Browsing by Author Singh, Abhay

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Showing results 1 to 12 of 12
Issue DateTitleAuthor(s)Citation
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
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
2017An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment seriesAllen, David; McAleer, M J; Singh, Abhay; Mathematics & StatisticsAn entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series, Applied Economics, vol.49, 7, 2017,pp 677-692
2017An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment seriesAllen, David; McAleer, M J; Singh, Abhay; Mathematics & StatisticsAn entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series, Applied Economics, vol.49, 7, 2017,pp 677-692
2015Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Real-Time High-Frequency Sentiment SeriesAllen, David; McAleer, Michael; Singh, Abhay; Mathematics & StatisticsMachine News and Volatility: The Dow Jones Industrial Average and the TRNA Real-Time High-Frequency Sentiment Series in Handbook of High Frequency Trading, Academic Press, 2015, pp. 327-344
2016Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major CurrenciesAllen, David; Peiris, Mahatelge Shelton; McAleer, Michael; Singh, Abhay; Mathematics & Statistics; Mathematics & StatisticsNonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies, Risks, vol.4, 7, 2016,pp 1-14
2014Nonparametric Multiple Change-Point Analysis of the Responses of Asian Markets to the Global Financial CrisisAllen, David; Kalev, Petko; McAleer, Michael; Singh, Abhay; Mathematics & Statistics; Business School AdminNonparametric Multiple Change-Point Analysis of the Responses of Asian Markets to the Global Financial Crisis in Handbook of Asian Finance: REITs, Trading, and Fund Performance, Academic Press, 2014, pp. 267-284
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
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