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European market portfolio diversification strategies across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the beginning of 2005 to the...

Persistent link: https://www.econbiz.de/10010414201

Credit risk and real capital : an examination of Swiss banking sector default risk using CVaR

Powell, Robert; Allen, David E. - 2010

Persistent link: https://www.econbiz.de/10008760320

The fluctuating default risk of Australian banks

Allen, David E.; Powell, Robert - 2010

Persistent link: https://www.econbiz.de/10008760323

Customers and markets : both are essential to credit-risk measurement in Australian banks

Allen, David E.; Powell, Robert - In: Australasian accounting business and finance journal : AABF 5 (2011) 1, pp. 57-75

Persistent link: https://www.econbiz.de/10009295410

A gourmet's delight : CAViaR and the Australian stock market

Allen, David E.; Singh, Abhay Kumar; Powell, Robert - In: Applied economics letters 19 (2012) 13/15, pp. 1493-1498

Persistent link: https://www.econbiz.de/10009682474

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

Allen, David E.; Powell, Robert - In: The VaR implementation handbook, (pp. 403-414). 2009

Persistent link: https://www.econbiz.de/10003827094

European Market portfolio diversifcation strategies across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014

Persistent link: https://www.econbiz.de/10011296531

Volatility spillovers from Australia's major trading partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These...

Persistent link: https://www.econbiz.de/10010391535

A closer look at the characteristics of stock holdings of foreign and local investors in the Indonesian stock exchange (IDX)

Sudiman, Josephine; Allen, David E.; Powell, Robert - In: Annals of financial economics 8 (2013) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10010192087

A capital adequacy buffer model

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

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