Details about Daniel R. Smith

Access statistics for papers by Daniel R. Smith.

Last updated 2019-12-03. Update your information in the RePEc Author Service.

Short-id: psm72

Working Papers

2011

1. Forecasting Equicorrelation
   NCER Working Paper Series, National Centre for Econometric Research View citations (4)

2010

2. Comparing Different Explanations of the Volatility Trend
   NCER Working Paper Series, National Centre for Econometric Research
   See also Journal Article Comparing different explanations of the volatility trend, Journal of Banking & Finance, Elsevier (2011) View citations (6) (2011)
3. Evaluating Value-at-Risk Models via Quantile Regression
   NCER Working Paper Series, National Centre for Econometric Research View citations (10)
   Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009)
   See also Journal Article Evaluating Value-at-Risk Models via Quantile Regression, Journal of Business & Economic Statistics, American Statistical Association (2011) View citations (84) (2011)
4. The level and quality of Value-at-Risk disclosure by commercial banks
   Post-Print, HAL View citations (123)
   Also in Post-Print, HAL (2009) View citations (1)
   See also Journal Article The level and quality of Value-at-Risk disclosure by commercial banks, Journal of Banking & Finance, Elsevier (2010) View citations (141) (2010)

2007

5. Yield-factor volatility models
   Post-Print, HAL View citations (7)
   See also Journal Article Yield-factor volatility models, Journal of Banking & Finance, Elsevier (2007) View citations (7) (2007)

2004

6. Modeling Yield-Factor Volatility
   Econometric Society 2004 Australasian Meetings, Econometric Society

Journal Articles

2017

1. Delisted stocks and momentum: Evidence from a new Australian dataset
   Australian Journal of Management, 2017, 42, (1), 140-160 View citations (3)

2011

2. Comparing different explanations of the volatility trend
   Journal of Banking & Finance, 2011, 35, (6), 1581-1597 View citations (6)
   See also Working Paper Comparing Different Explanations of the Volatility Trend, NCER Working Paper Series (2010) (2010)
3. Evaluating Value-at-Risk Models via Quantile Regression
   Journal of Business & Economic Statistics, 2011, 29, (1), 150-160 View citations (84)
   See also Working Paper Evaluating Value-at-Risk Models via Quantile Regression, NCER Working Paper Series (2010) View citations (10) (2010)

2010

4. Diversification and Value-at-Risk
   Journal of Banking & Finance, 2010, 34, (1), 55-66 View citations (39)
5. The level and quality of Value-at-Risk disclosure by commercial banks
   Journal of Banking & Finance, 2010, 34, (2), 362-377 View citations (141)
   See also Working Paper The level and quality of Value-at-Risk disclosure by commercial banks, Post-Print (2010) View citations (123) (2010)

2009

6. Asymmetry in Stochastic Volatility Models: Threshold or Correlation?
   Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (3), 36 View citations (6)
7. Institutional ownership, volatility and dividends
   Journal of Banking & Finance, 2009, 33, (4), 627-639 View citations (38)

2008

8. An Empirical Investigation of the Level Effect in Australian Interest Rates
   Australian Journal of Management, 2008, 33, (1), 31-45 View citations (3)
9. Evaluating Specification Tests for Markov‐Switching Time‐Series Models
   Journal of Time Series Analysis, 2008, 29, (4), 629-652 View citations (12)
10. Testing for structural breaks in GARCH models
    Applied Financial Economics, 2008, 18, (10), 845-862 View citations (11)
11. The Distribution of the Sample Minimum-Variance Frontier
    Management Science, 2008, 54, (7), 1364-1380 View citations (42)

2007

12. Business cycle dynamics with duration dependence and leading indicators
    Journal of Macroeconomics, 2007, 29, (4), 855-875 View citations (36)
13. Comparing Probability Forecasts in Markov Regime Switching Business Cycle Models
    Journal of Business Cycle Measurement and Analysis, 2007, 2007, (1), 79-98 View citations (4)
14. Conditional coskewness and asset pricing
    Journal of Empirical Finance, 2007, 14, (1), 91-119 View citations (55)
15. Why common factors in international bond returns are not so common
    Journal of International Money and Finance, 2007, 26, (2), 284-304 View citations (25)
16. Yield-factor volatility models
    Journal of Banking & Finance, 2007, 31, (10), 3125-3144 View citations (7)
    See also Working Paper Yield-factor volatility models, Post-Print (2007) View citations (7) (2007)

2002

17. Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates
    Journal of Business & Economic Statistics, 2002, 20, (2), 183-97 View citations (53)

2000

18. A further note on the three phases of the US business cycle
    Applied Economics, 2000, 32, (9), 1133-1143 View citations (21)