4a Cant Court Hillarys WA 6025 David Allen H +61(0)421257283 B [email protected] Curriculum Vitae http://www.dallenwapty.com

Personal Full name David Edmund Allen Date of Birth: 1/8/1948 Marital status: Married, three daughters, nine grandchildren

Nationality Australian and British Education Hons Degree 1966-1970 MA Hons Economics Hons Class (2:1) July 1970, St. Andrews University, St. Andrews, Scotland., Hons Degree Specialism in the History of Economic Thought.

M.Phil Thesis 1971–1973 M.Phil in the History of Economic Thought. (Full-time), Uni- versity of Leicester, Leicester, England. 1973-1977 M.Phil in the History of Economic Thought.(Part-time), Uni- versity of Leicester, Leicester, England. Title The thesis was titled “The Scottish Historical School: the Stadial Theory and the Development of Economic Liberalism - 1750-1800”.

Supervisor Supervised by the late Professor R.L. Meek. (See wikipedia entry http://en.wikipedia.org/wiki/Ronald_L._Meek. Description The thesis addressed the prevalence of the use of the law of the heterogeneity of ends (un-intended consequences) in 18th Century economic, social and historical thought. The most famous example of which is Smith’s ’Invisible Hand’, but it was also prevalent in theories of historical and social development. The thesis explored the links between 18th Century deism, Newtonian physics and the application of this concept across economic, social, legal and historical studies with particular reference to 18th Century Scottish thought.

1/69 PhD thesis 1987–1996 PhD in finance (part-time) , University of Western Australia, Perth, Western Australia.. Title The thesis was titled “titled "The Determinants of Company Financial Policy Decisions: Some Evidence from Australia, Britain and Japan". Supervisors Supervised by the Emeritus Professor Philip Brown and Emeritus Professor H.Y Izan. Description The thesis, undertaken by a series of publications, explored the deter- minants of financial policy decisions in Australia, Britain and Japan; in effect the determinants of investment, capital stucture and dividend decisions. The research used a variety of research techniques including field interviews, questionaire surveys (in English and Japanese) and cross-sectional regression analyses of balance sheet data. Particular attention was paid to exploring the roles of pecking order behaviour, information asymmetry and signalling. Experience: current appointments January 2018 Honorary Professor, Department of Finance, Asia University, Taiwan.

July 2013 Honorary Professor, Department of Mathematics and Statistics, The University of Sydney, Australia.

July 2013 Honorary Professor, School of Business and Law, Edith Cowan University, Australia.

January Australian Reader, Australian Research Council (ARC), mem- 2005–current ber of panel of assessors assessing Finance research grant applications. .

Previous appointments 2013–2016 Honorary Professor, Centre for Applied Financial Studies, University of South Australia.

1996–2013 Foundation Professor of Finance, School of Economics and Finance, Edith Cowan University.

2003–2005 International Reader Australian Research Council, member of panel of assessors assessing Finance research grant applications.

2/69 1999–2001 Associate Dean, Research and Higher Degrees, Edith Cowan University.

1992-1996 Challenge Bank Professor of Finance, Curtin University of Tech- nology, Perth, Western Australia.

October 1987 Senior Lecturer, Department of Accounting and Finance, University to February of Western Australia, Australia. 1992

January 1986 - Lecturer, Department of Accounting and Finance,, University September of Western Australia.. 1987 October 1979- Lecturer, Department of Business Studies, University of January 1986 Edinburgh. Teaching duties included a final Honours year Corporate Finance course 2/3rd year undergraduate course in Business Finance and Investmentand Business Finance and Investment on the MBA Programme July 1984 - ”Visiting Fellow in Finance” , Western Australian College of Ad- December 1984 vanced Education , Teaching duties included Corporate Finance and Investments in the final years of the Accounting and Finance degrees and on the Graduate Diploma in Finance, Australia.

January 1975 - Department of Economics and Accounting , Leicester Polytech- September nic (De Montfort University) , Leicester, England , Teaching duties: 1979 Business Finance, Micro-economics, Managerial Economics . Administrative duties: Course tutor. BA Business Studies Degree.

August 1974 - Temporary English Teacher, Lancaster Boys School, Leicester, December 1974 England. October Research Assistant, National Institute of Economic and Social Re- 1973-June 1974 search, NIESR, London, http://www.niesr.ac.uk. assisting Professor S.J. Prais The project investigated long-term trends in the industrial structure of UK Manufacturing Industry, Published as:, The evolution of giant firms in Britain : a study of the growth of concentration in manufac- turing industry in Britain, 1909-70, S.J Prais. Cambridge University Press, 1976 Awards November 1999 Edith Cowan Postgraduate Students’ Association Award, the "Best Supervisor" in the Faculty of Business plus, a second award from the same body, "Excellence in Research Leadership".

3/69 November 2000 Edith Cowan Postgraduate Students’ Association Award for, "Excellence in Supervision" in the Faculty of Business, second award from the same body for "Excellence in Research Leadership", .

November 2002 Edith Cowan Postgraduate Students’ Association Award for the "Excellence in Supervision" in the Faculty of Business , a second award from the same body for, "Excellence in Research Leadership". December 2005 the Dean’s Award for Research Excellence for 2005, Faculty of Business and Law , dith Cowan University. December 2010 received the Dean’s Award for Research Excellence for 2010, Faculty of Business and Law, Edith Cowan University. October 2001 Fellow (F.Fin) Financial Services Institute of Australia. November 2014 Fellow (FMSSANZ) Modelling and Simulation Society of Aus- tralia and New Zealand. June 2014 Fellow (FIETI) International Engineering and Technology In- stitute. (http://www.ieti.net). January 2018 Member of Institute of Data Science and Artificial Intelli- gence (IDSAI). (http://www.idsai.org). January 2018 Member of International Association for Decision Sciences and Business (IADSB). (http://www.iadsb.org). January 2018 Member of International Research Institute for Economics and Management (IRIEM) . (http://www.iriem.org). Languages English Native French Basic Computer skills OS Windows Programming scripting, R Scientific R, GRETL, RATS, Microfit, Eviews typography LATEX, Lyx, TeXstudio, Web design Seamonkey, Trellian, html

4/69 Home pages { Personal research webpage http://www.dallenwapty.com { Additional home page http://https://sites.google.com/site/professordeallen/home { SSRN authors page http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=92569 { ECON Papers http://econpapers.repec.org/RAS/pal66.htm Interests Sports surfing, cycling and sailing, hill walking. Travelling I enjoy travelling around the world. Membership of professional societies I am/have been a member of the following societies: { The American Finance Association - 1980 to 2005. { The Accounting and Finance Association of Australia and New Zealand - 1986 to 2013. { The Econometrics Society, Australasian Branch. { The Economic Society of Australia, 1999 to 2006. { The New York Academy of Sciences, 1999 to 2003. { I was a member of the Edinburgh-Stirling Finance and Investment Seminar Group from 1979-1986. I served, by invitation, as a member of the organising committee from October 1980 to October 1982. { Fellow of the Australasian Institute of Banking and Finance, October 2001 (FAIBF). This has become FINSIA (Financial Services Institute of Australia (2005) of which I am now a Fellow F.Fin. { Fellow of the Modelling and Simulation Society of Aus- tralia and New Zealand (MSSANZ) (November 2014). (http://www.mssanz.org.au/awards/fellows.html). { Fellow of the International Institute of Engineering and Technology. (http://www.ieti.net/F.html) { Member of the International Association for Decision Sciences and Business. (http://www.iadsb.org ) { Member of the Institute of Data Science and Artificial Intelligence. (www.idsai.org) { Member of the International Research Institute for Economics and Management. (www.iriem.org)

5/69 Teaching activities at Edith Cowan University 1996- 2013 { My lecturing duties were concentrated at the fourth-year Honours level on the BCom degree and postgraduate Masters students. I taught Corporate Finance, Investments, Capital Markets and Econo- metrics courses to these groups. In the course of my career I was involved in the supervision of numerous students undertaking Honours, Masters and Ph.D dissertations on finance topics. (See supervision section of CV). Examining including external PhDs { From January 1976 to October 1979 I served as an EXAMINING: examiner for The Institute of Cost and Management Accountants on their Economics paper. { I served as External Examiner to the Finance and Accounting Degree offered by Middlesex Polytechnic from January 1984 to January 1986 for the finance, statistics, and economics papers. { Internal Examiner, July 1981. D.W. Comus, "Modelling the Multina- tional Corporation", PhD, Department of Economics, University of Edinburgh. { Internal Examiner, October 1985. O.A.K. El-Ansary, "Modelling the Operations of the Egyptian Joint-Venture Banks", PhD, Department of Business Studies, University of Edinburgh. { External examiner, January 1995, A.Manurung, M.Com thesis, "The Development of the Jakarta Stock Exchange", Faculty of Commerce, the University of Newcastle, NSW. { External examiner, January 1995, M.Business thesis, M. Shanahan, "The Relationship between changes in Interest Rates and the Re- turns on Australian Bank Shares and Industrial Indices", School of Economics and Finance, Edith Cowan University. { External examiner, November 1996 Ph.D thesis, Jackie Johnson, “An Empirical Analysis of SPI Price Volatility: 1983-1994”, Department of Accounting and Finance, The University of Western Australia. { External examiner, June 1997, M.Com Thesis, Ms. Lay Hwa Sandra Pua “The Relationship Between Ownership Structure and Capital Structure in an Agency Framework”, Faculty of Economics and Commerce, Australian National University. { External Examiner, August 1998, Ph.D thesis, Ms. Jean Canil, "Di- versification and Debt: Australian Evidence", Faculty of Commerce, University of Adelaide.

6/69 { External Examiner, November 1998, M.Com. thesis, Ms. Cheryl Calvert, "Stock Market Seasonality in Australia: A Study of the All Resources Sector", Faculty of Business, Victoria University of Technology. { External Examiner, April 1999, Ph.D. thesis, Ms. V. Ragunathan, "In- tegration and Correlations between National Stock Markets", Faculty of Business, RMIT University. { External Examiner, January 1999, Ph.D. thesis, Mr E. Roca, "Price Interdependence among equity markets in the Asia Pacific Region", Faculty of Business, Griffith University. { External Examiner, March 2000, DBA. thesis, Mr A. Sugiarto, "The Effect of Mergers and Acquisitions on Shareholder Returns", Victoria University of Technology. { External Examiner, May 2000, Ph.D. thesis, Mr D. G. Chong Yeoh, "An Empirical Examination of Physical Asset Expenditure Announce- ments in Australia: Growth Opportunities, Free Cash Flow and Capital Market Monitoring", Faculty of Commerce, Australian Na- tional University { External Examiner, November 2000, Ph.D. thesis, Mr R. Winn, "Trading Halts and the Qaulity of Exchange Traded Markets" Faculty of Economics and Business, University of Sydney. { External Examiner, April 2001, Ph.D. thesis, Ms. J.M. Coffey, "Con- tinuous Disclosure for Australian Listed Companies", Faculty of Law, University of Sydney. { External examiner, J.A Orr, May 2001, M.Com. Thesis, "Rating the effectiveness of a Retirement Savings Fund", The School of Economics, University of New South Wales. { External examiner, Ms. Jo-Ann Clair Suchard, July 2001, Ph.D Thesis, "The Use of Hybrid Securities to Raise Capital in Australian Listed Markets", The School of Finance, University of New South Wales. { External examiner, Ms. K.H. Tan, August 2001, "The Causes and Effects of Speculative Attacks: The Case of Malaysia", Master of Business, RMIT. { External examiner, Dr Petko Kalev, March 2002, Ph.D thesis, “Ra- tional Expectations and the Term Structure of Interest Rates”, the School of Accounting and Finance, Monash University. { External examiner, External Examiner remarking of thesis, July 2002, Ph.D. thesis, Ms. J.M. Coffey, "Continuous Disclosure for Australian Listed Companies", Faculty of Law, University of Sydney.

7/69 { External examiner, Mr Hung Tuan Chu, March 2003, Ph.D thesis, "The Value of Dividends in Australia", Faculty of Business, University of Technology, Sydney. { External examiner, Ms. P. Meitisari, (May 2003), Ph.D thesis, "The Impact of International Activity on Capital Structure: Australian Evidence", School of Economics and Finance, Faculty of Business, RMIT, Melbourne. { External examiner, Mr. G.G. Djolov, (May 2003), Masters thesis, "A Review of the theory of monopoly power with applications to the phar- maceutical industry", Faculty of Commerce, Law, and Management, the University of the Witwatersrand, South Africa. { External examiner, Dr. N. Jeyasreedharan, (February 2004), Ph.D thesis, “The Extremal Expectations Hypothesis”, Curtin Business School, Curtin University of Technology, Perth. { External examiner, Dr. P. Verhoeven, (May 2004), Ph.D thesis, “Outliers, extreme observations, and volatility modelling”, Faculty of Economics and Commerce, The University of Western Australia. { External examiner, Dr. G. Woodward, (April 2005), Ph.D thesis, “Modelling the Smooth Transition of beta over Bull and Bear Mar- kets”, Faculty of Business and Economics, Monash University. { External Examiner, Dr N.Yoon-Na Oh, (May 2005), Ph.D thesis, “Essays on the Dynamic Relationship between Different Types of Investment Flow and Prices”, School of Banking and Finance, Faculty of Economics and Commerce, University of New South Wales. { External Examiner, Dr. J.L. Hall, (November 2005), Ph.D The- sis,”The Impact of Growth, Volatility and Competitive Advantage on the Value of Equity Investments and their Embedded Options”, School of Finance, Faculty of Business, University of Queensland. { External Examiner, Mr. Huu Nhan Duong , (November 2005), Hons Thesis, “ An Intraday Analysis of the Samuelson Hypothesis for Com- modity Futures Contracts”, Department of Accounting and Finance, Monash University. { External Examiner, Dr. T.A. Hallahan, (April 2006), Ph.D Thesis, “Issues in Investment Risk: A supply side and demand side analysis of the Australian Managed Fund Industry”, School of Economics, Finance and Marketing, RMIT University. { External Examiner, Dr. W. Anderson, (May 2006), Ph.D thesis, “An Investigation of Dividend Signalling on the New Zealand Stock Exchange in the 1990’s and of several new tools employable in such an investigation”, School of Finance, University of Canterbury, New Zealand.

8/69 { External Examiner, Dr.Walid Kamal Bakry, (October 2006) Ph.D thesis “A Panel in GARCH Analysis of Stock Return Volatility in an Emerging Market: A Case Study of Egypt”, School of Economics and Finance, University of Western Sydney. { External Examiner, Mr. Q. Yang, (December 2006), “An Empirical Study of Implied Volatility in Australian Index Options Markets”, Masters thesis, Queensland University of Technology. { External Examiner, Dr. Kevin Ping-Yue Lo (March, 2007) Ph.D thesis: “Modelling Order Flow, Price Impact, and Market Resiliency in the Australian Market”, Discipline of Finance, Faculty of Economics and Business, University of Sydney. { External Examiner, Dr. B.Y. Nugroho, (May 2007), Ph.D thesis: “An Examination of Momentum and Contrarian Strategies in Australian Equities”, School of Economics and Finance, Curtin University of Technology. { External Examiner, Dr. T. Haque, (February 2008), PhD thesis, “Leader Stocks, Follower Stocks and Switching Effects in the Aus- tralian Stock Market”, Department of Finance, the University of Adelaide. { External Examiner, Dr. S.S. Deb, (July 2008), Ph.D thesis: “Price Limits in Equity Markets”, Department of Accounting and Finance, Faculty of Business, Monash University. { External Examiner, Dr. T. Khandaker, (March 2009) PhD Thesis, “Empirical Analysis of Stock Return Synchronicity: A Comparison of developed and Emerging Markets”, School of Economics, Finance and Marketing, RMIT. { External Examiner, Dr. L. Reinhard, (June 2009), PhD thesis: “The influence of tax and economic changes on capital structure decisions – an empirical study”, School of Finance, the University of South Australia. { External Examiner, Mr Yuchen Zhuang, Msc Mathematics thesis (September 2009), “Risk, Return and Market Condition: a new Functional Beta Capital Asset Pricing Model”, Department of Math- ematics, Curtin University of Technology. { External Examiner, Dr Yan Xu, PhD (March 2010), “The determi- nants and implications of corporate cash holdings in China”, School of Economics and Finance, Curtin University of Technology. { Internal Examiner, Mr Daniel Budd, M.Com (October 2010) “An em- pirical investigation of the value-relevance of internet web traffic and bank revenue on Arab banks comparative efficiency performances”, School of Management, Edith Cowan University.

9/69 { External Examiner, Luis Alberto Martinez Tipe, PhD (March 2011), “Strategic Project Evaluation for Open pit Mining Ventures using Real Options and Allied Econometric Techniques”, School of Mathematics, Queensland University of Technology. { External Examiner, Chun Fai Carlin Chu, PhD (March 2011), “New Considerations for Modeling Financial Volatility”, Systems Engineer- ing and Engineering Management, the Chinese University of Hong Hong. { External Examiner, Tuo Li PhD (October 2011) “Duration Modelling of the After-Hours Electronic Futures Market”, the University of Tasmania { External Examiner, Sasipa Pojanavatee PhD, (April 2013) “An Analy- sis of Australian Mutual Fund Performance and Market relationships”, Curtin University. { External Examiner, Bruno Dore Rodrigues, PhD (June 2013) “An Investment Strategy for Prediction of Takeover Targets using High Frequency Data”, University of Sydney. { External Examiner Kwong Yew Low (Rand) PhD (June 2013) “Ex- amination of correlation structures in the context of modern portfolio management”, University of Queensland Business School. { External Examiner Giannoula Karamichailidou, PhD, (September 2013) “Do Short-Selling Regulations Matter? Evidence from Europe”, University of Auckland. (Total number of PhDs examined =36). Postgraduate Supervisions Edinburgh University (1979-1986) { L.M. Som, "Tests of the Efficiency of the UK Rubber Market", M.Com Dissertation (1980). { M.G.A. Parker, "An analysis of the Efficiency of the London Traded Options Market", B.Com Hons Disertation (1983). { G.L. Yeu, "An assessment Put-Call Parity and the Market Efficiency of the London Traded Options Market", M.Com (1982). { W.E. Little Jr., " The Efficiency of the Unlisted Securities Market", M. Com Dissertation, (1983). { M. Ukani, "the Application of Black-Scholes Call-Option Pricing Model to Prices Quoted on the London Traded Options Market", Hons Dissertation (1983). { K. Fujio, "An Analysis of Trade Financing Procedures in Australia, Britain and Japan", M.Com Dissertation (1984).

10/69 { Patrick Wai Hon Lam"Tests of the Market Efficiency of Options written on the FTSE Index and the Applicability of the Black-Scholes Option Pricing Model", MBA Dissertation (1985). { P.S. Davidson, "Market Discounts on USM New Issues, the Influences of Market Volatility, Method of Issue, and Sponsorship", M.Com Dissertation (1986). The University of Western Australia (1986-1991) { P. Depiazzi, "The Post-listing Behaviour of Unseasoned New Equity Issues in Australia: 1979-1985", Hons Dissertation (1986). { P.S. Heng and C.H. Teo, "An analysis of the Financial Characteristics of Takeover Targets and Non-Takeover Targets", Hons Dissertation (1986). { J. Howe, "The Second Board markets: An empirical study of the price reactions around earnings releases" Hons Dissertation (1987). { J. Johnson, "An examination of arbitrage ’profits’ in the Australian share price index futures", Hons Dissertation (1987). { "The pricing of options on futures contracts" Hons Dissertation (1988). { "The investment performance of Australian international equity unit trusts" Hons Dissertation (1989). { "The term structure of interest rates in Australia: an examination of the expectations hypothesis". Hons Dissertation (1990). { "Leverage ratios, market capitalisation, residual risk and expected security returns" Hons Dissertation (1991). { G.R. Mitchell, "The Impact of Overseas Listing on a Firm’s Systematic Risk", Hons Dissertation (1991). Curtin University of Technology (1992-1996) { H. Lisnawati, "The predictability of earnings growth: Australian evidence", Hons Dissertation (1992). { V. Rachim, "Dividend policy and stock price volatility: Australian evidence", Hons Dissertation (1992). { P. K. P. Lim, "The relationship between accounting returns and stock markets: Australian evidence", M.Com, Dissertation (1992). { R.G. Sugianto, "Ex-ante /expost applications of Markowitz portfolio theory to Australian Industry groups", Hons Dissertation (1992). { R. Prince, "The winner/loser hypothesis: some further Australian evidence", Hons Dissertation (1993). { M. Patrick, "The long-run performance of initial public offering: some further Australian evidence", Hons Dissertation (1993).

