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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

Non-parametric multiple change point analysis of the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Annals of financial economics 13 (2018) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10011931167

Nonparametric multiple change point analysis of the global financial crisis

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

Persistent link: https://www.econbiz.de/10009772595

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

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

Nonparametric multiple change point analysis of the global financial crisis

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

Persistent link: https://www.econbiz.de/10009767007

Industry market value at risk in Australia

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

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

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

Semiparametric autoregressive conditional duration model : theory and practice

Saart, Patrick W.; Gao, Jiti; Allen, David E. - In: Econometric reviews 34 (2015) 6/10, pp. 849-881

Persistent link: https://www.econbiz.de/10011483396

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