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Autor Allen, David E. |
Documentos disponibles escritos por este autor (30)
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Allen, David E. ; McAleer, Michael | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer [4] show that univariate GARC[...]texto impreso
Allen, David E. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. | 2016-10This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets o[...]texto impreso
Allen, David E. ; McAleer, Michael ; Singh, Abhay K. | 2014-09This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the im[...]texto impreso
Allen, David E. ; Amram, Ron ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2011This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its neighbours and trading partners, including Australia, Hong Kong, Singapore, Japan and USA. China’s increasing integration into the glo[...]texto impreso
Allen, David E. ; McAleer, Michael ; Powell, R. J. ; Singh, A. K. | 2012-12This paper features an analysis of volatility spillover eects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th Septe[...]