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2019 Journal Article Cryptocurrency and blockchains: retail to institutionalLow, Rand and Marsh, Terry (2019). Cryptocurrency and blockchains: retail to institutional. Journal of Investing, 29 (1), 18-30. doi: 10.3905/joi.2019.1.102 |
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2016 Journal Article The profitability of pairs training strategies: distance, cointegration and copula methodsRad, Hossein, Low, Rand Kwong Yew and Faff, Robert (2016). The profitability of pairs training strategies: distance, cointegration and copula methods. Quantitative Finance, 16 (10), 1541-1558. doi: 10.1080/14697688.2016.1164337 |
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2016 Journal Article Diamonds vs. precious metals: what shines brightest in your investment portfolio?Low, Rand Kwong Yew, Yao, Yiran and Faff, Robert (2016). Diamonds vs. precious metals: what shines brightest in your investment portfolio?. International Review of Financial Analysis, 43, 1-14. doi: 10.1016/j.irfa.2015.11.002 |
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2013 Journal Article Canonical vine copulas in the context of modern portfolio management: are they worth it?Low, Rand Kwong Yew, Alcock, Jamie, Faff, Robert and Brailsford, Timothy J. (2013). Canonical vine copulas in the context of modern portfolio management: are they worth it?. Journal of Banking and Finance, 37 (8), 3085-3099. doi: 10.1016/j.jbankfin.2013.02.036 |
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2024 Journal Article Complements or substitutes? The effect of ETFs on other managed fundsTang, Lu, Tan, Eric K.M. and Low, Rand (2024). Complements or substitutes? The effect of ETFs on other managed funds. International Review of Financial Analysis, 95 103414, 103414. doi: 10.1016/j.irfa.2024.103414 |
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2024 Journal Article Quantitative portfolio management: review and outlookSenescall, Michael and Low, Rand Kwong Yew (2024). Quantitative portfolio management: review and outlook. Mathematics, 12 (18) 2897, 2897. doi: 10.3390/math12182897 |
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2024 Journal Article Determinants of corporate credit ratings: Does ESG matter?Michalski, Lachlan and Low, Rand Kwong Yew (2024). Determinants of corporate credit ratings: Does ESG matter?. International Review of Financial Analysis, 94 103228, 103228. doi: 10.1016/j.irfa.2024.103228 |
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2023 Journal Article The commodity risk premium and neural networksRad, Hossein, Low, Rand Kwong Yew, Miffre, Joëlle and Faff, Robert (2023). The commodity risk premium and neural networks. Journal of Empirical Finance, 74 101433, 1-20. doi: 10.1016/j.jempfin.2023.101433 |
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2023 Journal Article Does time frame of IPO proceeds predict survival of firms? Evidence from the Malaysian marketAlyasa-Gan, Siti Sarah, Che-Yahya, Norliza and Low, Rand Kwong Yew (2023). Does time frame of IPO proceeds predict survival of firms? Evidence from the Malaysian market. Journal of Emerging Market Finance, 22 (4), 359-381. doi: 10.1177/09726527231178086 |
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2023 Journal Article Foundation of a framework for evaluating the impact of mining technological innovation on a company's market valueMugebe, P., Kizil, M.S., Yahyaei, M. and Low, R. (2023). Foundation of a framework for evaluating the impact of mining technological innovation on a company's market value. Resources Policy, 85 103913, 103913. doi: 10.1016/j.resourpol.2023.103913 |
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2022 Journal Article The strategic allocation to style-integrated portfolios of commodity futuresRad, Hossein, Low, Rand Kwong Yew, Miffre, Joëlle and Faff, Robert (2022). The strategic allocation to style-integrated portfolios of commodity futures. Journal of Commodity Markets, 28 100259, 1-21. doi: 10.1016/j.jcomm.2022.100259 |
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2022 Journal Article Foundation of a framework for evaluating the impact of mining technological innovation on a company's market valueMugebe, Pilot, Yahyaei, Mohsen and Low, Rand Kwong Yew (2022). Foundation of a framework for evaluating the impact of mining technological innovation on a company's market value. SSRN Electronic Journal, 1-25. doi: 10.2139/ssrn.4036259 |
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2020 Journal Article Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?Rad, Hossein, Low, Rand Kwong Yew, Miffre, Joëlle and Faff, Robert (2020). Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. Journal of Empirical Finance, 58, 164-180. doi: 10.1016/j.jempfin.2020.05.006 |
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2019 Journal Article Guest editorial: Cryptocurrency and blockchain: tulip mania or digital promise for the millennial generation?Marsh, Terry and Low, Rand (2019). Guest editorial: Cryptocurrency and blockchain: tulip mania or digital promise for the millennial generation?. Studies in Economics and Finance, 36 (1), 2-7. doi: 10.1108/SEF-03-2019-355 |
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2018 Journal Article BV–VPIN: measuring the impact of order flow toxicity and liquidity on international equity marketsLow, Rand, Li, Te and Marsh, Terry (2018). BV–VPIN: measuring the impact of order flow toxicity and liquidity on international equity markets. Journal of Risk, 21 (2), 63-97. doi: 10.21314/jor.2018.399 |
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2018 Journal Article Vine copulas: modelling systemic risk and enhancing higher-moment portfolio optimisationLow, Rand Kwong Yew (2018). Vine copulas: modelling systemic risk and enhancing higher-moment portfolio optimisation. Accounting and Finance, 58 (S1), 423-463. doi: 10.1111/acfi.12274 |
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2018 Journal Article Monitoring transmission of systemic risk: application of partial least squares structural equation modeling in financial stress testingAvkiran, Necmi K., Ringle, Christian M. and Low, Rand (2018). Monitoring transmission of systemic risk: application of partial least squares structural equation modeling in financial stress testing. Journal of Risk, 20 (5), 83-115. doi: 10.21314/JOR.2018.386 |
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2017 Book Chapter Canonical vine copulas in the context of modern portfolio management : are they worth it?Low, Rand Kwong Yew, Alcock, Jamie, Faff, Robert and Brailsford, Timothy (2017). Canonical vine copulas in the context of modern portfolio management : are they worth it?. Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns. (pp. 263-289) edited by Jamie Alcock and Stephen Satchell. Chichester, West Sussex, United Kingdom: John Wiley and Sons. doi: 10.1002/9781119288992.ch11 |
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2016 Journal Article The role of analyst forecasts in the momentum effectLow, Rand Kwong Yew and Tan, Enoch (2016). The role of analyst forecasts in the momentum effect. International Review of Financial Analysis, 48, 67-84. doi: 10.1016/j.irfa.2016.09.007 |
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2016 Journal Article Enhancing mean-variance portfolio selection by modeling distributional asymmetriesLow, Rand Kwong Yew, Faff, Robert and Aas, Kjersti (2016). Enhancing mean-variance portfolio selection by modeling distributional asymmetries. Journal of Economics and Business, 85, 49-72. doi: 10.1016/j.jeconbus.2016.01.003 |
