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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 I actually retired in 2013 and now hold 3 Honorary Professorships. Most of the publications and working
papers featured on this page have been produced since I 'retired'.. Recent
Working Papers and
publications Recent journal
publications 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
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 D.E.Allen,
M.McAleer, R.
Powell, and
A.K. Singh
(2015)'A
Capital
Adequacy
buffer model',
Applied
Economic
Letters.
Available at:
Link Publications in print 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,
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)
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.
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. 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.
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).
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. 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. 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. 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).
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).
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. 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. 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).
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).
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).
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.
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
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 Conference
Presentations In 2023 presented paper
by Allen, D.E., L. Mushunje and S. Peiris.
(2023) GANs through the looking glass: How
real is the fake financial data created by
Generative Adversarial Neural Nets? In
Vaze, J., Chilcott, C., Hutley, L. and Cuddy,
S.M. (eds) MODSIM2023, 25th International
Congress on Modelling and Simulation.
Modelling and Simulation Society of Australia
and New Zealand, July 2023, pp. 14–20. ISBN:
978-0-9872143-0-0.https://mssanz.org.au/modsim2023/files/allen.pdf
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 "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 - I was
involved with
my colleagues
in joint
presentations
of a number of
papers at this
conference: Recent
Seminars D.E.
Allen, (April 2nd 2019),
'"Choosing Factors" by Fama and
French (2018): a comment',
presentation in the Department of
Accounting and Finance, University
of Western Australia, Perth,
Western Australia. 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 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". 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. 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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