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Dr Abhay Singh

Dr Abhay Kumar-Singh is a Senior Lecturer and the Honours Coordinator in the School of Business and Law.

Current teaching

  • Investment Finance II
  • Capital Markets II
  • Honours Development

Awards and recognition

  • 2016 - Edith Cowan University School of Business & Law Dean’s Award for Early Career Researcher
  • 2016 - Markets and Services Research Centre (MASRC) Award for Research Excellence
  • 2015 - Edith Cowan University Faculty of Business & Law Dean’s Award for Early Career Researcher
  • 2011 - Edith Cowan University Research Medal
  • 2011 - Special Award for Outstanding Performance in Research (School of Accounting, Finance and Economics)
  • 2011 - Faculty of Business & Law Dean's List of High Achieving Graduates
  • 2010 - Edith Cowan University Post Graduate Research Scholarship (International) for Phd in Finance

Research areas and interests

  • Quantitative Methods in Finance & Economics
  • Applied Econometrics
  • Multivariate Statistics
  • Data Mining and Machine Learning
  • Social Media Analytics

Qualifications

  • Doctor of Philosophy, Edith Cowan University, 2011.
  • Bachelor of Technology in Information Technology, India, 2009.
  • Master of Business Administration, India, 2009.

Research

Recent Research Grants

  • An international comparison of the linkages between commercial property indices and Real Estate Investment Trusts,  Accounting and Finance Association of Australia and New Zealand,  AFAANZ - Grant,  2014 - 2015,  $10,000.
  • Modelling Multivariate Dependence Between Realized Volatilities Using Vine Copula Methods,  Edith Cowan University,  ECU Early Career Researcher Grant - 2013,  2013 - 2014,  $5,000.
  • Forecasting risk thresholds for portfolio management and regulation,  Australian Research Council,  Grant - Linkage (Projects),  2005 - 2012,  $265,270.

Recent Publications (within the last five years)

Books

  • Singh, AK., Allen, D., (2017), R in Finance and Economics A Beginner's Guide., 300, Singapore, World Scientific Publishing.

Book Chapters

  • Allen, D., McAleer, M., Singh, AK., (2015), Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Real-Time High-Frequency Sentiment Series. Handbook of High Frequency Trading, 327-344, Oxford UK, Elsevier.
  • Allen, D., Powell, R., Singh, AK., (2015), A Critique of Credit Risk Models with Evidence from Mid-Cap Firms. Quantitative Financial Risk Management: Theory and Practice, 296-311, Hoboken, John Wiley & Sons, DOI: 10.1002/9781119080305.
  • Allen, D., Kalev, P., McAleer, M., Singh, AK., (2014), 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 , 2(24), 267-284, Oxford, UK, Elsevier.
  • Allen, DE., Powell, R., Singh, AK., (2014), Risk Management and Regulation. Investment Risk Management, 324-345, New York, Oxford University Press.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK., (2013), Understanding the Regulation Impact: US Funds of Hedge Funds After the Crisis. Reconsidering Funds of Hedge Funds: the Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Diligence, 503-514, Oxford, UK, Academic Press.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK., (2013), A Panel-Based Quantile Regression Analysis of Funds of Hedge Funds. Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence, 261-272, Oxford, UK, Academic Press.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK., (2013), South African Regulatory Reforms of Funds of Hedge Funds. Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence, 525-536, Oxford, UK, Academic Press.
  • Allen, D., Singh, AK., Powell, R., (2012), Asset Selection Using a Factor Model and Data Envelopment Analysis - A Quantile Regression Approach. Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges, 443-455, Oxford, UK, Elsevier.

