Publication Search Results
Exact matches for:
- Author = Allen DE [web profile page]
1.
Gadhi AHA, Peiris MS, Allen DE
Adel Hassan A Gadhi, Shelton Peiris and David E Allen:
Improving Volatility Forecasting: A Study through Hybrid Deep Learning Methods with WGAN,
Journal of Risk and Financial Management,
17
(2024),
Article 38 (20 Pages).
2.
Allen DE
David Edmund Allen:
The correlation between Australian Excess Deaths by State and Booster Vaccinations,
The European Society of Medicine,
12
(2024),
no. 7,
8 pages.
3.
Allen DE
David Edmund Allen:
Excess Deaths and Excess Covid Booster Vaccine Doses - are they related?,
Medical Research Archives,
11
(2023),
no. 12,
Article 4841 (27 pages).
4.
Allen DE, Peiris MS
David Edmund Allen and Shelton Peiris:
GARMA, HAR and Rules of Thumb for Modelling Realized Volatility,
Risks,
11
(2023),
no. 179,
15 pages.
5.
Allen DE, Mushunje L, Peiris MS
D E Allen, L Mushunje and S. Peiris:
GANs through the looking glass: How real is the fake financial data created by Generative Adversarial Neural Nets?,
Proceedings of the 25th International Congress on Modelling and Simulation,
The 25th International Congress on Modelling and Simulation (MODSIM2023),
Vaze J, Chilcott C., Hutley L and Cuddy S M (eds.),
Modelling and Simulation Society of Australia and New Zealand Inc. © 2023,
Australia,
(2023),
29–35.
ISBN 978-0-9872143-0-0.
6.
Allen DE, McAleer M
David E Allen and Michael McAleer:
Drawbacks in the 3-Factor Approach of Fama and French (2018),
Annals of Financial Economics,
18
(2023),
no. 1,
Article 224001 (26 pages).
7.
Allen DE
David E Allen:
Was the response to COVID-19 in the West disappointing in terms of comparative outcomes achieved?,
ESMED (Open Access),
11 (Online)
(2023),
no. 3,
19 pages.
8.
Allen DE, McAleer M
David E Allen and Michael McAleer:
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality,
Journal of the American Statistical Association,
117
(2022),
no. 537,
214–224.
9.
Allen DE
David E Allen:
Cryptocurrencies, Diversification and the COVID-19 Pandemic,
Journal of Risk and Financial Management,
15
(2022),
no. Article 103,
25 pages.
10.
Allen DE, McAleer M
David E Allen, Michael McAleer:
Trump’s COVID‑19 tweets and Dr. Fauci’s emails,
Scientometrics,
Published Online
(2022),
no. 18 January 2022,
13 pages.
11.
Allen DE, McAleer M
David E Allen, and Michael McAleer:
A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes,
Risks,
9
(2021),
no. 195,
20 pages.
12.
Allen DE, McAleer M
David E Allen, and Michael McAleer:
Predicting COVID-19 Cases and Deaths in the USA from Tests and State Populations,
Advances in Decision Sciences,
25
(2021),
no. 2,
28 pages.
13.
Allen DE, McAleer M
David E Allen and Michael Mcaleer:
Predicting cases and deaths in Europe from COVID-19 tests and country populations,
Annals of Financial Economics,
15
(2021),
no. 4,
Article 2050017 – 1.
14.
Allen DE, McAleer M
David E Allen and Michael McAleer:
Flattening the curve in risk management of COVID-19: Do lockdowns work?,
Annals of Financial Economics,
15
(2021),
no. 4,
Article 2050011 (26 pages).
15.
Allen DE
David Edmund Allen:
Stochastic Volatility and GARCH: Do SquaredEnd-of-Day Returns Provide Similar Information?,
Journal of Risk and Financial Management,
13
(2020),
no. 202,
25 pages.
16.
Allen DE, McAleer M
David E Allen and Michael McAleer:
A Nonlinear Autoregressive Distributed Lag(NARDL) Analysis of West Texas Intermediate OilPrices and the DOW JONES Index,
Energies,
13
(2020),
no. 4011,
11 pages.
17.
Yatigammana R, Peiris MS, Gerlach R, Allen DE
Rasika Yatigammana, Shelton Peiris, Richard Gerlach and David Edmund Allen:
Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants,
Computational Methods for Risk Management in Economics and Finance,
Risks,
MDPI,
Switzerland,
(2020),
22 pages.
