## Browsing by Author Singh, Abhay

Showing results 1 to 12 of 12

Issue Date | Title | Author(s) | Citation |
---|---|---|---|

2016 | A capital adequacy buffer model | Allen, David; McAleer, M.; Powell, Robert John; Singh, Abhay; Mathematics & Statistics | A capital adequacy buffer model, Applied Economics Letters, vol.23, 3, 2016,pp 175-179 |

2016 | Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis | Allen, David; McAleer, M J; Powell, Robert John; Singh, Abhay; Mathematics & Statistics | Down-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 |

2017 | An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series | Allen, David; McAleer, M J; Singh, Abhay; Mathematics & Statistics | An 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 |

2017 | An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series | Allen, David; McAleer, M J; Singh, Abhay; Mathematics & Statistics | An 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 |

2015 | Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Real-Time High-Frequency Sentiment Series | Allen, David; McAleer, Michael; Singh, Abhay; Mathematics & Statistics | Machine 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 |

2016 | Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies | Allen, David; Peiris, Mahatelge Shelton; McAleer, Michael; Singh, Abhay; Mathematics & Statistics; Mathematics & Statistics | Nonlinear Time Series and Neural-Network Models
of Exchange Rates between the US Dollar and
Major Currencies, Risks, vol.4, 7, 2016,pp 1-14 |

2014 | Nonparametric Multiple Change-Point Analysis of the Responses of Asian Markets to the Global Financial Crisis | Allen, David; Kalev, Petko; McAleer, Michael; Singh, Abhay; Mathematics & Statistics; Business School Admin | Nonparametric 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 |

2015 | Risk Management and Regulation | Allen, David; Powell, Robert John; Singh, Abhay; Mathematics & Statistics | Risk Management and Regulation in Investment Risk Management, Oxford University Press, 2015, pp. 324-345 |

2017 | Tail dependence analysis of stock markets using extreme value theory | Allen, David; Powell, Robert John; Singh, Abhay; Mathematics & Statistics | Tail dependence analysis of stock markets using extreme value theory, Applied Economics, vol.49, 45, 2017,pp 4588-4599 |

2016 | Take it to the limit: innovative CVaR applications to extreme credit risk measurement | Allen, David; Powell, Robert John; Singh, Abhay; Mathematics & Statistics | Take it to the limit: innovative CVaR applications to extreme credit risk measurement, European Journal of Operational Research, vol.249, 2, 2016,pp 465-475 |

2017 | Volatility spillover and multivariate volatility impulse response analysis of GFC news events | Allen, David; McAleer, M J; Powell, Robert John; Singh, Abhay; Mathematics & Statistics | Volatility spillover and multivariate volatility impulse response analysis of GFC news events, Applied Economics, vol.49, 33, 2017,pp 3246-3262 |

2017 | Volatility Spillovers from Australia's major trading partners across the GFC | Allen, David; McAleer, M J; Powell, Robert John; Singh, Abhay; Mathematics & Statistics | Volatility Spillovers from Australia's major trading partners across the GFC, International Review of Economics and Finance, vol.47, N/A, 2017,pp 159-175 |