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Volatility and spillover effects of Central and Eastern Europe : impact of EU enlargement

Golab, A.; Allen, David E.; Powell, Robert; Yap, G. - In: Emerging markets and the global economy, (pp. 449-482). 2014

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An analysis of firm and market volatility

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Returns, volatility and liquidity on the ASX : undisclosed vs. disclosed limit orders

Allen, David E.; Cheng, Alexander S.-S.; … - 2007

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Fitting Weibull ACD models to high frequency transactions data : a semi-parametric approach based on estimating functions

Kok Haur Ng; Allen, David E.; Peiris, Shelton - 2009

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On the relationship between stock prices and exchange rates for India

Narayan, Paresh Kumar - In: Review of Pacific Basin financial markets and policies 12 (2009) 2, pp. 289-308

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Intraday volatility interaction between the crude oil and equity markets

Dinh Hoang Bach Phan; Sharma, Susan Sunila; Narayan, … - In: Journal of international financial markets, … 40 (2016), pp. 1-13

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A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices

Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are inflating food prices. We analyse approximately 10...

Persistent link: https://www.econbiz.de/10011479769

New empirical evidence on the bid-ask spread

Narayan, Paresh Kumar; Mishra, Sagarika; Narayan, Seema - In: Applied economics 47 (2015) 40/42, pp. 4484-4500

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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

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A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices

Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - In: Applied economics 50 (2018) 7, pp. 804-823

Persistent link: https://www.econbiz.de/10011847174