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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 capital adequacy buffer model

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

Persistent link: https://www.econbiz.de/10010354388

A capital adequacy buffer model

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

Persistent link: https://www.econbiz.de/10010211227

Tail dependence analysis of stock markets using extreme value theory

Singh, Abhay Kumar; Allen, David E.; Powell, Robert - In: Applied economics 49 (2017) 45, pp. 4588-4599

Persistent link: https://www.econbiz.de/10011844236

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 capital adequacy buffer model

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

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...

Persistent link: https://www.econbiz.de/10010224793