Year of Publication | Title | Author(s) |
2013 | A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 | Allen, David E.; McAleer, Michael; Powell, Robert; Singh, Abhay K. |
2013 | A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500 | Allen, David E.; McAleer, Michael; Powell, Robert; Singh, Abhay K. |
2013 | Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression | Allen, David E.; Singh, Abhay K.; Powell, Robert J.; McAleer, Michael; Taylor, James; Thomas, Lyn |
2013 | Nonparametric Multiple Change Point Analysis of the Global Financial Crisis | Allen, David E.; McAleer, Michael; Powell, Robert J.; Singh, Abhay K. |
2013 | Financial Dependence Analysis: Applications of Vine Copulae | Allen, David E.; Ashraf, Mohammad A.; McAleer, Michael; Powell, Robert J.; Singh, Abhay K. |
2014 | Volatility Spillovers from Australia's Major Trading Partners across the GFC | Allen, David E.; McAleer, Michael; Powell, Robert J.; Singh, Abhay K. |
2014 | Risk Measurement and Risk Modelling using Applications of Vine Copulas | Allen, David E.; McAleer, Michael; Singh, Abhay K. |
2014 | Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series | Allen, David E.; McAleer, Michael; Singh, Abhay K. |
2014 | Hedge Fund Portfolio Diversification Strategies across the GFC | Allen, David E.; McAleer, Michael; Peiris, Shelton; Singh, Abhay K. |
2014 | European Market Portfolio Diversification Strategies across the GFC | Allen, David E.; McAleer, Michael; Powell, Robert J.; Singh, Abhay K. |
2015 | Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies | Allen, David E.; McAleer, Michael; Peiris, Shelton; Singh, Abhay K. |
2015 | Multivariate Volatility Impulse Response Analysis of GFC News Events | Allen, David E.; McAleer, Michael; Powell, Robert; Singh, Abhay K. |
2015 | Daily Market News Sentiment and Stock Prices | Allen, David E.; McAleer, Michael; Singh, Abhay K. |
2016 | Down-side risk metrics as portfolio diversification strategies across the global financial crisis | Allen, David E.; McAleer, Michael; Powell, Robert J.; Singh, Abhay K. |
2016 | Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events | Allen, David E.; McAleer, Michael; Powell, Robert; Singh, Abhay K. |
2016 | An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series | Allen, David E.; McAleer, Michael; Singh, Abhay K. |
2016 | Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies | Allen, David E.; McAleer, Michael; Peiris, Shelton; Singh, Abhay K. |
2016 | A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices | Allen, David E.; Chang, Chia-Lin; McAleer, Michael; Singh, Abhay K. |
2017 | A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies | Allen, David E.; McAleer, Michael; Singh, Abhay K. |