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Research Outputs 2009 2019

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Chapter
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 proceedingChapterResearchpeer-review

Exchange rates
Spillover effects
Spillover
Currency
Neural nets
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

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

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

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

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
2011

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