ISBN 978-3-03928-499-3.
18.
Asai M, Peiris MS, McAleer M, Allen DE
Manabu Asai, Shelton Peiris, Michael McAleer, David E. Allen:
Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates,
Journal of Time Series Econometrics.,
12
(2020),
1–18.
19.
Allen DE, McAleer M
David E Allen and Michael McAleer:
Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? Comparing squared end-of-day returns on FTSE,
Risks,
8
(2020),
no. 12,
Art 8010012 (20 pages).
20.
Allen DE, Luciano E
David Edmund Allen and Elisa Luciano:
Risk Analysis and Portfolio Modelling,
Journal of Risk and Financial Management,
12
(2019),
no. 4,
154 (4 pages).
21.
Allen DE, McAleer M
David E Allen and Michael McAleer:
Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany,
Sustainability,
11
(2019),
Art. 5181 – 1.
22.
Allen DE, McAleer M, Singh AK
David E Allen, Michael McAleer and Abhay K Singh:
Daily market news sentiment and stock prices,
Applied Economics,
Online
(2019, 14 February),
24 pages.
23.
Allen DE, Kalev P, Peiris MS, Singh AK
David E Allen, Petko Kalev, Shelton Peiris and Abhay K Singh:
Currency Spillover Effects between the US Dollar and Some Major Currencies and Exchange Rate Forecasts Based on Neural Nets,
Handbook of Global Financial Markets; Transformations, Dependence, and Risk Spillovers,
World Scientific Publishing Co.,
Singapore,
(2019),
197–218.
ISBN 978-981-3236-64-6.
24.
Allen DE, McAleer M
David E Allen, Michael McAleer:
Fake news and indifference to scientific fact: President Trump's confused tweets on global warming, climate change and weather,
Scientometrics,
117
(2018),
625–629.
25.
Allen DE, Hooper V
David E Allen and Vince Hooper:
Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models,
Sustainability,
10
(2018),
no. 8,
Art. 2695.
26.
Allen DE, McAleer M, Powell RJ, Singh AK
David E Allen, Michael McAleer, Robert J Powell and Abhay K Singh:
Non-Parametric Multiple Change Point Analysis of the Global Financial Crisis,
Annals of Financial Economics,
13
(2018),
no. 2,
23 Pages.
27.
Allen DE, McAleer M
David E Allen and Michael McAleer:
President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change,
Sustainability,
10
(2018),
Article 2310 (6 pages).
28.
Allen DE, McAleer M
David E Allen and Michael McAleer:
Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management,
Energies,
11
(2018),
no. June 2018,
1627 (19 pages).
29.
Yatigammana R, Peiris MS, Gerlach R, Allen DE
Rasika Yatigammana, Shelton Peiris, Richard Gerlach and David Edmund Allen:
Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants,
Risks,
6
(2018),
no. 52,
22 pages.
30.
Allen DE
David E Allen:
Practical Aspects of R in Finance, Management Information and Decision Sciences,
Journal of Management Information and Decision Sciences,
20
(2017),
no. Special Issue,
10 pages.
31.
Allen DE, McAleer M, Singh AK
David E Allen, Michael McAleer and Abhay K Singh:
Risk Measurement and Risk Modelling Using Applications of Vine Copulas,
Sustainability,
9
(2017),
no. 1762,
34 pages.
32.
Ng KH, Peiris MS, Chan JSK, Allen DE, Ng KH
Kok Haur Ng, Shelton Peiris, Jennifer So-kuen Chan, David Allen, Kooi Huat Ng:
Efficient modelling and forecasting with range based volatility models and its application,
North American Journal of Economics and Finance,
42
(2017),
448–460.
33.
Allen DE, McAleer M, Singh AK
David E Allen, Michael McAleer and Abhay K Singh:
An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series,
Applied Economics,
49
(2017),
no. 7,
677–692.
34.
Singh AK, Allen DE, Powell RJ
Abhay K Singh, David E Allen and Robert J Powell:
Tail dependence analysis of stock markets using extreme value theory,
Applied Economics,
Online
(2017),
no. February,
1–12.
35.
Singh AK, Allen DE
Abhay Kumar Singh and David Edmund Allen:
R in Finance and Economics, A Beginner's Guide,
World Scientific Publishing Co.,
USA,
(2017),
264 pages.