11/69 { G. Black, "Cointegration and tests of present value models: Australian evidence", Hons Dissertation (1993) ( Co-supervised with Dr. G. MacDonald). { M. Clissold, "A direct test of the pecking order hypothesis in an Australian context", Hons Dissertation (1994). { W. Pongscripian, "Thai Corporate Dividend Policy: Empirical Evi- dence" M.Com Dissertation (1995). { J. Simpson, "The Economics of Countertrade: Theory, Practice and Evidence", M.Com Dissertation (1995). { F. Cleary, "Portfolio Selection Tools and the Malaysian Market", Hons Dissertation (1995). { M. Chandra, ’The use of vectorautoregression model to study the transmission of stock market movements within the markets of Aus- tralia, Japan, Hong Kong, Singapore and the United States", M.Com Dissertation (1997). { V. Soucik, "The Under-Performance of Performance of Seasoned equity offerings: Fact or Illusion?", Hons Dissertation (1998). Supervisions at Edith Cowan University (1996 to 2013) { Chau, "An Empirical Comparison using both the term structure of interest rates and alternative models in pricing options on 90-Day Bab Futures", M.Com Dissertation (1999). { T. Gumanti, "An Analysis of Initial Public Offerings in Indonesia", Ph.D, Passed (November 2000). { Wenling Yang, M.Com, "Futures hedging" passed (February 2001). { Heazry Salim, "Purchasing Power Parity in South East Asian Nations: A Monetary Approach to Long-Run Exchange Rate Modeling", Hons Dissertation completed (1999). { T. Perich, "A test of the CAPM in an Australian context", Hons Dissertation completed (1999). { Chun Sing Leong, "Revisiting Real Interest Rate Parity: International Evidence", Hons Dissertation completed (1999). { Trent Winduss, Hons Finance Student "Cointegration and causality between stock prices and international macroeconomic variables: a study of the Pacific Basin.” Hons Dissertation completed (2001) { Dianne Adamson, Hons Finance Student, “The determinants of stock price exposures in the Australian Gold Industry”. Hons Dissertation completed (2001) { Jocelyn Chimhini M.Com "Conditional asset pricing in developing markets", awarded (March 2002).

12/69 { V. Soucik, "Finding the True Performance of Australian Managed Funds " Ph.D awarded (November 2002). { Fidelia Ghandiya, “An Investigation into the Validity of the Intra- continental and inter-continental Casselian hypothesis (PPP) and uncovered interest rate parity (UIP) in South African development community (SADC) countries: A long-run structural modelling ap- proach”. M.Bus passed (September 2002). { Auxilia T. Nyangoni, MPF student, project on forecasting the term structure of interest rates: "A Cointegration Approach To Test The Dynamic Linkages Of The Term Structure Of Interest Rates: Evi- dence From South Africa" (June 2002). { Jaime Yong, Hons thesis, “How Banks’Risk Profiles affect their strength: an assessment of banks in the Asia-Pacific Region”, (March 2003). Gift Chirozhva, M.Com,"Stock Market Development and Economic Development in Zimbabwe", awarded ( June 2003). { P. Gerrans, Ph.D thesis: "Qualitative and Quantitative Measures of Managed Fund Performance" awarded (September 2003). { Jerry Parwada, Ph.D thesis: "Strategic and Institutional Influences on Fund Manager Investment Flows", awarded (March 2004). { Wenling Yang, Ph.D on “Modelling Transaction Durations: Price Process and Market Impact Costs using irregularly spaced High Frequency Data", Examiners recommended level 3 pass (August 2004). { L. DeMello, M.Com, "Forecasting the Equity Premium in Australia", Completed (March 2005). { Valli Batchelor, Ph.D: "A Comparable Cross-System Bank Productiv- ity Measure: Empirical Evidence from the Malaysian Dual Banking System” Completed March (2006). { Amporn Soongswang, Ph.D: “Control Issues and Effects on the Stock Exchange of Thailand” Completed March (2006). { Paul Taco, Hons Thesis, “Is the australian Forex market efficient? Forward Rate Unbiasedness Hypothesis, A cointegration analysis”, (September 2006) { Heazry Salim, Ph.D “Dynamics of Corporate Profitability: A study of the UK Market: 1981-2000”, Completed (December 2006). { Matarr Njie, Ph.D: “The Impact of Financial Liberalization on the Banking Industry in Malaysia”, Completed (February 2007). { Quinten Steyn, Hons Thesis, “An Examination of Interest Rate Caps and their use in Minimising Interest Rate Risk”, (August 2007).

13/69 { Robert Powell, PhD: “Industry Value at Risk in Australia”, Com- pleted (March 2008). Awarded Faculty Medal, Edith Cowan Univer- sity, March 2009. { Thilak Samararatne, Ph.D, “Exchange Rate Options for Sri Lanka in the Context of Financial Integration”. (March 2009). { Ghialy Choy Yap, Ph.D, “ An econometric analysis of Australian domestic tourism demand”, (March 2010). { Imbarine Bujang, Ph.D. “Predicting and detecting Stock Market Returns and the Equity Premium in Malaysia”, (June 2010). { Ron Amram, Hon thesis, “Volatility Spillover from the Chinese Stock Market to its Trading Partners and Neighbours”, (May, 2011). { Yixuan Rui, Hons thesis, “Using Ordinary Least Squares Regression and Quantile Regression to test the capital asset pricng model and the Fama French Model in the Australian Equity market”, (July, 2011). { Lungowe Andala, Hons thesis, “How Short and Long Term Interde- pendencies have changed due to the Global Financial Crisis”, (August, 2011). { Pipat Wongsaart, PhD Thesis, UWA, (Co-supervised with Professor Jiti Gao), “Semiparametric Approaches in Duration Models: Method- ology and Practice”, (October 2011). { Abhay Kumar Singh, PhD Thesis, “Modelling Extreme Market Risk - A Study of Tail Related Risk Measures”, (November 2011). (Recipient of the University Research Medal for best thesis). { Josephine Sudiman, PhD thesis, “Empirical Market Microstructure Studies of the Indonesian Stock Exchange (IDX)”, (September 2012). { Barry O’Grady, PhD thesis, “The Profitability of Technical Analysis and Stock Returns from a Traditional and Bootstrap Perspective: Ev- idence from Australia, Hong Kong, Malaysia and Thailand, (October, 2012). { Anna Golab, PhD thesis, "An investigation into the volatility and cointegration of European Emerging Markets", (June 2013). { Jaime Wong, PhD thesis, "Economic linkages between Australian REITs and the commercial real estate market", (July 2013). (Total number of Phds supervised to completion at Edith Cowan University = 19). Research projects Previous research projects (1979-1990) 1) With Dr. W.D. Reekie, Department of Business Economics, University of the Witwa-

14/69 tersrand, Advertising and Economic Activity, sponsored by the Advertising Association. 2) With Dr. W.D. Reekie, Department of Business Economics, University of the Witwa- tersrand, The Pharmaceutical Industry, sponsored by the Office of Health Economics. 3) Research into the financing procedures adopted in foreign trade by UK and Japanese manufacturing companies. (Undertaken with K. Fujio and S. Carse). 4) With J.N. Crook, Department of Business Studies, University of Edinburgh, Research into technical change, sponsored by the Technical Change Centre. 5) Research into the‘efficiency’ of the options and commodities markets undertaken with a number of former students. 6) Research into the simulating and modelling of returns in the British and Australian Capital Markets. 7) With Professor H. Mizuno, a comparative analysis of the financial structures and policies of Australian and Japanese companies. (Professor H. Mizuno, of the University of Fukuoka, Japan, visited the Department for twelve months from April 1986, to enable him to undertake a joint research programme, investigating the capital structures of Australian and Japanese companies). 8) Research involving an investigation of the financial policies of Australian companies. Supported by ARGS research grant of $4,500 and a Special Research Grant of $18,722. Research involving a comparative evaluation of the determinants of the financial policies of British and Australian companies supported by a Coopers & Lybrand Research grant of $2,500. Research into the determinants of the financial policies of Japanese companies supported by a grant of $7,350 from the Australia-Japan Program of the Australian Academy of the Humanities. Further support of $4,968 has been granted to this project from the School of Economics and Finance’s ERFU funds. (1992-2010) 9) Research project with Gary Macdonald of the Economics Department involving an investigation of equilibrium and efficiency in Australian and South East Asian Financial markets. Support of $5098 was jointly provided by Curtin’s EFRU and IBU groups. The initial stage of the project involved the application of cointegration and unit roots tests to time series return data for stock exchange accumulation indices for 19 countries. The first stage involved an analysis of the potential for portfolio diversification across these countries respective markets. 10) Research project with L. Alles involving an investigation of time varying risk premia and the predictive power of the term structure of interest rates across Australia, Malaysia, Hong Kong and Taiwan. Support of $3,333 was provided by IRIC and a further $830 by EFRU. 11) A study of the linkages between accounting earnings, dividends and stock prices. A time series analysis of linkages between accounting earnings, dividends and stock prices was undertaken with Dr. G. MacDonald of Curtin University, Professor A.M. Masih of

15/69 Edith Cowan and Mr. R. Masih of Goldman Sachs supported by a Small Arc grant of $17,500 in 1999. 12) Research into the hedging effectiveness of the Sydney, London and Singapore Futures Exchanges applying time-series modelling techniques supported by Small ARC Grants of $15,000 in 1997 and $17499 in 1998. 13) Rationality in equity markets. This work was undertaken with Dr Gary MacDonald of the School of Economics and Finance, Curtin University, it involved tests of market efficiency and analysis of whether price overreaction phenomena occur in equity markets in the Asia-Pacific Region. The pricing efficiency of equity markets was analysed using applications of the theory of cointegrated vector autoregressive models. A Var approach was applied to tests of the present value relationship between prices and dividends in various markets. 14) The determinants of returns in the Malaysian and Thai Stock Markets. This work involved tests of the efficacy of the Capital Asset Pricing Model in the Malaysian and Thai Markets and examines whether there is a linear relationship between return and beta. Tests for the existence of various anomalies in price behaviour such as the ‘small firm’effect, the impact of book equity to market equity values, own variance etc., will be undertaken. 15) Managed fund performance. A project on the measurement of managed fund perfor- mance was undertaken with Professor T. Brailsford of Australian National University, Professor Robert Faff of RMIT and Assirt, the fund rating agency using data provided by Assirt. The work was supported by a SPIRT grant of $45k in 1999, $35k in 2000 and funding of $20.75 k each year for an APA until 2001. 16) An analysis of the linkage between accounting earning, dividends and share prices. This work was supported by a small ARC grant of $17,499 in 1999. A first stage of the project was completed by D.E.Allen, S. Cruikshank and N. Morkel-Kingsbury . This involved a study of the linkages between accounting earnings and stock price movements in a VAR framework of a sample of some US firms drawn from the S&P 500 Index. A second stage featured further work in a panel context. 17) Purchasing Power Parity in the Asia-Pacific. This project involved the application of time series econometric testing to exchange rate theory of the Asian region. This included applying standard unit root and cointegration testing as well as panel data procedures to data retrieved from the Datastream Database and the International Monetary Fund. Special areas of interest include testing the ability to forecast exchange rates, the differences in adjustment speeds of cross national and cross continental PPP, the dynamics of PPP relationships over time and the influence of other variables (e.g. interest rates, prices and fiscal balances) on such relationships. 18) Risk Spreads and Bond Pricing. Recently models have been developed using credit ratings as a way of estimating the credit risk associated with commercial bond prices. This work continued this research by providing a Markov chain model for the term structure and credit risk spreads of bond process. It allows dependency between the

16/69 stochastic process modeling the interest rate and the Markov chain process describing changes in the credit rating of the bonds by their mutual dependency on a hidden Markov chain. This Markov chain can be thought of as the underlying economic conditions. The calculations of the parameters of the model are based on historical information on the changes in credit rating of bonds and time series of economic indicators. Finally as part of the calculations we address the problem that previous attempts to strip the coupons from the price data on real bonds leads to zero-coupon prices that do not relect the risk structure of the bonds. By using a linear programming approach to strip the bonds of their coupons we are able to guarantee there is no such mispricing. This work was undertaken by D.E. Allen and Professor Lyn Thomas, of the Department of Management, the University of Southampton. 19) Mean Reversion in company profitability.This research project involved a cross- sectional study of the predictability of UK company profitability and earnings for a period from 1982-2000 using a sample of around 987 companies per year sourced from Datastream. 20) ARC Linkage Grant LP0455281 (2004) Title: "Modelling stock market liquidity in Australia and the Asia Pacific Region". ARC Linkage Grant with SIRCA as the industry partner and a research team whose chief investigators were Professor Allen, Professor M. McAleer of UWA and Dr Shelton Peiris of the University of Sydney. This project was completed in 2009. 21) RN0460246 (2005) Financial Integrity Research Network received ARC fundng of $1.75m for 2005-2010. FIRN was originally directed towards innovation in the integrity and efficiency of Australia’s financial system. It addresses pressing problems and threats associated with this key component of Australia’s infrastructure. FIRN brings together a multi-disciplinary network involving 14 Australian universities, featuring internationally renowned academics in a unique collaborative research effort which spans the conventional disciplinary boundaries of: Financial economics, Applied statistics, Financial econometrics, Actuarial science, Financial mathematics, Market micro-structure, Accounting and information systems, Corporate finance, Corporate governance, Funds management. 22) ARC Linkage Grant LP0562305 (2005) Prof M McAleer; Prof DE Allen; Dr S Hoti. Title: "Forecasting Risk Thresholds for Portfolio Management and Regulation". The industry partner is SIRCA. The project developed new models and methods for dynamic risk modelling, assessment of portfolio risk, and forecasting of portfolio risk thresholds. These novel methods have extensive applications across investment portfolios for banks and financial institutions globally. The techniques will feature a dynamic updating of risk estimates, and more accurate forecasting of portfolio risk, the correlations of portfolio asset classes, and Value at Risk (VaR) thresholds. Recent Research projects 23) ARC Discovery Grant (Commenced 2011). Edith Cowan University DP110102884 Prof David E Allen, Prof Lyn C Thomas, Dr Robert J Powell, Prof James W Taylor,

17/69 Prof Michael McAleer. Project Title New methods for modelling and forecasting risk 2011 $129,377.00, 2012 $123,077.00, 2013 $116,977.00 Primary FoR 1502 BANKING, FINANCE AND INVESTMENT.The project developed and assessed risk measures and methods of risk forecasting. It assessed why customary measures failed in the financial crisis and developed new and better techniques. Publications Books and monographs 1. Books: Finance - A Theoretical Introduction, Basil Blackwell, (Oxford, 1983) ISBN 0-5520-540-7 Pbk. 2. With Dr. W.D. Reekie, The Economics of Modern Business, Basil Blackwell, (Oxford, 1983) ISBN 0-631-13116-7 Pbk. 3. with J.N. Crook & W.D.Reekie, The Economics of Modern Business, 2nd Edition, Basil Blackwell, (Oxford, 1991). 4. D.E. Allen and F. Ghandiya, Assessing Exchange Rate Hypotheses within Southern Africa, (234 page monograph), Ashgate Publishing, Aldershot, UK. (2004) ISBN 0-7546-3642-9 Hbk. 5. A.K. Singh and D.E.Allen, (2017), R in Finance and Economics: a Beginners Guide, World Scientific, ISBN: 978-981-3144-46-0. 6. D.E. Allen and E. Luciano, (2019), Editors, Risk Analysis and Portfolio Modelling, Reprint of Special Issue of the Journal of Risk and Financial Management, 224 pages, ISBN 978-3-03921-624-6 (Pbk); https://doi.org/10.3390/books978-3-03921-625-3 Chapters in books and monographs: 7. D.E. Allen and W.D. Reekie, "Hours of Work and Advertising: An International Com- parison", Chapter in, Issues in Advertising, W.D. Reekie, Juta & Co. Ltd., Johannesburg (1988) ISBN 090212074X. 8. D.E. Allen,W.E.Little,Jr., & J.W.Kwiatkowski, "Some evidence on the efficiency of the Unlisted Securities Market", reading in The Unlisted Securities Market, Ed. J.Goodchild & P.Hewitt, Buckland Press UK, (1989) ISBN 0 9504117 1 X. 9. D.E. Allen and P.S.Davidson, "Market discounts on USM new issues: preliminary find- ings with respect to the influences of market volatility, method of issue and sponsorship", reading in The Unlisted Securities Market, Ed. J.Goodchild & P.Hewitt, Buckland Press, UK, (1989) ISBN 0 9504117 1 X. 10. D.E. Allen and G. MacDonald, "The long-run gains from international diversification: Australian evidence from cointegration tests", Managerial Finance in the Corporate Economy, Routledge and Kegan Paul, London (1995), pp.13-27. 11. D.E. Allen "Further Australian Evidence on the Pecking Order Hypothesis", Studies in the Financial Markets of the Pacific Basin, Ed. T. Bos and T.A. Fetherston, Greenwich, CT. (1994), pp.165-182.

18/69 12. D.E. Allen P.K.P. Lim and G. MacDonald, "The relationship between Accounting returns and Stock Market Returns: Australian Evidence", reading in Volume 1, Advances in Pacific Basin Financial Markets, JAI Press, Greenwood, (1995), pp.167-192. 13. D.E. Allen and M. Patrick, "Some Further Australian Evidence on the long-Run Performance of Initial Public Offerings: 1974-1984", chapter in Advances in Pacific Basin Financial Markets 11, JAI Press, Greenwood, CT. (1996), pp.133-155. 14. D.E. Allen G. Black and G. MacDonald, "Cointegration and Tests of Present Value Models: Australian Evidence", Research in Finance, Supplement 2, (1996), ED., A.H. Chen and K.C.Chan, JAI Press, Greenwich, Connecticut, pp.245-260. 15. D.E. Allen, chapter in a workbook Ed. by D. Morrison, to accompany R. Bruce, B. McKern, I. Pollard, and M. Skully, Handbook of Australian Corporate Finance, 4th Ed. (1997) Butterworths, Sydney, ISBN 0 409 49219 1. Chapter 4 "The Australian Stock Exchange" pp.37-47, 16. D.E. Allen chapter in a workbook Ed. by D. Morrison, to accompany R. Bruce, B. McKern, I. Pollard, and M. Skully, Handbook of Australian Corporate Finance, 4th Ed. (1997) Butterworths, Sydney, ISBN 0 409 49219 1. Chapter 11 "Finance Company Finance"pp.121-129. 17. D.E. Allen and N. Souness, “Normal Backwardation on the Sydney Futures Exchange: How Normal is the SFE?”, Business and Economics for the 21st Century, Vol 1. Ed. D. Kantarelis, Worcester, MA 01605, ISBN:0-9659831-0-2., (1997), pp. 106-116. 18. D.E. Allen and M. Clissold, “A Direct Test of the Pecking Order Hypothesis in an Australian Context”, Advances in Pacific Basin Financial Markets IV, Ed. T. Bos and T. Featherston, JAI Press, Greenwood, CT. ISBN:0-7623-0319-0, (1998), pp.335-357. 19. D.E. Allen G. MacDonald and H. Setiawan, “Long-Term and Short-Term Causal Relationships Between Dividends and Stock Prices in Malaysia: a Time-Series Analysis in the Spirit of Lintner’s Model”, ”, Advances in Pacific Basin Financial Markets, V1, Ed. T. Bos and T. Featherston, JAI Press, Greenwood, CT. (2000). 20. D.E. Allen, G. MacDonald, D. Walsh and K. Walsh,Vol 16, (2002), "Using regression techniques to estimate futures hedge ratios, some results from alternative approaches applied to Australian 10 Year Treasury Bond Futures". Elsevier Research Monograph Series, Research in International Business and Finance, Vol 16, Ed. J.A. Batten and T.A. Fetherston, ISBN 0-7623-0858-3, pp.189-214. 21. D.E.Allen, L.K. Lim and T. Winduss, (2007) “AUSFTA and its implications for the Stock Markets in the Pacific Basin Countries”, chapter in, Regionalism, Trade and Economic Development in the Asia-Pacific Region, Ed. M.A.B. Siddique, Edward Elgar, ISBN 971845425036 Cheltenham, UK. 22. Allen, D. and Soongswang, A. (2008). “Takeovers and Shareholder Value Creation on the Stock Exchange of Thailand”, chapter in; Asia-Pacific Financial Markets: Integration, Innovation and Challenges, Ed. S-J. Kim and M.D. Mckenzie, Elsevier, Amsterdam, ISBN: 978-0-7623 -1471-3, pp.347-370.

