20092020

Research output per year

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Research Outputs

2020

Conducting systematic literature reviews and bibliometric analyses

Linnenluecke, M., Marrone, M. & Singh, A., 1 May 2020, In : Australian Journal of Management. 45, 2, p. 175-194 20 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)

The use of Twitter for innovation in business markets

Cripps, H., Singh, A., Mejtoft, T. & Salo, J., 6 Apr 2020, In : Marketing Intelligence and Planning. 38, 5, p. 587-601 15 p.

Research output: Contribution to journalArticle

Open Access
File
2019

Currency spillover effects between the US dollar and some major currencies and exchange rate forecasts based on neural nets

Allen, D. E., Kalev, P., Peiris, S. & Singh, A. K., Jul 2019, Handbook of global financial markets: transformations, dependence, and risk spillovers. Boubake, S. & Nguyen, D. K. (eds.). Singapore: World Scientific Publishing, p. 199-220 22 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

Daily market news sentiment and stock prices

Allen, D. E., McAleer, M. & Singh, A. K., 27 Jun 2019, In : Applied Economics. 51, 30, p. 3212-3235 24 p.

Research output: Contribution to journalArticle

5 Citations (Scopus)

The power of crowds: Grand challenges in the Asia-Pacific region

Cai, C., Gippel, J., Zhu, Y. & Singh, A. K., 1 Nov 2019, In : Australian Journal of Management. 44, 4, p. 551-570 20 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)
2018

A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices

Allen, D. E., Chang, C., McAleer, M. & Singh, A. K., 2018, In : Applied Economics. 50, 7, p. 804-823 20 p.

Research output: Contribution to journalArticle

7 Citations (Scopus)

Non-parametric multiple change point analysis of the global financial crisis

Allen, D. E., McAleer, M., Powell, R. J. & Singh, A. K., Jun 2018, In : Annals of Financial Economics. 13, 2, p. 1-23 23 p., 1850008.

Research output: Contribution to journalArticle

2017

A dataset on tail risk of commodities markets

Powell, R. J., Vo, D. H., Pham, T. N. & Singh, A. K., 1 Dec 2017, In : Data in Brief. 15, p. 58-62 5 p.

Research output: Contribution to journalArticle

Open Access
File
1 Citation (Scopus)
8 Downloads (Pure)

An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series

Allen, D. E., McAleer, M. & Singh, A. K., 7 Feb 2017, In : Applied Economics. 49, 7, p. 677-692 16 p.

Research output: Contribution to journalArticle

7 Citations (Scopus)

R in finance and economics: a beginner's guide

Singh, A. K. & Allen, D. E., Feb 2017, Singapore ; Hackensack, NJ: World Scientific Publishing. 264 p.

Research output: Book/ReportBook

Risk measurement and risk modelling using applications of Vine copulas

Allen, D. E., McAleer, M. & Singh, A. K., 29 Sep 2017, In : Sustainability (Switzerland). 9, 10, 34 p., 1762.

Research output: Contribution to journalArticle

Open Access
File
10 Citations (Scopus)
14 Downloads (Pure)

Tail dependence analysis of stock markets using extreme value theory

Singh, A. K., Allen, D. E. & Powell, R. J., 2017, In : Applied Economics. 49, 45, p. 4588-4599 12 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

The long and short of commodity tails and their relationship to Asian equity markets

Powell, R. J., Vo, D. H., Pham, T. N. & Singh, A. K., Oct 2017, In : Journal of Asian Economics. 52, p. 32-44 13 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)

Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen;, D. E., McAleer;, M., Powell;, R. & Singh;, A. K., 15 Jul 2017, In : Applied Economics. 49, 33, p. 3246-3262 17 p.

Research output: Contribution to journalArticle

5 Citations (Scopus)

Volatility spillovers from Australia's major trading partners across the GFC

Allen, D. E., McAleer, M., Powell, R. J. & Singh, A. K., 1 Jan 2017, In : International Review of Economics and Finance. 47, p. 159-175 17 p.

Research output: Contribution to journalArticle

9 Citations (Scopus)
2016

A capital adequacy buffer model

Allen, D. E., McAleer, M., Powell, R. J. & Singh, A. K., 11 Feb 2016, In : Applied Economics Letters. 23, 3, p. 175-179 5 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)

Down-side risk metrics as portfolio diversification strategies across the Global Financial Crisis

Allen, D. E., McAleer, M., Powell, R. J. & Singh, A., 21 Jun 2016, In : Journal of risk and financial management. 9, 2, 18 p., 6.