Journal Articles

  • Singh, AK., Powell, R., Allen, D., (2017), Tail dependence analysis of stock markets using extreme value theory. Applied Economics, 49(45), 4588-4599, Taylor & Francis, DOI: 10.1080/00036846.2017.1287858.
  • Powell, R., Vo, DH., Pham, T., Singh, AK., (2017), The long and short of commodity tails and their relationship to Asian equity markets. Journal of Asian Economics, 52(October 2017), 32-44.
  • Allen, DE., Powell, R., Singh, AK., (2016), Take it to the limit: Innovative CVaR applications to extreme credit risk measurement. European Journal of Operational Research, 249(2), 465-475, Elsevier, DOI: 10.1016/j.ejor.2014.12.017.
  • Allen, D., McAleer, M., Singh, AK., (2016), An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series. Applied Economics, 49(7), 677-692, Routledge, DOI: 10.1080/00036846.2016.1203067.
  • Allen, D., McAleer, M., Peiris, S., Singh, AK., (2016), Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies. Risks, 4(7), 14p., MDPI, DOI: 10.3390/risks4010007.
  • Allen, D., McAleer, M., Powell, R., Singh, AK., (2016), Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. Applied Economics, 49(33), 3246-3262, Routledge, DOI: 10.1080/00036846.2016.1257210.
  • Allen, D., McAleer, M., Powell, R., Singh, AK., (2016), Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis. Journal of Risk and Financial Management, 9(2), 18p., MDPI, DOI: 10.3390/jrfm9020006.
  • Allen, D., McAleer, M., Powell, R., Singh, AK., (2016), Volatility Spillovers from Australia's Major Trading Partners Across the GFC. International Review of Economics and Finance, 47(1 January 2017), 159-175, Elsevier, DOI: 10.1016/j.iref.2016.10.007.
  • Allen, DE., McAleer, M., Powell, R., Singh, AK., (2015), A capital adequacy buffer model. Applied Economics Letters, 23(3), 175-179, Abingdon, Oxon, United Kingdom, Routledge, DOI: 10.1080/13504851.2015.1061639.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK., (2013), Default Risk in the European Automotive Industry. International Review of Business Research Papers, 9(1), 22-37, Australia, World Business Institute.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK., (2013), Modelling tail credit risk using transition matrices. Mathematics and Computers in Simulation, 93(2013), 67-75, Netherlands, Elsevier BV, DOI: 10.1016/j.matcom.2012.09.011.
  • Allen, D., Ashraf, MA., McAleer, M., Powell, R., Singh, AK., (2013), Financial dependence analysis: applications of vine copulas. Statistica Neerlandica, 67(4), 403?435, Wiley, DOI: 10.1111/stan.12015.
  • Allen, D., Singh, AK., Powell, R., (2013), EVT and Tail-Risk Modelling: Evidence from Market Indices and Volatility Series. The North American Journal of Economics and Finance, 26(2013), 355?369, Netherlands, Elsevier, DOI: http://dx.doi.org/10.1016/j.najef.2013.02.010.
  • Allen, D., Singh, AK., Powell, R., (2013), Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions. Global Business and Economics Review, 15(1), 88-109, United Kingdom, Inderscience Enterprises, DOI: 10.1504/GBER.2013.050670.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK., (2013), Extreme Equities Risk in Emerging Markets. Global Review of Accounting and Finance, 4(1), 75-84, Australia, World Business Institute.
  • Singh, AK., Allen, D., Powell, R., (2013), Extreme market risk and extreme value theory. Mathematics and Computers in Simulation, 94(2013), 310-328, Netherlands, Elsevier BV, DOI: 10.1016/j.matcom.2012.05.010.
  • Allen, D., Boffey, R., Kramadibrata, A., Powell, R., Singh, AK., (2012), Thumbs Up to Parametric Measures of Relative VaR and CVaR in Indonesian Sectors. International Journal of Business Studies, 20(1), 27-42, Australia, Edith Cowan University.
  • Allen, D., Singh, AK., Powell, R., (2012), A Gourmet's Delight: CaViaR and the Australian Stock Market. Applied Economics Letters, 19(15), 1493-1498, DOI: 10.1080/13504851.2011.636017.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK., (2012), Identifying European Industries with Extreme Default Risk: Application of CVaR Techniques to Transition Matrices. World Review of Business Research, 2(6), 46-58.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK., (2012), Conditional Value at Risk Applications to the Global Mining Industry. Journal of Business and Policy Research, 7(3), 11-23.

