Información del autor
Autor Allen, David E. |
Documentos disponibles escritos por este autor (30)
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Allen, David E. ; McAleer, Michael ; Singh, Abhay K. | 2018-06The paper is concerned with a multi-criteria portfolio analysis of hedge fund strategies that are concerned with financial commodities, including the possibility of energy spot, futures and exchange traded funds (ETF). It features a tri-criteria[...]![]()
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Allen, David E. ; McAleer, Michael ; Singh, Abhay K. | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, ris[...]![]()
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Allen, David E. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. | 2015-07This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exc[...]![]()
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Allen, David E. ; Kramadibrata, A. ; McAleer, Michael ; Powell, R. ; Singh, A. K. | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2012-05-09This paper features an analysis of the relationship between the S&P500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship be[...]![]()
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Allen, David E. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. | 2013-05This paper presents an application of a recently developed approach by Matteson and James (2012) for the analysis of change points in a data set, namely major financial market indices converted to financial return series. The general problem con[...]![]()
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Allen, David E. ; McAleer, Michael ; Scharth, Marcel | 2013-07In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting erro[...]![]()
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Chang, Chia-Lin ; Allen, David E. ; McAleer, Michael | 2013-01Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent D[...]![]()
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Allen, David E. ; McAleer, Michael ; Singh, Abhay K. | 2014-05-06This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popu[...]![]()
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Chang, Chia-Lin ; Allen, David E. ; McAleer, Michael ; Pérez-Amaral, Teodosio | 2013-06The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers[...]![]()
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Allen, David E. ; Singh, Abhay K. ; Powell, Robert J. ; McAleer, Michael ; Taylor, James | 2012-10This paper examines the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using a linear and non-linear quantile regression approach. Our goal is to demonstrate that the relationship betw[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]![]()
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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[...]