19/69 23. D.E. Allen, Alexander Shu-Sing Cheng, Carole Comerton-Forde and Joey Wenling Yang, (2008), “Returns, Volatility and liquidity on the ASX: Undisclosed vs. Disclosed Limit Orders” Chapter 12 in; Market Liquidity, Ed. G. Gregorious and F-S. Lhabitant, John Wiley, New York, ISBN, 978-0-470-18169-0 pp. 227-245 24. D.E. Allen and R. Powell, “STRUCTURAL CREDIT MODELLING AND ITS’ RELATIONSHIP TO MARKET VALUE AT RISK: AN AUSTRALIAN SECTORAL PERSPECTIVE” Chapter 19 in, The VaR Implementation Handbook, Edited G. Grego- riou, McGraw-Hill (2009), ISBN: 978-0-07-161513-6, pp. 403-414. 25. D.E. Allen and M. Scarth, "Modelling the Volatility of the FTSE100 index using High Frequency Data Sets," Chapter 22, Stock Market Volatility, Edited G. Gregoriou, Chapman-Hall, CRC Finance Series, London, (2009) ISBN: 13-978-1-4200-9954-6, pp: 419-437. 26. D.E. Allen and J. Chimhini, “The World Price of Covariance Risk with Respect to Emerging Markets”, EMERGING MARKETS: PERFORMANCE, ANALYSIS AND INNOVATION, G.N. Gregoriou (ed.) Chapman-Hall/Taylor and Francis London, CRC Finance Series, London, (2009) ISBN: 978-1-0448-3, pp:117-146 27. D.E.Allen and R. Powell, “Bank Default Risk in the US and the UK”, Chapter in; Banking Crises, G.N. Gregoriou (ed.) Chapman-Hall/Taylor and Francis London, UK (2009) 28. D.E. Allen and L. Demello, "The Consumption-Based Capital Asset Pricing Model (CCAPM), Habit-Based Consumption and the Equity Premium in an Australian Contect", Chapter 5 in: G.N. Gregoriou and R. Pascalau (Editors) Financial Econometrics Mod- elling: Market Microstructure, Factor Models and Financial Risk Measures, Part II Factor Models and Financial Risk Premiums, Palgrave Macmillan, Houndmills, Basingstoke, UK. ISBN 978–0-230-28362—6, (2011). p. 135-153. 29. D.E. Allen, A. Kumar Singh and R. Powell, (2011), “Asset Pricing, the Fama- French Factor Model and the implications of Quantile Regression Analysis”, Chapter 7 in Gregoriou, G.N. and R. Pascalau (eds.) Financial Econometrics Modelling: Market Microstructure Dynamics, Single and Multifactor Pricing Models and Financial Risk Measures, Palgrave-MacMillan, Basingstoke, UK ISBN 978–0-230-28362—6. pp. 176-193. 30. D.E. Allen and A. Kumar Singh, (2011), “A Risk and Forecasting Analysis of West Texas Intermediate Prices”, Chapter 10 in Gregoriou, G.N. and R. Pascalau (eds.) Finan- cial Econometrics Modelling: Market Microstructure Dynamics, Single and Multifactor Pricing Models and Financial Risk Measures, Palgrave-MacMillan, Basingstoke, UK, ISBN 978–0-230-28362—6, pp.235-254 31. D.E. Allen, A.K. Singh and R. Powell, (2012) “Machine learning and short positions in stock trading strategies”, HandBook of Short Selling, Ed G. Gregoriou, Elsevier, ISBN 978-0-12-387724-6, pp.467-478. 32. D. E Allen, A. .K Singh, R. .J Powell, A. Kramadibrata, (2012) “Short Selling Stock Indices On Signals From Implied Volatility Index Changes: Evidence From Quantile

20/69 Regression Based Techniques”, HandBook of Short Selling, Ed G. Gregoriou, Elsevier, ISBN 978-0-12-387724-6, pp. 479-492. 33. Allen, D. E., Powell, R. J., & Singh, A. K. (2012). Short Selling Consistency in South Africa. In G. N. Gregoriou (Ed.), Handbook of Short Selling, Elsevier, ISBN 978-0-12-387724-6, ;pp.381-386 34. D.E. Allen, A. Kramadibrata, R. Powell and A.K. Singh (2012) “Asset Selection using factor models and stochastic frontier analysis: a quantile regression approach” Chapter in; Rethinking Valuation and Pricing Models, Elsevier, Edited by Carsten Wehn , Christian Hoppe, Greg Gregoriou, ISBN 978-0-12-415875-7, pp.443-455. 35. D.E. Allen, A.K. Kramadibrata, R. Powell and A.K. Singh,(2012) “Funds of Hedge Fund Performance Through the Crisis: A Panel Based Quantile Regression Analysis”, in Gregoriou, G.N.(Ed), Funds of Hedge Funds: Managing in Turbulent Times, Elsevier. pp.261-272. 36. D.E. Allen, R.R. Boffey and R.J. Powell, “Canada and Australia: Do they provide a regulatory model for FUNDS OF HEDGE FUNDS?” in Gregoriou, G.N.(Ed), Funds of Hedge Funds: Managing in Turbulent Times, Elsevier. pp.515-524. 37. D.E. Allen, A.K. Kramadibrata, R.J. Powell and A.K. Singh, (2012) “South African Regulator Reforms of Fund of Hedge Funds”, in Gregoriou, G.N.(Ed), Funds of Hedge Funds: Managing in Turbulent Times, Elsevier. pp.525-536. 38. D.E. Allen, S.R.A Pearce and R.J. Powell, (2012) “Due Diligence: Lessons from the Global Financial Crisis for Fund of Hedge Funds in the Asia Pacific Region”, in Gregoriou, G.N.(Ed), Funds of Hedge Funds: Managing in Turbulent Times, Elsevier. pp.41-48. 39. D.E. Allen, R.J. Powell and A.K. Singh, (2012) Understanding the Regulation Impact: US Fund of Hedge Funds After the Crisis”, in Gregoriou, G.N.(Ed), Funds of Hedge Funds: Managing in Turbulent Times, Elsevier. pp.503-514. 40. D.E. Allen, A.Golab, R. Powell, and G. Yap, (2014), “Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement”, Chapter in: Emerging Markets and the Global Economy: A Handbook, Elsevier Academic Press, Ed. M. Arouri, S. Boubaker, and D. Nguyen, pp. 448-482 41. D.E. Allen, P. Kalev, M. McAleer, and A.K. Singh, (2014) “Nonparametric Multiple Change Point Analysis of the Response to Asian Markets to the Global Financial Crisis”, chapter in: Handbook of Asian Finance, 1st Edition REITs, Trading, and Fund Performance Ed. D. Lee and G. Gregoriou, Elsevier, New York, ISBN 9780128009864, pp. 267-284. 42. D.E. Allen, R. Powell, and A.K. Singh, (2015) “Risk Management and Regulation” chapter in Investment Risk Management, Ed. H.K. Baker and G. Filbeck, Oxford University Press, ISBN 978-0-19-933196-3, pp. 324-345. 43. A. Golab, D.E. Allen and R. Powell, (2015) “Aspects of volatility and correlations in

21/69 European emerging economies”, chapter published in Emerging Markets and Sovereign Risk, Ed N. Finch, Palgrave Macmillan, ISBN 9781137450654, pp. 59-80.

44. Allen, D. E., Powell, R. J., & Singh, A. K. (2016) A Critique of Credit Risk Models with Evidence from Mid-Cap Firms, Quantitative Financial Risk Management: Theory and Practice. John Wiley and Sons, pp. 296-311 45. D.E. Allen, P. Kalev, S. Peiris and A.K. Singh, (2019) “Currency spillover effects between the US dollar and some major currencies and exchange rate forecasts based on neural nets”, Handbook of Global Financial Markets: Transformations, Dependence, and Risk Spillovers, Eds., Sabri Boubaker and Duc Khuong Nguyen, to be published by World Scientific Publishing, Nov 2018, ISBN: 978-981-3236-64-6 , pp.197-218. 46. D.E. Allen and M. McAleer, (2020) “Fake news and propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany”, reprinted from Sustainability, 2019, 11, 19, 5181, pp. 21-40, doi:10.3390/su11195181, in W.-K. Wong (ed.), Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications (2020), pp. ix + 382, MDPI, Basel, Beijing, Wuhan, Barcelona, Belgrade, Manchester, Tokyo, Cluj and Tianjin), ISBN 978-3-03936-531-9 (Hbk); ISBN 978-3- 03936-532-6 (pdf), https://doi.org/10.3390/books978-3-03936-532-6 (registering DOI) (with M. McAleer).

22/69 Journal articles: 1. D.E. Allen and Dr. W.D. Reekie, "Hours of Work and Advertising, International Journal of Advertising, (1983), 2, pp.99-107. 2. D.E. Allen and G.L. Yeu, "A Note on Put-Call Parity and the Market Efficiency of the London Traded Options Market", Managerial and Decision Economics, Vol. 5, Nos. 2, (1984), pp.85-90. 3. D.E. Allen and Dr. W.D. Reekie and J.N. Crook, "On Technological Change and Business Characteristics", Technovation, 2, (1984), pp.233-54. 4. D.E. Allen and Dr. W.D. Reekie, "Generic Substitution in the UK Pharmaceutical Industry: A Markovian Analysis", Managerial and Decision Economics, Vol. 6, No. 2, (June 1985), pp.93-101. 5. D.E. Allen W.E. Little Jr., and J.W. Kwiatkowski, "Some Evidence of the Efficiency of the Unlisted Securities Market", The Investment Analyst, No. 77, (July 1985), pp.29-35. 6. D.E. Allen and W.D. Reekie and J.N. Crook, "Technical Change, Economies of Scope and Contestable Markets: Lessons from a British R & D Consortium", The South African Journal of Economics, Vol. 54, No. 2, June 1986, pp.181-93. 7. D.E. Allen and R.E. Day, J. Kwiatkowski and I.R.C. Hirst, "Equities, Gilts, Treasury Bills and Inflation: Historical Returns and Simulations of the Future", The Investment Analyst, No. 83, (January 1987), pp.11-18. 8. D.E. Allen and S. Carse and K.Fujio, "Trade Financing Procedures in Britain and Japan", Applied Economics, (June 1987), pp.711-728. 9. D.E. Allen and H. Mizuno, "A Comparative Statics Analysis of Corporate Capital Structure: Japanese Evidence", Fukuoka University Review of Commercial Sciences, No. 108 (September 1987). 10. D.E. Allen and P.S. Davidson, "Market Discounts on USM New Issues, Preliminary Findings with Respect to the Influences of Market Volatility, Method of Issue, and Sponsorship", The Investment Analyst, No. 84 (April 1987), pp.1-12. 11. D.E. Allen and L.M. Som, "On the Efficiency of the UK Rubber Market", Empirical Economics, Vol. 12 (1987), pp.79-95. 12. D.E. Allen and J.N. Crook, "The Characteristics of Technically Orientated Firms: Evidence from the Unlisted Securities Market", Managerial and Decision Economics, Vol. 8, (1987), pp.271-284. 13. D.E. Allen and H. Mizuno, "The Determinants of Corporate Capital Structure: Japanese Evidence", Applied Economics Vol 21 No 5 (May 1989), pp.569-585. 14. D.E. Allen "The Determinants of the Capital Structure of Listed Australian Companies: The Financial Managers’ Perspective", Australian Journal of Management, 16, (December 1991), pp.103-128. 15. D.E. Allen and "Target payout ratios and dividend policy: British evidence", Man- agerial Finance, 18, No 1, (1992) pp.9-21.

23/69 16. D.E. Allen "Some observations on dividend policy in Japan", Managerial Finance, 18, No 1, (1992) pp.49-69. 17. D.E. Allen and H.Y. Izan, "Dividend Policy: the Issues", Managerial Finance, 18, No 1, (1992) pp.1-8. 18. D.E. Allen , "The Pecking order hypothesis: Australian evidence", Applied Financial Economics, (1993) 3, pp.101-112. 19. D.E. Allen "Whats so super about super?" Economic Papers, (September 1993) Vol 12, No 3, pp.44-62. 20. D.E. Allen and "A financial manager’s perspective of the factors determining the investment policies of listed Australian companies", Accounting Forum, (Dec,1993) Vol 17, No 3, pp.3-23. 21. D.E. Allen and R. Sugianto, "Guesswork: Estimation Risk and portfolio performance", Journal of The Securities Institute of Australia, (March, 1994), pp.6-9. 22. D.E. Allen and R. Sugianto, "Australian domestic portfolio diversification and estimation risk: a review of investment strategies", Pacific Basin Finance Journal, Vol 2, No 2, (1994) pp.293-318. 23. D.E. Allen and G. MacDonald, "The long run Gains from International Equity Diversification: Australian evidence from Co-integration", Applied Financial Economics, (1995), 5, pp.33-42. 24. D.E. Allen and "Risk and Managerial Finance", chapter in edition of Managerial Finance, (1995) Vol 21, pp. 1-14. 25. D.E. Allen and R. Prince, "The Winner-Loser Hypothesis: Australian Evidence on the Impact of Changing Risk", Applied Economic Letters, (1995) Vol 2, pp.280-283. 26. D.E. Allen and V. Rachim, "Dividend policy and stock price volatility: Australian evidence", Applied Financial Economics, (1996) 6, pp.175-188. (Received ANBAR Citation of Excellence). 27. D.E. Allen "Competitive Advantage and Approaches to Investment Appraisal: procedures in Australia, Britain and Japan", International Journal of Business Studies, Vol 4, No 2, (1996) pp. 1-20. 28. D.E. Allen and J. Chung, “Corporate Distress Prediction studies: A Review of Model and Statistical Techniques in Corporate Prediction Studies”, Accounting Research Journal, (1998), Vol 11, No.1., pp.245-269. 29. D.E. Allen M. Clissold and H. Lisnawati, "Higgledy Piggledy Growth Revisited: Australian evidence", The Australian Journal of Management, (1998), 23, pp. 115-130. 30. D.E. Allen and F. Cleary, "determinants of the cross-section of returns in the Malaysian Market, International Review of Financial Analysis, (1998), Vol 7, No. 3. pp. 253-275.

24/69 31. D.E. Allen L. Alles and S. Ang, “Riding the Yield Curve: An Analysis of International Evidence” Journal of Fixed Income, (1998) Vol. 8 Number 3, pp.57-74. 32. D.E. Allen and M. L. Tan “A Test of the Persistence in Performance of UK Managed Investment Funds”, Journal of Business Finance and Accounting, (1999), Vol 26, Nos 5&6, pp.559-593. 33. D.E. Allen N. Morkel-Kingsbury and W.Piboonthanakiat, “The long-run performance of initial public offerings in Thailand”, Applied Financial Economics, (1999), No 9, pp.215- 232. 34. D.E. Allen, Commonwealth of Australia, Official Committee Hansard, Senate Foreign Affairs, Defence and Trade References Committee, AGPS Publishing Service, Canberra, reference "Examination of developments in contemporary Japan and the implications for Australia", (1999) FAD&T pp.176-190. Also available on the WWW at http://www.aph.gov.au/hansard 35. D.E. Allen J. Hill and L.C. Thomas, “Expert’s Estimates of Task Durations in Software Development Projects”, International Journal of Project Management, (2000) Vol 18, No 1, pp.13-21. 36. D.E. Allen, L.C. Thomas and H. Zheng, "Stripping Coupons with Linear Program- ming",The Journal of Fixed Income, (September, 2000), Vol 10, No 2, pp. 80-87. 37. D.E. Allen,"Spare Debt Capacity: Company Practices in Australia, Britain, and Japan", The Australian Journal of Management, (2000) Vol 25, No 3, pp.299-326. 38. D.E.Allen, S. Cruickshank and G. MacDonald,"Purchasing Power Parity-Evidence from a new panel test", Applied Economics, (2002), Vol 34, pp.1319-1324. 39. D.E.Allen, N. Morkel-Kingsbury and L. Thomas, “A hidden Markov chain model for the term structure of credit risk spreads”, International Review of Financial Analysis, North Holland, Vol 11, (2002), pp. 311-329 40. D.E. Allen and I Chau, "A Test of Various Pricing Models of Options on Australian Bank Bill Futures", International Journal of Business Studies, Vol 10, No 1, (2002) pp.95-144. 41. H. Zheng, L, Thomas and D.E. Allen, "The Duration Derby Derby: a comparison of duration based strategies in asset liability management", Journal of Bond Trading and Management, Vol 1, No 4, (2003) pp.371-380. 42. Peiris, S., Thavaneswaran, A., Allen, D., Mellor, R. (2003). Applications of Recursive Estimation Methods in Statistical Process Control: a Comparison”, Statistical Methods, Vol 5, No 2, (2003), pp.172-183. 43. D.E. Allen and W. Yang,"Do UK Stock Prices deviate from fundamentals", Mathe- matics and Computers in Simulation, (2004), Vol 64, No 3-4, pp.373-383. 44. D.E. Allen and J. Parwada, "Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits", Journal of Business Finance and Accounting, (2004), Vol 31, pp.1151-1170.

25/69 45. S. Peiris, D.E. Allen and A. Thavaneswaran"Generalized MA Models and Applica- tions", Journal of Applied Statistical Science, (2004), Vol 13, pp.251-267. 46. W. Yang and D.E.Allen, “Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets”, Accounting and Finance, Blackwell Publishing, 45 (2005) pp.301-321. 47. S. Peiris, D.E. Allen and W. Yang, “Some Statistical Models for durations and an application to News Corporation Prices”, Mathematics and Computers in Simulation, (2005) 68, pp.549-556. 48. D.E.Allen and H. Salim, “Forecasting Profitability and Earnings: A study of the UK Stock Market (1982-2000)”, Applied Economics, Routledge, (2005) Vol 37, No 17, pp.2009-2018. 49. D.E.Allen, S. Peiris and W. Yang, “An Examination of the Role of Time and its Impact on Price Revision”, Australian Journal of Management, (2005), Vol 30, N0 2, pp.283-302. 50. D.E.Allen and V. Soucik, “Benchmarking Australian Fixed Interest Fund Performance: Finding the Optimal Factors”, Accounting and Finance, (2006), Vol 46, 5, pp. 865-898. 51. D.E.Allen, B. Veiga and M.McAleer, “Modelling and forecasting dynamic VaR thresholds for risk management and regulation”, Risk Letters, 1(3), 2006 (with D.E. Allen and B. Veiga). 52. D.E. Allen and J. Parwada, “Investors Response to Mutual Fund Mergers”, Interna- tional Journal of Managerial Finance, (2006) Vol 2, No 2, pp.121-135. 53. D.E.Allen and A. Soongswang, “Post-Takeover Effects on Thai Bidding Firms: are Takeovers in the Bidder’s Interests?” Review of Pacific Basin Financial Markets and Policies, Vol 9, No 4, (2006), pp.509-531. 54. D.E.Allen, Z. Lazarov and M. McAleer, “Modelling Intra-day Seasonality and Forecasting Densities in Financial Duration Data”, Journal of Financial Forecasting, (2007), Vol 1, No 1, 45-69 55. D.E.Allen, F. Chan, M. McAleer, and S. Peiris, (2008) “Finite Sample Properties of the QMLE for the Log-ACD model: Applications to Australian Stocks”, Journal of Econometrics, 147, pp.163-185. 56. J. Gao, M. McAleer and D.E. Allen, (2008) “Econometric Modelling in Finance and Risk Modelling: an Overview”, Journal of Econometrics, 147, pp.1-4. 57. D.E. Allen and V. Soucik, (2008) “Long-run underperformance of seasoned equity offerings: Fact or an illusion?”, Mathematics and Computers in Simulation, Vol 78, 2-3, pp. 146-154. 58. D.E.Allen, J. Gao and M.McAleer, (2009) Modelling and Managing Financial Risk: An Overview”, Mathematics and Computers in Simulation, Vol 79, 8. pp.2521-2524 59. David Allen, Zdravetz Lazarov, Michael McAleer, Shelton Peiris, (2009) “Comparison of Alternative ACD Models via Density and Interval Forecasts: Evidence from the

26/69 Australian Stock Market”, Mathematics and Computers in Simulation, Vol 79, pp. 2535- 2555. 60. D.E.Allen, G.C. Yap and R. Shareef, (2009) "Modelling interstate tourism demand in Australia: A cointegration approach", Mathematics and Computers in Simulation. Vol 79, pp.2733-2744. 61. David E. Allen, and R Powell, (2009), “Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective” Accounting and Finance, Wiley Interscience, Vol 49, 3, pp.425-444. 62. D.E.Allen, P. Gerrans, R. Powell, and A. Kumar Singh, (2009)“Quantile regression: its application in investment analysis”, The FINSIA Journal of Applied Finance, Jassa, Issue 4, pp. pp. 7-12. 63. D.E. Allen, (2009) “Measuring and Modelling Risk”, Global Business and Economics Review, Vol X, Vol. 11, Nos. 3/4, pp.199-224. 64. D. E. Allen with K Sato, and Z.Y. Zhang, “A Monetary Union in East Asia: What does the Common Cycles Approach Tell”, Mathematics and Computers in Simulation, (Elsevier, North-Holland). Vol. 79, 2009, 2927–2937. 65. Seyed-Ali Hosseini-Yekani1, Mansour Zibaei and D. E. Allen, (March, 2009) African Journal of Agricultural Research, Vol. 4 (3), pp. 193-199 66. Timothy Sharp; Steven Li; David Allen, (2010) “Empirical performance of affine option pricing models: evidence from the Australian index options market”, Applied Financial Economics, Volume 20, Issue 6, Pages 501 – 514, (ERA C ranked Journal). 67. S.A Yekani, M. Zibaie and D.E. Allen, (October 2010) “the Initial Specification of Viable Futures Contracts: The Use of a New Computational Method of Value at Risk in Iranian Agricultural Commodities Market”, Journal of Agricultural Science and Technology, Volume 12, Supplementary Issue, Page 535-548 (14), Supplementary Issue, Pages 535-548 (14) 68. Allen, D. E., Singh, A. K., & Powell, R. J. (2011). “Minimising Loss at Times of Financial Crisis. Quantile Regression as a Tool for Portfolio Investment Decisions,” Annals of Financial Economics. 7, 63-85. 69. R. Powell and D.E. Allen, (2011)“Customers and Markets: Both are Essential to Credit Risk Management in Australian Banks”, Australasian Accounting, Business and Finance Journal, Vol 5, 1, pp.57-75 70. Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011) Japanese Banks: Tail Risk and Capital Buffers. International Journal of Business Studies, 19 (1). (ERA 2010 C Ranking). 71. D.E. Allen, M. McAleer and M. Scharth, (2011) “Monte Carlo option pricing with asymmetric realized volatility dynamics”, Special Issue: Selected Papers of the Combined IMACS World Congress and MSSANZ 18th Biennial Conference on Modelling and Simu- lation, Cairns, Australia, 13–17 July, 2009 Mathematics and Computers in Simulation, 81, 7, pp:1247-1256 (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm).

