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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 1000 by download of papers from a total of over 100,000 plus authors.) Many of my papers are also available on Econ papers/Ideas/REPEC and can be viewed here REPEC Conference Organisation and activities in 2011 I 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 This session involves the application of modelling and simulation techniques to corporate and financial management issues, which are defined broadly to include all private sectors of an economy including financial institutions. Possible topics include, but are not limited to, the following areas: (i) modelling corporate, earnings and dividend processes and linkages to stock price behaviour, including market microstructure issues; (ii) the modelling and simulation of agency relationships between stake holders in the corporation and the implications for corporate behaviour, contract design and organisational structure; (iii) the modelling of asymmetric information and its implications for suppliers and users of finance, including corporate relationships with bankers, debt holders and other financial institutions; (iv) the modelling and simulation of corporate investment behaviour, including applications of real option theory to investment and financial management decisions; (v) the modelling of corporate risk, including bankruptcy, credit spreads, loan agreements and bank portfolio decisions; (vi) the modelling and assessment of corporate performance, including profitability, and event study design; (vii) the benchmarking of financial institutions and investment fund performance, including modelling managed fund performance, the construction of portfolio benchmarks, active versus passive management, tracking error, and related issues. Paper presentations at this conference 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", to be 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". 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 am a Special Guest/Invited Speaker at this conference and will be presenting a paper titled; "Extreme Market Risk- An Extreme Value Theory Approach", see the Conference Website 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. Recent working papers and Publications. Special issue of Mathematics and Computers in Simulation. I am co-editing a special issue of this Elsevier Journal featuring a selection of papers presented at the conference on "Risk Modelling and Management", that was held on Friday June 24th 2011, at Real Centro Universitario Escorial-María Cristina, Spain. Special issue of Accounting and Finance - I am co-editing a special issue of the Wiley Journal Accounting and Finance with the editor, Professor Robert Faff, featuring a selection of papers from a conference I organised in 2009 on the Financial Crisis: Causes, Characteristics and Effects (FCCCE), held at the Joondalup Resort. Forthcoming Publications Allen, D. E., & Powell, R. (2011). "Customers and Markets: Both are Essential to Credit Risk Management in Australia". Australasian Accounting, Business and Finance Journal 5(1), 57-75.
Allen, D. E., & Powell, R. (2011). "Credit Risk and Real Capital: An Examination of Swiss Banking Sector Default Risk Using CVaR". In Press, Journal of Modern Acounting and Auditing.
Allen, D. E., Powell, R. J., & Singh, A. K. (2011). "Beyond Reasonable Doubt: Multiple Tail Risk Measures Applied to European Industries". In Press, Applied Economic Letters Routledge, ERA 2010 B ranked Journal.
Allen, D.E. and R. Powell, "The Fluctuating Default Risk of Australian Banks", (2011) The Australian Journal of Management, paper,
D. E. Allen, R.J. Powell and A. K. Singh, (2011) "A gourmet's delight: caviar and the Australian stock market", Applied Economic Letters, Routledge, ERA 2010 B ranked Journal . paper
Book chapters forthcoming
1. D. E. Allen and L. DeMello, "Forecasting the Equity Premium in the Australian Market?, Forthcoming; Advances in Financial Planning and Forecasting (AIAPF) Elsevier (2011) 2. D.E. Allen, A.K. Singh and R. Powell, (2011) ?Machine learning and short positions in stock trading strategies?, HandBook of Short Selling, Ed G. Gregoriou, Elsevier. 3. D. E Allen, A. .K Singh, R. .J Powell, A. Kramadibrata, (2011) ?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. 4. Allen, D. E., Powell, R. J., & Singh, A. K. (2011). Short Selling Consistency in South Africa. In G. N. Gregoriou (Ed.), Handbook of Short Selling: Elsevier.
Journal publications
D. E. Allen, R. Powell and A.K. Singh, (2011) "Quantile Regression as a tool for Portfolio Investment Decisions during times of Financial Distress", Annals of Financial Economics,
D.E.Allen and G. Yap, (2010) "An Investigation of other leading indicators influencing Australian domestic tourism demand", Mathematics and Computers in Simulation, (Ranked B, Australian Business Deans Council - Journal Ratings List). Paper
D.E. Allen and I. Bujang, (2010) "Conditional Beta Capital Asset Pricing Model (CAPM) and Duration Dependence Tests". Mathematics and Computers in Simulation, (Ranked B, Australian Business Deans Council - Journal Ratings List). paper
T. Sharp, S. Li and D.E. Allen, (2010) "Empirical Performance of Affine Option Pricing Models: Evidence from the Australian Index Options Market", Applied Financial Economics. (Ranked C, Australian Business Deans Council - Journal Ratings List). Paper
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. 2009 Publications
Working papers 2009
PhD and M.Com theses supervised at Edith Cowan University in recent years. (22 in total)
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 an Associate Professor 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 a Senior Lecturer at UWA L. DeMello, M.Com, "Forecasting the Equity Premium in Australia", (March 2005). Lurion is undertaking a PhD at Macquarie UniversityLurion Valli Batchelor, Ph.D: "A Comparable Cross-System Bank Productivity Measure: Empirical Evidence from the Malaysian Dual Banking System" (March 2006). Amporn Soongswang, Ph.D: "Control Issues and Effects on the Stock Exchange of Thailand" (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 an Associate Professor and Post-Doctoral Fellow 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
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