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Daniel R. Smith

Not to be confused with: Daniel Joseph Smith

Personal Details

First Name:Daniel
Middle Name:R.
Last Name:Smith
Suffix:
RePEc Short-ID:psm72
The above email address does not seem to be valid anymore. Please ask Daniel R. Smith to update the entry or send us the correct address or status for this person. Thank you.
http://www.sfu.ca/~drsmith

Affiliation

(in no particular order)

Faculty of Business Administration
Simon Fraser University

Burnaby, Canada
http://www.bus.sfu.ca/

(778) 782-4068

8888 University Drive, Burnaby, BC, V5A 1S6
RePEc:edi:fbsfuca (more details at EDIRC)

School of Economics and Finance
Business School
Queensland University of Technology

Brisbane, Australia
http://www.bus.qut.edu.au/schools/economics/



GPO Box 2434, BRISBANE QLD 4001
RePEc:edi:sequtau (more details at EDIRC)

National Centre for Econometric Research (NCER)

Brisbane/Sydney, Australia
http://www.ncer.edu.au/

07 3138 5066
07 3138 1500

RePEc:edi:ncerrau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  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. Christophe Perignon & Daniel R. Smith, 2010. "The level and quality of Value-at-Risk disclosure by commercial banks," Post-Print hal-00528391, HAL.
  4. 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.
  5. Christophe Pérignon & Daniel R. Smith, 2007. "Yield-factor volatility models," Post-Print hal-00461067, HAL.
  6. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society.
    repec:qut:dpaper:200 is not listed on IDEAS
    repec:qut:dpaper:152 is not listed on IDEAS

Articles

  1. Thanh D Huynh & Daniel R Smith, 2017. "Delisted stocks and momentum: Evidence from a new Australian dataset," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 140-160, February.
  2. 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.
  3. 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.
  4. 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.
  5. Pérignon, Christophe & Smith, Daniel R., 2010. "Diversification and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 55-66, January.
  6. 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.
  7. Rubin, Amir & Smith, Daniel R., 2009. "Institutional ownership, volatility and dividends," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 627-639, April.
  8. Philip Gray & Daniel R. Smith, 2008. "An Empirical Investigation of the Level Effect in Australian Interest Rates," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 31-45, June.
  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, 2008. "Evaluating Specification Tests for Markov‐Switching Time‐Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(4), pages 629-652, July.
  11. Raymond Kan & Daniel R. Smith, 2008. "The Distribution of the Sample Minimum-Variance Frontier," Management Science, INFORMS, vol. 54(7), pages 1364-1380, July.
  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. 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.
  15. 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.
  16. 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.
  17. 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 183-197, April.
  18. Allan Layton & Daniel Smith, 2000. "A further note on the three phases of the US business cycle," Applied Economics, Taylor & Francis Journals, vol. 32(9), pages 1133-1143.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 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
  2. NEP-BAN: Banking (2) 2010-01-30 2010-11-20
  3. NEP-ECM: Econometrics (2) 2007-02-17 2010-01-30
  4. NEP-ETS: Econometric Time Series (1) 2011-05-24
  5. NEP-FOR: Forecasting (1) 2011-05-24
  6. NEP-MAC: Macroeconomics (1) 2007-02-17

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