Research output: Contribution to journalArticle

Open Access
File
33 Downloads (Pure)

Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies

Allen, D. E., McAleer, M., Peiris, S. & Singh, A., 16 Mar 2016, In : Risks. 4, 1, 14 p., 7.

Research output: Contribution to journalArticle

Open Access
File
3 Downloads (Pure)

Take it to the limit: Innovative CVaR applications to extreme credit risk measurement

Allen, D. E., Powell, R. J. & Singh, A. K., 1 Mar 2016, In : European Journal of Operational Research. 249, 2, p. 465-475 11 p.

Research output: Contribution to journalArticle

10 Citations (Scopus)

The role of Twitter in B2B knowledge exchange and innovation

Cripps, H., Mejtoft, T. & Singh, A. K., 2016, Research papers on knowledge, innovation and enterprise. Ogunleye, J. (ed.). International Conference on Knowledge, Innovation & Enterprise, Vol. 4. p. 27-45 19 p.

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

2015

A critique of credit risk models with evidence from mid-cap firms

Allen, D. E., Powell, R. J. & Singh, A. K., 2015, Quantitative financial risk management: theory and practice. Zopounidis, C. & Galariotis, E. (eds.). Hoboken, New Jersey: Wiley-Blackwell, Wiley, p. 296-311 16 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

Interest rate risk of Australian REITS: A panel analysis

Yong, J. & Singh, A., 2 Jan 2015, In : Pacific Rim Property Research Journal. 21, 1, p. 77-88 12 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

Machine news and volatility: The Dow Jones Industrial Average and the TRNA real-time high-frequency sentiment series

Allen, D. E., McAleer, M. J. & Singh, A. K., 2015, The handbook of high frequency trading. Gregoriou, G. N. (ed.). London: Elsevier, p. 327-344 18 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

7 Citations (Scopus)

Risk management and regulation

Allen, D. E., Powell, R. J. & Singh, A. K., 2015, Investment risk management. Baker, H. K. & Greg, F. (eds.). New York, NY: Oxford University Press, p. 324-345 22 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

2014

Nonparametric multiple change-point analysis of the responses of Asian markets to the Global Financial Crisis

Allen, D. E., Kalev, P. S., McAleer, M. J. & Singh, A. K., 2014, Handbook of Asian finance: REITs, trading, and fund performance. Chuen, D. L. K. & Gregoriou, G. N. (eds.). San Diego, CA: Elsevier, Vol. 2. p. 267-284 18 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

2 Citations (Scopus)
2013

Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions

Allen, D. E., Singh, A. K. & Powell, R., 2013, In : Global Business and Economics Review. 15, 1, p. 88-109 22 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

A Panel-based quantile regression analysis of funds of hedge funds

Allen, D. E., Kramadibrata, A., Powell, R. J. & Singh, A. K., 2013, Reconsidering funds of hedge funds: the financial crisis and best practices in UCITS, tail risk, performance, and due diligence. Gregoriou, G. N. (ed.). Oxford: Elsevier, p. 261-272 12 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

Asset selection using a factor model and data envelopment analysis– A quantile regression approach

Allen, D. E., Singh, A. K. & Powell, R. J., 2013, Rethinking valuation and pricing models: lessons learned from the crisis and future challenges. Wehn, C., Hoppe, C. & Gregoriou, G. N. (eds.). Oxford: Elsevier, p. 443–455 13 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

Default risk in the European automotive industry

Allen, D. E., Kramadibrata, A. R., Powell, R. J. & Singh, A., Jan 2013, In : International review of business research papers. 9, 1, p. 22-37 16 p.

Research output: Contribution to journalArticle

22 Citations (Scopus)

Extreme equities risk in emerging markets: evidence from Australia

Allen, D. E., Kramadibrata, A. R., Powell, R. J. & Singh, A. K., Mar 2013, In : Global Review of Accounting and Finance. 4, 1, p. 75 – 84 10 p.

Research output: Contribution to journalArticle

Extreme market risk and extreme value theory

Singh, A. K., Allen, D. E. & Robert, P. J., Aug 2013, In : Mathematics and Computers in Simulation. 94, p. 310-328 19 p.

Research output: Contribution to journalArticle

19 Citations (Scopus)

Financial dependence analysis: applications of vine copulas

Allen, D. E., Ashr, M. A., Mcaleer, M., Powell, R. J. & Singh, A. K., Nov 2013, In : Statistica Neerlandica. 67, 4, p. 403-435 33 p.

