Professor Dave Allen

F07 - Carslaw Building
The University of Sydney


Selected publications

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Books

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

Book Chapters

  • Golab, A., Allen, D., Powell, R. (2015). Aspects of Volatility and Correlations in European Emerging Economies. In Nigel Finch (Eds.), Emerging Markets and Sovereign Risk, (pp. 59-80). Basingstoke, UK: Palgrave Macmillan. [More Information]
  • Allen, D., McAleer, M., Singh, A. (2015). Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Real-Time High-Frequency Sentiment Series. In Greg N Gregoriou (Eds.), Handbook of High Frequency Trading, (pp. 327-344). London: Academic Press. [More Information]
  • Allen, D., Powell, R., Singh, A. (2015). Risk Management and Regulation. In H. Kent Baker, Greg Filbeck (Eds.), Investment Risk Management, (pp. 324-345). New York: Oxford University Press. [More Information]
  • Allen, D., Kalev, P., McAleer, M., Singh, A. (2014). Nonparametric Multiple Change-Point Analysis of the Responses of Asian Markets to the Global Financial Crisis. In David Lee Kuo Chuen, Greg N Gregoriou (Eds.), Handbook of Asian Finance: REITs, Trading, and Fund Performance, (pp. 267-284). San Diego, USA: Academic Press. [More Information]
  • Golab, A., Allen, D., Powell, R., Yap, G. (2014). Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement. In Mohammed Arouri, Sabri Boubaker, Duc Nguyen (Eds.), Emerging Markets and the Global Economy: A Handbook, (pp. 449-482). Oxford: Academic Press. [More Information]
  • Allen, D., Cheng, A., Comerton-Forde, C., Yang, J. (2008). Returns, Volatility, and Liquidity on the ASX - Undisclosed versus Disclosed limit Orders. In Lhabitant, F and Gregoriou, G (Eds.), Stock Market Liquidity - Implications for Market Microstructure and Asset Pricing, (pp. 227-245). New Jersey, USA: John Wiley & Sons.