Conference Publications

  • Do, A., Powell, R., Singh, AK., Yong, J., (2016), Selection of a Model for Exploring Cross Market Linkages: A Review of E-GARCH, Markov-switching Framework and Structural Break Models. Proceedings of the ECU Business Doctoral and Emerging Scholars Colloquium, 1-11, Perth, Australia, Edith Cowan University.
  • Cripps, H., Mejtoft, T., Singh, AK., (2016), The roll of Twitter in B2B Knowledge Exchange and Innovation. Research Papers on Knowledge, Innovation and Enterprise , 4(21-24 Jun, 2016), 27-46, online only, International Conference on Knowledge, Innovation & Enterprise.
  • Allen, D., Powell, R., Singh, AK., (2015), Quantile regression, VaR and CVAR. An empirical beta comparison of the techniques in relation to credit risk. MODSIM2015, 21st International Congress on Modelling and Simulation, 1015-1021, Australia, Modelling and Simulation Society of Australia and New Zealand.
  • Allen, DE., McAleer, M., Powell, R., Singh, AK., (2015), A volatility impulse response analysis applying multivariate GARCH models and news events around the GFC. MODSIM2015, 21st International Congress on Modelling and Simulation, 1008-1014, Australia, Modelling and Simulation Society of Australia and New Zealand.
  • Yong, J., Singh, AK., (2014), Interest rate risk of Australian REITs: A panel analysis. Proceedings from the PRRES Conference - 2014, 1 - 11, Pacific Rim Real Estate Society .
  • Allen, D., Boffey, R., Kramadibrata, A., Powell, R., Singh, AK., (2013), Primary sector volatility and default risk in Indonesia. Proceedings of the 20th International Congress on Modelling and Simulation (MODSIM2013), 1298-1304, www.mssanz.org.au/modsim2013, Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Powell, R., Singh, AK., (2013), A Dynamic Credit Ratings Model. Proceedings of the 20th International Congress on Modelling and Simulation (MODSIM2013), 1291 - 1297, www.mssanz.org.au, Modelling and Simulation Society of Australia and New Zealand.
  • Singh, AK., Allen, D., Powell, R., (2013), Intraday Volatility Forecast in Australian Equity Market. Proceedings of the 20th International Congress on Modelling and Simulation (MODSIM2013), 1312-1318, www.mssanz.org.au, Modelling and Simulation Society of Australia and New Zealand.
  • Yong, J., Singh, AK., (2013), Interest rate sensitivities of externally and internally managed Australian REITs. 20th International Congress on Modelling and Simulation Proceedings, 1319?1325, Adelaide, Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK., (2012), Fasten Your Seatbelts: A Credit Risk Perspective on European Car Manufacturers. Proceedings of 7th Annual London Business Research Conference, 12, Victoria, Australia, World Business Institute.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK., (2012), A Quantile Analysis of Default Risk for Speculative and Emerging Companies. Econometric Society Australasian Meeting 2012, 8, Canberra, ACT, Econometric Society Australasia.
  • Singh, AK., Allen, D., Powell, R., (2012), Risk and Dependence Analysis of Australian Stock Market - The Case of Extreme Value Theory. 25th Australasian Finance & Banking Conference Proceedings, 22, Rochester, NY, USA, SSRN eLibrary.
  • Allen, D., McAleer, M., Powell, R., Singh, AK., (2012), A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500. 25th Australasian Finance & Banking Conference Proceedings, 19, Rochester, NY, USA, SSRN eLibrary, DOI: http://dx.doi.org/10.2139/ssrn.2132065.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK., (2012), Enhancing Transition Matrices to Measure Extreme Credit Risk in Europe. Proceedings of Annual Paris Business and Social Sciences Conference, 11, Victoria, Australia, World Business Institute.
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