Daniel R. Smith : Citation Profile


Are you Daniel R. Smith?

Simon Fraser University
Queensland University of Technology
National Centre for Econometric Research (NCER)

9

H index

8

i10 index

275

Citations

RESEARCH PRODUCTION:

15

Articles

7

Papers

RESEARCH ACTIVITY:

   9 years (2002 - 2011). See details.
   Cites by year: 30
   Journals where Daniel R. Smith has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 5 (1.79 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psm72
   Updated: 2017-04-22    RAS profile: 2014-07-16    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Daniel R. Smith.

Is cited by:

Darné, Olivier (9)

Ferrara, Laurent (9)

Ruiz, Esther (7)

Castro, Vitor (7)

Alexander, Carol (6)

McAleer, Michael (5)

DIEBOLT, Claude (5)

Maheu, John (5)

Hammoudeh, Shawkat (5)

Diebold, Francis (4)

Christoffersen, Peter (4)

Cites to:

Campbell, John (14)

Fama, Eugene (10)

Jagannathan, Ravi (9)

French, Kenneth (8)

Ang, Andrew (8)

Harvey, Campbell (8)

Engle, Robert (6)

Bollerslev, Tim (6)

Christiansen, Charlotte (6)

Hirtle, Beverly (5)

Piazzesi, Monika (4)

Main data


Where Daniel R. Smith has published?


Journals with more than one article published# docs
Journal of Banking & Finance5
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
NCER Working Paper Series / National Centre for Econometric Research3
School of Economics and Finance Discussion Papers and Working Papers Series / School of Economics and Finance, Queensland University of Technology2

Recent works citing Daniel R. Smith (2017 and 2016)


YearTitle of citing document
2016Shortfall Deviation Risk: An alternative to risk measurement. (2016). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio . In: Papers. RePEc:arx:papers:1501.02007.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488.

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2016Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation. (2016). Issler, João ; Gaglianone, Wagner ; Matos, Silvia Maria . In: Working Papers Series. RePEc:bcb:wpaper:436.

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2016Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil. (2016). Gaglianone, Wagner ; Terra, Gabriel Jaqueline . In: Working Papers Series. RePEc:bcb:wpaper:446.

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2016Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos. (2016). Melo-Velandia, Luis ; Ustacara, Daniel Mario . In: Borradores de Economia. RePEc:bdr:borrec:939.

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2016How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?. (2016). Auer, Benjamin R ; Mogel, Benjamin . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6288.

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2016Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect. (2016). Khan, Faisal . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-02-27.

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2016Ruling Family Political Connections and Risk Reporting: Evidence from the GCC. (2016). Al-Yahyaee, Khamis ; Taylor, Grantley ; Al-Hadi, Ahmed . In: The International Journal of Accounting. RePEc:eee:accoun:v:51:y:2016:i:4:p:504-524.

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2016The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

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2016Dynamic equicorrelation stochastic volatility. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:795-813.

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2016The large-sample distribution of the maximum Sharpe ratio with and without short sales. (2016). Maller, Ross ; Tourky, Rabee ; Roberts, Steven . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:138-152.

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2017Mean-VaR portfolio optimization: A nonparametric approach. (2017). Lwin, Khin T ; MacCarthy, Bart L ; Qu, Rong . In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:2:p:751-766.

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2016An infinite hidden Markov model for short-term interest rates. (2016). YANG, QIAO ; Maheu, John. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:202-220.

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2017Portfolio selection with mental accounts and estimation risk. (2017). Alexander, Gordon J ; Yan, Shu ; Baptista, Alexandre M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:161-186.

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2016The nature and determinants of disclosure practices in the insurance industry: Evidence from European insurers. (2016). Porzio, Claudio ; Malafronte, Irma ; Starita, Maria Grazia . In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:367-382.

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2016Does institutional ownership increase stock return volatility? Evidence from Vietnam. (2016). Vo, Xuan Vinh. In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:54-61.

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2016Determinants of asymmetric return comovements of gold and other financial assets. (2016). Mandal, Anandadeep ; Poshakwale, Sunil S. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:229-242.

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2016What drives asymmetric dependence structure of asset return comovements?. (2016). Poshakwale, Sunil S ; Mandal, Anandadeep . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:312-330.

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2016A parsimonious quantile regression model to forecast day-ahead value-at-risk. (2016). Haugom, Erik ; Westgaard, Sjur ; Veka, Steinar ; Ullrich, Carl J ; Ray, Rina . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:196-207.

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2016Long-term behavior of stochastic interest rate models with Markov switching. (2016). Zhang, Zhenzhong ; Hu, Liangjian ; Tong, Jinying . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:320-326.

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2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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2016Variational Bayes for assessment of dynamic quantile forecasts. (2016). Abeywardana, Sachin ; Gerlach, Richard . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1385-1402.

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2016The MAX effect: An exploration of risk and mispricing explanations. (2016). Zhong, Angel ; Gray, Philip . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:65:y:2016:i:c:p:76-90.

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2016Derivatives usage, securitization, and the crash sensitivity of bank stocks. (2016). Trapp, Rouven . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:183-205.

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2016The economic value of controlling for large losses in portfolio selection. (2016). Dias, Alexandra . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s81-s91.