Journals

  • Allen, D., Chang, C., McAleer, M., Singh, A. (2018). A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices. Applied Economics, 50(7), 804-823. [More Information]
  • Allen, D., McAleer, M. (2018). Fake news and indifference to scientific fact: President Trump�s confused tweets on global warming, climate change and weather. Scientometrics, 117, 625-629. [More Information]
  • Allen, D., McAleer, M. (2018). Fake news and indifference to scientific fact: President Trump�s confused tweets on global warming, climate change and weather. Scientometrics, 117(1), 625-629. [More Information]
  • Allen, D., Hooper, V. (2018). Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models. Sustainability, 10(8), Art 2695 - 1-Art 2695 - 15. [More Information]
  • Yatigammana, R., Peiris, M., Gerlach, R., Allen, D. (2018). Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants. Risks, 6(52), 1-22. [More Information]
  • Allen, D., McAleer, M., Powell, R., Singh, A. (2018). Non-Parametric Multiple Change Point Analysis of the Global Financial Crisis. Annals of Financial Economics, 13(2), 1850008 - 1-1850008 - 23. [More Information]
  • Allen, D., McAleer, M. (2018). President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change. Sustainability, 10, Article 2310 - 1-Article 2310 - 6. [More Information]
  • Allen, D., McAleer, M. (2018). Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management. Energies, 11(June 2018), 1627 -1-1627 - 19. [More Information]
  • Allen, D., McAleer, M., Singh, A. (2017). An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series. Applied Economics, 49(7), 677-692. [More Information]
  • Ng, K., Peiris, M., Chan, J., Allen, D., Ng, K. (2017). Efficient modelling and forecasting with range based volatility models and its application. North American Journal of Economics and Finance, 42, 448-460. [More Information]
  • Allen, D. (2017). Practical Aspects of R in Finance, Management Information and Decision Sciences. Journal of Management Information and Decision Sciences, 20(December 2017 - Special Issue), 1-10.
  • Allen, D., McAleer, M., Singh, A. (2017). Risk Measurement and Risk Modelling Using Applications of Vine Copulas. Sustainability, 9(10), 1-34. [More Information]
  • Singh, A., Allen, D., Powell, R. (2017). Tail dependence analysis of stock markets using extreme value theory. Applied Economics, 49(45), 4588-4599. [More Information]
  • Allen, D., McAleer, M., Powell, R., Singh, A. (2017). Volatility spillover and multivariate volatility impulse response analysis of GFC news events. Applied Economics, 49(33), 3246-3262. [More Information]
  • Allen, D., McAleer, M., Powell, R., Singh, A. (2017). Volatility Spillovers from Australia's major trading partners across the GFC. International Review of Economics and Finance, 47, 159-175. [More Information]
  • Allen, D., McAleer, M., Powell, R., Singh, A. (2016). A capital adequacy buffer model. Applied Economics Letters, 23(3), 175-179. [More Information]
  • Allen, D., McAleer, M., Powell, R., Singh, A. (2016). Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis. Journal of Risk and Financial Management, 9(2), 1-18. [More Information]
  • Allen, D., McAleer, M., Peiris, M., Singh, A. (2016). Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies. Risks, 4(7), 1-14. [More Information]
  • Allen, D., Powell, R., Singh, A. (2016). Take it to the limit: innovative CVaR applications to extreme credit risk measurement. European Journal of Operational Research, 249(2), 465-475. [More Information]
  • Allen, D., McAleer, M., Scharth, M. (2014). Asymmetric Realized Volatility Risk. Journal of Risk and Financial Management, 7(2), 80-109. [More Information]
  • Jeyasreedharan, N., Allen, D., Yang, J. (2014). Yet another ACD model: the autorgressive conditional directional duration (ACDD) model. Annals of Financial Economics, 9(1), 1-20. [More Information]
  • Allen, D., McAleer, M., Powell, R., Singh, A. (2013). A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500. Journal of Risk and Financial Management, 6, 6-30. [More Information]
  • Allen, D., Ng, K., Peiris, M. (2013). Estimating and simulating Weibull models of risk or price durations: An application to ACD models. North American Journal of Economics and Finance, 25, 214-225. [More Information]
  • Allen, D., Singh, A., Powell, R. (2013). EVT and tail-risk modelling: Evidence from market indices and volatility series. North American Journal of Economics and Finance, 26, 355-369. [More Information]
  • Singh, A., Allen, D., Powell, R. (2013). Extreme market risk and extreme value theory. Mathematics and Computers in Simulation, 94, 310-328. [More Information]
  • Allen, D., Ashraf, M., McAleer, M., Powell, R., Singh, A. (2013). Financial dependence analysis: applications of vine copulas. Statistica Neerlandica, 67(4), 403-435. [More Information]
  • Sudiman, J., Allen, D., Powell, R. (2013). The contribution of foreign investors to price discovery in the Indonesian stock exchange. Annals of Financial Economics, 8(2), 1-24. [More Information]
  • Allen, D., Ng, K., Peiris, M. (2013). The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics. Economics Letters, 120, 117-122. [More Information]
  • Allen, D., Amram, R., McAleer, M. (2013). Volatility spillovers from the Chinese stock market to economic neighbours. Mathematics and Computers in Simulation, 94, 238-257. [More Information]
  • Allen, D., Powell, R. (2012). The fluctuating default risk of Australian banks. Australian Journal of Management, 37(2), 297-325. [More Information]
  • Allen, D., Faff, R. (2012). The Global Financial Crisis: Some attributes and responses. Accounting and Finance, 52(1), 1-7. [More Information]
  • Yap, G., Allen, D. (2011). Investigating other leading indicators influencing Australian domestic tourism demand. Mathematics and Computers in Simulation, 81(7), 1365-1374. [More Information]
  • Allen, D., Lazarov, Z., McAleer, M., Peiris, M. (2009). Comparison of Alternative ACD Models via density and interval forecasts: Evidence from the Australian Stock Market. Mathematics and Computers in Simulation, 79(8), 2535-2555. [More Information]
  • Allen, D., Chan, F., McAleer, M., Peiris, M. (2008). Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks. Journal of Econometrics, 147(1), 163-185. [More Information]
  • Allen, D., Peiris, M., Yang, J. (2005). An examination of the role of time and its impact on price revision. Australian Journal of Management, 30(2), 283-301.
  • Peiris, M., Allen, D., Yang, W. (2005). Some statistical models for durations and an application to News Corporation stock prices. Mathematics and Computers in Simulation, 68(05-Jun), 549-556. [More Information]
  • Peiris, M., Allen, D., Thavaneswaran, A. (2004). An Introduction to Generalized Moving Average Models and Applications. Journal of Applied Statistical Science, 13(3), 251-267.

Conferences

  • Allen, D., McAleer, M., Powell, R., Singh, A. (2015). A volatility impulse response analysis applying multivariate GARCH models and news events around the GFC. MODSIM2015, 21st International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2015, Gold Coast: Modelling and Simulation Society of Australia and New Zealand Inc (MSSANZ).
  • Allen, D., Powell, R., Singh, A. (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. Modelling and Simulation Society of Australia and New Zealand, December 2015, Gold Coast: Modelling and Simulation Society of Australia and New Zealand Inc (MSSANZ).

2018

  • Allen, D., Chang, C., McAleer, M., Singh, A. (2018). A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices. Applied Economics, 50(7), 804-823. [More Information]
  • Allen, D., McAleer, M. (2018). Fake news and indifference to scientific fact: President Trump�s confused tweets on global warming, climate change and weather. Scientometrics, 117, 625-629. [More Information]
  • Allen, D., McAleer, M. (2018). Fake news and indifference to scientific fact: President Trump�s confused tweets on global warming, climate change and weather. Scientometrics, 117(1), 625-629. [More Information]
  • Allen, D., Hooper, V. (2018). Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models. Sustainability, 10(8), Art 2695 - 1-Art 2695 - 15. [More Information]
  • Yatigammana, R., Peiris, M., Gerlach, R., Allen, D. (2018). Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants. Risks, 6(52), 1-22. [More Information]
  • Allen, D., McAleer, M., Powell, R., Singh, A. (2018). Non-Parametric Multiple Change Point Analysis of the Global Financial Crisis. Annals of Financial Economics, 13(2), 1850008 - 1-1850008 - 23. [More Information]
  • Allen, D., McAleer, M. (2018). President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change. Sustainability, 10, Article 2310 - 1-Article 2310 - 6. [More Information]
  • Allen, D., McAleer, M. (2018). Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management. Energies, 11(June 2018), 1627 -1-1627 - 19. [More Information]

2017

  • Allen, D., McAleer, M., Singh, A. (2017). An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series. Applied Economics, 49(7), 677-692. [More Information]
  • Ng, K., Peiris, M., Chan, J., Allen, D., Ng, K. (2017). Efficient modelling and forecasting with range based volatility models and its application. North American Journal of Economics and Finance, 42, 448-460. [More Information]
  • Allen, D. (2017). Practical Aspects of R in Finance, Management Information and Decision Sciences. Journal of Management Information and Decision Sciences, 20(December 2017 - Special Issue), 1-10.
  • Singh, A., Allen, D. (2017). R in Finance and Economics: A Beginner's Guide. Singapore: World Scientific Publishing.
  • Allen, D., McAleer, M., Singh, A. (2017). Risk Measurement and Risk Modelling Using Applications of Vine Copulas. Sustainability, 9(10), 1-34. [More Information]
  • Singh, A., Allen, D., Powell, R. (2017). Tail dependence analysis of stock markets using extreme value theory. Applied Economics, 49(45), 4588-4599. [More Information]
  • Allen, D., McAleer, M., Powell, R., Singh, A. (2017). Volatility spillover and multivariate volatility impulse response analysis of GFC news events. Applied Economics, 49(33), 3246-3262. [More Information]
  • Allen, D., McAleer, M., Powell, R., Singh, A. (2017). Volatility Spillovers from Australia's major trading partners across the GFC. International Review of Economics and Finance, 47, 159-175. [More Information]

2016

  • Allen, D., McAleer, M., Powell, R., Singh, A. (2016). A capital adequacy buffer model. Applied Economics Letters, 23(3), 175-179. [More Information]
  • Allen, D., McAleer, M., Powell, R., Singh, A. (2016). Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis. Journal of Risk and Financial Management, 9(2), 1-18. [More Information]
  • Allen, D., McAleer, M., Peiris, M., Singh, A. (2016). Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies. Risks, 4(7), 1-14. [More Information]
  • Allen, D., Powell, R., Singh, A. (2016). Take it to the limit: innovative CVaR applications to extreme credit risk measurement. European Journal of Operational Research, 249(2), 465-475. [More Information]

2015

  • Allen, D., McAleer, M., Powell, R., Singh, A. (2015). A volatility impulse response analysis applying multivariate GARCH models and news events around the GFC. MODSIM2015, 21st International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2015, Gold Coast: Modelling and Simulation Society of Australia and New Zealand Inc (MSSANZ).
  • Golab, A., Allen, D., Powell, R. (2015). Aspects of Volatility and Correlations in European Emerging Economies. In Nigel Finch (Eds.), Emerging Markets and Sovereign Risk, (pp. 59-80). Basingstoke, UK: Palgrave Macmillan. [More Information]
  • Allen, D., McAleer, M., Singh, A. (2015). Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Real-Time High-Frequency Sentiment Series. In Greg N Gregoriou (Eds.), Handbook of High Frequency Trading, (pp. 327-344). London: Academic Press. [More Information]
  • Allen, D., Powell, R., Singh, A. (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. Modelling and Simulation Society of Australia and New Zealand, December 2015, Gold Coast: Modelling and Simulation Society of Australia and New Zealand Inc (MSSANZ).
  • Allen, D., Powell, R., Singh, A. (2015). Risk Management and Regulation. In H. Kent Baker, Greg Filbeck (Eds.), Investment Risk Management, (pp. 324-345). New York: Oxford University Press. [More Information]

