QUT ePrints

• Search
  • Advanced
  • QUT Theses
  • Affiliation
• Browse
  • Person
  • Subjects
  • Year
• About
  • Contact us
  • Copyright matters
  • Deposit Guide
• Statistics
  • Repository Statistics
• QUT Users
  • Deposit items

Browse By Person: Smith, Daniel

Up a level

Export as ASCII CitationBibTeXDownload and Citation Statistics (CSV)Dublin CoreEndNote	RSS 1.0 Atom RSS 2.0

Group by: Item Type | Date

Jump to: Journal Article | Conference Paper | Working Paper

Number of items: 17.

Journal Article

Rubin, Amir & Smith, Daniel (2011) Comparing different explanations of the volatility trend. Journal of Banking and Finance, 35(6), pp. 1581-1597.

1

1

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.

5

4

Perignon, Christophe & Smith, Daniel (2010) Diversification and value-at-risk. Journal of Banking and Finance, 34(1), pp. 55-66.

12

7

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.

27

16

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

1

1

Rubin, Amir & Smith, Daniel (2009) Institutional ownership, volatility and dividends. Journal of Banking and Finance, 33(4), pp. 627-639.

11

9

Smith, Daniel R. (2008) Evaluating Specification Tests for Markov-Switching Time-Series Models. Journal of Time Series Analysis, 29(4), pp. 629-652.

6

6

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

2

Kan, R. & Smith, D. R. (2008) The distribution of the sample minimum-variance frontier. Management Science, 54(7), pp. 1364-1380.

11

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.

1

Pèrignon, Christoph & Smith, Daniel (2008) A new approach to comparing VaR estimation methods. The Journal of Derivatives, Winter, pp. 54-66.

1

Perignon, Christophe & Smith, Daniel R. (2007) Yield-factor volatility models. Journal of Banking & Finance, 31(10), pp. 3125-3144.

5

4

Layton, Allan & Smith, Daniel (2007) Business cycle dynamics with duration dependence and leading indicators. Journal of Macroeconomics, 29(4), pp. 855-875.

7

7

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

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, 26(2), p. 284.

7

5

Conference Paper

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.

5

Working Paper

Layton, Allan P. & Smith, Daniel R. (2004) Duration dependence in the US business cycle. Discussion Paper No152. [Working Paper] (Unpublished)

335

This list was generated on Sat May 18 06:46:45 2013 EST.