Research output: Contribution to journalArticle

12 Citations (Scopus)

Modelling tail credit risk using transition matrices

Allen, D. E., Kramadibrata, A. R., Powell, R. J. & Singh, A. K., 2013, In : Mathematics and Computers in Simulation. 93, p. 67-75 9 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)

South African regulatory reforms of funds of hedge funds

Allen, D. E., Kramadibrata, A., Powell, R. J. & Singh, A. K., 2013, Reconsidering funds of hedge funds: the financial crisis and best practices in UCITS, tail risk, performance, and due diligence. Gregoriou, G. N. (ed.). Oxford: Elsevier, p. 525-536 12 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

Understanding the regulation impact: US funds of hedge funds after the crisis

Allen, D. E., Kramadibrata, A., Powell, R. J. & Singh, A. K., 2013, Reconsidering funds of hedge funds: the financial crisis and best practices in UCITS, tail risk, performance, and due diligence. Gregoriou, G. N. (ed.). Oxford: Elsevier, p. 503-514 12 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

2012

A Gourmet's delight: CAViaR and the Australian stock market

Allen, D. E., Singh, A. K. & Powell, R., Oct 2012, In : Applied Economics Letters. 19, 15, p. 1493-1498 6 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)

Beyond reasonable doubt: multiple tail risk measures applied to European industries

Allen, D. E., Powell, R. J. & Singh, A. K., May 2012, In : Applied Economics Letters. 19, 7, p. 671-676 6 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

Conditional value at risk applications to the global mining industry

Allen, D. E., Kramadibrata, A. R., Powell, R. J. & Singh, A. K., 2012, In : Journal of business and policy research. 7, 3, p. 11-23 13 p.

Research output: Contribution to journalArticle

Identifying European industries with extreme default risk: application of CVaR techniques to transition matrices

Allen, D. E., Kramadibrata, A. R., Powell, R. J. & Singh, A. K., Nov 2012, In : World review of business research. 2, 6, p. 46-58 13 p.

Research output: Contribution to journalArticle

Machine learning and short positions in stock trading strategies

Allen, D. E., Powell, R. J. & Singh, A. K., 2012, Handbook of short selling. Gregoriou, G. N. (ed.). 1st ed. Waltham: Elsevier, p. 467-478 12 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

1 Citation (Scopus)

Short selling consistency in South Africa

Allen, D. E., Powell, R. J. & Singh, A. K., 2012, Handbook of short selling. Gregoriou, G. N. (ed.). 1st ed. Waltham: Elsevier, p. 381-386 6 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

1 Citation (Scopus)

Short selling stock indices on signals from implied volatility index changes: evidence from quantile regression-based techniques

Allen, D. E., Singh, A. K., Powell, R. J. & Kramadibrata, A., 2012, Handbook of short selling. Gregoriou, G. N. (ed.). Waltham: Elsevier, p. 479-492 14 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

Thumbs up to parametric measures of relative VaR and CVaR in Indonesian sectors

Allen, D. E., Boffey, R. R., Kramadibrata, A., Powell, R. & Singh, A., Dec 2012, In : International Journal of Business Studies. 20, 1, p. 27-42 16 p.

Research output: Contribution to journalArticle

2011

Are credit ratings a good measure of capital adequacy?

Allen, D. E., Kramadibrata, A. R., Powell, R. J. & Singh, A. K., 2011, MODSIM 2011: 19th International Congress on Modelling and Simulation: proceedings. Chan, F., Marinova, D. & Anderssen, R. S. (eds.). Canberra, p. 1457-1463 7 p.

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

A risk and forecasting analysis of west texas intermediate prices

Allen, D. E. & Singh, A. K., 2011, Financial econometrics modeling: market microstructure, factor models and financial risk measures. Gregoriou, G. N. & Pascalau, R. (eds.). Hampshire, UK: Palgrave Macmillan, p. 235-254 20 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

Asset pricing, the Fama-French factor model and the implications of quantile-regression analysis

Allen, D. E., Singh, A. K. & Powell, R., 2011, Financial econometrics modeling: market microstructure, factor models and financial risk measures. Gregoriou, G. N. & Pascalau, R. (eds.). Hampshire, UK: Palgrave Macmillan, p. 176-193 18 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

7 Citations (Scopus)

Evaluating extremal dependence in stock markets using Extreme Value Theory

Singh, A. K., Allen, D. E. & Powell, R. J., 1 Dec 2011, MODSIM 2011: 19th International Congress on Modelling and Simulation: proceedings. Chan, F., Marinova, D. & Anderssen, R. S. (eds.). Canberra, p. 1485-1491 7 p.

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution