research 3

Recent Research Grants

ARC (Australian Research Council funded projects)

Arc Discovery Grant (Commencing 2011). Edith Cowan University

DP110102884 Prof David E Allen, Prof Lyn C Thomas, Dr Robert J Powell, Prof James W Taylor, Prof Michael

McAleer

Approved

Project Title New methods for modelling and forecasting risk

2011 $129,377.00

2012 $123,077.00

2013 $116,977.00

Primary FoR 1502 BANKING, FINANCE AND INVESTMENT

ARC Linkage Grant LP0455281 (2004) Title: "Modelling stock market liquidity in Australia and the Asia Pacific Region". ARC Linkage Grant with SIRCA as the industry partner and a research team whose chief investigators are Professor Allen, Professor M. McAleer of UWA and Dr Shelton Peiris of the University of Sydney. This project was completed in 2009.

RN0460246 (2005) Financial Integrity Research Network received ARC fundng of $1.75m for 2005-2010. FIRN is directed towards innovation in the integrity and efficiency of Australia's financial system. It addresses pressing problems and threats associated with this key component of Australia's infrastructure. FIRN brings together a multi-disciplinary network involving 14 Australian universities, featuring internationally renowned academics in a unique collaborative research effort which spans the conventional disciplinary boundaries of: Financial economics, Applied statistics, Financial econometrics, Actuarial science, Financial mathematics, Market micro-structure, Accounting and information systems, Corporate finance, Corporate governance, Funds management.

ARC Linkage Grant LP0562305 (2005) Prof M McAleer; Prof DE Allen; Dr S Hoti. Title: "Forecasting Risk Thresholds for Portfolio Management and Regulation". The industry partner is SIRCA. The project will develop new models and methods for dynamic risk modelling, assessment of portfolio risk, and forecasting of portfolio risk thresholds. These novel methods will have extensive applications across investment portfolios for banks and financial institutions globally. The techniques will feature a dynamic updating of risk estimates, and more accurate forecasting of portfolio risk, the correlations of portfolio asset classes, and Value at Risk (VaR) thresholds.

Recent working papers and Publications.

Book Chapters

1. D.E.Allen, L.K. Lim and T. Winduss, (2007) “AUSFTA and its implications for the Stock Markets in the Pacific Basin Countries”, chapter in, Regionalism, Trade and Economic Development in the Asia-Pacific Region, Ed. M.A.B. Siddique, Edward Elgar, ISBN 971845425036 Cheltenham, UK.

2. Allen, D. and Soongswang, A. (2008). “Takeovers and Shareholder Value Creation on the Stock Exchange of Thailand”, chapter in; Asia-Pacific Financial Markets: Integration, Innovation and Challenges, Ed. S-J. Kim and M.D. Mckenzie, Elsevier, Amsterdam, ISBN: 978-0-7623 -1471-3, pp.347-370.

3. D.E. Allen, Alexander Shu-Sing Cheng, Carole Comerton-Forde and Joey Wenling Yang, (2008), “Returns, Volatility and liquidity on the ASX: Undisclosed vs. Disclosed Limit Orders” Chapter 12 in; Market Liquidity, Ed. G. Gregorious and F-S. Lhabitant, John Wiley, New York, ISBN, 978-0-470-18169-0 pp. 227-245

4. D.E. Allen and R. Powell, “STRUCTURAL CREDIT MODELLING AND ITS’ RELATIONSHIP TO MARKET VALUE AT RISK: AN AUSTRALIAN SECTORAL PERSPECTIVE” Chapter 19 in, The VaR Implementation Handbook, Edited G. Gregoriou, McGraw-Hill (2009), ISBN: 978-0-07-161513-6, pp. 403-414.

5. D.E. Allen and M. Scarth, "Modelling the Volatility of the FTSE100 index using High Frequency Data Sets," Chapter 22, Stock Market Volatility, Edited G. Gregoriou, Chapman-Hall, CRC Finance Series, London, (2009) ISBN: 13-978-1-4200-9954-6, pp: 419-437.

6. D.E. Allen and J. Chimhini, “The World Price of Covariance Risk with Respect to Emerging Markets”, EMERGING MARKETS: PERFORMANCE, ANALYSIS AND INNOVATION, G.N. Gregoriou (ed.) Chapman-Hall/Taylor and Francis London, CRC Finance Series, London, (2009) ISBN: 978-1-0448-3, pp:117-146

7. D.E.Allen and R. Powell, “Bank Default Risk in the US and the UK”, Chapter in; Banking Crises, G.N. Gregoriou (ed.) Chapman-Hall/Taylor and Francis London, UK (2009)

8. D.E. Allen and L. Demello, "The Consumption-Based Capital Asset Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Contect", Chapter 5 in: G.N. Gregoriou and R. Pascalau (Editors) Financial Econometrics Modelling: Market Microstructure, Factor Models and

Financial Risk Measures, Part II Factor Models and Financial Risk Premiums

Palgrave Macmillan, Houndmills, Basingstoke, UK. ISBN 978--0-230-28362—6, (2011). p. 135-153.

