20092020

Research output per year

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Research Outputs

2009

Quantile regression: its application in investment analysis

Allen, D. E., Gerrans, P., Singh, A. K. & Powell, R., 2009, In : JASSA : the FINSIA journal of applied finance. 4, p. 7-12 6 p.

Research output: Contribution to journalArticle

2010

Portfolio evaluation using OWA-heuristic algorithm and data envelopment analysis

Singh, A. K., Sahu, R. & Bharadwaj, S., 5 Jan 2010, In : Journal of Risk Finance. 11, 1, p. 75-88 14 p.

Research output: Contribution to journalArticle

9 Citations (Scopus)
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

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 contribution

2 Citations (Scopus)

Japanese banks: tail risk and capital buffers

Allen, D. E., Kramadibrata, A. R., Powell, R. J. & Singh, A., 2011, In : International Journal of Business Studies. 19, 4, p. 7-27 21 p.

Research output: Contribution to journalArticle

Quantile regression as a tool for portfolio investment decisions during times of financial distress

Allen, D. E., Powell, R. J. & Singh, A. K., Jun 2011, In : Annals of Financial Economics. 6, 1, 19 p., 1150003.

Research output: Contribution to journalArticle

Value at Risk estimation using Extreme Value Theory

Singh, A. K., Allen, D. E. & Powell, R. J., 2011, MODSIM 2011: 19th International Congress on Modelling and Simulation: proceedings. Chan, F., Marinova, D. & Anderssen, R. S. (eds.). Canberra, p. 1478-1484 7 p.

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

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

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

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)
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

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

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)
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

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