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The long-run gains from international equity diversification : Australian evidence from cointegration tests

Allen, David E. - 1993

Persistent link: https://www.econbiz.de/10000856762

Cryptocurrencies, diversification and the COVID-19 pandemic

Allen, David E. - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25

This paper features an analysis of cryptocurrencies and the impact of the COVID-19 pandemic on their effectiveness as a portfolio diversification tool and explores the correlations between the continuously compounded returns on Bitcoin, Ethereum and the S&P500 Index using a variety of parametric...

Persistent link: https://www.econbiz.de/10013161685

The third generation ACD model : a semiparametric approach

Wongsaart, Pipat (contributor); Gao, Jiti (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003760021

Finite sample properties of the QMLE for the Log-ACD model : application to Australian stocks

Allen, David E.; Chan, Felix; McAleer, Michael; Peiris, … - In: Journal of econometrics 147 (2008) 1, pp. 163-185

Persistent link: https://www.econbiz.de/10003783798

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

Persistent link: https://www.econbiz.de/10003869587

A semiparametric approach to a nonlinear ACD model

Wongsaart, Pipat; Gao, Jiti; Allen, David E. - 2009

Persistent link: https://www.econbiz.de/10003869607

Comparison of alternative ACD models via density and interval forecasts : evidence from the Australian stock market

Allen, David E.; Lazarov, Zdravetz N.; McAleer, Michael; … - 2007

Persistent link: https://www.econbiz.de/10003477122

Finite sample properties of the QMLE for the log-ACD model : application to Australian stocks

Allen, David E.; Chan, Felix; McAleer, Michael; Peiris, … - 2006

Persistent link: https://www.econbiz.de/10003383578

The efficient modelling of high frequency transaction data : a new application of estimating functions in financial economics

Allen, David E.; Kok Haur Ng; Peiris, Shelton - In: Economics letters 120 (2013) 1, pp. 117-122

Persistent link: https://www.econbiz.de/10009760440

Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...

Persistent link: https://www.econbiz.de/10011443686