9. D.E. Allen, A. Kumar Singh and R. Powell, (2011), “Asset Pricing, the Fama-French Factor Model and the implications of Quantile Regression Analysis”, Chapter 7 in Gregoriou, G.N. and R. Pascalau (eds.) Financial Econometrics Modelling: Market Microstructure Dynamics, Single and Multifactor Pricing Models and Financial Risk Measures, Palgrave-MacMillan, Basingstoke, UK ISBN 978--0-230-28362—6. pp. 176-193.

10. D.E. Allen and A. Kumar Singh, (2011), “A Risk and Forecasting Analysis of West Texas Intermediate Prices”, Chapter 10 in Gregoriou, G.N. and R. Pascalau (eds.) Financial Econometrics Modelling: Market Microstructure Dynamics, Single and Multifactor Pricing Models and Financial Risk Measures, Palgrave-MacMillan, Basingstoke, UK, ISBN 978--0-230-28362—6, pp.235-254

11. D.E. Allen, A.K. Singh and R. Powell, (2012) “Machine learning and short positions in stock trading strategies”, HandBook of Short Selling, Ed G. Gregoriou, Elsevier, ISBN 978-0-12-387724-6, pp.467-478.

12. D. E Allen, A. .K Singh, R. .J Powell, A. Kramadibrata, (2012) “Short Selling Stock Indices On Signals From Implied Volatility Index Changes: Evidence From Quantile Regression Based Techniques”, HandBook of Short Selling, Ed G. Gregoriou, Elsevier, ISBN 978-0-12-387724-6, pp. 479-492.

13. Allen, D. E., Powell, R. J., & Singh, A. K. (2012). Short Selling Consistency in South Africa. In G. N. Gregoriou (Ed.), Handbook of Short Selling: Elsevier, ISBN 978-0-12-387724-6, ;pp.381-386

14. D.E. Allen, A. Kramadibrata, R. Powell and A.K. Singh (2012) “Asset Selection using factor models and stochastic frontier analysis: a quantile regression approach” Chapter in; Rethinking Valuation and Pricing Models, Elsevier, Edited by Carsten Wehn , Christian Hoppe, Greg Gregoriou.

15. D.E. Allen, A.K. Kramadibrata, R. Powell and A.K. Singh,(2013) “Funds of Hedge Fund Performance Through the Crisis: A Panel Based Quantile Regression Analysis”, forthcoming in Gregoriou, G.N.(Ed), Funds of Hedge Funds: Managing in Turbulent Times, Elsevier, 261-273.

16. D.E. Allen, R.R. Boffey and R.J. Powell, “Canada and Australia: Do they provide a regulatory model for FUNDS OF HEDGE FUNDS?” chapter in Gregoriou, G.N.(Ed), Funds of Hedge Funds: Managing in Turbulent Times, Elsevier, 515-524.

17. D.E. Allen, A.K. Kramadibrata, R.J. Powell and A.K. Singh, (2013) “South African Regulator Reforms of Fund of Hedge Funds”, chapter in Gregoriou, G.N.(Ed), Funds of Hedge Funds: Managing in Turbulent Times, Elsevier, 525-536.

18. D.E. Allen, S.R.A Pearce and R.J. Powell, (2013) “Due Diligence: Lessons from the Global Financial Crisis for Fund of Hedge Funds in the Asia Pacific Region”, chapter in Gregoriou, G.N.(Ed), Funds of Hedge Funds: Managing in Turbulent Times, Elsevier, 41-52.

19. D.E. Allen, R.J. Powell and A.K. Singh, (2013) "Understanding the Regulation Impact: US Fund of Hedge Funds After the Crisis”, chapter in Gregoriou, G.N.(Ed), Funds of Hedge Funds: Managing in Turbulent Times, Elsevier, 503-514.

20. A. Golab, D.E. Allen, R. Powell, and G. Yap, (2014), “Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement”, Chapter in Emerging Markets and the Global Economy: A Handbook, Elsevier Academic Press, Ed. M. Arouri, S. Boubaker, and D. Nguyen, ISBN 978-0-12-411549-1 pp. 449-875

21. D.E. Allen, P. Kalev, M. McAleer, and A.K. Singh, (2014) “Nonparametric Multiple Change Point Analysis of the Response to Asian Markets to the Global Financial Crisis”, chapter in: Handbook of Asian Finance, 1st Edition REITs, Trading, and Fund Performance, Vol 2, Ed. D. Lee and G. Gregoriou, Elsevier, New York, ISBN 9780128009864, pp. 267-284.

22. A. Golab, D.E. Allen and R. Powell, (2014) “Aspects of Volatility and Correlations in European Emerging Economies”,Chapter in, Emerging Markets and Sovereign Risk, Ed. N. Finch, Palgrave Macmillan, ISBN: 9781137450654, pp: 59-80.

23. D.E. Allen, M.J. McAleer, and A.K. Singh, (2015) “Machine News and Volatility: the Dow Jones Industrial Average and the TRNA real-time high frequency Sentiment Series”, chapter in, Handbook of High Frequency Trading, Ed. G.N. Gregoriou, Elsevier, Academic Press, ISBN:978-0-12-802205-4, pp: 327-344.

24. D.E. Allen, R.J. Powell, and A.K. Singh. (2015), “Risk Management and Regulation”, chapter in, Investment Risk Management, Ed. H. Kent Baker and G. Filbeck, Oxford University Press, Oxford, ISBN:978-0-19-933196-3, pp: 324-345.