• 122 Citations
  • 6 h-Index
20092021
If you made any changes in Pure these will be visible here soon.

Research Outputs 2009 2019

  • 122 Citations
  • 6 h-Index
  • 33 Article
  • 14 Chapter
  • 5 Conference proceeding contribution
  • 1 Book
Filter
Article
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

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

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

Cai, C. W., Gippel, J., Zhu, Y. & Singh, A. K., 2019, (Accepted/In press) 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
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

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
2015

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
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

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
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

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

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
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