ISBN 978-981-3144-46-0.
36.
Allen DE, McAleer M, Powell RJ, Singh AK
David E Allen, Michael McAleer, Robert J Powell, Abhay K Singh:
Volatility Spillovers from Australia's major trading partners across the GFC,
International Review of Economics and Finance,
47
(2017),
159–175.
37.
Allen DE, McAleer M, Powell RJ, Singh AK
David E Allen, Michael McAleer, Robert Powell and Abhay K Singh:
Volatility spillover and multivariate volatility impulse response analysis of GFC news events,
Applied Economics,
December 2016
(2016),
18 pages.
38.
Allen DE, McAleer M, Powell RJ, Singh AK
David E Allen, Michael McAleer, Robert J Powell and Abhay K Singh:
Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis,
Journal of Risk and Financial Management,
9
(2016),
no. 6,
1–18.
39.
Allen DE, McAleer M, Peiris MS, Singh AK
David E Allen, Michael McAleer, Shelton Peiris and Abhay K Singh:
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies,
Risks,
4
(2016),
no. 7,
14 pages.
40.
Allen DE, Powell RJ, Singh AK
D E Allen, R J Powell, A K Singh:
Take it to the limit: innovative CVaR applications to extreme credit risk measurement,
European Journal of Operational Research,
249
(2016),
no. 2,
465–475.
MR3426988
41.
Allen DE, Powell RJ, Singh AK
D E Allen, R J Powell and A K Singh:
Quantile regression, VaR and CVAR. An empirical beta comparison of the techniques in relation to credit risk,
Proceedings of the 21st International Congress on Modelling and Simulation,
MODSIM2015,
Australia,
(2015),
1015–1021.
42.
Allen DE, McAleer M, Powell RJ, Singh AK
D E Allen, M J McAleer, R Powell and A K Singh:
A volatility impulse response analysis applying multivariate GARCH models and news events around the GFC,
Proceedings of the 21st International Congress on Modelling and Simulation,
MODSIM2015,
Online,
Australia,
(2015),
1008–1014.
43.
Allen DE, Powell RJ, Singh AK
D E Allen, R J Powell, A K Singh:
Take it to the limit: innovative CVaR applications to extreme credit risk measurement,
European Journal of Operational Research,
249
(2015),
465–475.
44.
Allen DE, McAleer M, Singh AK
D E Allen, M McAleer & A K Singh:
Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Real-Time High-Frequency Sentiment Series,
Handbook of High Frequency Trading,
Elsevier B.V.,
New York,
(2015),
327–344.
ISBN 978-012802362.
45.
Allen DE, McAleer M, Powell RJ, Singh AK
D E Allen, M McAleer, R J Powell & A K Singh:
A capital adequacy buffer model,
Applied Economics Letters,
Online
(2015),
5 pages.
46.
Allen DE, Powell RJ, Singh AK
David E. Allen, Robert J. Powell, and Abhay K. Singh:
Risk Management and Regulation,
Investment Risk Management,
Oxford University Press,
London,
(2015),
324–.
ISBN ISBN: 9780199331963.
47.
Golab A, Allen DE, Powell RJ
A Golab, D E Allen and R Powell:
Aspects of volatility and correlations in European emerging economies,
Emerging Markets and Sovereign Risk,
UK,
Palgrave MacMillan,
UK,
(2014),
320.
ISBN 9781137450654.
48.
Jeyasreedharan N, Allen DE, Yang JW
Nagaratnam Jeyasreedharan, David E Allen, Joey Wenling Yang:
Yet another ACD model: the autorgressive conditional directional duration (ACDD) model,
Annals of Financial Economics,
9
(2014),
no. 1,
1450004 (20 pages).
49.
Allen DE, McAleer M, Scharth M
David E Allen, Michael McAleer and Marcel Scharth:
Asymmetric Realized Volatility Risk,
Journal of Risk and Financial Management,
7
(2014),
no. 2,
80–109.
50.
Allen DE, Kalev PS, McAleer M, Singh AK
David E Allen, Petko S Kalev, Michael J McAleer, and Abhay K Singh:
Nonparametric Multiple Change-Point Analysis of the Responses of Asian Markets to the Global Financial Crisis,
Handbook of Asian Finance REITS, Trading and Fund Performance,
Elsevier,
Oxford, UK,
(2014),
267–284.
