Research

Some Recent Publications

Ghadi, A.H, S. Peiris, and D.E. Allen, (2024) Improving Volatility Forecasting: A Study through Hybrid Deep Learning Methods with WGAN, Journal of Risk and Financial Management, https://doi.org/10.3390/jrfm17090380

D.E. Allen, L. Mushunje and S. Peiris (2024) GANS and synthetic financial data: calcuating VaR Applied Economics, https://doi.org/10.1080/00036846.2024.2365456

D.E. Allen (2024) The correlation between Australian Excess Deaths by State and Booster Vaccinations. Medical Research Archives,https://doi.org/10.18103/mra.v12i7.5485

D.E. Allen (2023) Excess Deaths and Excess Covid Booster Vaccine Doses – are they related? Medical Research Archives, 11(12), (https://doi.org/10.18103/mra.v11i12.4841)

D.E. Allen and S. Peiris, (2023) GARMA, HAR and Rules of Thumb for modelling Realized Volatility, risks, 11. 179. https//doi.org/10.3390/risks11100179

D.E. Allen, M. Alagahalith, and W.K. Weong, (2023) Editorial Statement for the Special Issue in Honour of Michael McAleer, Annals of Financial Economics, 18(1)  2302001-1-2302001-8                 

D.E. Allen and M. McAleer (2023) Draw backs in the three-factor approach of Fama and French (2018), Annals of Financial Economics, 18(1), 26 pages, DOI 10.1142/S2010495222400012 

D.E. Allen (2023) Was the response to COVID-19 in the West disappointing in terms of outcomes achieved? Research Medical Archives, [online] 11(3) https//doi.org/10.18103/mra.v11i3.3729

D.E. Allen and H. Mizuno (2022) Monetary Policies, US influence and other factors affecting stock prices in Japan, Fukuoka University Review, 66, (246): 609-653. 

Paper (2022) The Journal of The American Statistical Association by D.E. Allen and M. McAleer, "Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond": Some Antecedents on Causality. (https://doi.org/10.1080/01621459.2020.1768101) 

D.E. Allen and M. McAleer (2021), A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the S&P500 and FTSE Indices, Risks, 9, 195, https: doi.org/10.3390/risks9110195 Risks 

D.E. Allen and M.McAleer (2021), Predicting COVID-19 Cases and Deaths in the USA from Tests and State Populations, Advances in Decision Sciences, 25(2) 

D.E. Allen and M.McAleer (2020), Flattening the curve in risk management of COVID-19: Do lockdowns work?, Annals of Financial Economics, 15(4) DOI: 10.1142/S2010495220500116 https://www.worldscientific.com/doi/10.1142/S2010495220500116 

-- D.E. Allen and M.McAleer (2020), Predicting cases and deaths from COVID-19 tests and country populations, Annals of Financial Economics, 15(4) DOI: 10.1142/S2010495220500177 https://www.worldscientific.com/doi/10.1142/S2010495220500116 

D.E. Allen (2020)"Stochastic Volatility and GARCH: do Squared End-of-Day Returns provide Similar Information?" The Journal of Risk and Financial Management

D.E Allen and M. McAleer  (2020) "Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond": Some Antecedents on Causality, The Journal of the American Statistical Association,  amstat.tandfonline.com/doi/full/10.1080/01621459.2020.1768101#.XuwX6kUzbIU

Paper published (2020) Risks by D.E. Allen and M. McAleer, "Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE"  www.mdpi.com/2227-9091/8/1/12

Chapter in in Handbook of Global Financial Markets: Transformations, Dependence, and Risk Spillovers Edited by S. Boubaker and D.K. Nguyen, - chapter by D.E. Allen, P. Kalev, S. Peiris, and A.K. Singh, (2019) "Currency Spillover Effects Between the US Dollar and Some Major Currencies and Exchange Rate Forecasts Based on Neural Nets " see: www.worldscientific.com/worldscibooks/10.1142/10893

Paper  - D.E. Allen and M. McAleer (2019) "Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany,"  Sustainability , see:www.mdpi.com/2071-1050/11/19/5181/htm

Paper in Journal of Risk and Financial Management - D.E. Allen and E. Luciano (2019) "Risk Analysis and Portfolio Modelling", see: Journal of Risk and Financial Management. 

Paper in Applied Economics - D.E. Allen, M. McAleer, and A.K. Singh, (2019) "Daily market news sentiment and stock prices", see: Applied Economics 

Paper in Annals of Financial Economics - D.E. Allen, M. McAleer, R.J. Powell, and A.K. Singh, (2018) "Non-Parametric Multiple Change Point Analysis of the Global Financial Crisis" see:  paper

D.E. Allen, M. McAleer, and D.M. Reid (2018) Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump, Tinbergem Institute Discussion Paper

Paper in Sustainability - D.E. Allen, and V. Hooper, (2018) "Generalized correlation measures of causality and forecasts of the VIX using non-linear models" see: Sustainability

Paper in Scientometrics - D.E. Allen and M. McAleer (2018) "Fake news and indifference to scientific fact: President Trump's confused tweets on global warming, climate change and weather" see: Scientometrics 

Paper in SUSTAINABILITY - D.E. Allen and M. McAleer (2018) "President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change" see: SUSTAINABILITY 

Paper in ENERGIES - D.E. Allen and M. McAleer (2018) "Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management" see: ENERGIES 

Forthcoming chapter in book - D.E. Allen, P. Kalev, S. Peiris and A.K. Sing, (2018) "Currency Spillover Effects between the US Dollar and Some Major Currencies and Exchange Rate Forecasts Based on Neural Nets", chapter in Handbook of Global Financial Markets Transformations, Dependence, and Risk Spillovers, Edited by: Sabri Boubaker (Champagne School of Management, France and University Paris Est, France), Duc Khuong Nguyen (IPAG Business School, France and Indiana University, USA), see: book on publisher's website 

D.E. Allen, (2018),Practical Aspects of R in Finance, Management Information and Decision Sciences, Journal of Managerial and Decision Sciences, paper: paper publisher's website 

D.E. Allen, M. McAleer, and A.K. Singh, 'Risk Measurement and Risk Modelling Using Applications of Vine Copulas', published in Sustainability 2017, 9(10), 1762; doi:10.3390/su9101762 paper available here link to paper

N.K. Haur, S. Peiris, J S-K. Chan, D. E. Allen and N.K. Huat, (2017) 'Efficient modelling and forecasting with range based volatility models and its application', North American Journal of Economics and Finance.(Forthcoming)

D.E. Allen, C. Chang, M.J. McAleer, and A.K. Singh (2017), 'A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices', Applied Economics , published on line June 2017, Applied Economics

D.E. Allen, M.J. McAleer, R.J. Powell and A.K. Singh (2016) 'Volatility Spillovers from Australia's major trading partners across the GFC.', published on line Oct0ber 2016, forthcoming International Review of Economics and Finance, International Review of EConomics and Finance

D.E. Allen, M.J. McAleer and A.K. Singh (2016) 'An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series', published on line July 2016, forthcoming Applied Economics Applied Economics

Some of my recent papers are available below.

D.E. Allen, M. McAleer, and D.M. Reid (2018) Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump, Tinbergem Institute Discussion Paper

D.E. Allen and M. McAleer (2017) 'Theoretical and Empirical Difference between Diagonal and Full BEKK for Risk Management, paper available at Tinbergen Institute paper