FEMARC

• Tail Risk for Australian Emerging Market Entities (PDF File, 181.0 KB)
  Authors: D. E. Allen, A. R. Kramadibrata, R. J. Powell and A. K. Singh
  Date published: November 2011
• Optimising a Mining Portfolio Using CVaR (PDF File, 185.6 KB)
  Authors: D. E. Allen, A. R. Kramadibrata, R. J. Powell and A. K. Singh
  Date published: November 2011
• A Quantile Analysis of Default Risk for Speculative and Emerging Companies (PDF File, 271.7 KB)
  
  Authors: D. E. Allen, A. R. Kramadibrata, R. J. Powell and A. K. Singh
  Date published: November 2011
• Comparing Australian and US Corporate Default Risk using Quantile Regression (PDF File, 384.0 KB)
  Authors: D. E. Allen, A. R. Kramadibrata, R. J. Powell and A. K. Singh 
  Date published: November 2011
• Survival of the fittest: contagion as a determinant of Canadian and Australian bank risk (PDF File, 119.9 KB)
  Authors: D. E. Allen, R. R. Boffey & R. Powell
  Date published: October 2011
• A Quantile Monte Carlo approach to measuring extreme credit risk (PDF File, 149.8 KB)
  Authors: D. E. Allen, R. R. Boffey & R. Powell
  Date published: October 2011
• Peas in a pod: Canadian and Australian banks before and during a Global Financial Crisis (PDF File, 159.6 KB)
  Authors: D. E. Allen, R. R. Boffey & R. Powell
  Date published: October 2011
• Asset selection using Factor Model and Data Envelope Analysis - A Quantile Regression approach (PDF File, 478.3 KB)
  Authors: Abhay Kumar Singh and David E Allen
  Date published: October 2010
• Credit Risk and Real Capital: An Examination of Swiss Banking Sector Default Risk Using CVaR (PDF File, 595.4 KB)
  Authors: R. Powell and D. E. Allen
  Date published: October 2010
• CAViaR and the Australian Stock Markets: An Appetiser (PDF File, 481.0 KB)
  Authors: D. E. Allen and A. K. Singh
  Date published: September 2010
• The Fluctuating Default Risk of Australian Banks (PDF File, 524.9 KB)
  Authors: D. E. Allen and R. Powell
  Date published: September 2010
• Volatility and correlations for stock markets in the emerging economies (PDF File, 596.5 KB)
  Authors: D. E. Allen, A. Golab and R. Powell
  Date published: June 2010
• Minimizing Loss at Times of Financial Crisis: Quantile Regression as a Tool for Portfolio Investment Decisions (PDF File, 2.2 MB)
  Authors: David E. Allen and Abhay Kumar Singh
  Date published: October 2009
• Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis (PDF File, 1.0 MB)
  Authors: David E. Allen, Abhay Kumar Singh and Robert Powell
  Date published: October 2009
• Modelling Australian Domestic Tourism Demand: A Panel Data Approach (PDF File, 103.4 KB)
  Authors: David E. Allen and Ghialy Yap
  Date published: October 2009
• Investigating other leading indicators influencing Australian domestic tourism demand (PDF File, 97.8 KB)
  Authors: David E. Allen and Ghialy Yap
  Date published: October 2009
• Stock Returns and Equity Premium Evidence Using Dividend Price Ratios and Dividend Yields in Malaysia (PDF File, 132.3 KB)
  Authors: David E. Allen and Imbarine Bujang
  Date published: September 2009
• Conditional Beta Capital Asset Pricing Model (CAPM) and Duration Dependence Tests (PDF File, 97.7 KB)
  Authors: David E. Allen and Imbarine Bujang
  Date published: September 2009
• Does Tick Size Change Improve Liquidity Provision? Evidence from the Indonesia Stock Exchange (PDF File, 128.6 KB)
  Authors: David E. Allen and Josephine Sudiman
  Date published: September 2009
• CVaR and Credit Risk Measurement (PDF File, 364.1 KB)
  Authors: Robert J. Powell and David E. Allen
  Date published: August 2009
• A Multi-Factor Analysis of AREIT Returns (PDF File, 131.1 KB)
  Author: Jaime L.P. Yong, David E. Allen and Lee K. Lim
  Date published: August 2009
• A Semiparametric Approach to a Nonlinear ACD Model (PDF File, 3.1 MB)
  Authors: Pipat Wongsaart, Jiti Gao and David E. Allen
  Date published: June 2009
• Pricing Options by Simulation Using Realized Volatility (PDF File, 1.2 MB)
  Authors: David E. Allen, Michael McAleer and Marcel Scharth
  Date published: May 2009
• Fitting Weibull ACD Models to High Frequency Transactions Data: A Semi-parametric Approach based on Estimating Functions (PDF File, 123.8 KB)
  Authors: Kok Haur Ng, David E. Allen and Shelton Peiris
  Date published: March 2009