup Drive, Joondalup, Western Australia, 6027
RePEc:edi:sfcowau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

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. 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.
  2. 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.
  3. Powell, Robert, 2017. "Research Bets and Behavioral IR," International Organization, Cambridge University Press, vol. 71(S1), pages 265-277, April.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 9(2), pages 1-18, June.
  9. 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.
  10. Powell, Robert, 2015. "Nuclear Brinkmanship, Limited War, and Military Power," International Organization, Cambridge University Press, vol. 69(03), pages 589-626, June.
  11. 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.
  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 1-22.
  13. 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 1-25, October.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.

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, 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.

  2. 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," Working Papers in Economics 14/27, University of Canterbury, Department of Economics and Finance.
    2. Víctor M. Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, "undated". "Portfolios in the Ibex 35 index: Alternative methods to the traditional framework, a comparative with the naive diversification in a pre- and post- crisis context," Documentos de Trabajo del ICAE 2015-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Jun 2015.
    3. 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.

  3. 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," Working Papers in Economics 14/27, University of Canterbury, Department of Economics and Finance.

  4. 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. David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "Risk Measurement and Risk Modelling Using Applications of Vine Copulas," Sustainability, MDPI, Open Access Journal, vol. 9(10), pages 1-34, September.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.

  5. 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. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.

  6. 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. 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.
    2. 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.
    3. Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stöber, 2017. "Regime Switching Vine Copula Models for Global Equity and Volatility Indices," Econometrics, MDPI, Open Access Journal, vol. 5(1), pages 1-38, January.

  7. 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. Agbeyegbe, Terence D., 2015. "An inverted U-shaped crude oil price return-implied volatility relationship," Review of Financial Economics, Elsevier, vol. 27(C), pages 28-45.
    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.

Articles

  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.
    See citations under working paper version above.
  2. 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," Journal of Risk and Financial Management, MDPI, Open Access Journal, 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, Open Access Journal, vol. 5(2), pages 1-33, May.

  3. 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. 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.

  4. 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. Michael McAleer & Felix Chan & Les Oxley, 2013. "Modelling and Simulation: An Overview," Tinbergen Institute Discussion Papers 13-069/III, Tinbergen Institute.
    2. 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.

  5. 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. Chang, C-L. & Allen, D.E. & McAleer, M.J. & Pérez-Amaral, T., 2013. "Risk Modelling and Management: An Overview," Econometric Institute Research Papers EI 2013-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. 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.
    4. 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.

  6. 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.

  7. 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. 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.
    2. 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.
    3. Chang, C-L. & Allen, D.E. & McAleer, M.J., 2013. "Recent Developments in Financial Economics and Econometrics: An Overview," Econometric Institute Research Papers EI 2013-03, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.

  8. 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.
  9. 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. 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.

  10. 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. 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.
    2. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.
    3. 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.
    4. 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.
    5. 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.
    6. 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.

  11. 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.

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

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 27 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 (4) 2012-09-09 2012-11-03 2012-11-11 2015-12-20
  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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