Publications
Publications, working papers and conference papers from FEMARC's projects in the past five years.
Chapters in books
D.E. Allen, L.K. Lim and T. Winduss, (2007) “AUSFTA and its implications for the Stock Markets in the Pacific Basin Countries”, chapter in, Regionalism, Trade and Economic Development in the Asia-Pacific Region, Ed. M.A.B. Siddique, Edward Elgar, ISBN 971845425036 Cheltenham, UK.
Allen, D. and Soongswang, A. (2008). “Takeovers and Shareholder Value Creation on the Stock Exchange of Thailand”, chapter in; Asia-Pacific Financial Markets: Integration, Innovation and Challenges, Ed. S-J. Kim and M.D. Mckenzie, Elsevier, Amsterdam, ISBN: 978-0-7623 -1471-3, pp.347-370.
D.E. Allen, Alexander Shu-Sing Cheng, Carole Comerton-Forde and Joey Wenling Yang, (2008), “Returns, Volatility and liquidity on the ASX: Undisclosed vs. Disclosed Limit Orders” Chapter 12 in; Market Liquidity, Ed. G. Gregorious and F-S. Lhabitant, John Wiley, New York, ISBN, 978-0-470-18169-0 pp. 227-245
D.E. Allen and R. Powell, “STRUCTURAL CREDIT MODELLING AND ITS’ RELATIONSHIP TO MARKET VALUE AT RISK: AN AUSTRALIAN SECTORAL PERSPECTIVE” Chapter 19 in, The VaR Implementation Handbook, Edited G. Gregoriou, McGraw-Hill (2009), ISBN: 978-0-07-161513-6, pp. 403-414.
D.E. Allen and M. Scarth, "Modelling the Volatility of the FTSE100 index using High Frequency Data Sets," Chapter 22, Stock Market Volatility, Edited G. Gregoriou, Chapman-Hall, CRC Finance Series, London, (2009) ISBN: 13-978-1-4200-9954-6, pp: 419-437.
D.E. Allen and J. Chimhini, “The World Price of Covariance Risk with Respect to Emerging Markets”, EMERGING MARKETS: PERFORMANCE, ANALYSIS AND INNOVATION, G.N. Gregoriou (ed.) Chapman-Hall/Taylor and Francis London, CRC Finance Series, London, (2009) ISBN: 978-1-0448-3, pp:117-146
Forthcoming:
D.E. Allen and R. Powell, “Bank Default Risk in the US and the UK”, Chapter in; Banking Crises, G.N. Gregoriou (ed.) Chapman-Hall/Taylor and Francis London, UK (2010)
D. E. Allen and L. DeMello, "Forecasting the Equity Premium in the Australian Market”, Forthcoming; Advances in Financial Planning and Forecasting (AIAPF) Elsevier (2010)
D.E. Allen and L. Demello, “The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context”, Econometrics Volume, McGraw-Hill (2010).
Publications in Refereed Journals
W. Yang and D.E. Allen, “Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets”, Accounting and Finance, Blackwell Publishing, 45 (2005) pp.301-321.
S. Peiris, D.E. Allen and W. Yang, “Some Statistical Models for durations and an application to News Corporation Prices”, Mathematics and Computers in Simulation, (2005) 68, pp.549-556.
D.E. Allen and H. Salim, “Forecasting Profitability and Earnings: A study of the UK Stock Market (1982-2000)”, Applied Economics, Routledge, (2005) Vol 37, No 17, pp.2009-2018.
D.E. Allen, S. Peiris and W. Yang, “An Examination of the Role of Time and its Impact on Price Revision”, Australian Journal of Management, (2005), Vol 30, N0 2, pp.283-302.
D.E. Allen and V. Soucik, “Benchmarking Australian Fixed Interest Fund Performance: Finding the Optimal Factors”, Accounting and Finance, (2006), Vol 46, 5, pp. 865-898.
D.E. Allen, B. Veiga and M. McAleer, “Modelling and forecasting dynamic VaR thresholds for risk management and regulation”, Risk Letters, 1(3), 2006 (with D.E. Allen and B. Veiga).
D.E. Allen and J. Parwada, “Investors Response to Mutual Fund Mergers”, International Journal of Managerial Finance, (2006) Vol 2, No 2, pp.121-135.
D.E. Allen and A. Soongswang, “Post-Takeover Effects on Thai Bidding Firms: are Takeovers in the Bidder’s Interests?” Review of Pacific Basin Financial Markets and Policies, Vol 9, No 4, (2006), pp.509-531.
D.E. Allen, Z. Lazarov and M. McAleer, “Modelling Intra-day Seasonality and Forecasting Densities in Financial Duration Data”, Journal of Financial Forecasting”, (2007), Vol 1, No 1, 45-69
D.E. Allen, F. Chan, M. McAleer, and S. Peiris, (2008) “Finite Sample Properties of the QMLE for the Log-ACD model: Applications to Australian Stocks”, Journal of Econometrics, 147, pp.163-185.
J. Gao, M. McAleer and D.E. Allen, (2008) “Econometric Modelling in Finance and Risk Modelling: an Overview”, Journal of Econometrics, 147, pp.1-4.
D.E. Allen and V. Soucik, “Long-run underperformance of seasoned equity offerings: Fact or an illusion?”, Mathematics and Computers in Simulation, Vol 78, 2-3, pp. 146-154.
