David E. Allen

Available identifiers

Publication	Date of Publication	Type
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality	2023-03-09	Paper
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice	2022-06-03	Paper
Modelling tail credit risk using transition matrices	2021-02-15	Paper
Volatility spillovers from the Chinese stock market to economic neighbours	2021-02-15	Paper
Extreme market risk and extreme value theory	2021-02-15	Paper
Cointegrated dynamics for a generalized long memory process: application to interest rates	2020-09-03	Paper
Take it to the limit: innovative CVaR applications to extreme credit risk measurement	2016-10-07	Paper
Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks	2016-06-22	Paper
The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics	2014-03-27	Paper
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market	2009-06-18	Paper
Long-run underperformance of seasoned equity offerings: Fact or an illusion?	2008-06-18	Paper
https://portal.mardi4nfdi.de/entity/Q5756428	2007-09-04	Paper
https://portal.mardi4nfdi.de/entity/Q3378837	2006-04-04	Paper
Some statistical models for durations and an application to News Corporation stock prices	2005-08-05	Paper
Do UK stock prices deviate from fundamentals?	2004-03-14	Paper

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