Browsing by Author Powell, Robert John

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Showing results 1 to 16 of 16
Issue DateTitleAuthor(s)Citation
2015Aspects of Volatility and Correlations in European Emerging EconomiesAllen, David; Golab, Anna; Powell, Robert John; Mathematics & StatisticsAspects of Volatility and Correlations in European Emerging Economies in Emerging Markets and Sovereign Risk, Palgrave Macmillan, 2015, pp. 59-80
2016A capital adequacy buffer modelAllen, David; McAleer, M.; Powell, Robert John; Singh, Abhay; Mathematics & StatisticsA capital adequacy buffer model, Applied Economics Letters, vol.23, 3, 2016,pp 175-179
2013The contribution of foreign investors to price discovery in the Indonesian stock exchangeAllen, David; Powell, Robert John; Sudiman, Josephine; Mathematics & StatisticsThe contribution of foreign investors to price discovery in the Indonesian stock exchange, Annals of Financial Economics, vol.8, 2, 2013,pp 1-24
2016Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial CrisisAllen, David; McAleer, M J; Powell, Robert John; Singh, Abhay; Mathematics & StatisticsDown-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis, Journal of Risk and Financial Management, vol.9, 2, 2016,pp 1-18
2015Quantile regression, VaR and CVAR. An empirical beta comparison of the techniques in relation to credit riskAllen, David; Powell, Robert John; Singh, A K; Mathematics & StatisticsQuantile regression, VaR and CVAR. An empirical beta comparison of the techniques in relation to credit risk, Proceedings of the 21st International Congress on Modelling and Simulation (MODSIM2015), vol.N/A, 2015, pp. 1015-1021
2015Risk Management and RegulationAllen, David; Powell, Robert John; Singh, Abhay; Mathematics & StatisticsRisk Management and Regulation in Investment Risk Management, Oxford University Press, 2015, pp. 324-345
2017Tail dependence analysis of stock markets using extreme value theoryAllen, David; Powell, Robert John; Singh, Abhay; Mathematics & StatisticsTail dependence analysis of stock markets using extreme value theory, Applied Economics, vol.49, 45, 2017,pp 4588-4599
2016Take it to the limit: innovative CVaR applications to extreme credit risk measurementAllen, David; Powell, Robert John; Singh, Abhay; Mathematics & StatisticsTake it to the limit: innovative CVaR applications to extreme credit risk measurement, European Journal of Operational Research, vol.249, 2, 2016,pp 465-475
2014Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU EnlargementAllen, David; Golab, Anna; Powell, Robert John; Yap, G; Mathematics & StatisticsVolatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement in Emerging Markets and the Global Economy, Academic Press Elsevier, 2014, pp. 449-482
2014Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU EnlargementAllen, David; Golab, Anna; Powell, Robert John; Yap, G; Mathematics & StatisticsVolatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement in Emerging Markets and the Global Economy, Academic Press Elsevier, 2014, pp. 449-482
2014Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU EnlargementAllen, David; Golab, Anna; Powell, Robert John; Yap, G; Mathematics & StatisticsVolatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement in Emerging Markets and the Global Economy: A Handbook, Academic Press, 2014, pp. 449-482
2014Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU EnlargementAllen, David; Golab, Anna; Powell, Robert John; Yap, G; Mathematics & StatisticsVolatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement in Emerging Markets and the Global Economy: A Handbook, Academic Press, 2014, pp. 449-482
2014Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU EnlargementAllen, David; Golab, Anna; Powell, Robert John; Yap, G; Mathematics & StatisticsVolatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement in Emerging Markets and the Global Economy: A Handbook, Academic Press, 2014, pp. 449-482
2015A volatility impulse response analysis applying multivariate GARCH models and news events around the GFCAllen, David; McAleer, M J; Powell, Robert John; Singh, A K; Mathematics & StatisticsA volatility impulse response analysis applying multivariate GARCH models and news events around the GFC, Proceedings of the 21st International Congress on Modelling and Simulation (MODSIM2015), vol.N/A, 2015, pp. 1008-1014
2017Volatility spillover and multivariate volatility impulse response analysis of GFC news eventsAllen, David; McAleer, M J; Powell, Robert John; Singh, Abhay; Mathematics & StatisticsVolatility spillover and multivariate volatility impulse response analysis of GFC news events, Applied Economics, vol.49, 33, 2017,pp 3246-3262
2017Volatility Spillovers from Australia's major trading partners across the GFCAllen, David; McAleer, M J; Powell, Robert John; Singh, Abhay; Mathematics & StatisticsVolatility Spillovers from Australia's major trading partners across the GFC, International Review of Economics and Finance, vol.47, N/A, 2017,pp 159-175