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Daniel R. Smith

This is information that was supplied by Daniel Smith in registering through RePEc. If you are Daniel R. Smith , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Daniel
Middle Name:R.
Last Name:Smith
Suffix:
RePEc Short-ID:psm72
http://www.sfu.ca/~drsmith
(in no particular order)
Burnaby, Canada
http://www.bus.sfu.ca/

(778) 782-4068

8888 University Drive, Burnaby, BC, V5A 1S6
RePEc:edi:fbsfuca (more details at EDIRC)
Brisbane/Sydney, Australia
http://www.ncer.edu.au/

07 3138 5066
07 3138 1500

RePEc:edi:ncerrau (more details at EDIRC)
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  1. Adam E Clements & Christopher A Coleman-Fenn & Daniel R Smith, 2011. "Forecasting Equicorrelation," NCER Working Paper Series 72, National Centre for Econometric Research, revised 29 Aug 2011.
  2. Amir Rubin & Daniel Smith, 2010. "Comparing Different Explanations of the Volatility Trend," NCER Working Paper Series 68, National Centre for Econometric Research.
  3. Smith, Daniel & Linton, Oliver & Lima, Luiz Renato & Gaglianone, Wagner Piazza, 2009. "Evaluating Value-at-Risk models via Quantile Regression," UC3M Working papers. Economics we094625, Universidad Carlos III de Madrid. Departamento de Economía.
  4. Allan Layton & Daniel R. Smith, 2005. "Testing the Power of Leading Indicators to Predict Business Cycle Phase Changes," School of Economics and Finance Discussion Papers and Working Papers Series 200, School of Economics and Finance, Queensland University of Technology.
  5. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society.
  6. Allan P. Layton & Daniel R. Smith, 2003. "Duration Dependence In The Us Business Cycle," School of Economics and Finance Discussion Papers and Working Papers Series 152, School of Economics and Finance, Queensland University of Technology.
  1. Rubin, Amir & Smith, Daniel R., 2011. "Comparing different explanations of the volatility trend," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1581-1597, June.
  2. Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel R., 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 150-160.
  3. Pérignon, Christophe & Smith, Daniel R., 2010. "The level and quality of Value-at-Risk disclosure by commercial banks," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 362-377, February.
  4. Pérignon, Christophe & Smith, Daniel R., 2010. "Diversification and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 55-66, January.
  5. Smith Daniel R, 2009. "Asymmetry in Stochastic Volatility Models: Threshold or Correlation?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-36, May.
  6. Rubin, Amir & Smith, Daniel R., 2009. "Institutional ownership, volatility and dividends," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 627-639, April.
  7. Raymond Kan & Daniel R. Smith, 2008. "The Distribution of the Sample Minimum-Variance Frontier," Management Science, INFORMS, vol. 54(7), pages 1364-1380, July.
  8. Daniel R. Smith, 2008. "Evaluating Specification Tests for Markov-Switching Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(4), pages 629-652, 07.
  9. Daniel Smith, 2008. "Testing for structural breaks in GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 845-862.
  10. Daniel R. Smith & Allan Layton, 2007. "Comparing Probability Forecasts in Markov Regime Switching Business Cycle Models," Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2007(1), pages 79-98.
  11. Layton, Allan P. & Smith, Daniel R., 2007. "Business cycle dynamics with duration dependence and leading indicators," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 855-875, December.
  12. Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 91-119, January.
  13. Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
  14. Perignon, Christophe & Smith, Daniel R. & Villa, Christophe, 2007. "Why common factors in international bond returns are not so common," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 284-304, March.
  15. Smith, Daniel R, 2002. "Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 183-97, April.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (3) 2007-02-17 2010-01-30 2010-11-20. Author is listed
  2. NEP-BAN: Banking (2) 2010-01-30 2010-11-20. Author is listed
  3. NEP-ECM: Econometrics (2) 2007-02-17 2010-01-30. Author is listed
  4. NEP-ETS: Econometric Time Series (1) 2011-05-24
  5. NEP-FIN: Finance (1) 2004-10-30
  6. NEP-FOR: Forecasting (1) 2011-05-24
  7. NEP-MAC: Macroeconomics (1) 2007-02-17

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