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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

Returns, volatility, and liquidity on the ASX : undisclosed versus disclosed limit orders

Allen, David E.; Cheng, Alexander Shu-sing; … - In: Stock market liquidity : implications for market …, (pp. 227-245). 2008

Persistent link: https://www.econbiz.de/10003650538

Is the Australian Forex market efficient? : a test of the forward rate unbiasness hypothesis

Allen, David E. (contributor); Taco, Paul (contributor) - 2007

Persistent link: https://www.econbiz.de/10003759978

Hedging with interest rate caps compared with a policy of maintaining a balanced portfolio of loans (PLA) and averaging the borrowing costs

Allen, David E. (contributor); Steyn, Quinten (contributor) - 2007

Persistent link: https://www.econbiz.de/10003759980

Structural credit modelling and its relationship to market value at risk : an Australian sectoral perspective

Allen, David E. (contributor); Powell, Robert (contributor) - 2008

Persistent link: https://www.econbiz.de/10003759999

Limit order trading and information asymmetry : empirical evidence about the evolution of liquidity on an order driven market

Allen, David E. (contributor); Yang, Joey W. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003760003

The third generation ACD model : a semiparametric approach

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

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

Realized volatility uncertainty

Allen, David E. (contributor); McAleer, Michael (contributor) - 2008

Persistent link: https://www.econbiz.de/10003760022

Drawbacks in the 3-factor approach of fama and French (2018)

Allen, David E.; McAleer, Michael - In: Annals of financial economics 18 (2023) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014442370

GARMA, HAR and rules of thumb for modelling realized volatility

Allen, David E.; Peiris, Shelton - In: Risks : open access journal 11 (2023) 10, pp. 1-15

This paper features an analysis of the relative effectiveness, in terms of the Adjusted R-Square, of a variety of methods of modelling realized volatility (RV), namely the use of Gegenbauer processes in Auto-Regressive Moving Average format, GARMA, as opposed to Heterogenous Auto-Regressive HAR...

Persistent link: https://www.econbiz.de/10014393082