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Allen, David E. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. | 2013-10In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combinati[...]texto impreso
Allen, David E. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. | 2015-11This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a s[...]texto impreso
Allen, David E. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. | 2014This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a n[...]texto impreso
Allen, David E. ; Ashraf, Mohammad.A. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. | 2013-01This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk: namely Regular Vine copulas. Dependence modeling using copulas is a popular tool in financ[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]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[...]