27/69 72. G. Yap and D.E.Allen (2011) “An Investigation of other leading indicators influencing Australian domestic tourism demand", Special Issue: Selected Papers of the Combined IMACS World Congress and MSSANZ 18th Biennial Conference on Modelling and Simu- lation, Cairns, Australia, 13–17 July, 2009 Mathematics and Computers in Simulation, 81,7 pp. 1365-1374 (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm). 73. D.E. Allen and R. Powell, (2011) “Credit Risk and Real Capital: An Examination of Swiss Banking Sector Default Risk Using CVaR”, Journal of Modern Accounting and Au- diting, Vol 7, 6, pp:541-554. (Ranked C, http://www.arc.gov.au/era/era_journal_list.htm). 74. Allen, D. E., & Powell, R.J.(2011), Measuring and Optimising Extreme Sectoral Risk in Australia. Asia Pacific Journal of Economics and Business, 15(1), 1–14. 75. Allen, D.E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K, (2011) “Measuring Extreme Credit Risk,” Credit Flux Technical Report, http://www.creditflux.com/ 76. D.E. Allen and R. Faff, (2012), “The Global Financial Crisis: Some Attributes and Responses”, Special Issue Article, Accounting and Finance 52 (2012) 1–7, ERA 2010 A ranked Journal 77. D.E. Allen, A.K. Singh, A. Kramadibrata, R. Powell, (2012) “Beyond reasonable doubt: multiple tail risk measures applied to European industries”, Applied Economic Letters, Routledge, Volume 19, Issue 7, May 2012, pages 671-676 ERA 2010 B ranked Journal 78. Allen, D. E., Singh, A. K., & Powell, R. J. (2012) A Gourmet’s Delight: CAViaR and the Australian Stock Market, Applied Economics Letters, 19(15), 1493-1498 (ERA 2010 B ranking) 79. D.E. Allen and R.J. Powell, (2012) “The Fluctuating Default Risk of Australian Banks”, the Australian Journal of Management, 37, (2) 297-325 ERA 2010 (A ranked Journal). 80. D.E. Allen, R.R. Boffey, A.R. Kramadibrata, R.J. Powell and A.K. Singh, (2012) “Thumbs up to parametric measures of relative VaR and CVaR in Indonesian Sectors”, International Journal of Business Studies, 20, 1, 27-42. (ERA 2010 C Ranking). 81. D.E. Allen, R.R. Boffey, R.J. Powell (2015) “The Impact of Contagion on Non- Performing Loans: Evidence from Australia and Canada”. In Press, Journal of Business and Policy Research, 7(2). 82. D.E. Allen, A.R. Kramadibrata, R.J. Powell and A.K. Singh (2012). “Conditional Value at Risk applications to the global mining industry”. In Press, Journal of Business and Policy Research, 7 (3). 83. D. E. Allen, K.H. Ng and S. Peiris, (2013)“The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics”, Eco- nomics Letters, 120 , 117–122 (Ranked A ABDC list http://www.abdc.edu.au/3.43.0.0.1.0.htm) 84. D.E. Allen, Ng KH, Peiris MS. (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.

28/69 85. D.E. Allen, M. McAleer, R. Powell and A.K. Singh, (2013) “A non-parametric and entropy based analysis of the relationship between the VIX and the S&P500”, Journal of Risk and Financial Management, 1-25. 86. D.E. Allen, A.R. Kramadibrata, R.J. Powell and A.K. Singh (2013) “Modelling Tail Credit Risk using Transition Matrices”, Mathematics and Computers in Simulation, 93, 67-75. 87. D.E. Allen, Powell, R. J., & Singh, A. K. (2013) Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regression. Global Business and Economics Review, 15, 1, 88-109(ERA C Ranking) 88. D.E. Allen, A.R. Kramadibrata, R.J. Powell and A.K. Singh, (2013) “Default Risk in the European Motor Industry”, International Review of Business Research Papers, 9,1, 22-37. 89. D.E. Allen, N. Nilanpornkul and R.J. Powell, (2013) “The Determinants of Capital Structure: Empirical evidence from Thai Banks”, Information Management and Business Review, 5, 8, 401-410. 90. D.E. Allen, M. McAleer, R.J. Powell, and A.K. Singh, (2013) “Financial dependence analysis: applications of vine copulas”, Statistica Neerlandica, 87, 4, 403-435. 91. C-L. Chang, D.E. Allen and M. McAleer, (2013) “Recent developments in financial economics and econometrics: An overview”, North American Journal of Finance and Economics, Special Issue on Recent Developments in Financial Economics and Econo- metrics Edited By: Chia-Lin Chang, David Allen and Michael McAleer, 26, 217-226. (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm). 92. D.E. Allen, A.K. Singh, R.J. Powell, (2013) “EVT and tail-risk modelling: Evidence from market indices and volatility series”, North American Journal of Finance and Eco- nomics, Special Issue on Recent Developments in Financial Economics and Econometrics Edited By: Chia-Lin Chang, David Allen and Michael McAleer, 26, 355-369. (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm). 93. D.E. Allen, J. Sudiman and R. Powell, (2013) “A Closer Look at the Characteristics of Stock Holdings of Foreign and Local Investors in the Indonesian Stock Exchange (IDX)” , Annals of Financial Economics. 8,1, 22 pages. 135002. 94. D.E. Allen, J. Sudiman and R. Powell, (2013) “The Contribution of Foreign Investors to Price Discovery in the Indonesian Stock Exchange”, Annals of Financial Economics, 8,2, 24pages. 135008. 95. C-L. Chang, D. E. Allen, M. McAleer, T. Perez-Amaral, (2013) “Risk Management: An Overview”, Mathematics and Computers in Simulation, Special Issue: Madrid In- ternational Conference on Risk Modelling and Management, Guest Editors: Chia-Lin Chang, David Allen, Michael McAleer and Teodosio Perez-Amaral, 94, 159-163. (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm). 96. D.E. Allen, R. Amram, and M. McAleer, (2013) “Volatility spillovers from the Chinese stock market to economic neighbours”, Mathematics and Computers in Simulation,

29/69 Special Issue: Madrid International Conference on Risk Modelling and Management, Guest Editors: Chia-Lin Chang, David Allen, Michael McAleer and Teodosio Perez- Amaral, 94, 238-257. (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm). 97. A.K. Singh, D.E. Allen, and R.J. Powell, (2013) “Extreme market risk and extreme value theory”, Mathematics and Computers in Simulation, Special Issue: Madrid Interna- tional Conference on Risk Modelling and Management, Guest Editors: Chia-Lin Chang, David Allen, Michael McAleer and Teodosio Perez-Amaral, 94, 310-328. (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm). 98. Allen, D. E., M. McAleer, and M. Scarth, (2014) “Asymmetric Realised Volatility Risk”, Journal of Risk and Financial Management, 7, pp. 80-109. 99. Jeyasreedharan, N., D.E. Allen, and J.Y. Yang, (2014) “YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL”, Annals of Financial Economics, pp.1-20 100. P. Saart, J. Gao, and D.E. Allen, (2015) "Semiparametric Autoregressive Conditional Duration Model: Theory and Practice", Econometric Reviews, 34, (6-10), 849-881. (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm). 101. D.E. Allen, R. Powell and A.K. Singh, (2016) “Take it to the limit: Innovative CVaR applications to extreme credit risk measurement”, European Journal of Operational Re- search, 249, (2) 465-475. (Ranked A*, http://www.arc.gov.au/era/era_journal_list.htm). available on-line, http://www.sciencedirect.com/science/article/pii/S0377221714010182 102. D.E. Allen, (2015) “Journal of Informatics and Data Mining: Opinion”, Journal of Informatics and Data Mining, iMedPub Journals, 1, No1:4, 1-2. 103. D.E. Allen, (2015) “Potential Provision of Information for Researchers in Academic Field: Opinion”, Journal of Health & Medical Economics, 1, (1-6), pp:1-2. 104. D.E. Allen, M.J. McAleer and A.K. Singh (2016) “An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series”, published on line July 2016, forthcoming Applied Economics. 105. D.E. Allen, M.J. McAleer, S.J. Peiris, and A.K. Singh (2016) “Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies”, Risks, 4(1), 7; doi:10.3390/risks4010007. 106. D.E. Allen, M.J. McAleer, R.J.Powell, and A.K. Singh (2016) “Down-side Risk Metrics as Portfolio Diversication Strategies across the GFC”, Journal of Risk and Financial Management, 9(2), 6; doi:10.3390/jrfm9020006 - published 21 June 2016. 107. D.E. Allen, M.J. McAleer, S.J. Peiris, and A.K. Singh (2016) ’Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies, Risks, 4(1), 7, 1-14. 108. D.E. Allen, M. McAleer, and A.K. Singh (2016) “An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series”, Applied Economics, (Ranked A ABDC list http://www.abdc.edu.au/3.43.0.0.1.0.htm).

30/69 109. D. E. Allen, M. McAleer, R. Powell, and A.K. Singh, (2016) “A Capital Asset Buffer Model”, Applied Economic Letters, 23, 3, 175-179. (Ranked B ACBD List). 110. D.E. Allen, M. McAleer, R. Powell, and A.K. Singh, (2017) Volatility Spillovers from Australia’s major trading partners across the GFC, International Review of Economics and Finance, 47, 159-175 (Ranked A, http://www.arc.gov.au/era/era_journal_list.htm). 111. Singh AK, Allen DE, Powell RJ Abhay K Singh, David E Allen and Robert J Powell, (2017) ‘Tail dependence analysis of stock markets using extreme value theory’, Applied Economics, Online (2017), no. February, 1–12. (Ranked A ACBD List) 112. D.E. Allen, M. McAleer, and A.K. Singh, (2017) ’Risk Measurement and Risk Mod- elling Using Applications of Vine Copulas’, Sustainability, 9(10), 1762;doi:10.3390/su9101762 113. D.E. Allen, (2018),Practical Aspects of R in Finance, Management Information and Decision Sciences, Journal of Managerial and Decision Sciences, 20, Print ISSN: 1524-7252; Online ISSN: 1532-5806 114. R. Yatigammana, S. Peiris, R. Gerlach, and D.E. Allen (2018) Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants, Risks, 6(2), 52; https://doi.org/10.3390/risks6020052 115. D.E. Allen and M. McAleer (2018) "Theoretical and Empirical Differences between Di- agonal and Full BEKK for Risk Management", Energies, 11(7), 1627; https://doi.org/10.3390/en11071627 116. D.E. Allen and M. McAleer (2018) "President Trump Tweets Supreme Leader Kim Jong-Un on Nuclear Weapons: A Comparison with Climate Change", Sustainability, 117. D.E. Allen and M. McAleer (2018) "Fake news and indifference to scientific fact: President Trump’s confused tweets on global warming, climate change and weather”, Scientometrics, pp. 1-5. 118. Allen, D., C. Chang, M. McAleer, and A Singh, (2018) A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices, Applied Economics, 50(7), 804-823. 119. Allen, D., and V. Hooper, (2018) “Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models”, Sustainability, 10(8),1-15 120. Allen, D., M. McAleer, R. Powell, and A. Singh, (2018) “Non-Parametric Multiple Change Point Analysis of the Global Financial Crisis”, Annals of Financial Economics, 13(2), 1850008-1-1850008-23. 121. D.E. Allen, M. McAleer, and A.K. Singh, (2019) "Daily market news sentiment and stock prices", Applied Economics, 51(30), 212-3235. 122. D.E. Allen and E. Luciano (2019) "Risk Analysis and Portfolio Modelling", Journal of Risk and Financial Management, 12,(4) 154 54; https://doi.org/10.3390/jrfm12040154 123. D.E. Allen and M. McAleer (2019) "Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany," Sustainability,11(19), 5181; https://doi.org/10.3390/su11195181

31/69 124. D.E. Allen and M. McAleer (2020) Do we need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE, RISKS, 8, 12; doi:10.3390/risks8010012 125. Asai, M. , M. McAleer, S. Peiris and D.E. Allen, (2020) "Cointegrated Dynamics for A Generalized Long Memory Process: Application to Interest Rates”, Journal of Time Series Econometrics, (Ranked B ABDC list http://www.abdc.edu.au/3.43.0.0.1.0.htm) 125. D.E. Allen and M. McAleer (2020) “Generalized Measures of Correlation for Asymme- try, Nonlinearity, and Beyond”: Some Antecedents on Causality, Journal of the American Statistical Association, https://www.tandfonline.com/doi/full/10.1080/01621459.2020.1768101 (Ranked A* ABDC list http://www.abdc.edu.au/3.43.0.0.1.0.htm) 126. D.E. Allen and M. McAleer (2020) A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index, ENERGIES, https://www.mdpi.com/1996-1073/13/15/4011 11 pages. Conference Proceedings: 1. Econometric Society Australasian Meeting (1996), The University of Melbourne, Proceedings, Vol 3, M.McAleer, P.W. Miller, and K. Leong, (Eds), D.E.Allen and G. MacDonald, “The Relationship between Stock Prices and Dividends: Evidence from the Australian Stock Market”, The University of Western Australia Press, (July,1996), ISBN (Book) 0-86422-485-0, pp.43-69. 2. Econometric Society Australasian Meeting (1997), The University of Western Australia, Proceedings, Vol 3, P. Bardsley and V.L. Martin, (Eds), D.E.Allen, N. Souness and K. Walsh, “Panel Data Estimates of Minimum Variance Hedge Ratios on the Sydney Futures Exchange for Interest Rate Contracts”, The Economics Department, the University of Melbourne, 4 Vols, Volume 3 Macroeconometrics and Finance, (July,1997), pp.149-166. 3. Econometric Society Australasian Meeting (1998), Australian National University, “A Test of the Persistence in Performance of UK Mutual Funds”, (July 1998), CD Rom. 4. Econometrics Society Australasian Annual Meeting (1999), UTS, Sydney, D.E. Allen, G. MacDonald, D. Walsh and K. Walsh, "Using Regression Techniques to estimate Futures Hedge Ratios: Some results from alternative approaches to Australian Treasury Bond Futures"(July, 1999). 5. International Congress on Modelling and Simulation MODSIM 2001, The Australian National University, Canberra "Mutual Fund Company Mergers and Their Impact on Investment Flows", (10-13 December, 2001), ISBN 0867405252, pp. 1537-1542. 6. International Congress on Modelling and Simulation MODSIM 2001, The Australian National University, Canberra "Do UK Stock Prices Deviate from Fundamentals?", (10-13 December, 2001), ISBN 0867405252, pp. 1543-1548. 7. Peiris, M.S. and Allen, D. (2002), Autoregressive Conditional Duration Models, Proceedings of the Sydney Conference on Probability and Statistics, 69-81 (P. Cooke, S. Peiris and A. Kozek eds.)

32/69 8. Modelling and Simulation Society of Australia and New Zealand Inc, Modsim 2003, International Congress on Modelling and Simulation, Volume 3 Socioeconomic Systems, (14-17 July 2003) ISBN - 174052 098X, Shelton Peiris, David Allen, and Wenling Yang,"Some Statistical Models for Durations and their Applications in Finance" pp.1210- 1214. 9. Modelling and Simulation Society of Australia and New Zealand Inc, Modsim 2003, International Congress on Modelling and Simulation, Volume 3 Socioeconomic Systems, (14-17 July 2003) ISBN - 174052 098X, M. Aitken, D.E. Allen and W. Yang, "Some Evidence on the information content of undisclosed limit orders on the ASX", pp. 1215- 1220. 10. Modelling and Simulation Society of Australia and New Zealand Inc, Modsim 2003, International Congress on Modelling and Simulation, Volume 3 Socioeconomic Systems, (14-17 July 2003) ISBN - 174052 098X, D.E. Allen and V. Soucik, "Some Evidence on the performance benchmarking of Australian Fixed Interest Funds", pp. 1221-1226. 11. Australasian Meeting of the Econometric Society, (July 9-11 2003) School of Eco- nomics, UNSW, Sydney, Shelton Peiris, David Allen, and Wenling Yang,"Some Statistical Models for Durations and their Applications in Finance". 12. D.E. Allen, and J. Chimini, Emerging Financial Markets and Services in Asia Pacific Conference, Sydney, Marriot Hotel, (27-28th May 2004), Proceedings, paper 2, “The World price of covariance Risk with respect to Emerging Markets”, ISBN 1 74108047 9 13. D.E.Allen, Business and Economics Society International Conference, Rodos Palace Rhodes, Greece, “The Present Value of Pacific Basin Stock Markets: Some Time-Series tests applying long-run structural modelling”, (July 19th 2004). 14. D.E.Allen, Siamese International Conference on Modelling and Simulation, SIMMOD, The Rose Garden, Bangkok, Thailand “The World Price of Covariance Risk with respect to Emerging Markets”, January 18th 2005. 15. D.E.Allen, Siamese International Conference on Modelling and Simulation, SIM- MOD, The Rose Garden, Bangkok, Thailand “Modelling and Forecasting Dynamic VaR Thresholds for Risk Management and Regulation”, January 18th 2005. 16. Peiris, S., Allen, D. and Peiris, U. (2005), Generalised Autoregressive Models with Conditional Heteroscedasticity: An Application to Financial Time Series, (Proceedings of the University of Wollongong Workshop on Research Methods: Statistics and Finance), 66-74. Eric J Beh, Robert G Clark, J C W Rayner (eds.) University of Wollongong, Wollongong, ISBN 1 74128 107 5 17. D.E. Allen and V. Boobal Batchelor, “The Role Of Post-Crisis Bank Mergers In Enhancing Efficiency Gains and Benefits to The Public In The Context of a Developing Economy: Evidence From Malaysia”, University of Melbourne, In Zerger, A. and Ar- gent, R.M. (eds) MODSIM 2005 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2005, pp. 2275-2283. ISBN: 0-9758400-2-9

33/69 18. rLong Run Underperformance of Seasoned Equity Offerings: Fact or an Illusion? Allen, D.E. & V. Soucik, University of Melbourne, In Zerger, A. and Argent, R.M. (eds) MODSIM 2005 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2005, pp. 559-565. ISBN: 0-9758400-2-9. 19. D.E. Allen, A.S.S. Cheng and J.W. Yang, “The Impact of Undisclosed Vs Disclosed Limit Orders: Evidence from Inter-Day returns, Signalling and information effects on the ASX,”Business and Economics Society International International Conference, Antibes France, (July 2007), Global Business Economics Anthology, ISSN 1553-1392, pp.392-403 20. Sato, K., Allen, D. & Zhang, Z.Y , “A Monetary Union in East Asia: What does the Common Cycles Approach Tell?”. In Oxley, L. and Kulasiri, D. (eds) MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2007, pp.1007-1012. 21. D.E. Allen, R. Shareef, and G. Yap, “In Modelling Interstate Tourism Demand in Australia: A Cointegration Approach”.In Oxley, L. and Kulasiri, D. (eds) MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2007, pp.1920-1926. 22. D.E.Allen, and V. Soucik, “The Performance of Seasoned Equity Issues in a Risk- Adjusted Environment?” In Oxley, L. and Kulasiri, D. (eds) MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Aus- tralia and New Zealand, December 2007, pp. 1835-1842. ISBN : 978-0-9758400-4-7. http:/www.mssanz.au/modsim07/Papers/DegreeofSite_s44_Basenet_.pdf 23. D.E. Allen and R.J. Powell,“Thoughts on VaR and CVaR, In Oxley, L. and Kulasiri, D. (eds) MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2007, pp.1843-1850. ISBN : 978-0-9758400-4-7. http:/www.mssanz.au/modsim07/Papers/DegreeofSite_s44_Basenet_.pdf 24. D.E. Allen and G. Yap, “Investigating other leading indicators influencing Australian domestic tourism demand”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09 25. D.E. Allen and G. Yap, “Modelling Australian domestic tourism demand: A panel data approach”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 26. D.E. Allen, M. McAleer and M. Scharth, (2011) “Monte Carlo option pricing with asymmetric realized volatility dynamics”, Special Issue: Selected Papers of the Combined IMACS World Congress and MSSANZ 18th Biennial Conference on Modelling and Simu- lation, Cairns, Australia, 13–17 July, 2009 Mathematics and Computers in Simulation, 81, 7, pp:1247-1256 (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm). 27. G. Yap and D.E.Allen (2011) “An Investigation of other leading indicators influencing Australian domestic tourism demand", Special Issue: Selected Papers of the Combined

