Publication Search Results

Exact matches for:

• Author = Allen DE     [web profile page]

51. Allen DE, Kalev PS, McAleer M, Singh AK
David E Allen, Petko S Kalev, Michael J McAleer, and Abhay K Singh: Nonparametric Multiple Change-Point Analysis of the Responses of Asian Markets to the Global Financial Crisis, Handbook of Asian Finance REITS, Trading and Fund Performance, Elsevier, Oxford, UK, (2014), 267–284. ISBN 978-0-12-800986-4.

52. Golab A, Allen DE, Powell RJ, Yap G
A.Golab, D.E.Allen, R.Powell, G.Yap: Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement, Emerging Markets and the Global Economy, ELSEVIER - Academic Press, Oxford, OX5 1GB, UK, (2014), 449–482. ISBN 978-0-12-411459-1.

53. Sudiman J, Allen DE, Powell RJ
Josephine Sudiman, David Edmund Allen, Robert John Powell: The contribution of foreign investors to price discovery in the Indonesian stock exchange, Annals of Financial Economics, 8 (2013), no. 2, 1350008.

54. Allen DE, McAleer M, Powell RJ, Singh AK
David E Allen, Michael McAleer, Robert Powell and Abhay K Singh: A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500, Journal of Risk and Financial Management, 6 (2013), no. Open Access, 6–30.

55. Sudiman J, Allen DE, Powell RJ
Josephine Sudiman, David Edmund Allen and Robert John Powell: The contribution of foreign invesotrs to price discovery in the Indonesian stock exchange, Annals of Financial Mathematics, 8 (2013), no. 2, 1350008(1)–1350008(24).

56. Allen DE, Ng KH, Peiris MS
David Allen , K.H. Ng , Shelton Peiris: Estimating and simulating Weibull models of risk or price durations: An application to ACD models, North American Journal of Economics and Finance, 25 (2013), 214–225.

57. Allen DE, Ng KH, Peiris MS
David Allen, K.H. Ng , Shelton Peiris: The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics, Economics Letters, 120 (2013), 117–122.

58. Allen DE, Lazarov L, McAleer M, Peiris MS
D.E.Allen, L.Lazarov, M.McAleer, S.Peiris: Comparison of Alternative ACD Models via density and interval forecasts: Evidence from the Australian Stock Market, Mathematics and Computers in Simulation, 79 (2009), no. 8, 2535–2555. MR2531468

59. Allen DE, Chan F, McAleer M, Peiris MS
D. Allen, F. Chan, M. McAleer and S. Peiris: Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks, Journal of Econometrics, 147 (2008), 163–185. MR2472990

60. Allen DE, Peiris MS, Yang JW
David Allen, Shelton Peiris and Joey W Yang: An examination of the role of time and its impact on price revision, Australian Journal of Management, 30 (2005), no. 2, 283–301.

61. Peiris MS, Allen DE, Peiris U
Shelton Peiris, David Allen, Udara Peiris: Generalised autoregressive models with conditional heteroscedasticity: An application to financial time series modelling, Proceedings of the 2004 Workshop on Research Methods: Statistics and Finance, The 2004 Workshop on Research Methods: Statistics and Finance, Eric J Beh, Robert G Clark, J C W Rayner (eds.), University of Wollongong, Wollongong, (2005), 75–83. ISBN 1 74128 107 5.

62. Peiris MS, Allen DE, Yang W
Shelton Peiris, David Allen and Wenling Yang: Some statistical models for durations and an application to News Corporation stock prices, Mathematics and Computers in Simulation, 68 (2005), 549–556. MR2156401

63. Peiris MS, Allen DE, Thavaneswaran A
Shelton Peiris, David Allen and A. Thavaneswaran: An introduction to generalized moving average model and applications, Journal of Applied Statistical Science, 13 (2004), no. 3, 251–267. MR2162151

64. Peiris MS, Thavaneswaran A, Allen DE, Mellor R
M.S.Peiris, A.Thavaneswaran, D.Allen, R.Mellor: Applications of recursive estimation methods in statistical process control: a comparison, Statistical Methods, 5 (2003), no. 2, 172–183. MR2198742

65. Peiris MS, Allen DE, Yang W
Shelton Peiris, David Allen, and Wenling Yang: Some statistical models for durations and their applications in finance, Modsim, International Congress on Modelling and Simulation, 2003, Modelling and Simulation Society of Australia and New Zealand Inc., Australia, (2003), 1210–1214. ISBN 174052 098X.