Daniel R. Smith
Personal Details
First Name: | Daniel |
Middle Name: | R. |
Last Name: | Smith |
Suffix: | |
RePEc Short-ID: | psm72 |
| |
http://www.sfu.ca/~drsmith | |
Affiliation
(in no particular order)
Faculty of Business Administration
Simon Fraser University
Burnaby, Canadahttp://www.bus.sfu.ca/
RePEc:edi:fbsfuca (more details at EDIRC)
School of Economics and Finance
Business School
Queensland University of Technology
Brisbane, Australiahttps://www.qut.edu.au/business/about/school-of-economics-and-finance
RePEc:edi:sequtau (more details at EDIRC)
National Centre for Econometric Research (NCER)
Brisbane/Sydney, Australiahttp://www.ncer.edu.au/
RePEc:edi:ncerrau (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- 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.
- Amir Rubin & Daniel Smith, 2010.
"Comparing Different Explanations of the Volatility Trend,"
NCER Working Paper Series
68, National Centre for Econometric Research.
- 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.
- Christophe Perignon & Daniel R. Smith, 2010.
"The level and quality of Value-at-Risk disclosure by commercial banks,"
Post-Print
hal-00528391, HAL.
- 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.
- Christophe Perignon & D. Smith, 2009. "The Level and Quality of Value-at-Risk Disclosure by Commercial Banks," Post-Print hal-00496102, HAL.
- Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel, 2009.
"Evaluating Value-at-Risk models via Quantile Regression,"
UC3M Working papers. Economics
we094625, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel R. Smith, 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 150-160, January.
- 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.
- Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 679, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Wagner P. Gaglianone & Luiz Renato Lima & Oliver Linton, 2008. "Evaluating Value-at-Risk Models via Quantile Regressions," Working Papers Series 161, Central Bank of Brazil, Research Department.
- Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel Smith, 2010. "Evaluating Value-at-Risk Models via Quantile Regression," NCER Working Paper Series 67, National Centre for Econometric Research.
- Christophe Pérignon & Daniel R. Smith, 2007.
"Yield-factor volatility models,"
Post-Print
hal-00461067, HAL.
- Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
- 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
- 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.
- 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.
- Amir Rubin & Daniel Smith, 2010. "Comparing Different Explanations of the Volatility Trend," NCER Working Paper Series 68, National Centre for Econometric Research.
- 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.
- Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel R. Smith, 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 150-160, January.
- Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 679, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Wagner P. Gaglianone & Luiz Renato Lima & Oliver Linton, 2008. "Evaluating Value-at-Risk Models via Quantile Regressions," Working Papers Series 161, Central Bank of Brazil, Research Department.
- Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel Smith, 2010. "Evaluating Value-at-Risk Models via Quantile Regression," NCER Working Paper Series 67, National Centre for Econometric Research.
- Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel, 2009. "Evaluating Value-at-Risk models via Quantile Regression," UC3M Working papers. Economics we094625, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- 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.
- Christophe Perignon & D. Smith, 2009. "The Level and Quality of Value-at-Risk Disclosure by Commercial Banks," Post-Print hal-00496102, HAL.
- Christophe Perignon & Daniel R. Smith, 2010. "The level and quality of Value-at-Risk disclosure by commercial banks," Post-Print hal-00528391, HAL.
- Pérignon, Christophe & Smith, Daniel R., 2010.
"Diversification and Value-at-Risk,"
Journal of Banking & Finance, Elsevier, vol. 34(1), pages 55-66, January.
- Christophe Perignon & Daniel R. Smith, 2010. "Diversification and Value-at-Risk," Post-Print hal-00528390, HAL.
- 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.
- Rubin, Amir & Smith, Daniel R., 2009. "Institutional ownership, volatility and dividends," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 627-639, April.
- 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.
- 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.
- Raymond Kan & Daniel R. Smith, 2008. "The Distribution of the Sample Minimum-Variance Frontier," Management Science, INFORMS, vol. 54(7), pages 1364-1380, July.
- Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 91-119, January.
- Perignon, Christophe & Smith, Daniel R., 2007.
"Yield-factor volatility models,"
Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
- Christophe Pérignon & Daniel R. Smith, 2007. "Yield-factor volatility models," Post-Print hal-00461067, HAL.
- 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.
- 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.
- 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.
- 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.
- 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.
RePEc:taf:apfiec:v:18:y:2008:i:10:p:845-862 is not listed on IDEAS
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 5 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.- NEP-RMG: Risk Management (3) 2007-02-17 2010-01-30 2010-11-20
- NEP-BAN: Banking (2) 2010-01-30 2010-11-20
- NEP-ECM: Econometrics (2) 2007-02-17 2010-01-30
- NEP-ETS: Econometric Time Series (1) 2011-05-24
- NEP-FIN: Finance (1) 2004-10-30
- NEP-FOR: Forecasting (1) 2011-05-24
- NEP-MAC: Macroeconomics (1) 2007-02-17
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