34/69 IMACS World Congress and MSSANZ 18th Biennial Conference on Modelling and Simu- lation, Cairns, Australia, 13–17 July, 2009 Mathematics and Computers in Simulation, 81,7 pp. 1365-1374 (Ranked B, http://www.arc.gov.au/era/era_journal_list.htm). 28. R. Powell and D.E. Allen, “CVaR and Credit Risk Measurement”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09 29. J. Yong, D.E. Allen, and L.k. Lim, “AREIT returns from 1990 – 2008: A multi-factor approach” 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09 30. D.E. Allen and J. Sudiman, “Does tick size change improve liquidity provision?Evidence from the Indonesia Stock Exchange”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09 31. D.E. Allen and I. Bujang, “Stock Returns and Equity Premium Evidence Using Dividend Price Ratios and Dividend Yields in Malaysia” 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09 32. D.E. Allen and I. Bujang, “Conditional Beta Capital Asset Pricing Model (CAPM) and Duration Dependence Tests”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09 33. D.E. Allen, R.R. Boffey and R.J. Powell, (2011) “Peas in a pod: Canadian and Australian banks before and during a Global Financial Crisis”, In Chan, F., Marinova, D. and Anderssen, R.S. (eds) MODSIM2011, 19th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2011, pp. 1144-1450. ISBN: 978-0-9872143-1-7. 34. D.E. Allen, A. Kramadibrata, R.J. Powell and A.K. Singh, (2011) “Innovative transi- tion matrix techniques for measuring extreme risk: an Australian and U.S. comparison”. In Chan, F., Marinova, D. and Anderssen, R.S. (eds) MODSIM2011, 19th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2011, pp. 1451-1456. ISBN: 978-0-9872143-1-7. 35. D.E. Allen, A. Kramadibrata, R.J. Powell and A.K. Singh, (2011), “Are credit ratings a good measure of capital adequacy?” In Chan, F., Marinova, D. and Anderssen, R.S. (eds) MODSIM2011, 19th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2011, pp. 1457-1463. ISBN: 978-0-9872143-1-7. 36. D.E. Allen and R.J. Powell, (2011), “Credit risk measurement methodologies”, In Chan, F., Marinova, D. and Anderssen, R.S. (eds) MODSIM2011, 19th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2011, pp. 1464-1470. ISBN: 978-0-9872143-1-7. 37. A.K. Singh, D.E. Allen, and R.J. Powell, (2011) “Value at Risk Estimation Using Extreme Value Theory”, In Chan, F., Marinova, D. and Anderssen, R.S. (eds) MOD- SIM2011, 19th International Congress on Modelling and Simulation. Modelling and

35/69 Simulation Society of Australia and New Zealand, December 2011, pp. 1478-1484. ISBN: 978-0-9872143-1-7. 38. A.K. Singh, D.E. Allen, and R.J. Powell, (2011) “Evaluating Extremal Dependence in Stock Markets Using Extreme Value Theory”, In Chan, F., Marinova, D. and Anderssen, R.S. (eds) MODSIM2011, 19th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2011, pp. 1485-1491. ISBN: 978-0-9872143-1-7. 39. J. Yong, D.E. Allen and L.K. Lim, (2011) Evaluating economic relationships of stapled and traditional Australian REITs”, In Chan, F., Marinova, D. and Anderssen, R.S. (eds) MODSIM2011, 19th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2011, pp. 1505-1511. ISBN: 978-0-9872143-1-7. 40. Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011). Xtreme Credit Risk Models: Implications for Bank Capital Buffers (Extended Version). Systemic Risk, Basel III, Financial Stability and Regulation Conference Sydney. 41. Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011). Bank Risk: Does Size Matter? Econometrics Society Australasian Meeting Adelaide. 42. Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011). Comparing Australian and US Corporate Default Risk Using Quantile Regression. Econometrics Society Australasian Meeting. Adelaide. 43. Allen, D. E., Singh, A. K., & Powell, R. J. (2011). Extreme Market Risk - An Extreme Value Theory Approach. Econometrics Society Australasian Meeting. Adelaide 44. Arreola, J., Allen, D.E, and Powell, R. (2013) “Dependence estimation and con- trolled CVaR portfolio optimization of a highly kurtotic Australian mining sample of stocks”, In Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2013, pp. 1305–1311. ISBN: 978-0-9872143-3-1. www.mssanz.org.au/modsim2013/L5/ahamed.pdf 45. Allen, D.E., Boffey, R.R., Kramadibrata, A.R., Powell, R.J. and Singh, A.K (2013), “Primary sector volatility and default risk in Indonesia”. In Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th International Congress on Modelling and Simu- lation. Modelling and Simulation Society of Australia and New Zealand, December 2013, pp. 1298–1304. ISBN: 978-0-9872143-3-1. www.mssanz.org.au/modsim2013/F5/allen.pdf 46. Allen, D.E., Powell, R.J. and Singh, A.K. (2013) “A dynamic credit ratings model” In Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th Interna- tional Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2013, pp. 1291–1297. ISBN: 978-0-9872143-3-1. www.mssanz.org.au/modsim2013/F5/allen.pdf 47. Singh, A.K., Allen, D.E. and Powell, R.J. (2013) “Intraday volatility forecast in Australian equity market” In Piantadosi, J., Anderssen, R.S. and Boland J. (eds)

36/69 MODSIM2013, 20th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2013, pp. 1312–1318. ISBN: 978-0-9872143-3-1. www.mssanz.org.au/modsim2013/F5/allen.pdf 48. Allen, D.E., McAleer, M.J., and A.K. Singh (2013) “Nonparametric Multiple Change Point Analysis of the Global Financial Crisis” Quantitative Methods in Finance Conference”, Quantitative Methods in Finance Conference, Sydney, December 18th 2013. 49. D.E. Allen, M.J. McAleer, R.J. Powell, and A.k. Singh (2015) “A Volatility Impulse Response Analyisis applying multivariate GARCH models and news events around the GFC”. In Weber, T., McPhee, M.J. and Anderssen, R.S. (eds) MODSIM2015, 21st International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2015, pp. 490–496. ISBN: 978-0-9872143-5-5. www.mssanz.org.au/modsim2015/B4/walmsley.pdf 50. D.E. Allen, R.J. Powell and A.K. Singh, (2015) “Quantile Regression, Var and CVaR. An empirical beta comparison of the techniques in relation to credit risk”. In Weber, T., McPhee, M.J. and Anderssen, R.S. (eds) MODSIM2015, 21st Inter- national Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2015, pp. 490–496. ISBN: 978-0-9872143-5-5. www.mssanz.org.au/modsim2015/B4/walmsley.pdf MINOR PUBLICATIONS AND BOOK REVIEWS: 156. "Economics and Business Decision-Making, Economics, Vol. XV, Part 2, No. 66, (Summer 1979), pp.33-36. 157. The Investment Decision of Firms, S.J. Nickell, James Nisbet, Welsyn (1978), Managerial and Decision Economics, Vol. 2, No. 1, (1981), pp.125-126. 158. The Economics of Futures Trading (Ed.) B.A. Goss and B.S. Yamey, 2nd ed., Macmillan, (London, 1978). Managerial and Decision Economics, Vol. 2, No. 2, (1981). 159. IMF Institute. Financial Policy Workshops: The Case of Kenya, Washington, IMF (1981), The Economic Journal (June, 1982). 160. R.J. Herring (ed.) Managing International Risk, The Economic Journal, Vol. 94 (June 1984), pp.417 418. 161. R.J. Herring (ed.) Managing Foreign Exchange Risk, The Economic Journal, Vol. 94 (June 1984), pp.418 419. 162. Option Pricing: Theory and Applications, Lexington Books/Salomon Brothers Center Series on Financial Institutions and Markets, D.C. Heath & Company, Lexington, MA, Managerial and Decision Economics, Vol. 6, No. 3, (September 1985), p.195. 163. "Corporate dividend policies remain a puzzle", Challenge Investor, Challenge Bank, Perth, (March 1992), p.3. 164. Review, M. McGrath, Financial Institutions, Investments and Markets in Australia, McGraw Hill (1994), Campus Review,Vol 3, No 48, (December 16-22, 1993) p.12.

37/69 165. Review, M.K. Lewis and R.H. Wallace, (Eds.,) The Australian Financial System, Longman Cheshire, Melbourne, (1993), Asian review of Accounting, Vol 2, No 1, (1994), pp.151-153. 166. Review, M. Binswanger, Stock Markets, Speculative Bubbles and Economic Growth, E. Elgar, Cheltenham, UK, (1999), The Economic Record, September 2000, pp. 306-308. 167. D.E.Allen and A.K. Singh, (October 2010), Power Point Slides to accompany Essentials of Corporate Finance, S. Ross, R. Trayler, R. Bird, R. Westerfield, B. Jordan, McGraw- Hill. Recent working papers (2005 onwards) D.E. Allen and Nigel J. Morkel-Kingsbury, (2005) “Central Bank Transparency and Bank Lending rates: Australian Evidence” School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen, Valli Batchelor, and Kalaithasan Kuppusamy, (2005), “The Technological Progress of Malaysian Banks: An Empirical Investigation”, School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen and Amporn Soongswang (2005), “Post-Takeovers Effects on Thai Bidding Firms: Are Takeovers in the Bidder’s Interests?” School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen, S. Peiris, R. Bhar, (2006), “Analysis and Applications of Autoregressive Moving Average Models with Stochastic Variance”, School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen and T. Mapfumba (2006), “Real Interest Rates and Inflation in Norway”, School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen, F. Chan, M. McAleer, and S. Peiris, (2006), “Finite Sample Properties of the QMLE for the Log-ACD Model: Application to Australian Stocks”, School of Accounting, Finance and Economics, Working Paper Series. D.E.Allen, Z, Lazarov, M. McAleer, and S. Peiris (2007) “Comparison of Alternative ACD Models via Density and Interval Forecasts: Evidence from the Australian Stock Market” School of Accounting, Finance and Economics, Working Paper Series. D.E.Allen, Z. Lazarov, and M. McAleer, (2007) Modelling Intra-day Seasonality and Forecasting Densities in Financial Duration Data”, School of Accounting, Finance and Economics, Working Paper Series. D. E. Allen, A. S.-S. Cheng, C. Comerton-Forde and J. W. Yang, (2007) “Returns, Volatility and Liquidity on the ASX: Undisclosed vs. Disclosed Limit Orders”, School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen and R. Powell, (2007), “Industry Market Value at Risk in Australia”, School of Accounting, Finance and Economics, Working Paper Series.

38/69 D.E. Allen and A. Soongswang, (2007), “Takeovers and Shareholder Value Creation on the Stock Exchange of Thailand”, School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen and P. Taco, (2007), Is the Australian Forex Market Efficient? A Test of the Forward Rate Unbiasness Hypothesis, School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen and Q. Steyn, “Hedging with interest rate caps compared with a policy of maintaining a balanced portfolio of loans (PLA) and averaging the borrowing costs”, (November 2007), School of Accounting, Finance and Economics, Working Paper Series. David E. Allen and Robert Powell, Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective (February 2008) School of Accounting, Finance and Economics, Working Paper Series. David E. Allen and Joey W. Yang, ”Limit Order Trading and Information Asymmetry: Empirical Evidence about the Evolution of Liquidity on an Order Driven Market”, (March 2008) School of Accounting, Finance and Economics, Working Paper Series. David E. Allen and Seyed-Ali Hosseini-Yekani, “Portfolio Investment Modeling Using High Frequency Data”, (May 2008) August School of Accounting, Finance and Economics, Working Paper Series. David E. Allen and Seyed-Ali Hosseini-Yekani, “A Comparison of Parametric and Sampling Approaches to Portfolio Investment Selection using FTSE100 Stocks”, (May 2008) School of Accounting, Finance and Economics, Working Paper Series. Pipat Wongsaart, Jiti Gao and David E. Allen, “The Third Generation ACD Model: A Semiparametric Approach”, (June 2008) School of Accounting, Finance and Economics, Working Paper Series. David E. Allen, Michael McAleer and Marcel Scharth, “Realized Volatility Uncertainty”, (August 2008) School of Accounting, Finance and Economics, Working Paper Series. D.E.Allen and A.K. Singh, “Minimizing Loss at Times of Financial Crisis: Quantile Regression as a Tool for Portfolio Investment Decisions (October 2009) School of Ac- counting, Finance and Economics, Working Paper Series D. E. Allen. A. K. Singh and R. Powell, “Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis” (October 2009) School of Accounting, Finance and Economics, Working Paper Series. David E. Allen and Ghialy Yap, ”Modelling Australian Domestic Tourism Demand: A Panel Data Approach”, (October 2009) School of Accounting, Finance and Economics, Working Paper Series. David E. Allen and Ghialy Yap, “Investigating other leading indicators influencing Australian domestic tourism demand”, (October 2009), School of Accounting, Finance and Economics, Working Paper Series.

39/69 David E. Allen and Imbarine Bujang, “Stock Returns and Equity Premium Evidence Using Dividend Price Ratios and Dividend Yields in Malaysia” (September 2009), School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen and I. Bujang, “Conditional Beta Capital Asset Pricing Model (CAPM) and Duration Dependence Tests”, (September 2009), School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen and J. Sudiman, “Does Tick Size Change Improve Liquidity Provision? Evidence from the Indonesia Stock Exchange”, (September 2009), School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen and R.J. Powell, “CVaR and Credit Risk Measurement”, (August 2009), School of Accounting, Finance and Economics, Working Paper Series. J.L.P. Yong, D.E. Allen and L.K. Lim, “A Multi-Factor Analysis of AREIT Returns”, (August 2009), School of Accounting, Finance and Economics, Working Paper Series. P. Wongsaart, J. Gao and D.E. Allen, “A Semiparametric Approach to a Nonlinear ACD Model”, (June 2009), School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen, M. McAleer and M. Scharth, “Pricing Options by Simulation Using Realized Volatility”, (May 2009) School of Accounting, Finance and Economics, Working Paper Series. K.H. Ng, D.E. Allen and S. Peiris, “Fitting Weibull ACD Models to High Frequency Transactions Data: A Semi-parametric Approach based on Estimating Functions”, (March 2009), School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen and A. K. Singh (January 2010) "A Risk and Forecasting Analysis of West Texas Crude", School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen and R. Powell, (July 2010) "Measuring and optimising Extreme Sectoral Risk in Australia", School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen, A. Golab and R. Powell (July 2010) "Volatility and correlations for stock markets in the emerging economies of Central and Eastern Europe: implications for European Investors". School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen and A. K. Singh, (August 2010) " CAViaR AND THE AUSTRALIAN STOCK MARKETS: AN APPETISER. School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen and A.K. Singh (August 2010) "Asset Selection using a factor model and data envelope analysis - a quantile regression approach". School of Accounting, Finance and Economics, Working Paper Series. D.E. Allen, Powell, R., & Singh, A. K. (2010). Using Quantile Regression to Estimate Capital Buffer Requirements for Japanese Banks. Working Paper, School of Accounting, Finance and Economics, Working Paper Series, Edith Cowan University.

40/69 D.E. Allen, R. Powell and A.K. Singh, (2011) "Beyond Reasonable Doubt: Multiple Tail Risk Measures Applied to European Industries",School of Accounting, Finance and Economics, Working Paper Series, Edith Cowan University. A.K. Singh, D. E Allen and R. Powell, (June 2011) "Extreme Market Risk-An Extreme Value Theory Approach", School of Accounting, Finance and Economics, Working Paper Series, Edith Cowan University. D. E Allen, R.R. Boffey and R. Powell (August 2011) "A Quantile Monte Carlo Approach to Measuring Extreme Credit Risk". D. E Allen, R.R. Boffey and R. Powell (August 2011) "Survival of the Fittest: Contagion as a Determinant of Canadian and Australian Bank Risk". D. E Allen and R. Amram and M. McAleer, (October 2011) "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours", School of Accounting, Finance and Economics, Working Paper Series, Edith Cowan University. D.E. Allen, R.J. Powell and A. K. Singh, (October 2011) “A gourmet’s delight: caviar and the Australian stock market” School of Accounting, Finance and Economics, Working Paper Series, Edith Cowan University. David E Allen, Abhay K Singh, Robert J Powell, Michael McAleer, James Taylor & Lyn Thomas, (2013) "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression". School of Accounting, Finance and Economics, Working Paper Series, Edith Cowan University. David E. Allen, Michael McAleer, Robert Powell, Abhay K. Singh (2013) "A non- parametric and entropy based analysis of the relationship between the VIX and S&P 500". School of Accounting, Finance and Economics, Working Paper Series, Edith Cowan University. David.E. Allen, Mohammad.A. Ashraf, Michael. McAleer, Robert.J. Powell, and Abhay.K. Singh, (2013) "Financial Dependence Analysis: Applications of Vine Copulas". School of Accounting, Finance and Economics, Working Paper Series, Edith Cowan University. D.E. Allen, M. McAleer, R. Powell, J. Taylor, and L.T. Thomas, (2013) “Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression”, Working Paper, SSRN, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2253685 A.K. Singh, D.E. Allen, and R. Powell, (2014) “Modelling and Forecasting Intraday Market Risk with Application to Stock Indices” Working Paper, SSRN. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2395610 A.K. Singh, D.E. Allen, R. Powell, and K. Reddy, (2014) “Multivariate Financial De- pendence Analysis of Asian Markets Using Vine Copulas”, Working Paper, SSRN. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2449932 D.E. Allen, M. McAleer, R. Powell, and A.K. Singh, (2014) “European Market Diversifi- cation Strategies across the GFC”, Working Paper. D.E. Allen, M. McAleer, S. Peiris, and A.K. Singh, (2014) “Hedge Fund Portfolio Diversification Strategies across the GFC”, Working Paper.

41/69 D.E. Allen, M.J. McAleer, R.J. Powell, and A.K. Singh (2015) ’Multivariate Volatility Impulse Response Analysis of GFC News Events’ Working Paper. D.E. Allen, M.J. McAleer, and A.K. Singh(2015) ’Daily Market News Sentiment and Stock Prices’ Working Paper. D.E. Allen, M.J. McAleer, S. K. Peiris, and A.K. Singh(2015) ’Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies’, Working Paper. D.E. Allen, M.J. McAleer, and A.K. Singh, 2016. "An entropy based analysis of the rela- tionship between the DOW JONES Index and the TRNA Sentiment series," Econometric Institute Research Papers EI2016-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. D.E. Allen, C. Chang, M. McAleer and A. K. Singh, 2016. "A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices," Tinbergen Institute Discussion Papers 16-038/III, Tinbergen Institute. D.E. Allen and M. McAleer, (2017) “Theoretical and Empirical Difference between Diago- nal and Full BEKK for Risk Management”, Available at SSRN: https://ssrn.com/abstract=3004319

Research funds received 1982 With W.D. Reekie, £5,000 received from the Office of Health Economics, London, to investigate the impact of generic substitutes on ’brand name’ drugs. One journal article, a seminar paper, and a conference paper delivered at the Allied Social Sciences Association Annual Conference, resulted from this research. 1983 With W.D. Reekie and J.N. Crook, £10,000 received from the Technical Change Centre, London, to investigate the characteristics of innovative firms. Two journal articles resulted from this research, plus a conference paper. 1987 ARGS research grant of $4,324 and Special Research Grant of $4,548 received to support research involving an investigation of the financial policies of Australian companies. 1988 ARGS research grant of $4,500 and Special Research Grant of $18,722 in continued support of the above-mentioned project. 1989 Coopers & Lybrand research grant of $2,500 to support an empirical investigation and comparison of the financial policies of British and Australian companies. 1990 Australian Academy of Humanities Australia-Japan Program research grant of $7350 to support an investigation of the determinants of the financial policies of Japanese Companies. Nine conference papers and three publications have already resulted from the research work into the determinants of company financial policies in Australia, Britain, and Japan.

