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Industry market value at risk in Australia

Allen, David E. (contributor); Powell, Robert (contributor) - 2007

Persistent link: https://www.econbiz.de/10003477132

Down-side risk metrics as portfolio diversification strategies across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

Persistent link: https://www.econbiz.de/10011432732

Down-side risk metrics as portfolio diversification strategies across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

This paper features an analysis of the effectiveness of a range of portfolio diversi cation strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically compounded returns on a...

Persistent link: https://www.econbiz.de/10011376286

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10009765843

Analysing the return distribution of Australian stocks : the CAPM, factor models and quantile regressions

Allen, David E.; Singh, Abhay Kumar; Powell, Robert - In: Global business & economics review 15 (2013) 1, pp. 88-109

Persistent link: https://www.econbiz.de/10009708736

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10009711717

Tail risk for Australian emerging market entities

Allen, David E.; Kramadibrata, Akhmad R.; Powell, Robert; … - 2011

Persistent link: https://www.econbiz.de/10009410470

Comparing Australian and US corporate default risk using quantile regression

Allen, David E.; Kramadibrata, Akhmad R.; Powell, Robert; … - 2011

Persistent link: https://www.econbiz.de/10009410478

Down-side risk metrics as portfolio diversification strategies across the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...

Persistent link: https://www.econbiz.de/10011543960

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

Persistent link: https://www.econbiz.de/10011555743