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Tail dependence analysis of stock markets using extreme value theory

Singh, Abhay Kumar; Allen, David E.; Powell, Robert - In: Applied economics 49 (2017) 45, pp. 4588-4599

Persistent link: https://www.econbiz.de/10011844236

In defense of portfolio optimization : what if we can forecast?

Allen, David; Lizieri, Colin; Satchell, Stephen - In: Financial analysts journal : FAJ 75 (2019) 3, pp. 20-38

Persistent link: https://www.econbiz.de/10012195894

Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Applied economics 49 (2017) 31/33, pp. 3246-3262

Persistent link: https://www.econbiz.de/10011774739

Volatility spillovers from Australia's major trading partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: International review of economics & finance : IREF 47 (2017), pp. 159-175

Persistent link: https://www.econbiz.de/10011740133

A comparison of non-Gaussian VaR estimation and portfolio construction techniques

Allen, David; Lizieri, Colin; Satchell, Stephen - In: Journal of empirical finance 58 (2020), pp. 356-368

Persistent link: https://www.econbiz.de/10012430709

"In defense of portfolio optimization: what if we can forecast?": a comment

Michaud, Richard O.; Esch, David N.; Michaud, Robert O. - In: Financial analysts journal : FAJ 76 (2020) 2, pp. 104-105

Persistent link: https://www.econbiz.de/10012261138

"In defense of portfolio optimization: what if we can forecast?" : author response

Allen, David; Lizieri, Colin; Satchell, Stephen - In: Financial analysts journal : FAJ 76 (2020) 2, pp. 106-107

Persistent link: https://www.econbiz.de/10012261139

AUSFTA and its Implications for the Australian Stock Market

Allen, David; Lim, Lee K.; Winduss, Trent - In: Regionalism, Trade and Economic Development in the …

This book is based on the premise that Regional Trade Agreements (RTAs) in the Asia-Pacific significantly impact on the material progress of the peoples of this region. These impacts â€“ in terms of the benefits and costs associated with RTAs â€“ will vary greatly from country to...

Persistent link: https://www.econbiz.de/10011180258