42/69 1992 A further $4,968 has been provided from Curtin University’s EFRU in the School of Economics and Finance to extend the above project. 1992 Support of $5098 has been jointly provided by Curtin’s EFRU and IBU groups for a research project with Gary Macdonald of the Economics Department involving an investigation of equilibrium and efficiency in Australian and South East Asian Financial markets. The initial stage of the project involves the application of cointegration and unit roots tests to time series return data for stock exchange accumulation indices for 19 countries. 1992 Research project with Dr. L. Alles. "testing the predictability of the Australian stock and bond markets". This project involves investigating the degree of the predictability of the returns in Australian stock and bond markets and will use time series and cross- sectional analyses. Support of $4,500 granted by EFRU. 1992 Purchase of the Australian Graduate School of Management (AGSM) Centre For Research in Finance (CRIF) Share Price Price Relative (SPPR) database of listed Australian Company monthly prices and returns adjusted for capitalisation changes. Grant received from Vice-Chancellor’s Discretionary Award of $12,000 to purchase the database. This will be a major asset to both staff, Hons, and postgraduate students who wish to undertake research utilising an Australian set of capitilisation change adjusted return series. 1993 Research project with L. Alles involving an investigation of time varying risk premia and the predictive power of the term structure of interest rates across Australia, Malaysia, Hong Kong and Taiwan. Support of $3,333 has been provided by IRIC and a further $830 by EFRU. 1997 Research into the hedging effectiveness of the Sydney Futures Exchange applying time-series modelling techniques supported by a Small ARC Grant of $15,000 in 1997. 1998 Research into the hedging effectiveness of Liffe and Simex applying time-series modelling techniques Small ARC grant of $17,500. 1999 Managed Fund Performance. A project on the measurement of managed fund performance was developed with Professor T. Brailsford of Australian National University, Professor Robert Faff of RMIT, and Assirt, the fund rating agency using data provided by Assirt. The work was supported by a SPIRT grant in of $49,973 in 1999, $38,298 in 2000 and funding for an APA until 2001 of $20,756 in that year. 1999 A study of the linkages between accounting earnings, dividends and stock prices. A time series analysis of linkages between accounting earnings, dividends and stock prices undertaken with Dr. G. MacDonald of Curtin University, Professor A.M. Masih of Edith Cowan and Mr. R. Masih of Goldman Sachs supported by a Small Arc grant of $17,500 in 1999. 2002 LP0219466 Linkage Grant - Project Title: "An Evaluation of the Morningstar System of Managed Fund Ratings in Australia and New Zealand" [$108,000 (2002-2004)]. Chief Investigators: Professor Robert Faff (RMIT); Professor Dave Allen (Edith Cowan

43/69 University); Professor Tim Brailsford (Australian National University). Industry Partner: Morningstar Downunder 2004 SR0354895 Professor Dave Allen (ECU)and FIMARC (Financial Markets and Accounting Research Centre) are participating in a Financial Integrity Research Network (FIRN) which received $40k of seed funding from the ARC at the end of 2003, and then in 2004 was awarded ARC approved funding of $350,000 pa over the next 5 years. FIRN involves a multidisciplinary research network of 12 Australian Universities. 2004 LP0455281 Modelling stock market liquidity in Australia and the Asia Pacific Region. Linkage Grant with SIRCA Other developments include securing an ARC Linkage Grant to study market impact (the impact of securities trading on price movements) with SIRCA as the industry partner and a research team whose chief investigators are Professor Allen, Professor M. McAleer of UWA and Dr Shelton Peiris of the University of Sydney. This team comprises a fine balance of skills in that in addition to Professor Allen’s research focus on applied finance, Professor McAleer is one of the foremost econometricians in Australia whilst Dr Peiris is an accomplished statistician. The project, which will be based at Edith Cowan University is titled: “Modelling stock market liquidity in Australia and the Asia Pacific Region” and it received funding for 2004 of $52,500, 2005 -$100,000, 2006 - $95,000, and 2007 - $47,500. This project will develop new methods of assessing stock market liquidity in Australia and the Asia-Pacific region. These methods will use high frequency transactions-based data provided by the industry partner, SIRCA. The data will be the basis of smart information real time algorithms for measuring market liquidity. They will incorporate generalizations and extensions of recent developments in time series econometrics, and will be calibrated and evaluated statistically. The novel methods will be crucial to market participants and to regulators, who will be able to apply them to assess market depth and liquidity, and reduce trading costs substantially. 2005 RN0460246 Financial Integrity Research Network received ARC funding of $1.75m for 2005-2010. FIRN is directed towards innovation in the integrity and efficiency of Aus- tralia’s financial system. It addresses pressing problems and threats associated with this key component of Australia’s infrastructure. FIRN brings together a multi-disciplinary network involving 14 Australian universities, featuring internationally renowned aca- demics in a unique collaborative research effort which spans the conventional disciplinary boundaries of: Financial economics, Applied statistics, Financial econometrics, Actuarial science, Financial mathematics, Market micro-structure, Accounting and information sys- tems, Corporate finance, Corporate governance, Funds management. FIRN is supported by SIRCA’s (the Securities Industry Research Centre of the Asia Pacific) world-class financial research infrastructure and industry network. It will deliver a range of innova- tive research and applied outcomes. FIRN will achieve its larger aims by pursuing the following research and industry/end user initiatives:A collaborative research program into theoretical and applied issues related to financial markets, instruments and applications to relevant end users. A national and international distinguished visitor program. A regional seminar and conference program with a multi-disciplinary focus. A web based national research paper series along the lines of the NBER in the US and CEPR in the UK. Securing industry support to fund scholarships, industry/academic exchanges

44/69 and postdoctoral appointments. A young researcher development program. Creating a distinguished lecture program with regular public forums hosted by network participants as well as invited international speakers. Development of a range of online resources for academic and practitioner end-users. Cultivate industry sponsors for application oriented aspects of the Network’s research. Industry goverment and regulatory bodies associated with FIRN Securities Industry Research Centre of Asia-Pacific (SIRCA) Capi- tal Markets Co-operative Research Centre (CMCRC) Axiss Australia Australian Stock Exchange (ASX) Sydney Futures Exchange (SFE) Australian Financial Markets Associ- ation (AFMA) Investment & Financial Services Association Limited (IFSA) National Electricity Market Management Company (NEMMCO) Australian Bankers Association (ABA) Australian Securities & Investment Commission (ASIC ) Australian Prudential Regulation Authority (APRA) Reserve Bank of Australia (RBA) Australian Transaction Reports and Analysis Centre (AUSTRAC) Queensland Investment Corporation (QIC) Queensland Treasury Corporation FIRN’s Focus: by world standards, Australia’s financial system is relatively small, however highly sophisticated in its development and use of enabling technologies and risk management practices. Currently, major challenges are posed to the integrity and efficiency of this system by the increasingly global and integrated nature of financial transactions, and the potential for widespread adverse effects. The associated corporate governance issues have drawn public attention. Australia’s finance and economics research base has well developed international links but is by some measures diminishing in its global impact relative to its potential. World-wide, the development of ever more complex financial instruments and strategies, and the associated research technologies, continues to accelerate. The network plays an essential role in placing Australia amongst the key players in new research technologies. FIRN’s vision is to harness the considerable strengths of Australia’s internationally renowned finance and economics researchers to match the research focus and scale of other major international financial centres and establish Australia as the Asia-Pacific hub in a global alliance of centres of financial research excellence. FIRN will achieve this vision by providing new opportunities to: Coordinate and develop a major program of collaborative research addressing the integrity and efficiency of financial systems and services. Initiate, foster and promote formal linkages and collaborations across institutions, regions, disciplines and industry participants. Strengthen existing international collaborative research efforts, especially with leading US, UK, European and Asian researchers. Promote Australia’s capability as a financial centre and research hub. 2005 LP0562305 Prof M McAleer; Prof DE Allen; Dr S Hoti Title: Forecasting Risk Thresholds for Portfolio Management and Regulation. Funding 2005 : $54,000 2006 : $104,500, 2007 : $101,000 2008 : $50,500. The industry partner is SIRCA. The project will develop new models and methods for dynamic risk modelling, assessment of portfolio risk, and forecasting of portfolio risk thresholds. These novel methods will have extensive applications across investment portfolios for banks and financial institutions globally. The techniques will feature a dynamic updating of risk estimates, and more accurate forecasting of portfolio risk, the correlations of portfolio asset classes, and Value at

45/69 Risk (VaR) thresholds. The innovative methods and models will permit both financial institutions and regulatory authorities to model VaR thresholds more accurately, and enable investment managers to regulate and benchmark their portfolios more effectively against international best practice. 2011 DP110102884 ARC Discovery Grant,Prof David E Allen, Prof Lyn C Thomas, Dr Robert J Powell, Prof James W Taylor, Prof Michael McAleer. Project Title “New methods for modelling and forecasting risk”. 2011 - $129,377.00 2012 - $123,077.00 2013 - $116,977.00 Primary FoR 1502, BANKING, FINANCE AND INVESTMENT Total competitive external research grant funding $1.31 million. Industry contributions to ARC SPIRT and Linkage Grants $225,000. Total $1,308, 354 INVITED LECTURES/SEMINARS: Conference Association of Polytechnic Teachers of Economics, Papers: National Con- ference, April 1976, paper presented entitled, "The Scottish Historical School and the Development of Economic Liberalism". Leicestershire Schools Economics Conference, September 1978. Leicester Polytechnic, paper delivered, "Economics and Business Studies". Allied Social Sciences Association; American Economic Association’s Annual Conference, San Francisco, 29 December, 1983. Paper delivered entitled "Generic Substitution in the UK Pharmaceutical Industry: A Markovian Analysis". Symposium on Economics of Scope, European Institute of Advanced Studies in Man- agement, Brussels. Paper presented with J.N. Crook, "Technical change, contestable markets and government policy: the case of the fibre re-inforced plastics consortium". 4 June, 1985. Accounting Association of Australia and New Zealand, Annual Conference, "The determi- nants of Australian companies capital structure: the results of a pilot study", University of Auckland. (August 25, 1987). Inaugural Australasian Finance & Banking Conference, "The Determinants of the Capi- tal Structure of Listed Australian Companies: The Financial Manager’s Perspective", University of New South Wales, AGSM, (1 December, 1988). Accounting Association of Australia and New Zealand, Annual Conference,"Financial managers’ perspectives of the factors determining the dividend policies of listed Australian companies", University of Melbourne, (1 July,1989). Second Annual Pacific-Basin Finance Conference,"Financial manager’s perspectives of the factors determining the investment policies of listed Australian companies", Royal Orchid Sheraton Hotel, Bangkok, Thailand, (6 June,1990). Accounting Association of Australia and New Zealand, Annual Conference, "Financial Manager’s perspectives of the factors determining the investment policies of listed Australian companies", Hyatt Regency Hotel, (11 July, 1990).

46/69 Third Australasian Banking and Finance Conference,"Debt capacity: Australian company practices", University of New South Wales, Sydney, (31 November 1990). Third Annual Pacific Basin Finance Conference,"Debt capacity: Australian and British company practices", Hotel Shilla, Seoul, Korea, (2 June 1991). Accounting Association of Australia and New Zealand, Annual Conference, "Debt capacity: Australian and British company practices", Hilton Hotel, Brisbane, (9 July 1991). Fourth Australasian Banking and Finance Conference, "Some observations on dividend policy in Japan", University of New South Wales, Sydney, (28 November 1991). British Accounting Association Conference, "Target Payout Ratios and Dividend Policies: British and Australian evidence", University of Warwick Business School, (14 April 1992).

Fourth Annual Pacific Basin Finance Conference,"The Pecking Order Hypothesis: Aus- tralian evidence", Hong Kong Convention and Exhibition Centre, (8 July 1992). British Accounting Association Conference, "Higgledy Piggledy Growth Revisited: Aus- tralian Evidence", University of Strathclyde Business School, (6 April, 1993). British Accounting Association Conference, "Accounting Returns and Stock Returns: Some Australian Evidence", University of Strathclyde Business School, (7 April, 1993). Fifth Annual Pacific Basin Finance Conference, "Australian Domestic Portfolio Diversifi- cation and Estimation Risk: A Review of Investment Strategies", Kuala Lumpur Trade and Exhibition Centre, (23 June 1993), joint presentation D.E.Allen and R. Sugianto. Sixth Australasian Banking and Finance Conference, "Higgledy Piggledy Growth Revis- ited: Australian Evidence", University of New South Wales (9 December, 1993). British Accounting Association Conference, "Competitive Advantage and Approaches to Investment Appraisal: procedures in Australia, Britain and Japan", Winchester College, (24 March 1994). European Accounting Association Conference, Research Forum, "Competitive Advantage and Approaches to Investment Appraisal: procedures in Australia, Britain and Japan", University of Venice, (7 April 1994). 6th Annual Pacap Conference, "Higgledy Piggledy Growth Re-visted: Australian Evi- dence", Jakarta Hilton, (7 July 1994). Ist Asia Pacific Finance Conference, Renaissance Hotel Sydney, with M. Patrick, "Some Further Australian Evidence on the Long-Run Performance of Initial Public Offerings: 1974- 1984", (28 September 1994). Ist Asia Pacific Finance Conference, Renaissance Hotel Sydney, "The Winner/Loser Hypothesis: some further Australian Evidence", (30 September 1994). British Accounting Association Annual Conference, University of the West of England, Bristol, UK, "Cointegration and Tests of Present Value Models: Australian Evidence", (7 April 1995).

47/69 Second Asia Pacific Finance Conference, Hong Kong, "Cointegration and Tests of Present Value Models: Australian Evidence", (5 July 1995). Seventh Annual Pacap Conference, Manila, "Some Further Australian Evidence on the Long-Run Performance of Initial Public Offerings: 1974- 1984", (6 July 1995). British Accounting Association National Conference 1996, Cardiff University Business School, South Wales, “A Direct Test of the Pecking Order Hypothesis in an Australian Context”, (28 March 1996). Global Finance Conference, Hilton Hawaiian Village, Honolulu, Hawaii, “A Direct Test of the Pecking Order Hypothesis in an Australian Context”, (April 6, 1996). Accounting Association of Australia and New Zealand Annual Conference, Christchurch Town Hall, Christchurch, New Zealand, “A Direct Test of the Pecking Order Hypothesis in an Australian Context”, (8 July, 1996). Financial Management Association Annual Conference, Sheraton Hotel, New Orleans, “A Direct Test of the Pecking Order Hypothesis in an Australian Context”, (10 October, 1996). British Accounting Association National Conference, 1997, Birmingham Conference Centre, UK “The Determinants of the Cross-Section of returns in the Malaysian Stock Market”, (25 March,1997) . Econometric Society Australasian Meeting, 1997 University of Melbourne, “Panel Data Estimates of Minimum Variance Hedge Ratios on the Sydney Futures Exchange for Interest Rate Contracts”, (2 July 1997). Business & Economics Society International 1997 Conference, Athens, Greece “Normal Backwardation on the Sydney Futures Exchange: How “normal” is the SFE?”, (19 July, 1997). Quantitative Methods in Finance Conference 1997, Cairns, Qld, Risk Assessment and Management, Dynamic Asset Allocation Session, “Minimum Variance Hedge ratios on the Sydney Futures Exchange”, (29 August, 1977). Financial Management Association Conference 1997, Honolulu, Hawaii, “Minimum Variance Hedge ratios on the Sydney Futures Exchange”, (16 October 1997). Financial Management Association Conference 1997, Honolulu, Hawaii, “The Determi- nants of the Cross-Section of returns in the Malaysian Stock Market”, (17 October 1997).

1998 British Accounting Association Conference, UMIST, Manchester, “A Test of the Persistence in Performance of UK Mutual Funds”, (April 2, 1998). 1998 British Accounting Association Conference, UMIST, Manchester, “Long-Term and Short-Term Causal Relationships Between Dividends and Stock Prices in Malaysia: a Time-Series Analysis in the Spirit of Lintner’s Model”, (April 2, 1998).

48/69 Econometric Society Australasian Meeting, 1998, Australian National University, Can- berra, “A Test of the Persistence in Performance of UK Mutual Funds”, (July 10, 1998). Nippon Finance Association/Asia Pacific Finance Association Annual Conference 1998, Uport Hotel, Gotanda, Tokyo, “A Test of the Persistence in Performance of UK Mutual Funds”, (22 July, 1998). Nippon Finance Association/Asia Pacific Finance Association Annual Conference 1998, Uport Hotel, Gotanda, Tokyo, (22 July, 1998), “Long-Term and Short-Term Causal Relationships Between Dividends and Stock Prices in Malaysia: a Time-Series Analysis in the Spirit of Lintner’s Model”. Australasian Banking and Finance Conference, Hilton Hotel Sydney, "A Test of various pricing models on options on Australian Bank Bill Futures", (15 December 1998). Quantitative Methods in Finance Conference, Manly Pacific Hotel, Sydney, “A hidden Markov chain model for the term structure of credit risk spreads”, (16 December 1998). European Financial Management Association Conference, Hotel Meridien, Montparnasse, Paris, "The Term Structure of Interest Rates: A Multi Country Study" (24 June, 1999). Australasian Econometrics Society Annual Meeting, UTS, Sydney, "Using Regression Techniques to estimate Futures Hedge Ratios: Some results from alternative approaches to Australian Treasury Bond Futures", (7 July, 1999). Eleventh Annual Pacific Basin Finance Conference/Financial Management Association Conference, Pan Pacific Hotel, Singapore, "Using Regression Techniques to estimate Futures Hedge Ratios: Some results from alternative approaches to Australian Treasury Bond Futures", (9 July, 1999). Eleventh Annual Pacific Basin Finance Conference/Financial Management Association Conference, Pan Pacific Hotel, Singapore, " Interest Rate Term premia and Purchasing Power Parity Deviations: the Missing Link?", (9 July, 1999). Asia-Pacific Finance Association Annual Conference, Convention Centre, Melbourne, "Using Regression Techniques to estimate Futures Hedge Ratios: Some results from alternative approaches to Australian Treasury Bond Futures", (12 July, 1999). 12th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney, "A Comment on ’The Information Content of Earnings and Prices: A Simultaneous Equations Approach’ by W.H. Beaver, M.L. McAnally, and C.H. Stinson (1997)", (16 December 1999). 12th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney, "Long Run Underperformance of Seasoned Equity Offerings: Fact or an Illusion?, (16 December 1999). 12th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney, "Backward to the Futures: A Test of Three Futures Markets", (16 December 1999).

49/69 12th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney, "Performance of Seasoned Equity Offerings in a Risk Adjusted Environment", (17 December 1999). Accounting Association of Australia and New Zealand Annual Conference (2000), Hamil- ton Island, Queensland, "Variation of Australian Share Prices due to Fundamental and Non-Fundamental Innovations", (July 3, 2000). PACAP (Pacific Basin Capital Markets) 12 Annual Conference, Hilton on the Park, Melbourne, "Empirical Testing of the Samuelson Hypothesis: An Application to Futures Markets in Australia, Singapore and the UK." (July 7, 2000). PACAP (Pacific Basin Capital Markets) 12 Annual Conference, Hilton on the Park, Melbourne, "In Search of True Performance: Testing Benchmark-Model Validity in a Managed Funds Context", (July 7, 2000). Australasian Banking and Finance Conference, "Interest Rate Term Premia and Purchas- ing Power Parity Deviations: The Missing Link?”, ANA Hotel Sydney, (20 December 2000). Australasian Banking and Finance Conference, "In Search of True Performance: Testing Benchmark-Model Validity in a Managed Funds Context", (December 20, 2000). Financial Management Association European Conference, Hotel Sofitel, Paris, "The Variation of Share Prices due to Fundamental and Non-Fundamental Variations", (June 1, 2001). Asia Pacific Finance Association Conference, Shangri-la Hotel, Bankok Thailand, " Testing PPP: the results of some new panel-based tests", (26 July, 2001). Economics Society of Australia, 30th Annual Conference, The University of Western Australia,"In Search of True Performance: Testing Benchmark-Model Validity in a Managed Funds Context", (September 25, 2001). Philip Brown Symposium (UWA), Perth, "Variation of Share Prices Due to Fundamental and Non-Fundamental Innovations", (10 December, 2001) Hyatt Hotel, Adelaide Terrace, Perth. Philip Brown Symposium (UWA), Perth, "Forecasting Profitability and Earnings: A study of the UK stock market (1982-2000)", (10 December, 2001) Hyatt Hotel, Adelaide Terrace Perth. 14th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney "Forecasting Profitability and Earnings: A study of the UK Stock market (1982-2000)", (17-19 December 2001). International Congress on Modelling and Simulation MODSIM 2001, The Australian National University, Canberra "Mutual Fund Company Mergers and Their Impact on Investment Flows", (12 December, 2001). International Congress on Modelling and Simulation MODSIM 2001, The Australian National University, Canberra "Do UK Stock Prices Deviate from Fundamentals?", (12 December, 2001).

50/69 14th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney "M-Garch Hedge Ratios and Hedging Effectiveness in Australian Futures Markets", (17-19 December 2001). 14th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney "The Duration Derby: A comparison of Duration based Strategies in Asset Liability Management", (17-19 December 2001). This paper was awarded a joint first prize for the best paper on the topic of Hedging and Derivatives by the Sydney Futures Exchange. D.E.Allen, Conference Presentation, European Financial Management Association Con- ference (June 27, 2002) Britannia International Hotel, South Quay, London, “Forecasting Profitability and Earnings: A Study of the UK Stock Market (1982-2000)”. D.E.Allen, Conference Presentation, Asia Pacific Finance Association Conference, Keio Plaza Hotel, Tokyo, (July 16, 2002) “The World Price of Covariance Risk with respect to Emerging Markets”. D.E. Allen, Australasian Banking and Finance Conference, ANA Hotel, Sydney, NSW, (18 December, 2002) "Performance Benchmarking Fixed Interest Funds: Australian Fixed Interest Funds". D.E. Allen, Modelling and Simulation Society of Australia and New Zealand Inc, Modsim (July 15th 2003), International Congress on Modelling and Simulation, "Some Statistical Models for Durations and their Applications in Finance", Jupiters, Townsville. D.E. Allen, Modelling and Simulation Society of Australia and New Zealand Inc, Modsim (July 15th 2003), International Congress on Modelling and Simulation, "Some Evidence on the information content of undisclosed limit orders on the ASX", Jupiters, Townsville. D.E. Allen, Modelling and Simulation Society of Australia and New Zealand Inc, Modsim (July 15th 2003), International Congress on Modelling and Simulation, "Some Evidence on the performance benchmarking of Australian Fixed Interest Funds", Jupiters, Townsville. D.E. Allen, Australasian Meeting of the Econometric Society, (July 10th 2003) School of Economics, UNSW, Sydney, "Some Statistical Models for Durations and their Applications in Finance". D.E. Allen, Emerging Financial Markets and Services in Asia Pacific Conference, Sydney, Marriot Hotel, (27-28th May 2004), “The World price of covariance Risk with respect to Emerging Markets”. D.E.Allen, Business and Economics Society International Conference, Rodos Palace Rhodes, Greece, “The Present Value of Pacific Basin Stock Markets: Some Time-Series tests applying long-run structural modelling”, (July 19th 2004). D.E.Allen, International Conference on Simulation and Modelling 2005, Bangkok, the Rose Garden Resort, " The World price of covariance Risk with respect to Emerging Markets "(17th January 2005).