2014

  • Allen, D., McAleer, M., Scharth, M. (2014). Asymmetric Realized Volatility Risk. Journal of Risk and Financial Management, 7(2), 80-109. [More Information]
  • Allen, D., Kalev, P., McAleer, M., Singh, A. (2014). Nonparametric Multiple Change-Point Analysis of the Responses of Asian Markets to the Global Financial Crisis. In David Lee Kuo Chuen, Greg N Gregoriou (Eds.), Handbook of Asian Finance: REITs, Trading, and Fund Performance, (pp. 267-284). San Diego, USA: Academic Press. [More Information]
  • Golab, A., Allen, D., Powell, R., Yap, G. (2014). Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement. In Mohammed Arouri, Sabri Boubaker, Duc Nguyen (Eds.), Emerging Markets and the Global Economy: A Handbook, (pp. 449-482). Oxford: Academic Press. [More Information]
  • Jeyasreedharan, N., Allen, D., Yang, J. (2014). Yet another ACD model: the autorgressive conditional directional duration (ACDD) model. Annals of Financial Economics, 9(1), 1-20. [More Information]

2013

  • Allen, D., McAleer, M., Powell, R., Singh, A. (2013). A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500. Journal of Risk and Financial Management, 6, 6-30. [More Information]
  • Allen, D., Ng, K., Peiris, M. (2013). Estimating and simulating Weibull models of risk or price durations: An application to ACD models. North American Journal of Economics and Finance, 25, 214-225. [More Information]
  • Allen, D., Singh, A., Powell, R. (2013). EVT and tail-risk modelling: Evidence from market indices and volatility series. North American Journal of Economics and Finance, 26, 355-369. [More Information]
  • Singh, A., Allen, D., Powell, R. (2013). Extreme market risk and extreme value theory. Mathematics and Computers in Simulation, 94, 310-328. [More Information]
  • Allen, D., Ashraf, M., McAleer, M., Powell, R., Singh, A. (2013). Financial dependence analysis: applications of vine copulas. Statistica Neerlandica, 67(4), 403-435. [More Information]
  • Sudiman, J., Allen, D., Powell, R. (2013). The contribution of foreign investors to price discovery in the Indonesian stock exchange. Annals of Financial Economics, 8(2), 1-24. [More Information]
  • Allen, D., Ng, K., Peiris, M. (2013). The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics. Economics Letters, 120, 117-122. [More Information]
  • Allen, D., Amram, R., McAleer, M. (2013). Volatility spillovers from the Chinese stock market to economic neighbours. Mathematics and Computers in Simulation, 94, 238-257. [More Information]

2012

  • Allen, D., Powell, R. (2012). The fluctuating default risk of Australian banks. Australian Journal of Management, 37(2), 297-325. [More Information]
  • Allen, D., Faff, R. (2012). The Global Financial Crisis: Some attributes and responses. Accounting and Finance, 52(1), 1-7. [More Information]

2011

  • Yap, G., Allen, D. (2011). Investigating other leading indicators influencing Australian domestic tourism demand. Mathematics and Computers in Simulation, 81(7), 1365-1374. [More Information]

2009

  • Allen, D., Lazarov, Z., McAleer, M., Peiris, M. (2009). Comparison of Alternative ACD Models via density and interval forecasts: Evidence from the Australian Stock Market. Mathematics and Computers in Simulation, 79(8), 2535-2555. [More Information]

2008

  • Allen, D., Chan, F., McAleer, M., Peiris, M. (2008). Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks. Journal of Econometrics, 147(1), 163-185. [More Information]
  • Allen, D., Cheng, A., Comerton-Forde, C., Yang, J. (2008). Returns, Volatility, and Liquidity on the ASX - Undisclosed versus Disclosed limit Orders. In Lhabitant, F and Gregoriou, G (Eds.), Stock Market Liquidity - Implications for Market Microstructure and Asset Pricing, (pp. 227-245). New Jersey, USA: John Wiley & Sons.

2005

  • Allen, D., Peiris, M., Yang, J. (2005). An examination of the role of time and its impact on price revision. Australian Journal of Management, 30(2), 283-301.
  • Peiris, M., Allen, D., Yang, W. (2005). Some statistical models for durations and an application to News Corporation stock prices. Mathematics and Computers in Simulation, 68(05-Jun), 549-556. [More Information]

2004

  • Peiris, M., Allen, D., Thavaneswaran, A. (2004). An Introduction to Generalized Moving Average Models and Applications. Journal of Applied Statistical Science, 13(3), 251-267.

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