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Minimizing loss at times of financial crisis : Quantile Regression as a tool for portfolio investment decisions

Allen, David E.; Singh, Abhay Kumar - 2009

Persistent link: https://www.econbiz.de/10008667281

Asset pricing, the Fama-French factor model and the implications of Quantile Regression analysis

Allen, David E.; Singh, Abhay Kumar; Powell, Robert - 2009

Persistent link: https://www.econbiz.de/10008667282

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

Return-volatility relationship : insights from linear and non-linear quantile regression

Allen, David E.; Singh, Abhay Kumar; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10009724826

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

The volatility-return relationship : insights from linear and non-linear quantile regressions

Allen, David E. (contributor) - 2012

Persistent link: https://www.econbiz.de/10009712040

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

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

Asset selection using factor model and data envelope analysis : a quantile regression approach

Singh, Abhay Kumar; Allen, David E. - 2010

Persistent link: https://www.econbiz.de/10008760318