51/69 D.E.Allen, International Conference on Simulation and Modelling 2005, Bangkok, the Rose Garden Resort, “Modelling and Forecasting Dynamic VaR thresholds for Risk Management and Regulation”, (18th January 2005). D.E.Allen, “The Consumption-Based Capital Asset Pricing Model (CCAPM), habit- based consumption, and the Equity Premium in an Australian Context”, Global Finance Conference, 27thJune 2005, Trinity College Dublin, Ireland. (Paper co-authored with L. Demello) D.E.Allen, “The Technological Progress of Malaysian Banks: An Empirical Investigation” Global Finance Conference, 27thJune 2005, Trinity College Dublin, Ireland. (Paper co-authored with V. Batchelor and K. Kupussamy). D.E.Allen, “Modeling and Forecasting Dynamic VaR Thresholds for Risk Management and Regulation” European Financial Management Association Conference, Bocconi University, Milan, June 30th 2005. (Paper co-authored with M. McAleer and B. Veiga). D.E. Allen, “Modeling and Forecasting Dynamic VaR Thresholds for Risk Management and Regulation” Australian Institute of Banking and Finance, 10th Banking and Finance Conference, RMIT, (29th September 2006). (Paper co-authored with M. McAleer and B. Veiga). D.E.Allen, “Real Interest Rates and Inflation in Norway”, Business Economics Society International Conference, Croce di-Malta Hotel, Florence, (16th July, 2006). D.E. Allen, “The Consumption Based Capital Asset Pricing Model (CCAPM), habit- based consumption and the equity premium in an Australian context”, Australasian Banking and Finance Conference, Shangri-la hotel, Sydney, (14th December 2006). D.E.Allen, “Evidence from Inter-Day Returns, on Volatility and liquidity on the ASX: the impact of Undisclosed vs. Disclosed Limit Orders”, Business Economics Society International Conference, Ambassadeur Hotel, Antibes France, (17th July, 2007). D.E. Allen, “Long Run Underperformance of Seasoned Equity Offerings: Fact or an Illusion?”,MODSIM 2007, International Congress on Modelling and Simulation. Mod- elling and Simulation Society of Australia and New Zealand, University of Canterbury, Christchurch, (12th December 2007) . D. E. Allen, M. McAleer and M. Scharth, “Modelling Realized Volatility Shocks to Forecast Returns Densities”, Modelling and Managing Ultra High Frequency Data, the Joondalup Resort, Joondalup, WA 13th February 2008. D.E. Allen, N. Jeyasreedharan and S. Peiris, “Yet Another Autoregressive Conditional Duration Model: The ACDD Model”, Modelling and Managing Ultra High Frequency Data, the Joondalup Resort, Joondalup, WA 14th February 2008. D.E. Allen and S. Hosseini, “Portfolio investment modelling using high frequency data”, Modelling and Managing Ultra High Frequency Data, the Joondalup Resort, Joondalup, WA 14th February 2008. D.E. Allen and W. Yang, “Limit Order Trading and Information Asymmetry: empirical evidence of the Evolution of Liquidity on an Order-Driven Market”, Modelling and

52/69 Managing Ultra High Frequency Data, the Joondalup Resort, Joondalup, WA 14th February 2008. D.E. Allen, “A time series analysis of interdependence between World Stock Markets; with particular reference to the Asia Pacific region”, Business and Economics Society International Conference, Hotel De La Paix, Lugano, Switzerland, July 16th 2008. D.E. Allen, “Realised Volatility Uncertainty”, Financial Integrity Research Network (FIRN) Research Day, Queensland University of Technology, Brisbane, 3rd October 2008.

D.E. Allen, “Realised Volatility Uncertainty”, Symposium on Time-Varying Volatility and Correlation, 28th November 2008, UNSW, Sydney. D.E. Allen, “A Comparison of the Parametric and Sampling Approaches to Portfolio Investment Modelling”, Quantitative Methods in Finance Conference, 17th December 2008, Amora Hotel, Sydney, NSW. D.E. Allen, Keynote Speech, “Measuring and Modelling Risk”, Sheraton Keahou Bay, Kona Hawaii, July 18th 2009, published in Global Business and Economics Review, Vol. 11, Nos. 3/4, 2009, pp. 119-223. D.E. Allen, “Asset Pricing, the Fama-French Factor model and the implications of Quantile Regression Analysis”, 22nd Australasian Banking and Finance Conference, 18th December 2009, the Shangri-La Hotel, Sydney, NSW. D.E. Allen and Singh, A. (September 29th 2010) “CAViaR and the Australian Markets: an appetiser”, FIRN Research Day, Stamford Hotel, Melbourne. Allen, D.E. and Singh A. “Asset Selection using a Factor Model and Data Envelope Analysis: A Quantile Regression Approach, 15th December 2010, 23rd Australasian Banking and Finance Conference, Shangri-la Hotel, Sydney. Allen, D. E., Singh, A. K., & Powell, R. J., “ Extreme Market Risk-An Extreme Value Theory Approach”, Madrid International Conference on Risk Modelling and Management (co-organised by Dave Allen of ECU), June 24th 2011, Real Centro Universitario (RCU) Escorial - María Cristina, San Lorenzo de El Escorial, Madrid, Spain. D. E. Allen, R. Amram and M. McAleer, "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours". Madrid International Conference on Risk Modelling and Management, Madrid, June 24th 2011, Real Centro Universitario (RCU) Escorial - María Cristina, San Lorenzo de El Escorial, Madrid, Spain. Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011), “Xtreme Credit Risk Models: Implications for Bank Capital Buffers”,8th Applied Financial Economics (AFE), Conference, 2nd July 2011, East Aegean Technical Institute, Samos Island, Greece. Allen, D. E., Singh, A. K., & Powell, R. J., “Analysing the Return Distributions of Australian Stocks: A two factor model and a Quantile Regression Approach”, Business and Economics Society International Conference, July 8th 2011, Split, Croatia.

53/69 Allen, D.E. A.K. Singh and R.J. Powell, "Extreme Market Risk- An Extreme Value Theory Approach", paper presented as Invited Guest, "Statistical Concepts for the Modern World", International Statistics Conference, organised by the Applied Statistical Association of Sri Lanka, the School of Mathematics and Statistics, the University of Sydney, Australia and the Department of Statistics, Faculty of Science, the University of Columbo, Sri Lanka, Waters Edge Conference Centre Colombo, 29th December 2011. D.E. Allen, R. Amram and M. McAleer, “Volatility Spill-overs from the Chinese Stock Market to Economic Neighbours”, Hawaii International Conference on Business, Honolulu, Hawaii, (26th May 2012). D.E. Allen made a presentation to the West Australian Branch of the Statistical Society of Australia: "Tales from the Tails: Exploring the Extremes of Financial Return Distri- butions", Blakers Lecture Theatre, School of Mathematics and Statistics, University of Western Australia, 6.00 pm, Tuesday June 12th 2012 D.E. Allen, Kramadibrata, A. R. McAleer, M. Singh, A.K., & Powell, R. J. (2012). A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500. 25th Australasian Finance and Banking Conference, Sydney. D.E. Allen, McAleer, M., Powell, R.J. & Singh, A.K., (2013) Volatility Spillovers from the US to Australia and China Across the GFC, BESI Business & Economics Society International 2013 Conference, Perth. D.E.Allen, (2013) "Volatility Spillovers from the US to Australia and China across the GFC” presented at the IV World Finance Conference, held in Limassol Cyprus July 1st-3rd 2013. Arreola, J., Allen, D.E, and Powell, R. (2013) “Dependence estimation and controlled CVaR portfolio optimization of a highly kurtotic Australian mining sample of stocks”, In Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th Interna- tional Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2013, pp. 1305–1311. ISBN: 978-0-9872143-3-1. www.mssanz.org.au/modsim2013/L5/ahamed.pdf Allen, D.E., Boffey, R.R., Kramadibrata, A.R., Powell, R.J. and Singh, A.K (2013), “Primary sector volatility and default risk in Indonesia”. In Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th International Congress on Modelling and Simu- lation. Modelling and Simulation Society of Australia and New Zealand, December 2013, pp. 1298–1304. ISBN: 978-0-9872143-3-1. www.mssanz.org.au/modsim2013/F5/allen.pdf Allen, D.E., Powell, R.J. and Singh, A.K. (2013) “A dynamic credit ratings model” In Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th Interna- tional Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2013, pp. 1291–1297. ISBN: 978-0-9872143-3-1. www.mssanz.org.au/modsim2013/F5/allen.pdf Singh, A.K., Allen, D.E. and Powell, R.J. (2013) “Intraday volatility forecast in Australian equity market” In Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th

54/69 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2013, pp. 1312–1318. ISBN: 978-0-9872143-3-1. www.mssanz.org.au/modsim2013/F5/allen.pdf Allen, D.E., McAleer, M.J., and A.K. Singh (2013) “Nonparametric Multiple Change Point Analysis of the Global Financial Crisis” Quantitative Methods in Finance Conference”, Quantitative Methods in Finance Conference, Sydney, December 18th 2013. David E Allen, (2014) on June 10th participated in the Amundi Workshop in Paris co-organised by Paris Dauphine University and Amundi Asset Management. Paper presentation "Risk Measurement and Risk Modelling using applications of Vine Copulas" at the Amundi offices in Paris. David E Allen, (2014), 21st Annual Conference of the Multi-National Finance Conference held in Prague from June 29th - July 2nd 2014 and presented a paper titled: "An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment Series". David E. Allen (2014), attended the World Finance Conference held in Venice, Italy at Ca’ Foscari University, July 2-4th and presented a paper titled: "Daily Market News Sentiment and Stock Prices". David E. Allen (2014), attended the FIRN (Financial Research Network) Conference, Lake Crackenback Resort, Snowy Mountains NSW, 13th-16th November 2014 and presented a paper titled: “Volatility Spillovers from Australia’s major trading partners across the GFC”. David E. Allen (2014), Attended the Asia-Pacific Business Conference, 27th-29th Novem- ber 2014 and presented a paper titled: “Volatility Spillovers from Australia’s major trading partners across the GFC”. David E Allen (2017), Attended the Commodity and Energy Association’s Annual Meeting held at the Institute of Mathematics, University of Oxford and presented a paper titled: “’A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices”. Conference activities/ Organisation/attendance: Acted as chairperson for "Capital Structure" session, Ph.D Conference in Economics and Business, University of Western Australia, (November 1993). Acted as chairperson for "Issues in Financial Institutions" session, Ph.D Conference in Economics and Finance, University of Western Australia, (9 November 1995). Acted as chairperson for Banking Financial Services Session, Global Finance Conference, Hilton Hawaiian Village, Honolulu, Hawaii, (April 5, 1996). Commented on paper “Return Volatility and Transmission amongst a subset of Apec Equity Markets” by Professor L. Leachman in the Emerging Markets Session, Global Finance Conference, Hilton Hawaiian Village, Honolulu, Hawaii, (April 5, 1996).

55/69 Accounting Association of Australia and New Zealand Annual Conference, Christchurch Town Hall, Christchurch, New Zealand, Commented on two papers: R. Brown and A. Lau, “The extent and Industrial Pattern of Employee Share Ownership Plans in Australia: Preliminary Evidence”. G. Burrows and C. Martini, “Projects of Unequal Lives: a practical perspective”. Attended Chicago Board of Trade Asia-Pacific Financial Futures Conference, (February 24 and 25, 1997). Participated in Asia-Pacific Capital Markets Research Foundation seminar for introduc- tion to their Market Micro-structure Database and Uni-Smart access software (February 4 and 5, 1997). Eleventh Annual Pacific Basin Finance Conference/Financial Management Association Conference, Pan Pacific Hotel, Singapore, commented on two papers: Y.C. Chan & K.C. J. Wei, "Price and Volume Effects Associated with listings and expirations of derivative Warrants on the Stock Exchange of Hong Kong", (9 July 99). B.H. Lin, S-K, Yeh, "Estimation for Factor Models for the Term Structure of Interest Rates: the Case of the Taiwanese Government Bond Market", (9 July, 1999). Asia-Pacific Finance Association Annual Conference, Convention Centre, Melbourne, R. Faff and U.R. Mittoo, "Capital Market Integration and Industrial Structure: the Case of Australia, Canada and the United States", (14 July, 1999). J.R. Parry, L.C. Rose, and P.J. Dewe, "Using Monte Carlo Simulation to Identify Variables that Affect Biotechnology Company Cash Flows", (14 July, 1999). Organised Funds Management Research Conference "Investment Management in Context", Sponsored by Colonial First State in conjunction with the Funds Management Research Centre which I direct and SIRCA. This one-day conference which featured six paper presentations and a panel discussion of the equity premium was held at the Meridien Hotel, Sydney (22 June 2001). Acted as chairperson for a banking session at the 14th Annual Australasian Banking and Finance Conference, ANA Hotel, Sydney, (18 December 2001). Commented on paper by K. Benson, “The relationship between Exchange Rate Exposure, Currency Risk Management and Performance of International Equity Funds”, Accounting Association of Australia and New Zealand, 2002 Annual Conference, Sheraton Hotel, Perth. (8 July, 2002). Chaired Session on Funds Management Issues, Accounting Association of Australia and New Zealand, 2002 Annual Conference, Sheraton Hotel, Perth. (9 July, 2002). Commented on paper by V. Ragunathan, “Forecasting Credit Ratings of Australian Com- panies”, Accounting Association of Australia and New Zealand, 2002 Annual Conference, Sheraton Hotel, Perth. (9 July, 2002). Organised Funds Management Research Conference "Investment Strategy: Risks and Returns", Sponsored by Colonial First State in conjunction with the Funds Management Research Centre, which I direct, and SIRCA. This one-day conference which featured four

56/69 paper presentations, a keynote speech by Professor S. Brown of the Stern Business School, NYU, and a panel discussion of the “Hedge funds: The view from several Perspective’s.” The conference was held at the 4 Season’s Hotel, Sydney (23 July 2002). Participated in the panel discussion of hedge funds and chaired the morning session. Member of Organising Committee Modelling and Simulation Society of Australia and New Zealand, MODSIM 2003, Integrative Modelling of Biophysical, Social and Economic Systems for Resource Management Systems, Conference held Townsville, 14th -17th July 2003. Convener and chair of session titled ’The Analysis of high frequency financial data and market microstructure issues’. National Business Student Research Conference, Graduate School of Business, Curtin University of Technology, Perth. Commented on paper: B. Nugroho, “Analysis of Momen- tum and Contrarian Strategies using Trade Imbalance in Australian Equities”.(November 19th 2004). D.E.Allen, International Conference on Simulation and Modelling 2005, Bangkok, the Rose Garden Resort, Chaired session on “Modelling Risk Thresholds and Spill-overs”, (January 18th 2005). Was Co-Chair and conference organiser, with Professor M. McAleer and Professor J.Gao of the Time-Series Econometrics, Finance and Risk Conference held at UWA Conference Centre from June 29th- July 1st 2006. This conference was jointly sponsored by School of Accounting and Finance, Edith Cowan University, School of Economics and Commerce, and School of Mathematics and Statistics UWA. External sponsors included FIRN (Financial Integrity Research Network) and IMACS International Mathematics Association for Computers in Simulation). The organisers will edit special editions of the Journal of Econometrics and Mathematics and Computers in Simulation which will feature conference papers. Took part in panel session on “Asset Price Volatality”, together with Prof. Charles Cor- rado, Massey University, Simon Elimelakh, BT Financial Services Graham Harman, City Group Jamie Krasowski, AllianceBernstein Prof. Edwin D. Maberly, Monash University, Chairman: Laurence Irlicht, VFMC & Q Group, Third Q-Group & Monash University Department of Accounting and Finance Colloquium on Empirical & Quantitative Finance, Sofitel Hotel, Melbourne, 9th March 2007. Organised “Modelling and Managing Ultra High Frequency Data: an International Conference”, MMUHFDIC (see website at http:mmuhfdic.com”, a two-day conference held at the Joondalup Resort, Joondalup, WA 6027. The conference featured research papers using high frequency data sets. The focus was on market microstructure issues and the modelling of risk or volatility. The conference was sponsored by Edith Cowan University, the Financial Integrity Research Network (FIRN), the Securities Industry Research Centre of the Asia Pacific (SIRCA) and the International Association for Mathematics and Computers in Simulation (IMACS). Commented on paper by Dr D. Vanyanos and Dr. P. K. Woolley, “An Institutional Theory of Momentum and Reversal”, at a conference; Are we served well by the financial

57/69 System?organised by the P.K. Woolley Centre for Capital Markets Dysfunctionality, UTS, Sydney, (1st and 2nd October 2008). Commented on paper by Dr Petko Kalev, “The Evolution of Noise Trading”, at a conference; The Crash of the Financial System: Bad Luck or Bad Structure?organised by the P.K. Woolley Centre for Capital Markets Dysfunctionality, UTS, Sydney (28-30th October 2009). Organised a three day conference Financial Crises, Causes, Characteristics and Effects, held at the Joondalup Resort 23rd, 24th, and 25th November 2009, sponsored by Edith Cowan University Faculty of Business and Law, Office of Research and Innovation, Edith Cowan University, FIRN (ARC funded Financial Integrity Research Network and the Perth Convention Bureau. This conference brought researchers together in the fields of finance, financial econometrics and economics and attracted participants from England, France, Netherlands, Taiwan, Tokyo, and Australia. There were 31 papers presented and published in the proceedings; ISBN 978-0-7298-0677-0, a special edition of the Wiley Journal is being prepared which will feature some of the papers presented at the conference. Participated in the FIRN Doctorial Tutorial and discussed a presentation by Ms. Ming Phuon Doan titled: “The validity of the four-moment model and the roles of systematic skewness and Kurtosis in Asset Pricing”, Stamford Hotel, Melbourne, (30th September, 2010). Co-organised with Professor Michael McAleer (Erasmus University Rotterdam) and Pro- fessor Teodosio Pérez Amaral (Complutense University of Madrid) a one-day international conference on "Risk Modelling and Management", that was held on Friday June 24th 2011 at Real Centro Universitario Escorial-María Cristina, San Lorenzo de El Escorial, Spain. See some details here. A special edition of the Elsevier Journal Mathematics and Computers in Simulation will feature a selection of papers from this conference Commented on paper by Dr. A. Brown, Harvard University, “Effect of Market Structure and the Regulatory Franchise in Reputation-Dependent Industries”, Paul Woolley Centre for the Study of Capital Market Dysfunctionality, “Allocation of Financial Sector Rents Across Society”, UTS, Sydney, (October 13th and 14th 2011). Organised a session at the MODSIM conference in the Economics and Financial Systems Stream; Session D6 Modelling and Financial Economics, this stream featured 11 paper presentations. MODSIM2011, 19th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2011 Commented on a paper by Professor M. Aitken, “European Market Quality Pre/Post- MiFID”, presented at Centre for Applied Financial Studies Behavioral Finance and Capital Markets Conference, University of South Australia, July 2012. Organised a one day workshop in collaboration with Professor M. McAleer, “Modern Developments in Finance”, at the Joondalup Resort and Country Club. The workshop featured presentations by Professor George Tauchen, Duke University, Professor M.

58/69 McAleer, University of Erasmus and the Tinbergen Institute, Professor Chia-Lin Chang, National Chung Hsing University, Taiwan, plus 5 other speakers (July 26th 2012). Attended the FIRN annual Research Conference in Hobart 9-11th November 2012. Commented on paper by E. Dhu and E. Platen, “Benchmarked Risk Miminisation”. David E. Allen (2013) organised a session at the 20th International Congress on Modelling and Simulation (MODSIM2013) held in Adelaide from December 1st to 6th, Session F5 which featured 5 paper presentations. David E. Allen (2014) attended the Centre for Applied Financial Studies Behavioural Finance Conference at the University of South Australia, July 24th-25th and commented on a paper presented by V. Patel, “Price Discovery in Stock and Options Markets”. David E. Allen (2017) “A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices”, Commodity and Energy Markets Association Conference, Institute of Mathematics, University of Oxford. David E. Allen (2018) (May 28th 2018), ’Generalized correlation tests and forecasts of the VIX using non-linear models’, presentation at the Conference - Time Series Analysis of Higher Moments and Distributions of Financial Data, held at the Institute of Advanced Studies, Hong Kong University of Science and Technology. Seminar Papers: With W.D. Reekie, "A Stochastic Analysis of Generic Substitution in the UK Pharmaceu- tical Industry". Economic Research Study Group, Department of Economics, University of Edinburgh. (November 10, 1983). "Evidence on the Efficiency of the London Traded Options Market". Economics Research Group Seminar, Department of Economics, University of Edinburgh. (February 10, 1984). "The Efficiency of the London Traded Options Market". London Business School Finance Seminar. (February 24, 1984). "On the Efficiency of the Unlisted Securities Market", Department of Economics and Finance, Western Australian College of Advanced Education, Perth, Western Australia. (November 1984). "Simulating the Returns on the UK Capital Markets", Division of Economic Studies, University of Sheffield, Yorkshire. (November 13, 1985). "Options and the FTSE Index: Some Preliminary Evidence", Department of Accounting and Finance Workshop, University of Western Australia. (March 12, 1986). With H. Mizuno, "An Empirical Evaluation of the Financial Policies of Australian Companies", Department of Accounting and Finance Workshop, University of Western Australia. (July 18, 1986). With H. Mizuno, "A Comparative Statics Analysis of Corporate Capital Structure: Japanese Evidence", Department of Accounting and Finance Workshop, University of Western Australia. (March 13, 1987).

