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Multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
Persistent link: https://www.econbiz.de/10011432589
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Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies
Allen, David E.; McAleer, Michael; Shelton, Peiris; … - 2015
Persistent link: https://www.econbiz.de/10011432736
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A capital adequacy buffer model
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10010354388
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Take it to the limit: Innovative CVaR applications to extreme credit risk measurement
Allen, David E.; Powell, R. J.; Singh, Abhay Kumar - In: European journal of operational research : EJOR 249 (2016) 2, pp. 465-475
Persistent link: https://www.econbiz.de/10011436713
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Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016
Persistent link: https://www.econbiz.de/10011823323
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Cointegrated dynamics for a generalized long memory process : an application to interest rates
Asai, Manabu; Peiris, Shelton; McAleer, Michael; Allen, … - 2018
Persistent link: https://www.econbiz.de/10011898049
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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