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A multi-factor analysis of AREIT returns

Yong, Jaime L. P.; Allen, David E.; Lim, Lee K. - 2009

Persistent link: https://www.econbiz.de/10008667292

Realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2010

Persistent link: https://www.econbiz.de/10008689075

Measuring and modelling risk

Allen, David E. - In: Global business & economics review 11 (2009) 3/4, pp. 199-224

Persistent link: https://www.econbiz.de/10003938431

Yet another autoregressive duration model : the ACDD model

Jeyasreedharan, Nagaratnam; Allen, David E.; Yang, Joey … - 2008

Persistent link: https://www.econbiz.de/10003959771

Takeovers and shareholder value creation on the stock exchange of Thailand

Allen, David E.; Amporn Soongswang - In: Asia-Pacific financial markets : integration, …, (pp. 347-370). 2008

Persistent link: https://www.econbiz.de/10003603115

The impact of undisclosed vs. disclosed limit orders : evidence from inter-day returns, signalling, information effects on the ASX

Allen, David E.; Cheng, Alexander Shu-sing; Yang, Joey … - 2007

Persistent link: https://www.econbiz.de/10003669080

Finite sample properties of the QMLE for the log-ACD model : application to Australian stocks

Allen, David E.; Chan, Felix; McAleer, Michael; Peiris, … - 2006

Persistent link: https://www.econbiz.de/10003383578

Empirical performance of affine option pricing models : evidence from the Australian index options market

Sharp, Timothy; Li, Steven; Allen, David E. - In: Applied financial economics 20 (2010) 4/6, pp. 501-514

This article investigates the performance of affine option pricing models in the context of the Australian Standard & Poor's (S&P)/Australian Stock Exchange (ASX) 200 index option market. This investigation is done through the implicit estimation of the risk neutral parameters of affine option...

Persistent link: https://www.econbiz.de/10003963448

Multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

Persistent link: https://www.econbiz.de/10011432589

Daily market news sentiment and stock prices

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2015

Persistent link: https://www.econbiz.de/10011432600