D.E.Allen, J. Gao and M. McAleer, (2009) Modelling and Managing Financial Risk: An Overview”, Mathematics and Computers in Simulation, Vol 79, 8. pp.2521-2524
D.E.Allen, Z. Lazarov, M. Mcaleer and S. Peiris, (2009) “Comparison of Alternative ACD models via density and interval forecasts: Evidence from the Australian Stock Market”, Mathematics and Computers in Simulation, Vol 79, 8. pp.2535-2555
D.E. Allen, G.C. Yap and R. Shareef, (2009) "Modelling interstate tourism demand in Australia: A cointegration approach" Mathematics and Computers in Simulation. Vol 79, 9, pp.2733-2744.
David E. Allen, and R Powell, (2009), “Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective” Accounting and Finance, Wiley Interscience, Vol 49, 3, pp.425-444.
D.E. Allen, P. Gerrans, R. Powell, and A. Kumar Singh, (2009)“Quantile regression: its application in investment analysis”, The FINSIA Journal of Applied Finance,Jassa,Issue 4, pp. pp. 7-12
Conference Proceedings
Sato, K., Allen, D. & Zhang, Z.Y , “A Monetary Union in East Asia: What does the Common Cycles Approach Tell?”. In Oxley, L. and Kulasiri, D. (eds) MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2007, pp.1007-1012.
D.E. Allen, R. Shareef, and G. Yap, “In Modelling Interstate Tourism Demand in Australia: A Cointegration Approach”.In Oxley, L. and Kulasiri, D. (eds) MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2007, pp.1920-1926.
D.E.Allen, and V. Soucik, “The Performance of Seasoned Equity Issues in a Risk-Adjusted Environment?” In Oxley, L. and Kulasiri, D. (eds) MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2007, pp. 1835-1842. ISBN : 978-0-9758400-4-7.
http:/www.mssanz.au/modsim07/Papers/DegreeofSite_s44_Basenet_.pdf
100. D.E. Allen and R.J. Powell, “Thoughts on VaR and CVaR, In Oxley, L. and Kulasiri, D. (eds) MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2007, pp.1843-1850. ISBN : 978-0-9758400-4-7.
http:/www.mssanz.au/modsim07/Papers/DegreeofSite_s44_Basenet_.pdf
D.E. Allen and G. Yap, “Investigating other leading indicators influencing Australian domestic tourism demand”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009
D.E. Allen and G. Yap, “Modelling Australian domestic tourism demand: A panel data approach”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009
D.E. Allen, M. McAleer and M. Scarth, “PRICING OPTIONS BY SIMULATION USING REALIZED VOLATILITY”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009
R. Powell and D.E. Allen, “CVaR and Credit Risk Measurement”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009
J. Yong, D.E. Allen, and L.K. Lim, “AREIT returns from 1990 – 2008: A multi-factor approach” 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009
D.E. Allen and J. Sudiman, “Does tick size change improve liquidity provision?Evidence from the Indonesia Stock Exchange”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009
D.E. Allen and I. Bujang, “Stock Returns and Equity Premium Evidence Using Dividend Price Ratios and Dividend Yields in Malaysia” 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009
D.E. Allen and I. Bujang, “Conditional Beta Capital Asset Pricing Model (CAPM) and Duration Dependence Tests”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009
Other staff papers:
L. Lim, "Is There an ASEAN Convergence Club?", Proceedings of the International Congress on Modelling and Simulation, Vol. 2, edited by L. Oxley, M. McAleer and F. Scrimgeour, University of Waikato, Hamilton, New Zealand, 1999, pp. 375-380 (with M. McAleer).
L. Lim, "Is Singapore Catching Up Technologically to the USA?", Proceedings of the International Congress on Modelling and Simulation, Vol. 2, edited by L. Oxley, M. McAleer and F. Scrimgeour, University of Waikato, Hamilton, New Zealand, 1999, pp. 381-386 (with M. McAleer).
L. Lim, "Economic Growth in Malaysia: Is It Exogenous Or Endogenous?", in Proceedings of the International Congress on Modelling and Simulation, Vol. 3, edited by A.D. McDonald and M. McAleer, University of Tasmania, Hobart, 1997, pp. 1299-1304.
L. Lim, "Economic growth and technological catching up by Singapore to the USA", to appear in Mathematics and Computers in Simulation (with M. McAleer).
S. Li, An empirical study of Australian short-term interest rates: a comparison of single factor model, 2000, submitted.
S. Li, A valuation model for firms with stochastic earnings, 2000, submitted. S. Li, On a degenerate parabolic equation with singular convection. Non-linear Analysis T.M.&A., Vol. 27, No. 1, 1997.
S. Li, The parameter dependence of the coefficient in a model for constant-pressure steam injection in soil. Mathematical Models and Methods in Applied Sciences, Vol. 7, No. 5, 593-612, 1997 (with B.H. Gilding).
S. Li, Fourier series solution for an unsaturated flow with extraction. Mathematica Applicata, 10 (4), 71-75, 1997.
S. Li, A free boundary problem in bedform evolution of alluvial river system. Journal of Tsinghua Science and Technology, Vol. 2, No. 4, 1997 (with Yang Tiesheng).
S. Li, Closed-form solution for a moving boundary problem.Journal of Tsinghua Science and Technology, Vol. 3, No. 4, 1233-1235, 1998 (with G. Sweers).