research 4

Journal publications

20. D.E.Allen, Z. Lazarov and M. McAleer, “Modelling Intra-day Seasonality and Forecasting Densities in Financial Duration Data”, Journal of Financial Forecasting”, (2007), Vol 1, No 1, 45-69

21. D.E.Allen, F. Chan, M. McAleer, and S. Peiris, (2008) “Finite Sample Properties of the QMLE for the Log-ACD model: Applications to Australian Stocks”, Journal of Econometrics, 147, pp.163-185.

22. J. Gao, M. McAleer and D.E. Allen, (2008) “Econometric Modelling in Finance and Risk Modelling: an Overview”, Journal of Econometrics, 147, pp.1-4.

23. D.E. Allen and V. Soucik, (2008) “Long-run underperformance of seasoned equity offerings: Fact or an illusion?”, Mathematics and Computers in Simulation, Vol 78, 2-3, pp. 146-154.

24. D.E.Allen, J. Gao and M.McAleer, (2009) Modelling and Managing Financial Risk: An Overview”, Mathematics and Computers in Simulation, Vol 79, 8. pp.2521-2524

25. David Allen, Zdravetz Lazarov, Michael McAleer, Shelton Peiris, (2009) “Comparison of Alternative ACD Models via Density and Interval Forecasts: Evidence from the Australian Stock Market”, Mathematics and Computers in Simulation, Vol 79, pp.2535-2555.

26. D.E.Allen, G.C. Yap and R. Shareef, (2009) "Modelling interstate tourism demand in Australia: A cointegration approach" Mathematics and Computers in Simulation. Vol 79, pp.2733-2744.

27. David E. Allen, and R Powell, (2009), “Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective” Accounting and Finance, Wiley Interscience, Vol 49, 3, pp.425-444.

28. D.E.Allen, P. Gerrans, R. Powell, and A. Kumar Singh, (2009)“Quantile regression: its application in investment analysis”, The FINSIA Journal of Applied Finance, Jassa, Issue 4, pp. pp. 7-12.

29. D.E. Allen, (2009) “Measuring and Modelling Risk”, Global Business and Economics Review, Vol X, Vol. 11, Nos. 3/4, pp.199-224.

30. D. E. Allen with K Sato, and Z.Y. Zhang, “A Monetary Union in East Asia: What does the Common Cycles Approach Tell”, Mathematics and Computers in Simulation (Elsevier, North-Holland). Vol. 79, 2009, 2927–2937.

31. Seyed-Ali Hosseini-Yekani1, Mansour Zibaei and D. E. Allen, (March, 2009) African Journal of Agricultural Research, Vol. 4 (3), pp. 193-199

32. Timothy Sharp; Steven Li; David Allen, (2010) “Empirical performance of affine option pricing models: evidence from the Australian index options market”, Applied Financial Economics, Volume 20, Issue 6, Pages 501 – 514, (ERA C ranked Journal).

33. S.A Yekani, M. Zibaie and D.E. Allen, (October 2010) “the Initial Specification of Viable Futures Contracts: The Use of a New Computational Method of Value at Risk in Iranian Agricultural Commodities Market”, Journal of Agricultural Science and Technology, Volume 12, Supplementary Issue, Page 535-548 (14), Supplementary Issue, Pages 535-548 (14)

34. Allen, D. E., Singh, A. K., & Powell, R. J. (2011). “Minimising Loss at Times of Financial Crisis. Quantile Regression as a Tool for Portfolio Investment Decisions,” Annals in Financial Economics. 7, 63-85.

35. R. Powell and D.E. Allen, (2011)“Customers and Markets: Both are Essential to Credit Risk Management in Australian Banks”, Australasian Accounting, Business and Finance Journal, Vol 5, 1, pp.57-75

36. Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011) Japanese Banks: Tail Risk and Capital Buffers. International Journal of Business Studies 19 (1). (ERA 2010 C Ranking).

37. Allen, D. E., Powell, R. J., & Singh, A. K. (2011). Beyond Reasonable Doubt: Multiple Tail Risk Measures Applied to European Industries. Applied Economics Letters. 19(7), 671-676. (ERA 2010 B Ranking).

38. D.E. Allen, M. McAleer and M. Scharth, (2011) “Monte Carlo option pricing with asymmetric realized volatility dynamics”, Special Issue: Selected Papers of the Combined IMACS World Congress and MSSANZ 18th Biennial Conference on Modelling and Simulation, Cairns, Australia, 13–17 July, 2009 Mathematics and Computers in Simulation, 81, 7, pp:1247-1256 (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm).

39. G. Yap and D.E.Allen (2011) “An Investigation of other leading indicators influencing Australian domestic tourism demand", Special Issue: Selected Papers of the Combined IMACS World Congress and MSSANZ 18th Biennial Conference on Modelling and Simulation, Cairns, Australia, 13–17 July, 2009 Mathematics and Computers in Simulation, 81,7 pp. 1365-1374 (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm).

40. D.E. Allen and R. Powell, (2011) “Credit Risk and Real Capital: An Examination of Swiss Banking Sector Default Risk Using CVaR”, Journal of Modern Accounting and Auditing, Vol 7, 6, pp:541-554. (Ranked C, http://www.arc.gov.au/era/era_journal_list.htm).

41. Allen, D. E., & Powell, R.J.(2011), Measuring and Optimising Extreme Sectoral Risk in Australia. Asia Pacific Journal of Economics and Business, 15(1), 1–14.

