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Professor
David Allen |
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Thanks to page visitors |
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 3000 by
download
of papers from a total of over 1,248,881 plus
authors.) Many of my papers are also
available
on Econ papers/Ideas/REPEC and can be viewed
here REPEC Recent Working Papers and publications The book cover can be seen here:cover The book on the publisher's web page can be seen here:book on publisher's website A link for orders on Amazon is here:Amazon link to the book D.E. Allen and M. McAleer (2023) Drawbacks in the 3-Factor Approach of Fama and French (2018) Annals of Financial Economics (https://DOI: 10.1142/S2010495222400012) Paper (2023) Medical Research Archives by D.E. Allen "Was the response to COVID-19 in the West disappointing in terms of comparative outcomes achieved?" (https://doi.org/10.18103/mra.v11i3.3 729) 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) paper 
D.E. Allen and H. Mizuno (2022), Monetary Policies, US influence and other factors affecting stock prices in Japan, Fukuoka University Review of Commercial Sciences, 66, (246): 609-653 paper
D.E. Allen (2022), Cryptocurrencies, Diversification and the COVID-19 Pandemic, Journal of Risk and Financial Management, 15(3), 103; https://doi.org/10.3390/jrfm15030103. (This article belongs to the Special Issue: A Commemorative Issue in Honor of Professor Michael McAleer, 1951 - 2021). paper D.E. Allen and M. McAleer (2022), Trump's COVID-19 tweets and Dr. Fauci's emails, Scientometrics, paper D.E. Allen and C. Chang (2021), Vale Professor Michael John McAleer. Sci 2021, 3, 48. https://doi.org/10.3390/sci3040048 paper D.E. Allen and M.McAleer (2021), A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes, Risks, 9, 195. https://doi.org/10.3390/risks9110195 paper 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) paper
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 paper
-- 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 paper
D.E. Allen (2020)"Stochastic Volatility and GARCH: do Squared End-of-Day Returns provide Similar Information?" The Journal of Risk and Financial Management paper
Paper published (2020) ENERGIES by D.E. Allen an d M. McAleer, "A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index" paper Paper published (2020) Risks by D.E. Allen an d M. McAleer, "Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE" paper 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: World Scientific Paper in Sustainability - D.E. Allen and M. McAleer (2019) "Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany," see: Sustainability. 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 Aanalysis of the Global Financial Crisis" see: Annals of Financial Economics 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 Paper in RISKS - R. Yatigammana, S. Peiris, R. Gerlach, D. E. Allen (2018) "Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants", see: RISKS 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 D.E. Allen and M. McAleer, 'Theoretical and empirical differnces between Diagonal and Full BEKK for Risk Management', Working paper available at the Tinbergen Institute. paper available here link to paper D.E. Allen, (2017) 'Practical Aspects of R in Finance, Management Information, and Decision Sciences', Working paper available on the SSRN. 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 paper
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 paper
paperD.E. Allen, M.J. McAleer, R.J.Powell, and A.K. Singh (2016) 'Down-side Risk Metrics as Portfolio Diversi cation Strategies across the GFC, forthcoming, Journal of Risk and Financial Management, 2016, Journal of Risk and Financial Management paperD.E. Allen, M.J. McAleer, R.J. Powell, and A.K. Singh (2015) 'Multivariate Volatility Impulse Response Analysis of GFC News Events' paperD.E. Allen, M.J. McAleer, and A.K. Singh(2015) 'Daily Market News Sentiment and Stock Prices' paperD.E. Allen, M.J. McAleer, S. K. Peiris, and A.K. Singh(2015) 'Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies' paperRecent Seminars
D.E. Allen, M. McAleer and A.K. Singh, 'Nonparametric Multiple Change Point Analysis of the Global Financial Crisis' School of Mathematics and Statistics, The University of Sydney, (March 27th 2014)
1. 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 link
2. 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.Link
3. 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.Link
4. 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.Link
5. 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.Link
Recent
publications
in
journals
1. P. Saart, J. Gao, and D.E.
Allen, (2015) "Semiparametric
Autoregressive Conditional Duration
Model: Theory and Practice" Econometric
Reviews,, (Ranked B,
http://www.arc.gov.au/era/era_journal_list.htm).
Volume
34, Issue 6-10, May 2015,
pages 849-881 Link
2. D.E. Allen, R. Powell
and A.K. Singh, (2015) 'Take
it to the limit: Innovative
CVaR applications to extreme
credit risk measurement", European
Journal
of Operational
Research,
available at Link
3.
D.E.Allen,
M.McAleer,
R. Powell, and A.K.
Singh (2015)'A
Capital Adequacy
buffer model', Applied
Economic
Letters. Forthcoming. Available at: Link Publications in print
4. N. Jayasreedharan,
D.
E.
Allen,
and J. W.
