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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
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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
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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
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"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
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"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
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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
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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