Research

    1. Finance Research

This page features my research interests. Copies of my recent working papers are available here. Some of my recent working papers are also available on the Social Science Research Network. SSRN (I am currently ranked around the top 1300 (top 0.5%) by download of papers from a total of over 254,000 plus authors.) Many of my papers are also available on Econ papers/Ideas/REPEC and can be viewed here REPEC.

Google Scholar Page

I am ranked around 340 in finance on Google scholar in Finance , the top 40 in investments, the top 60 in time-series and the top 55 in financial econometrics , the top 90 in Financial Economics.

Some of my recent working papers and publications are available for download below.

Dr A.K. Singh and I have a book on the use of R for research in Economics and Finance which will be published by World Scientific later this year. A.K. Singh and D.E. Allen, R in Finance & Economics-A Beginners Guide. The preface and contents of this book can be downloaded here: preface and contents

The book cover can be seen here: cover or in small image below

The book can be seen on the publisher - World Scientific's web page here: book

The book can be ordered from Amazon here: Amazon

Some Recent Publications

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