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Research Outputs 2009 2019

2019

Conducting systematic literature reviews and bibliometric analyses

Linnenluecke, M., Marrone, M. & Singh, A., 3 Oct 2019, In : Australian Journal of Management.

Research output: Contribution to journalArticleResearchpeer-review

Bibliometrics
Literature review
Academic research
Business management

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 proceedingChapterResearchpeer-review

Exchange rates
Spillover effects
Spillover
Currency
Neural nets

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 journalArticleResearchpeer-review

Sentiment
News
Stock prices
Quantile regression
Moving average
Asia-Pacific
Expert judgment
Finance
Machine learning
Triangulation

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

Cai, C. W., 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 journalArticleResearchpeer-review

Knowledge resources
Government
Boundary conditions
Asia-Pacific region
Creativity

Time-varying asymmetric volatility spillover between global markets and China's A, B and H-shares using EGARCH and DCC-EGARCH models

Do, A., Powell, R., Yong, J. & Singh, A., 22 Oct 2019, In : North American Journal of Economics and Finance. 101096.

Research output: Contribution to journalArticleResearchpeer-review

EGARCH model
Asymmetric volatility
China
Time-varying
Volatility spillover
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 journalArticleResearchpeer-review

Energy
Biofuels
Spot price
Cointegration
Futures prices

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 journalArticleResearchpeer-review

Change point
Global financial crisis
Debt crisis
Chinese market
Financial markets
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 journalArticleResearchpeer-review

Open Access
File
Commodity markets
Tail risk
Commodities
Asia
Market index

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 journalArticleResearchpeer-review

Sentiment
Entropy
News
World Wide Web
Asia-Pacific

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/ReportBookResearchpeer-review

Econometrics
Finance
Linear regression
Economics
Regression Quantiles

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 journalArticleResearchpeer-review

Open Access
File
vine
flexibility
modeling
European market
Economics

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 journalArticleResearchpeer-review

Stock market
Tail dependence
Extreme value theory
Financial risk
Heteroscedasticity

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 journalArticleResearchpeer-review

Equity markets
Asia
Commodities
Tail risk
Conditional value at risk

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 journalArticleResearchpeer-review

News
Multivariate volatility
Impulse response analysis
Global financial crisis
Spillover

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 journalArticleResearchpeer-review

Global financial crisis
Volatility spillover
China
Generalized autoregressive conditional heteroscedasticity
Hong Kong
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 journalArticleResearchpeer-review

Capital adequacy
Buffer
Credit risk
Assets
Distance measure

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 journalArticleResearchpeer-review

Open Access
File
Portfolio diversification
Diversification strategy
Downside risk
Global financial crisis
Investment strategy

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 journalArticleResearchpeer-review

Open Access
File
Nonlinear time series
Regression model
Currency
Neural networks
Exchange rates

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 journalArticleResearchpeer-review

Conditional Value at Risk
Credit Risk
Extremes
Quantile Regression
Regression Model

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 contributionResearchpeer-review

Twitter
Knowledge innovation
Knowledge exchange
Innovation
Social media
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 proceedingChapterResearchpeer-review

Credit risk models
Global financial crisis
Credit
Credit risk
Rating

Interest rate risk of Australian REITS: A panel analysis

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

Research output: Contribution to journalArticleResearchpeer-review

Interest rate risk
Panel analysis
Real estate investment trusts
Quantile
Management structure

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 proceedingChapterResearchpeer-review

Sentiment
News
World Wide Web
Asia-Pacific
Algorithmic trading

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 proceedingChapterResearchpeer-review

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 proceedingChapterResearchpeer-review

Asia
Change point
Global financial crisis
Market index
Debt crisis
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 journalArticleResearchpeer-review

Capital asset pricing model
Ordinary least squares
Quantile regression
Return distribution
Factors

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 proceedingChapterResearchpeer-review

Regression analysis
Hedge funds
Quantile regression
Quantile
Return distribution

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 proceedingChapterResearchpeer-review

Assets
Data envelopment analysis
Quantile regression
Ordinary least squares
Fama-French three-factor model

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 journalArticleResearchpeer-review

Automotive industry
Credit risk
Default risk
Industry
Credit model

EVT and tail-risk modelling: Evidence from market indices and volatility series

Allen, D. E., Singh, A. K. & Powell, R. J., 2013, In : The North American Journal of Economics and Finance: a journal of financial economics studies. 26, p. 355-369 15 p.

Research output: Contribution to journalArticleResearchpeer-review

Extreme value theory
Market index
Value at risk
Market volatility
Modeling

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 journalArticleResearchpeer-review

Emerging markets
Equity risk
Global financial crisis
Market risk
Conditional value at risk

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 journalArticleResearchpeer-review

Extreme Value Theory
Extremes
Expected Shortfall
Financial Markets
Conditional Value at Risk

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 journalArticleResearchpeer-review

Copula
Financial Crisis
Tree Structure
Flexibility
Modeling

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 journalArticleResearchpeer-review

Financial Crisis
Credit Risk
Transition Matrix
Tail
Value at Risk

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 proceedingChapterResearchpeer-review

Africa
South Africa
Hedge funds
Regulatory reform
Investment opportunities

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 proceedingChapterResearchpeer-review

Hedge funds
Investment funds
Industry
Global financial crisis
Fund managers
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 journalArticleResearchpeer-review

Stock market
Value at risk
Generalized autoregressive conditional heteroscedasticity
Quantile regression
Internal control

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 journalArticleResearchpeer-review

Industry
Risk measures
Tail risk
Global financial crisis
Investors

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 journalArticleResearchpeer-review

Mining industry
Conditional value at risk
Standard deviation
Ranking
Asset returns

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 journalArticleResearchpeer-review

Industry
Conditional value at risk
Default risk
Transition matrix
Value at risk

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 proceedingChapterResearchpeer-review

Machine learning
Trading strategies
Support vector machine
Logistic regression analysis
Price changes

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 proceedingChapterResearchpeer-review

Short selling
South Africa
Stock exchange
Surveillance
Africa

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 proceedingChapterResearchpeer-review

Volatility index
Short selling
Implied volatility
Stock index
Quantile regression

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 journalArticleResearchpeer-review

Conditional value at risk
Value at risk
Investors
Fluctuations
Risk measures
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 contributionResearchpeer-review

Credit Rating
Credit Risk
Financial Crisis
Quantile Regression
Requirements

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 proceedingChapterResearchpeer-review

Modeling
Oil prices
Value at risk
Closing price
Prediction

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 proceedingChapterResearchpeer-review

Asset pricing
Regression analysis
Quantile regression
Stock returns
Conditional quantiles

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 contributionResearchpeer-review

Tail Dependence
Extreme Value Theory
Stock Market
Heteroskedasticity
Financial Risk

Innovative transition matrix techniques for measuring extreme risk: An Australian and U.S. comparison

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. 1451-1456 6 p.

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contributionResearchpeer-review

Transition Matrix
Financial Crisis
Conditional Value at Risk
Extremes
Credit Risk