Yang, (2014),
'Yet another
ACD
model: the
autoregressive
conditional
directional
duration
model',
forthcoming Annals
of
Financial
Economics,
5. 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,
120 , 117-122
(Ranked A ABDC
list
http://www.abdc.edu.au/3.43.0.0.1.0.htm)
6.
D.E.
Allen, Ng
KH, Peiris MS.
(2013),
'Estimating
and simulating
Weibull models
of risk or
price
durations: An
application to
ACD models',
North American
Journal of
Economics and
Finance, 25,
214-225.
7. D.E. Allen,
M. McAleer, R.
Powell and
A.K. Singh,
(2013) 'A
non-parametric
and entropy
based analysis
of the
relationship
between the
VIX and the
S&P500',
Journal of
Risk and
Financial
Management,
1-25.
8. D.E. Allen,
A.R.
Kramadibrata,
R.J. Powell
and A.K. Singh
(2013)
.Modelling
Tail Credit
Risk using
Transition
Matrices',
Mathematics
and Computers
in Simulation,
93, 67-75.
9. D.E.
Allen, Powell,
R. J., &
Singh, A. K.
(2013)
'Analysing the
return
distributions
of Australian
stocks: the
CAPM, factor
models and
quantile
regression'.
Global
Business and
Economics
Review, 15, 1,
88-109 (ERA C
Ranking).
10. D.E.
Allen, A.R.
Kramadibrata,
R.J. Powell
and A.K.
Singh, (2013)
'Default Risk
in the
European Motor
Industry',
International
Review of
Business
Research
Papers, 9,1,
22-37.
11. D.E.
Allen, N.
Nilanpornkul
and R.J.
Powell, (2013)
"The
Determinants
of Capital
Structure:
Empirical
evidence from
Thai Banks',
Information
Management and
Business
Review, 5, 8,
401-410.
12. D.E.
Allen, A.
Ashraf, M.
McAleer, R.J.
Powell, and
A.K. Singh,
(2013)
"Financial
dependence
analysis:
applications
of vine
copulas',
Statistica
Neerlandica,
87, 4,
403-435.
13. C-L.
Chang, D. E.
Allen, M.
McAleer, T.
Perez-Amaral,
(2013) 'Risk
Management: An
Overview',
Mathematics
and Computers
in Simulation,
Special Issue:
Madrid
International
Conference on
Risk Modelling
and
Management,
Guest Editors:
Chia-Lin
Chang, David
Allen, Michael
McAleer and
Teodosio
Perez-Amaral,
94, 159-163.
(Ranked B,
http://www.arc.gov.au/era/era_journal_list.htm).
14. D.E.
Allen, R.
Amram, and M.
McAleer,
(2013)
'Volatility
spillovers
from the
Chinese stock
market to
economic
neighbours',
Mathematics
and Computers
in Simulation,
Special Issue:
Madrid
International
Conference on
Risk Modelling
and
Management,
Guest Editors:
Chia-Lin
Chang, David
Allen, Michael
McAleer and
Teodosio
Perez-Amaral,
94, 238-257.
(Ranked B,
http://www.arc.gov.au/era/era_journal_list.htm).
15. 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.
8,1, 22 pages.
135002.
16. D.E. Allen, J. Sudiman and R. Powell, (2013) 'The Contribution of Foreign Investors to Price Discovery in the Indonesian Stock Exchange", Annals of Financial Economics, 8,2, 24pages. 135008. 17. A.K. Singh, D.E. Allen, and R.J. Powell, (2013) Extreme market risk and extreme value theory', Mathematics and Computers in Simulation, Special Issue: Madrid International Conference on Risk Modelling and Management, Guest Editors: Chia-Lin Chang, David Allen, Michael McAleer and Teodosio Perez-Amaral, 94, 310-328. (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm). 18. C-L. Chang, D.E. Allen and M. McAleer, (2013) 'Recent developments in financial economics and econometrics: An overview', North American Journal of Economics and Finance, Special Issue on Recent Developments in Financial Economics and Econometrics Edited By: Chia-Lin Chang, David Allen and Michael McAleer, 26, 217-226. (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm). 19. D.E. Allen, A.K. Singh, R.J. Powell, (2013) 'EVT and tail-risk modelling: Evidence from market indices and volatility series', North American Journal of Economics and Finance, Special Issue on Recent Developments in Financial Economics and Econometrics Edited By: Chia-Lin Chang, David Allen and Michael McAleer, 26, 355-369. (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm). 20. David E. Allen & Michael McAleer & Marcel Scharth, 2014. 'Asymmetric Realized Volatility Risk,' Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(2), pages 80-109, June.
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
In 2017 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.ESEM2017
In 2015 I organised a session at the 21st International Congress on Modelling and Simulation (MODSIM2015) held at the Gold Coast between November 29th and December 4th: Session E4 Modelling and Financial Management MODSIM2015
Paper presentations included: D.E. Allen, M. McAleer, R. Powell and A.K. Singh, "A volatility impulse response analysis applying
multivariate GARCH models and news events around the GFC". Paper available
paper
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
at Ca'
Foscari
University,
July 2-4th
2014 and
presented a
paper titled:
"Daily Market
News Sentiment
and Stock
Prices".
Presented
paper
".Nonparametric
Multiple
Change
Point
Analysis
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 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:
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 Paul Woolley Centre for Capital Market Dysfunctionality Annual Conference, UTS Sydney.Theme: "Allocation of Financial Sector Rents Across Society", held at UTS, Sydney on Thursday 13th and Friday 14th October 2011, details can be viewed at the Conference page. I commented on a paper by Dr. Abigail Brown, Harvard University titled "Effect of Market Structure and the Regulatory Franchise in Regulation-Dependent Industries". Recent Research GrantsARC (Australian Research Council funded projects)Arc
Discovery
Grant
(Commencing
2011). Edith
Cowan
University 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. 2011 Working papers
1.
D.E.
Allen, R.
Powell and
A.K. Singh,
"Beyond
Reasonable
Doubt:
Multiple Tail
Risk
Measures
Applied to
European
Industries",School
of
Accounting,
Finance
and
Economics,
Working
Paper
Series,
Edith
Cowan
University, paper
2. A.K. Singh, D. E
Allen and R.
Powell,
(June 2011) "Extreme
Market
Risk-An
Extreme
Value
Theory
Approach", School
of
Accounting,
Finance
and
Economics,
Working Paper
Series, Edith
Cowan
University. paper
3. D. E Allen, R.R.
Boffey and
R.
Powell
(August
2011)
"A
Quantile Monte
Carlo Approach
to
Measuring
Extreme Credit
Risk", paper
4. D. E Allen, R.R.
Boffey and
R.
Powell
(August
2011)
"Survival
of
the Fittest:
Contagion
as a
Determinant of
Canadian and
Australian
Bank Risk" paper
5. D. E Allen and R.
Amram and M.
McAleer,
(October 2011)
"Volatility
Spillovers
from the
Chinese
Stock Market
to Economic
Neighbours", School
of
Accounting,
Finance
and
Economics,
Working Paper
Series, Edith
Cowan
University. paper
6.
D.E.
Allen,
R.J.
Powell and A.
K.
Singh,
(October
2011) ?A
gourmet?s
delight:
caviar and
the Australian
stock market?, paper
2010 Working papers 1. D.E. Allen and
A. K.
Singh (January
2010) "A Risk and
Forecasting
Analysis of
West
Texas Crude", School
of
Accounting,
Finance and
Economics,
Working Paper
Series, Edith
Cowan
University. paper 2. D.E. Allen
and A. K.
Singh, (August
2010)" CAViaR AND
THE AUSTRALIAN
STOCK
MARKETS: AN
APPETISER.
School of
Accounting,
Finance and
Economics,
Working Paper
Series.paper 3. D.E.
Allen, A.
Golab and R.
Powell
(July 2010)
"Volatilty and
correlations
for stock
markets
in the
emerging
economies of
Central and
Eastern
Europe:
implications
for European
Investors".
School
of
Accounting,
Finance and
Economics,
Working Paper
Series, Edith
Cowan
University. paper 4. D.E. Allen
and A.K. Singh
(August 2010)
"Asset
Selection
using a
factor model
and data
envelope
analysis - a
quantile
regression
approach".
School
of Accounting,
Finance and
Economics,
Working Paper
Series, Edith
Cowan
University. paper 5. D.E. Allen and R. Powell, (July 2010) "Measuring and optimising Extreme Sectoral Risk in Australia", School of Accounting, Finance and Economics, Working Paper Series, Edith Cowan University. 6. D.E.
Allen and A.
K. Singh,
(August
2010) " CAViaR
AND THE
AUSTRALIAN
STOCK MARKETS:
AN
APPETISER.
School of
Accounting,
Finance and
Economics,
Working Paper
Series, Edith
Cowan
University. 7. Allen, D. E., Powell, R., & Singh, A. K. (2010). Using Quantile Regression to Estimate Capital Buffer Requirements for Japanese Banks. Working Paper, School of Accounting, Finance and Economics, Working Paper Series, Edith Cowan University
I. Chau, "An Empirical Comparison using both the term structure of interest rates and alternative models in pricing options on 90-Day Bab Futures", M.Com (1999). (On graduation Irene was employed by Goldman Sachs in Sydney) T.
Gumanti,
"An
Analysis
of Initial
Public
Offerings in
Indonesia",
Ph.D,
(November
2000). Joey Wenling Yang, M.Com, "Futures hedging" (February 2001). Jocelyn
Chimhini
M.Com
"Conditional
asset
pricing
in
developing
markets",
(March
2002). V. Soucik, "Finding the True Performance of Australian Managed Funds " Ph.D (November 2002). On graduation Victor set up a successful Management Consultancy and Software Business in Singapore Erideon Group Fidelia
Ghandiya,
"An
Investigation
into
the
Validity
of
the
Intra-continental
and
inter-continental
Casselian
hypothesis
(PPP)
and
uncovered
interest rate
parity
(UIP) in South
African
development
community
(SADC)
countries: A
long-run
structural
modelling
approach".
M.Bus
(September
2002). Auxilia
T.
Nyangoni,
MPF
student,
project
on
forecasting
the
term
structure
of
interest
rates: "A
Cointegration
Approach To
Test
The Dynamic
Linkages Of
The Term
Structure
Of Interest
Rates:
Evidence From
South
Africa" (June
2002). Gift
Chirozhva,
M.Com,"Stock
Market
Development
and
Economic
Development
in Zimbabwe",
M.Com,"Stock
Market
Development
and
Economic
Development
in
Zimbabwe",
(
June
2003). P. Gerrans, Ph.D thesis: "Qualitative and Quantitative Measures of Managed Fund Performance" awarded (September 2003). Paul was an Associate Professor at Edith Cowan University and has recently been appointed to a Professorship at UWA Jerry Parwada, Ph.D thesis: "Strategic and Institutional Influences on Fund Manager Investment Flows", awarded (March 2004). Jerry is a Professor and former Head of School in the School of Banking and Finance at the University of New South Wales UNSW
Wenling Yang,
Ph.D
on
"Modelling
Transaction
Durations:
Price
Process
and
Market Impact
Costs using
irregularly
spaced High
Frequency
Data", (August
2004). Joey is
now employed
as an Associate Professor
at UWA L. DeMello, M.Com, "Forecasting the Equity Premium in Australia", (March 2005). Lurion is a Senior Lecturer Macquarie UniversityLurion Valli
Batchelor,
Ph.D:
"A
Comparable
Cross-System
Bank
Productivity
Measure:
Empirical
Evidence
from
the Malaysian
Dual
Banking
System" (March
2006).
Heazry
Salim,
Ph.D
"Dynamics
of
Corporate
Profitability:
A
study
of
the UK
Market:
1981-2000",
(December
2006). Heazry
is
a
Director of
The Comedy
Club.Asia and
the
Chief
Financial
Officer at
Aureliant
Pte
Ltd. See Orsiso
Matarr
Njie,
Ph.D:
"The
Impact
of
Financial
Liberalization
on
the
Banking
Industry in
Malaysia",
(February
2007). Robert
Powell,
PhD:
"Industry
Value
at
Risk
in
Australia",
Completed
(March
2008).
Awarded
Faculty Medal,
Edith Cowan
University,
(March 2009.)
Robert is a
Professor at
Edith Cowan
University Robert Thilak
Samararatne,
Ph.D,
'Exchange
Rate
Options
for
Sri
Lanka
in
the Context
of
Financial
Integration'.
(March 2009). Ghialy
Choy
Yap,
Ph.D,
'
An
econometric
analysis
of
Australian
domestic
tourism
demand'
PhD
(March 2010).
Ghialy is a
lecturer
at
Edith Cowan
University Ghialy
Imbarine
Bujang,
Ph.D.
"Predicting
and
detecting
Stock
Market
Returns
and
the Equity
Premium in
Malaysia", PhD
(June
2010).
Imbarine is an
Associate
Professor
at the
University
Teknologi
MARA, Malaysia. Universiti
Teknologi
MARA Pipat
Wongsaart,
PhD
Thesis,
UWA,
(Co-supervised
with
Professor
Jiti Gao),
"Semiparametric
Approaches
in
Duration
Models:
Methodology
and Practice",
(October
2011).
Pipat Wongsaart Abhay
Kumar
Singh,
PhD
Thesis,
"Modelling
Extreme
Market
Risk - A Study
of Tail
Related
Risk
Measures",
(November
2011). Abhay
Singh
Josephine
Sudiman, PhD
thesis,
'Empirical
Market
Microstructure
Studies of the
Indonesian
Stock
Exchange
(IDX)',
(September
2012). Barry OGrady,
PhD thesis,
'The
Profitability
of Technical
Analysis and
Stock
Returns from a
Traditional
and Bootstrap
Perspective:
Evidence from
Australia,
Hong Kong,
Malaysia and
Thailand',
(October,
2012)
Anna Golab,,
PhD thesis
'An
investigation
into the
volatility and
cointegration
of European
Emerging
Markets',
(June
2013). |
 |
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