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2017Does gold hedge stock market, inflation and exchange rate risks? An econometric investigation. (2017). Iqbal, Javed. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:1-17.

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2017Overnight returns of stock indexes: Evidence from ETFs and futures. (2017). Liu, Qingfu ; Tse, Yiuman . In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:440-451.

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2016Artifactual unit root behavior of Value at risk (VaR). (2016). Chan, Ngai Hang ; Sit, Tony . In: Statistics & Probability Letters. RePEc:eee:stapro:v:116:y:2016:i:c:p:88-93.

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2016Public disclosure and risk-adjusted performance at bank holding companies. (2016). Hirtle, Beverly. In: Economic Policy Review. RePEc:fip:fednep:00036.

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2016Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure. (2016). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01277880.

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2017Measuring risks in the extreme tail: The extreme VaR and its confidence interval. (2017). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01317391.

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2017Impact of multimodality of distributions on VaR and ES calculations. (2017). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01491990.

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2016Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure. (2016). Li, Kehan ; Guegan, Dominique ; Hassani, Bertrand K. In: Post-Print. RePEc:hal:journl:halshs-01277880.

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2016Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries. (2016). Härdle, Wolfgang ; Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-001.

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2016Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure. (2016). Hassani, Bertrand K ; Guegan, Dominique ; Li, Kehan . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16006.

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2016A robust confidence interval of historical Value-at-Risk for small sample. (2016). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16034.

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2017Measuring risks in the extreme tail: The extreme VaR and its confidence interval. (2017). Li, Kehan ; Guegan, Dominique ; Hassani, Bertrand K. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16034rr.

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2017Impact of multimodality of distributions on VaR and ES calculations. (2017). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17019.

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2016Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models. (2016). Fengler, Matthias ; Herwartz, Helmut . In: MPRA Paper. RePEc:pra:mprapa:72197.

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2016An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR. (2016). Xu, Qifa ; He, Yaoyao ; Jiang, Cuixia . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:25:y:2016:i:2:d:10.1007_s10260-015-0332-9.

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2016Clustering Quantile Regression-Based Drought Trends in Taiwan. (2016). Shiau, Jenq-Tzong ; Lin, Jia-Wei . In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA). RePEc:spr:waterr:v:30:y:2016:i:3:d:10.1007_s11269-015-1210-9.

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2016The pricing of illiquidity and illiquid assets : Essays on empirical asset pricing. (2016). . In: Other publications TiSEM. RePEc:tiu:tiutis:cc548ebe-e34d-44c7-ac7c-a1fa214193f2.

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2016Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance. (2016). Füss, Roland ; Adams, Zeno ; Fuess, Roland . In: Working Papers on Finance. RePEc:usg:sfwpfi:2016:13.

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2016Recent advances in electricity price forecasting: A review of probabilistic forecasting. (2016). Weron, Rafał ; Nowotarski, Jakub. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1607.

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Works by Daniel R. Smith:


YearTitleTypeCited
2002Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates. In: Journal of Business & Economic Statistics.
[Citation analysis]
article31
2011Evaluating Value-at-Risk Models via Quantile Regression In: Journal of Business & Economic Statistics.
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article35
2009Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
paper
2010Evaluating Value-at-Risk Models via Quantile Regression.(2010) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
paper
2008Evaluating Specification Tests for Markov-Switching Time-Series Models In: Journal of Time Series Analysis.
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article7
2009Asymmetry in Stochastic Volatility Models: Threshold or Correlation? In: Studies in Nonlinear Dynamics & Econometrics.
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article4
2004Modeling Yield-Factor Volatility In: Econometric Society 2004 Australasian Meetings.
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paper0
2007Conditional coskewness and asset pricing In: Journal of Empirical Finance.
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article21
2007Yield-factor volatility models In: Journal of Banking & Finance.
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article1
2009Institutional ownership, volatility and dividends In: Journal of Banking & Finance.
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article16
2010Diversification and Value-at-Risk In: Journal of Banking & Finance.
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article22
2010The level and quality of Value-at-Risk disclosure by commercial banks In: Journal of Banking & Finance.
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article74
2011Comparing different explanations of the volatility trend In: Journal of Banking & Finance.
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article4
2010Comparing Different Explanations of the Volatility Trend.(2010) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2007Why common factors in international bond returns are not so common In: Journal of International Money and Finance.
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article15
2007Business cycle dynamics with duration dependence and leading indicators In: Journal of Macroeconomics.
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article26
2008The Distribution of the Sample Minimum-Variance Frontier In: Management Science.
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article9
2007Comparing Probability Forecasts in Markov Regime Switching Business Cycle Models In: Journal of Business Cycle Measurement and Analysis.
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article3
2011Forecasting Equicorrelation In: NCER Working Paper Series.
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paper4
2003DURATION DEPENDENCE IN THE US BUSINESS CYCLE In: School of Economics and Finance Discussion Papers and Working Papers Series.
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paper0
2005Testing the Power of Leading Indicators to Predict Business Cycle Phase Changes In: School of Economics and Finance Discussion Papers and Working Papers Series.
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paper0
2008Testing for structural breaks in GARCH models In: Applied Financial Economics.
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article3

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