59/69 "The Determinants of Australian Companies’ Capital Structure", Department of Eco- nomics, Economics Postgraduate Students Workshop, University of Western Australia (July 24, 1987). "Cost of Capital and Capital Structure: Recent Experience in Japan", Department of Accounting and Finance Workshop, University of Western Australia (7 October, 1988). "The Determinants of Capital Structure of Listed Australian Companies: The Financial Manager’s Perspective", Department of Accounting and Finance Workshop, University of Western Australia (11 November, 1988). "The Determinants of the Dividend Policies of Listed Australian Companies: the Financial Managers’ perspectives", Department of Accounting and Finance Workshop, University of Western Australia (23 June,1989). "The Determinants of the Investment Policies of Listed Australian Companies: the Financial Managers’ perspectives", Department of Accounting and Finance Workshop, University of Western Australia (16 May, 1990). "Debt capacity: Australian and British company practices", Department of Economics and Finance, Curtin University of Technology, (18 April, 1991). "Target Payout Ratios and Dividend Policy: British and Australian evidence", Department of Economics and Finance, Curtin University of Technology, (20 March 1992). "The Pecking Order Hypothesis: Australian Evidence", Department of Economics and Finance, Curtin University of Technology, (29 May 1992). "Company finance in Australia: determinants in recent years", Edith Cowan University, Department of Economics and Finance Seminar, Caves House, Yallingup, (7 June 1992). "The Pecking Order Hypothesis: Australian Evidence", Department of Accounting and Finance, University of Western Australia, (26 June 1992). "Dividend imputation and Australian company capital structure", member of discussion panel, B.Com Hons finance seminar, University of Western Australia, (13 August, 1992). "Dividend imputation and the Wesfarmers’ dividend reinvestment", member of discussion panel, B.Com Hons finance seminar, University of Western Australia, (26 August, 1992). "Superannuation: a review of some of the issues", School of Economics and Finance Workshop, Curtin University, (11 September, 1992). "Whats so super about super?", Inaugural Professorial Lecture, Curtin University of Technology, (21 October 1992). "The long-term benefits to Australian investors from international diversification" plus "A review of recent changes in superannuation provision in Australia", two papers presented in a seminar held in the Department of Economics and Finance, Royal Melbourne Institute of Technology, (30 October 1992). "Accounting returns and Stock Returns: Some Australian Evidence", School of Economics and Finance Workshop, Curtin University of Technology, (5 March 1993).

60/69 "Higgledy Piggledy Growth Revisited: Australian Evidence", School of Economics and Finance Workshop, Curtin University of Technology, (19 March 1993). "Australian domestic portfolio diversification and estimation risk: a review of investment strategies", School of Economics and Finance Workshop, Curtin University of Technology, (May 7, 1993). "Dividend Policy and Stock Price Volatility: Australian Evidence", School of Economics and Finance Workshop, Curtin University of Technology, (October 15 1993). "Competitive Advantage and Approaches to Investment Appraisal: procedures in Aus- tralia, Britain and Japan", School of Economics and Finance Workshop, Curtin University of Technology, (March 4 1994). "The Winner/Loser Hypothesis: some further Australian Evidence", School of Economics and Finance Workshop, Curtin University of Technology, (22 March 1994). "Australian domestic portfolio diversification and estimation risk: a review of investment strategies", School of Economics and Finance Seminar, Kuringai Campus, University of Technology Sydney, (22 March 1994). "Some Further Australian Evidence on the Long-Run Performance of Initial Public Offerings: 1974- 1984", School of Economics and Finance Workshop, Curtin University of Technology, (16 September 1994). "The Winner/Loser Hypothesis: some further Australian Evidence", School of Economics and Finance Workshop, Curtin University of Technology, (23 September 1994). "Some evidence on pecking-order behaviour in Australia, Britain and Japan", Honours and postgraduate workshop, Department of Accounting and Finance, the University of Western Australia, (16 August 1995) "Some Further Australian Evidence on the Long-Run Performance of Initial Public Offerings: 1974- 1984", Department of Economics and Finance Workshop, Edith Cowan University, Churchlands Campus, (25 August 1995). “A Direct Test of the Pecking Order Hypothesis in an Australian Context”, School of Finance and Business Economics Workshop, Churchlands Campus, (18 March 1996). “Some thoughts on the impact of dividend imputation”, Workshop, Department of Accounting and Finance, the University of Western Australia, (16 August 1996). “Some questions re the impact of dividend imputation”, Workshop, School of Finance and Business Economics, Edith Cowan University, (19 August 1996). “Finance, Misconceptions and Reality” Inaugural Professorial Lecture, Edith Cowan University, Joondalup Campus, (3 September, 1996). “The Determinants of the Cross-Section of returns in the Malaysian Stock Market”, Workshop, School of Finance and Business Economics, Edith Cowan University, (17 March 1997).

61/69 “Finance: where is research in finance heading?” Faculty of Business Research Group Seminar, Edith Cowan University, (June 30, 1997). “Panel Data Estimates of Minimum Variance Hedge Ratios for Interest Rate Contracts on the Sydney Futures Exchange”, Workshop, School of Finance and Business Economics, Edith Cowan University, (13 June 1997). “Normal Backwardation on the Sydney Futures Exchange: How Normal is the SFE?”, Workshop, School of Finance and Business Economics, Edith Cowan University, (19 June 1997). “The Determinants of the Cross-Section of returns in the Malaysian Stock Market”, Workshop, School of Finance, Royal Melbourne Institute of Technology (RMIT) (1 July 1997). “The Determinants of the Cross-Section of returns in the Malaysian Stock Market”, Workshop, Department of Commerce, The Australian National University, (21 September 1997). “A Test of the Persistence in the Performance of UK Mutual Funds”, Workshop, School of Finance and Business Economics, Edith Cowan University, (16 March 1998). “The Determinants of the Cross-Section of returns in the Malaysian Stock Market”, Workshop, School of Accounting and Finance, Griffith University, (17, September 1998). "Hedging activities and the recent disaster with LTCM", Department of Economics, the University of Tasmania, (8 October, 1998). “A Test of the Persistence in the Performance of UK Mutual Funds”, Workshop, Depart- ments of Economics and Finance, University of Tasmania, (9 October 1998). “A Test of the Persistence in the Performance of UK Mutual Funds”, Workshop, Depart- ment of Accounting and Finance University of Dundee, Scotland, (28 October 1998). “A Test of the Persistence in the Performance of UK Mutual Funds”, Workshop, De- partment of Accounting and Finance Heriot Watt University, Scotland, (30 October 1998). With G.D. MacDonald, "Panel data estimates of minimum variance hedge ratios using Australian Bond Futures data", Workshop, Department of Economics, Murdoch University, (10 March, 1999). With G.D. MacDonald, "Panel data estimates of minimum variance hedge ratios using Australian Bond Futures data", Workshop, School of Economics and Finance, Curtin University, University, (11 March, 1999). With G.D. MacDonald, "Panel data estimates of minimum variance hedge ratios using Australian Bond Futures data", Workshop, School of Finance and Business Economics, Edith Cowan University, (19 April, 1999). "Interest Rate Term Premia and Purchasing Power Parity Deviations: The missing Link?" Workshop, School of Finance and Business Economics, Edith Cowan University, (7 June, 1999).

62/69 "Permament and Temporary Components of Australian Company Earnings and their Impact on stock prices", Workshop, Department of Accounting and Finance, Monash University, Caulfield Campus, (7 April 2000). "Some alternatives ways of assessing the durations of bond portfolios", Workshop, School of Finance and Business Economics, (30 April, 2001). "Tests of PPP: some new results from panel-based tests", Workshop, School of Finance and Statistics, the Australian National University, (May 4, 2001). “Forecasting Profitability and Earnings: A study of the UK Stock Market (1982-2000)”. Workshop, Department of Accounting and Finance, Monash University, Caulfield Campus, Melbourne, (8 March, 2002). Some statistical models for Durations and their applications in finance”. Workshop, School of Accounting, Finance and Economics, (15 March, 2002). " World Price of Covariance Risk with respect to Emerging Markets" Workshop, School of Economics and Finance, Curtin University of Technology, (10 October, 2002). "Performance Benchmarking Fixed Interest Funds: Australian Fixed Interest Funds", workshop, School of Accounting and Finance, the University of Western Australia (4 April 2003). D.E. Allen, School of Finance and Economics, University of Technology, Sydney, "Evidence on the benchmarking of Australian Fixed Interest Fund Performance", (August 22nd 2003). D.E.Allen, Workshop, Department of Finance, Faculty of Mathematics and Computing, University of Ulm, Germany, " World Price of Covariance Risk with respect to Emerging Markets" (15th July, 2004). D.E.Allen, Workshop, Department of Finance, Monash University, Melbourne, “Industry Market Value at Risk in Australia”, (8th March, 2007). D.E. Allen, Workshop, School of Accounting and Finance, Edith Cowan University, “Risk Measures and the Global Finance Crisis”, (21st August, 2009). D.E. Allen, Public Lecture, Edith Cowan University Research Week, Joondalup Building 18.341 (24th August, 2009). D.E. Allen, Seminar “Asset Data Envelope Analysis: a Quantile Regression Approach”, School of Accounting and Finance, Bangor University, North Wales (23rd March 2010). D.E. Allen, Seminar “CAViaR and the Australian Markets: an Appetiser”, Economics Group, University of Liverpool Management School, Liverpool, England (26th March 2010). D.E. Allen, Seminar “Asset Data Envelope Analysis: a Quantile Regression Approach”, Finance Department, Cardiff University Business School, South Wales (April 7th 2010). D.E.Allen, Seminar, “Volatility Modelling: Some Examples using GRETL and R”, School of Accounting, Finance and Economics, Edith Cowan University (March 30th 2012).

63/69 D.E. Allen, Seminar, "A Short Course on Financial Risk Modelling", School of Commerce, University of South Australia (April 3rd 2012). D.E. Allen, Seminar, “Extreme Tail Dependence”, School of Commerce, University of South Australia (April 4th 2012). D.E. Allen, “Tales From the Tails: Exploring the Extremes of Financial Return Distribu- tions”, School of Accounting, Finance and Economics, Edith Cowan University (June 11th 2012). D.E. Allen, “Tales From the Tails: Exploring the Extremes of Financial Return Distri- butions”, Blaker’s Lecture Theatre, Western Australian Branch of the WA Statistical Society, University of Western Australia, (June 12th 2012). D.E. Allen, A. Ashraf, R. Powell, and A.K. Singh, “The use of R-Vine Copulas to model dependence between Dow Jones Index Companies”, Workshop on Modern Developments in Finance, Edith Cowan University, Joondalup Resort, (26th July 2012). D.E. Allen, R. Amram and M. McAleer, “Volatility Spillovers from the Chinese Stock Market to Economic Neighbours”, School of Accounting, Finance and Economics, Edith Cowan University (September 14th 2012). D.E. Allen, M. McAleer and A.K. Singh, “Nonparametric Multiple Change Point Analysis of the Global Financial Crisis” School of Mathematics and Statistics, The University of Sydney, (March 27th 2014). A.K. Singh, D.E. Allen, and R.J. Powell, “Modelling and forecasting Intraday Market Risk with applications to stock indices”, School of Business Analytics, The University of Sydney, (28th March 2014). D.E. Allen, M. McAleer and A.K. Singh, “Daily Market News Sentiment and Stock Prices”, Seminar Centre for Applied Financial Studies and School of Business, University of South Australia, Adelaide, (23rd July, 2014). D.E. Allen, M. McAleer, R. Powell and A.K. Singh, ’European Market Portfolio Diversifi- cation Strategies across the GFC’, School of Mathematics and Statistics, The University of Sydney, (7th November 2014). D.E. Allen, M. McAleer, R. Powell and A.K. Singh, ’Volatility Spillovers from Australia’s major trading partners across the GFCs, The University of South Australia, Centre for Applied Financial Studies, (26th October 2016). D.E. Allen and M. McAleer, ’Choosing Factors by Fama and French (2018): A Comment’, The University of Western Australia, Department of Accounting and Finance, (2nd April 2019).

ACTIVITIES AS AN EDITOR/REFEREE: Member of Editorial Board, Journal of Risk and Financial Management, https://www.mdpi.com/journal/jrfm,

64/69 Member of the Editorial Board, Studies in Economics and Finance. (Ranked B, ERA Journal List 2010) http://www.emeraldinsight.com/products/journals/editorial_team.htm?id=sef&PHPSESSID=8upg5p73jbceodjtloha845ke0

Member of the Editorial Board, International Journal of Economics and Business Research (IJEBR) Inderscience, http://www.inderscience.com/browse/index.php?journalCODE=ijebr

Member of the Editorial Board, Annals of Financial Economics, http://www.worldscientific.com/page/afe/editorial-board

Member of Editorial Board, Sri-Lankan Journal of Applied Statistics. http://www.iappstat.lk/journal/ojs/index.php/sljap/index

Member of the Editorial Board, Journal of Reviews of Global Economics, http://www.lifescienceglobal.com/independant-journals/journal-of-reviews-on-global- economics/editorial-board

Acted as the editor of two editions of Managerial Finance, one devoted to dividend policy and the other to the management of risk.

I have acted as an academic referee for Accounting And Finance, Accounting Forum, Applied Economics, Applied Financial Economics, Financial Management, Accounting Research Journal, the Journal of Futures, The Journal of Futures Markets, Studies in Economics and Finance, International Journal of Business Studies, the Australian Economic Review, the Australian Journal of Management, the Bulletin of Economic Research, Economica, Quantitative Finance, European Journal of Operational Research, and the Pacific Basin Finance Journal. Ranking on the Social Science Research Network SSRN Has recently been ranked in the top 1603 Authors world-wide on the Social Science Research Network on the basis of downloads of papers lodged on the network. A total of 242,000 authors are featured on the SSRN. For further information see details at the (www.SSRN.com) Social Sciences Research Network. They feature work in finance, accounting, economics and law. There are currently 101,674 downloadable papers on the SSRN. View at http://papers.ssrn.com/sol3/cf_dev/TopAuthors.cfm?RowStart=501 Google Scholar Ranking at - https://scholar.google.com.au/citations?user=nc1F61UAAAAJ&hl=en H Index 29, i10 Index 79.

65/69 ADMINISTRATIVE ACTIVITIES: At Edith Cowan University I was active in organising the Professorial Breakfasts from the beginning of 1998 until 2002. I serve on various committees including the Academic Board, the Faculty of Business Board, the Faculty of Business Executive Committee, The University Research Committee, the Faculty of Business Research Committee, the Research Students and Scholarships Committee, the Academic Staff Joint Services Consultative Committee, and the University Promotions Committee. I have also acted as Associate Dean Research and Higher Degrees for the Faculty of Business beginning in November 1999 until October 2001. From 1992 to 1996 in the School of Economics and Finance at Curtin University I acted as Head of the Department of Banking and Finance plus the coordinator of the Hons year. Served as a University Quality Review panel member with a responsibility for finance in a review of the University of Queensland Business School in July 2006. Representative on the “Member Committee” for the Securities and Industry Research Centre of the Asia Pacific (SIRCA). OTHER DUTIES: Director of Studies, September 1981 to January 1986 At the University of Edinburgh. (This involved acting as a personal tutor and academic counsellor to some sixty students). Honours Yearmaster, September 1983 to July 1984 University of Edinburgh, (duties similar to those indicated above). In April 1986 I was asked to act as Honours year co-ordinator for the BCom Finance and Accounting students at the University of Western Australia. This involved a general supervisory role ensuring that the honours students had appropriate supervisors for their dissertations and generally looking after their interests through the year. During my employment at the University of Edinburgh EXPERIENCE: I helped organise a number of professional training courses for members of the local financial community. The details are given below:- Evening Course non-residential: Co-ordinator and organiser Investment Management: The Quantitative Approach. An 18-hour course for managers from the Edinburgh Finan- cial Community considering the latest quantitative techniques available to investment managers, and the demonstration of their application via a data bank and programs developed within the Department and applied via the ERCC and the Department micro- computer. The work was done in conjunction with the following colleagues -Dr. I.R.C. Hirst, Mr. R.E. Day and Dr. J.W. Kwiatkowski. The course was successfully offered in October/November 1981 and October/November 1983. Many of the programs developed for the course have subsequently been utilised as teaching aids within the department and for research purposes in dissertations. Edinburgh-Stirling Finance and Investment Seminar. Member of organising committee from October 1980 to October 1982.

66/69 Evening Course - non-residential Investment Management 1983/84/85. Assisted Dr. I.R.C. Hirst in the Organisation of the above course which is designed to give recent entrants to the Securities Industry a broad understanding of the problems and opportunities that an investment manager faces and the techniques he may use to handle them. Evening Course - "Technique of Investment", non-residential evening course 1984/85 session developed to prepare candidates for the Stock Exchange’s Techniques of Investment examination. Course on "Currency and Interest Rate Swaps", organised for Arthur Young Accountants, Perth, March 1988. Participated in Executive Development Programme, organised by the Public Services Board and the Department of Management, University of Western Australia. Organised a seminar on the contrasts between public and private sector financial management, Perth, March 1988. Prepared a report reviewing changes in the Superannuation industry for the Challenge Bank, June 1992. Provided detailed demographic, income distribution, housing, and other market informa- tion, broken down by local authority area for a N.S.W. company seeking to expand its activities to W.A. September 1992. Prepared a report featuring a review of quantitative assessment procedures suitable for ranking managed investment funds for the Challenge Bank, "Armstrong Jones - Investment Management" (July 1993). Submitted a report to the Select Committee on Superannuation, Australian Senate, Canberra, on matters relating to the Superannuation Guarantee Charge and other features of proposed changes to the provision of superannuation (16 March, 1994). Gave verbal evidence to the Select Committee on Superannuation, Australian Senate, Canberra, on matters relating to the Superannuation Guarantee Charge and other features of proposed changes to the provision of superannuation, Committee hearings held in Perth at 1110 Hay Street (14 July, 1994). Prepared a two stage report for the Challenge Bank, " An assessment of the WA Economy’s prospects for growth by Industrial Sectors", (with Mr. N. Kingsbury) and "An assessment of the Challenge Bank’s lending Profiles in the context of sectoral growth prospects for the WA Economy", with M. Clissold and N. Dyskin, (December 1995). Participated in a symposium organised by Price Waterhouse on Bank Lending and the Realisation Process by presenting a paper on Corporate Failure Prediction Models in Perth, (May 1, 1997). Acted as the External Validator in a Self-Assessment Review of the activities of the Department of Finance and Banking, Curtin University of Technology on October 8th and 9th 1997. This process involved a comprehensive review of the Department plus

67/69 interviews with the Departmental Head and Staff Members. A summary review document was submitted. Submitted a report to the Senate and Foreign Affairs and Defence Committee on matters relating to the current situation of the Japanese economy and its likely implications for Australia. (19 February 1999). Gave verbal evidence to the Select Committee on for Defence and Foreign Affairs, Australian Senate, Canberra on matters relating to the current state of the Japanese economy and its likely implications for Australia, Committee hearings held in Perth at 1110 Hay Street (25 February, 1999). Provided report for ASIC (the Australian Securities Commission) under the auspices of the FMRC (Funds Management Research Centre) about benchmarking managed fund performance to be used as background information for the purposes of an advisory standard they are developing about what is permissible and not permissible in advertising managed fund performance. The report titled: "A Review of Research on the Past Performance of Managed Funds" was co-authored with Professors T. Brailsford, R. Faff and R. Bird (30 September 2002). Undertook work on modelling reverse mortgages for HBOS Australia, with Prof. M. McAleer, Perth, (Aug, 2005). This work featured modelling and simulation of degree of exposure to default risk attached to reverse mortgage contracts under various simulated scenarios. Undertook time series analysis of Building Industry Index Series for Leighton-Kumagai Joint Venture Holdings, (December (2006). This involved analysing structural breaks in the series and the nature of cointegrating relationships between pairs of series.

68/69 REFEREES: Professor Michael McAleer, FASSA FIEMSS Professor of Quantitative Finance, Econo- metric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands, and Research Fellow, Tinbergen Institute, The Netherlands, and Distin- guished Chair Professor, College of Management, National Chung Hsing University, Taichung, Taiwan. Email [email protected] Professor Jerry Parwada, Head of the School of Banking & Finance, Professor of Finance, University of New South Wales, Business School building UNSW Australia Sydney NSW 2052 Australia. Tel: UNSW Business School building UNSW Australia Sydney NSW 2052 Australia. Email: [email protected]

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