research 2

Editorial Activities

Recently co-edited a special edition of the North American Journal of Economics and Finance with Professor M. McAleer and Professor C. Chang. The title of the issue is "Recent Developments in Financial Economics and Econometrics". This features in their most down-loaded papers. See their Website

Recent Conference Activities and Organisation

Presented paper at the 2017 Energy and Commodity Finance Conference held at the Institute of Mathematics, University of Oxford, June 14-15, "A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices.

In 2015 I organised a session E4 Modelling and Financial Management at the 21st International Congress on Modelling and Simulation held at the Gold Coast Convention Centre 29th November - 4th December 2015.

Attended FIRN 2014 "The Art of Finance" Annual Conference, Thursday 13th -Sunday 16th November 2014, Lake Crackenback Resort, Snowy Mountains NSW. Presented paper "Volatility Spillovers from Australia's major trading partners across the GFC".

On June 10th 2014 participated in the Amundi Workshop in Paris co-organised by Paris Dauphine University and Amundi Asset Management. Paper presentation "Risk Measurement and Risk Modelling using applications of Vine Copulas" at the Amundi offices in Paris. The program can be obtained here program.

Attended the 21st Annual Conference of the Multi-National Finance Conference held in Prague from June 29th-July 2nd 2014 and presented a paper titled: "An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series".

Attended the World Finance Conference held in Venice, Italy - Ca` Foscari University July, 2-4, 2014 and presented a paper titled: Daily Market News Sentiment and Stock Prices

Presented paper ".Nonparametric Multiple Change Point Analysis

of the Global Financial Crisis." at the Quantitative Methods in Finance Conference, Hilton Hotel, Sydney 17th - 20th December 2013.

I organised a session at the 20th International Congress on Modelling and Simulation (MODSIM2013) held in Adelaide from December 1st to 6th 2013 Modsim Conference Website

Presented a paper and commented on another paper at the IV World Finance Conference, held in Limassol Cyprus July 1st-3rd 2013. The paper was titled: "Volatility Spillovers from the US to Australia and China across the GFC

paper

Organised a one-day conference at the Joondalup Resort and Country Club on Thursday 26th July 2012. The theme was "New Developments in Empirical Finance" and it featured presentations from Professor George Tauchen of Duke University, Professor Michael McAleer of Erasmus University and the Tinbergen Institute, and Professor Chia-Lin Chang of National Chung Hsing University, Taiwan, as well as staff members from Edith Cowan University and Curtin University. The program is available here

Presentation to the West Australian Branch of the Statistical Society of Australia: "Tales from the Tails: Exploring the Extremes of Financial Return Distributions", Blakers Lecture Theatre, School of Mathematics and Statistics, University of Western Australia, 6.00 pm, Tuesday June 12th 2012 Flyer

International Statistics Conference, Columbo Sri Lanka, December 28th -30th 2011.

"Statistical Concepts for the Modern World": organised by the Applied Statistical Association of Sri Lanka, the School of Mathematics and Statistics, the University of Sydney, Australia and the Department of Statistics, Faculty of Science, the University of Columbo, Sri Lanka. I was a Special Guest/Invited Speaker at this conference and presented a paper titled; "Extreme Market Risk- An Extreme Value Theory Approach", see the Conference Website

Organised a session for the MODSIM 2011 International Congress on Modelling and Simulation MODSIM 2011. The 2011conference was held at the Perth Convention and Exhibition Centre in Perth, Western Australia, from 12 to 16th December 2011. The session was in the Economics and Financial Systems Stream. This session featured around 10-12 presentations: see details below -

D6. Modelling and Financial Management

I was involved with my colleagues in joint presentations of a number of papers at this conference:

  1. Abhay K Singh, David E Allen and Robert J Powell, "Value at risk estimation using extreme value theory". paper
  1. Allen, D.E., Kramadibrata, A.R., Powell, R.J. and Singh, A.K., "Are Credit Ratings a good measure of capital adequacy?" paper
  1. Yong, J., Allen, D.E. and Lim, L.K., "Evaluating economic relationships of stapled and traditional Australian REITs", paper
  1. Allen, D.E. and R.J. Powell, "Credit risk measurement methodologies",paper
  1. Allen, D.E., R.R. Boffey, and R.J. Powell, "Peas in a pod: Canadian and Australian banks before and during a Global Financial Crisis", paper

Conference organised at Real Centro Universitario Escorial-María Cristina, San Lorenzo de El Escorial, Spain.

I was involved in the organisation of a one day international conference with Professor Michael McAleer (Erasmus University Rotterdam) and Professor Teodosio Pérez Amaral (Complutense University of Madrid) on "Risk Modelling and Management", that was held on Friday June 24th 2011 at Real Centro Universitario Escorial-María Cristina, San Lorenzo de El Escorial, Spain. See some details here. A special edition of the Elsevier Journal Mathematics and Computers in Simulation will feature a selection of papers from this conference MATCOM