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Browse By Person: Smith, Daniel

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Jump to: 2004 | 2007 | 2008 | 2009 | 2010 | 2011
Number of items: 17.

2004

Layton, Allan P. & Smith, Daniel R. (2004) Duration dependence in the US business cycle. Discussion Paper No152. . [Working Paper] (Unpublished)
Number of full-text downloads 375

2007

Perignon, Christophe & Smith, Daniel R. (2007) Yield-factor volatility models. Journal of Banking & Finance, 31(10), pp. 3125-3144.
Number of citations in Scopus 6
Number of citations in Web of Science® 4

Layton, Allan & Smith, Daniel (2007) Business cycle dynamics with duration dependence and leading indicators. Journal of Macroeconomics, 29(4), pp. 855-875.
Number of citations in Scopus 7
Number of citations in Web of Science® 7

Smith, Daniel R. (2007) Conditional coskewness and asset pricing. Journal of Empirical Finance, 14(1), p. 91.
Number of citations in Scopus 17

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, 26(2), p. 284.
Number of citations in Scopus 7
Number of citations in Web of Science® 6

2008

Smith, Daniel R. (2008) Evaluating Specification Tests for Markov-Switching Time-Series Models. Journal of Time Series Analysis, 29(4), pp. 629-652.
Number of citations in Scopus 8
Number of citations in Web of Science® 7

Smith, Daniel (2008) Testing for structural breaks in GARCH models. Applied Financial Economics, 18(10), pp. 845-862.
Number of citations in Scopus 2

Kan, R. & Smith, D. R. (2008) The distribution of the sample minimum-variance frontier. Management Science, 54(7), pp. 1364-1380.
Number of citations in Scopus 13
Number of citations in Web of Science® 7

Gray, P. & Smith, D. R. (2008) An empirical investigation of the level effect in Australian interest rates. Australian Journal of Management, 33(1), pp. 31-45.
Number of citations in Scopus 2
Number of citations in Web of Science® 3

Pèrignon, Christoph & Smith, Daniel (2008) A new approach to comparing VaR estimation methods. The Journal of Derivatives, Winter, pp. 54-66.
Number of citations in Scopus 4
Number of citations in Web of Science® 3

2009

Rubin, Amir & Smith, Daniel (2009) Alternative explanations of the volatility trend : Are they really that different? In Alternative explanations of the volatility trend : Are they really that different?, University of Queensland, Australia, Queensland, Brisbane, pp. 1-59.
Number of full-text downloads 6

Smith, Daniel (2009) Asymmetry in stochastic volatility models: threshold or correlation? Studies in Nonlinear Dynamics and Econometrics, 13(3), pp. 1-34.
Number of citations in Scopus 1
Number of citations in Web of Science® 1

Rubin, Amir & Smith, Daniel (2009) Institutional ownership, volatility and dividends. Journal of Banking and Finance, 33(4), pp. 627-639.
Number of citations in Scopus 13
Number of citations in Web of Science® 11

2010

Perignon, Christophe & Smith, Daniel (2010) Diversification and value-at-risk. Journal of Banking and Finance, 34(1), pp. 55-66.
Number of citations in Scopus 15
Number of citations in Web of Science® 8

Perignon, Christophe & Smith, Daniel (2010) The level and quality of Value-at-Risk disclosure by commercial banks. Journal of Banking and Finance, 34(2), pp. 362-377.
Number of citations in Scopus 44
Number of citations in Web of Science® 26

2011

Rubin, Amir & Smith, Daniel (2011) Comparing different explanations of the volatility trend. Journal of Banking and Finance, 35(6), pp. 1581-1597.
Number of citations in Scopus 3
Number of citations in Web of Science® 3

Gaglianone, Wagner, Lima, Luiz, Linton, Oliver, & Smith, Daniel (2011) Evaluating value-at-risk models via quantile regression. Journal of Business and Economic Statistics, 29(1), pp. 150-160.
Number of citations in Scopus 11
Number of citations in Web of Science® 8

This list was generated on Sat Jul 19 06:57:51 2014 EST.