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Professor David Allen

Dave allen

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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 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
My Google Scholar page can be viewed here  Google Scholar Professor David Allen.

Recent Working Papers and publications

In 2019 have published a volume of readings on Risk and Portfolio Modellings with Professor E. Luciano which features a collection from a volume of the Journal of Risk and Financial Management that we co-edited. A flyer describing the book can be downloaded here: flyer describing contents

Dr A.K. Singh and I have a book on the use of R for research in Economics and Finance which was published by World Scientific in 2017. A.K. Singh and D.E. Allen, R in Finance & Economics-A Beginners Guide.

The preface and contents of this book can be downloaded here: preface and contents


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 (2023) Excess Deaths and Excess Covid Booster Vaccine Doses – are they related? Medical Research Archives, 11(12), (https://doi.org/10.18103/mra.v11i12.4841)

D.E. Allen and S. Peiris (2023) GARMA, HAR and Rules of Thumb for Modelling Realized Volatility, risks, (https://doi.org/10.3390/risks11100179)

  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


D.E. Allen, M.J. McAleer, S.J. Peiris, and A.K. Singh (2016) 'Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies, published in Risks 2016, 4(1), 7; doi:10.3390/risks4010007 Risks
 paper


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


D.E. Allen, M.J. McAleer, R.J. Powell, and A.K. Singh (2015) 'Multivariate Volatility Impulse Response Analysis of GFC News Events' paper


D.E. Allen, M.J. McAleer, and A.K. Singh(2015) 'Daily Market News Sentiment and Stock Prices'paper


D.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'paper

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, paper

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.

publications - contributions to books

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  and "Quantile regression, VaR and CVAR. An empirical beta comparison of the techniques in relation to credit risk". by D.E. Allen, R. Powell and A.K. Singh. 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
of the Global Financial Crisis." at the Quantitative Methods in Finance Conference, Hilton Hotel, Sydney 17th - 20th December 2013.   paper                  

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
paper 

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:

  1. Abhay K Singh, David E Allen and Robert J Powell, "Value at risk estimation using extreme value theory". paper 
  2. Singh, A.K., Allen, D.E. and Powell, R.J, Evaluating extremal dependence in stock markets using Extreme Value Theory",  paper 
  3. Allen, D.E., Kramadibrata, A.R., Powell, R.J. and Singh, A.K., "Are Credit Ratings a good measure of capital adequacy?" paper  
  4. Allen, D.E., Kramadibrata, A.R., Powell, R.J. and Singh, A.K., "Innovative transition matrix techniques for measuring extreme risk: an Australian and U.S. comparison", paper 
  5. Yong, J., Allen, D.E. and Lim, L.K., "Evaluating economic relationships of stapled and traditional Australian REITs", paper 
  6. Allen, D.E. and R.J. Powell, "Credit risk measurement methodologies",paper 
  7. Allen, D.E., R.R. Boffey, and R.J. Powell, "Peas in a pod: Canadian and Australian banks before and during a Global Financial Crisis", paper 

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. D.E. Allen, (April 19th 2019), '"Choosing Factors" by Fama and French (2018): a comment', presentation at the Conference - Seventh Spring Conference Multinational Finance Society held at the Civitel Akali Hotel, Chania, Crete, Greece.

D.E. Allen, (May 28th 2018), 'Generalized correlation tests and forecasts of the VIX using non-linear models', presentation at the Conference - Time Series Analysis of Higher Moments and Distributions of Financial Data, held at the Institute of Advanced Studies, Hong Kong University of Science and Technology.

D.E. Allen, M. McAleer, R. Powell and A.K. Singh, 'Volatility Spillovers from Australia's major trading partners across the GFCs, The University of South Australia, Centre for Applied Financial Studies, (26th October 2016).

D.E. Allen, M. McAleer, R. Powell and A.K. Singh, 'European Market Portfolio Diversification Strategies across the GFC', School of Mathematics and Statistics, The University of Sydney, (7th November 2014).

D.E. Allen, M. McAleer and A.K. Singh, 'Daily Market News Sentiment and Stock Prices', School of Business, Finance section, University of South Australia, (July 23rd, 2014).

A.K. Singh, D.E. Allen, and R.J. Powell, 'Modelling and forecasting Intraday Market Risk with applications to stock indices', School of Business Analytics, The University of Sydney, (28th March 2014).
 

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)

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".

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.

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


PhD and M.Com theses supervised at Edith Cowan University in recent years. (27 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 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). 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 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).

Jaime Wong, PhD thesis, 'Economic linkages between Australian REITs and the commercial real estate market', (July 2013).