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Research Outputs 2009 2019

2011

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 journalArticleResearchpeer-review

Japanese banks
Tail risk
Buffer
Capital adequacy
Quantile

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 journalArticleResearchpeer-review

Quantile regression
Portfolio investment
Investment decision
Financial distress
Ordinary least squares

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 contributionResearchpeer-review

Estimation Theory
Extreme Value Theory
Value at Risk
Extremes
Generalized Autoregressive Conditional Heteroscedasticity
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 journalArticleResearchpeer-review

Heuristic algorithm
Assets
Data envelopment analysis
Evaluation
Methodology
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 journalArticleResearchpeer-review

Quantile regression
Investment analysis
Finance
Extreme values
Return distribution