42. D.E. Allen and R. Faff, (2012), “The Global Financial Crisis: Some Attributes and Responses”, Special Issue Article, Accounting and Finance 52 (2012) 1–7, ERA 2010 A ranked Journal

43. D.E. Allen, A.K. Singh, A. Kramadibrata, R. Powell, (2012) “Beyond reasonable doubt: multiple tail risk measures applied to European industries”, Applied Economic Letters, Routledge, Volume 19, Issue 7, May 2012, pages 671-676 ERA 2010 B ranked Journal

44. Allen, D. E., Singh, A. K., & Powell, R. J. (2012) A Gourmet’s Delight: CAViaR and the Australian Stock Market, Applied Economics Letters 19(15), 1493-1498 (ERA 2010 B ranking)

45. D.E. Allen and R.J. Powell, (2012) “The Fluctuating Default Risk of Australian Banks”, the Australian Journal of Management, 37, (2) 297-325 ERA 2010 (A ranked Journal).

46. D.E. Allen, R.R. Boffey, A.R. Kramadibrata, R.J. Powell and A.K. Singh, “Thumbs up to parametric measures of relative VaR and CVaR in Indonesian Sectors”, International Journal of Business Studies, 20, 1, 27-42. (ERA 2010 C Ranking).

47. D.E.Allen, Powell, R. J., & Singh, A. K. (2012) Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regression. In Press. Global Business and Economics Review. (ERA C Ranking)

48. D.E. Allen, Kramadibrata, A. R., Powell, R. J., & Singh, A. K, “Measuring Extreme Credit Risk,” to appear in Credit Flux Technical Report, http://www.creditflux.com/

49. D.E. Allen, D.E. R.J. Powell and A.K. Singh (2012) “Extreme Market Risk and Extreme Value Theory”, in Press, Mathematics and Computers in Simulation.

50. D.E. Allen, A.R. Kramadibrata, R.J. Powell and A.K. Singh (2012). “Conditional Value at Risk applications to the global mining industry”. In Press, Journal of Business and Policy Research.

51. D.E. Allen, A.R. Kramadibrata, R.J. Powell and A.K. Singh (2012). “Extreme Equities Risk in Emerging Markets: Evidence from Australia”. In Press, Journal of Business and Policy Research.

52. D.E. Allen, R.R. Boffey, R.J. Powell (2012) “Applying Quantile Regression to Industry Default Risk in Europe”. International Review of Business Research Papers, 3(4) May 2012.

53. D.E. Allen, R.R. Boffey, R.J. Powell (2012) “The Impact of Contagion on Non-Performing Loans: Evidence from Australia and Canada”. In Press, Journal of Business and Policy Research, 7(2). July 2012, 13 – 24.

54. D.E. Allen, R. Amram and M. McAleer, (2013) “Volatility spillovers from the Chinese stock market to economic neighbours”, Mathematics and Computers in Simulation, (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm).

55. D. E. Allen, K.H. Ng and S. Peiris, (2013)“The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics”, Economics Letters, (Ranked A ABDC list http://www.abdc.edu.au/3.43.0.0.1.0.htm)

56. D.E. Allen, J. Sudiman and R. 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.

56. D.E. Allen, J. Sudiman and R. Powell, (2014) “The Contribution of Foreign Investors to Price Discovery in the Indonesian Stock Exchange”, Annals of Financial Economics,

57. D.E. Allen, A. Ashraf, M. McAleer, R. Powell, and A.K. Singh (2013) "Financial Dependence Analysis: Applications of Vine Copulas", Statistica Neerlandica.

58. D.E. Allen, R. Powell and A.K. Singh, (2015) "Take it to the Limit: Innovative CVAR applications to extreme credit risk management" European Journal of Operational Research. (Available on line at: http://www.sciencedirect.com/science/article/pii/S0377221714010182 )

59. D.E. Allen, M. McAleer, R. Powell, and A. Singh, "A capital asset buffer model", forthcoming Applied Economic Letters.

Available at: Applied Economics Letters

60. D.E. Allen, (2015) Journal of Informatics and Data Mining: Opinion, Journal of Informatics and Data Mining, iMedPub Journals, 1, No1:4, 1-2.

61. D.E. Allen, M. McAleer, S. Peiris, and A.K. Singh, (2016) Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies, Risks, http://www.mdpi.com/journal/risks . The published version of the paper is available below.

62. D.E. Allen, C. Chang M. McAleer, and A.K. Singh, (2017) A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices, Applied Econonomics, paper available at paper

63. D.E. Allen, M. McAleer and A.K. Singh, (2016) 'An entropy based anaylsis of the relationship between the DOW JONES Index and the TRNA Sentiment series, forthcoming Applied Economics. (paper below).

64. D.E. Allen, M. McAleer, R. Powell and A.K. Singh (2016) 'Down-side Risk Metrics as Diversification Strategies across the GFC', Journal of Risk and Financial Management, (paper below).

65. 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 October 2016, forthcoming International Review of Economics and Finance, (paper below).

Forthcoming Publications

66. A. K Singh, D. E. Allen, and R. J. Powell, (2017) 'Tail Dependence Analysis of Stock markets using Extreme Value Theory', forthcoming, Applied Economics.

67. 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.

68. 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, Scentometrics, forthcoming. See: Scientometrics Springer