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Multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
Persistent link: https://www.econbiz.de/10011432589
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Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
Persistent link: https://www.econbiz.de/10011432732
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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
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Nonparametric multiple change point analysis of the global financial crisis
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10009767007
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Nonparametric multiple change point analysis of the global financial crisis
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10009772595
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Financial dependence analysis : applications of vine copulae
Allen, David E.; Ashraf, Mohammad A.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009724821
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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
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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
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Financial dependence analysis : applications of vine copulae
Allen, David E.; Ashraf, Mohammad A.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009711719
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A capital adequacy buffer model
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10010354388