ISBN 978-0-12-800986-4.
51.
Golab A, Allen DE, Powell RJ, Yap G
A.Golab, D.E.Allen, R.Powell, G.Yap:
Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement,
Emerging Markets and the Global Economy,
ELSEVIER - Academic Press,
Oxford, OX5 1GB, UK,
(2014),
449–482.
ISBN 978-0-12-411459-1.
52.
Sudiman J, Allen DE, Powell RJ
Josephine Sudiman, David Edmund Allen, Robert John Powell:
The contribution of foreign investors to price discovery in the Indonesian stock exchange,
Annals of Financial Economics,
8
(2013),
no. 2,
1350008.
53.
Allen DE, McAleer M, Powell RJ, Singh AK
David E Allen, Michael McAleer, Robert Powell and Abhay K Singh:
A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500,
Journal of Risk and Financial Management,
6
(2013),
no. Open Access,
6–30.
54.
Sudiman J, Allen DE, Powell RJ
Josephine Sudiman, David Edmund Allen and Robert John Powell:
The contribution of foreign invesotrs to price discovery in the Indonesian stock exchange,
Annals of Financial Mathematics,
8
(2013),
no. 2,
1350008(1)–1350008(24).
55.
Allen DE, Ng KH, Peiris MS
David Allen , K.H. Ng , Shelton Peiris:
Estimating and simulating Weibull models of risk or price durations: An application to ACD models,
North American Journal of Economics and Finance,
25
(2013),
214–225.
56.
Allen DE, Ng KH, Peiris MS
David Allen, K.H. Ng , Shelton Peiris:
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics,
Economics Letters,
120
(2013),
117–122.
57.
Allen DE, Lazarov L, McAleer M, Peiris MS
D.E.Allen, L.Lazarov, M.McAleer, S.Peiris:
Comparison of Alternative ACD Models via density and interval forecasts: Evidence from the Australian Stock Market,
Mathematics and Computers in Simulation,
79
(2009),
no. 8,
2535–2555.
MR2531468
58.
Allen DE, Chan F, McAleer M, Peiris MS
D. Allen, F. Chan, M. McAleer and S. Peiris:
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks,
Journal of Econometrics,
147
(2008),
163–185.
MR2472990
59.
Allen DE, Peiris MS, Yang JW
David Allen, Shelton Peiris and Joey W Yang:
An examination of the role of time and its impact on price revision,
Australian Journal of Management,
30
(2005),
no. 2,
283–301.
60.
Peiris MS, Allen DE, Peiris U
Shelton Peiris, David Allen, Udara Peiris:
Generalised autoregressive models with conditional heteroscedasticity: An application to financial time series modelling,
Proceedings of the 2004 Workshop on Research Methods: Statistics and Finance,
The 2004 Workshop on Research Methods: Statistics and Finance,
Eric J Beh, Robert G Clark, J C W Rayner (eds.),
University of Wollongong,
Wollongong,
(2005),
75–83.
ISBN 1 74128 107 5.
61.
Peiris MS, Allen DE, Yang W
Shelton Peiris, David Allen and Wenling Yang:
Some statistical models for durations and an application to News Corporation stock prices,
Mathematics and Computers in Simulation,
68
(2005),
549–556.
MR2156401
62.
Peiris MS, Allen DE, Thavaneswaran A
Shelton Peiris, David Allen and A. Thavaneswaran:
An introduction to generalized moving average model and applications,
Journal of Applied Statistical Science,
13
(2004),
no. 3,
251–267.
MR2162151
63.
Peiris MS, Thavaneswaran A, Allen DE, Mellor R
M.S.Peiris, A.Thavaneswaran, D.Allen, R.Mellor:
Applications of recursive estimation methods in statistical process control: a comparison,
Statistical Methods,
5
(2003),
no. 2,
172–183.
MR2198742
64.
Peiris MS, Allen DE, Yang W
Shelton Peiris, David Allen, and Wenling Yang:
Some statistical models for durations and their applications in finance,
Modsim,
International Congress on Modelling and Simulation,
2003,
Modelling and Simulation Society of Australia and New Zealand Inc.,
Australia,
(2003),
1210–1214.
ISBN 174052 098X.
| Number of matches: 64 |