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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

9

i10 index

315

Citations

RESEARCH PRODUCTION:

15

Articles

7

Papers

RESEARCH ACTIVITY:

   9 years (2002 - 2011). See details.
   Cites by year: 35
   Journals where Daniel R. Smith has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 5 (1.56 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psm72
   Updated: 2018-02-17    RAS profile: 2014-07-16    
   Missing citations? Add them    Incorrect content? Let us know

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:

Ferrara, Laurent (9)

Darné, Olivier (9)

Ruiz, Esther (7)

Castro, Vitor (7)

Gaglianone, Wagner (6)

Alexander, Carol (6)

Alexander, Gordon (5)

Hammoudeh, Shawkat (5)

Baptista, Alexandre (5)

McAleer, Michael (5)

Yan, Shu (5)

Cites to:

Campbell, John (14)

Fama, Eugene (10)

Jagannathan, Ravi (9)

French, Kenneth (8)

Harvey, Campbell (8)

Ang, Andrew (8)

Engle, Robert (6)

Bollerslev, Tim (6)

Christiansen, Charlotte (6)

Hirtle, Beverly (5)

Wu, Liuren (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 (2018 and 2017)


YearTitle of citing document
2017A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1704.02213.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

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2017A risk measure that optimally balances capital determination errors. (2017). Righi, Marcelo Brutti . In: Papers. RePEc:arx:papers:1707.09829.

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2017Spectral backtests of forecast distributions with application to risk management. (2017). Gordy, Michael B ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489.

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2018Regression Based Expected Shortfall Backtesting. (2018). Bayer, Sebastian ; Dimitriadis, Timo . In: Papers. RePEc:arx:papers:1801.04112.

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2017Quantitative Easing and Long-Term Yields in Small Open Economies. (2017). Diez de los Rios, Antonio ; Shamloo, Maral . In: Staff Working Papers. RePEc:bca:bocawp:17-26.

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2017Corporate Hedging and the High Idiosyncratic Volatility Low Return Puzzle. (2017). Chng, Michael T ; Zhang, Hong Feng ; Xiang, Vincent ; Fang, Victor. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:395-425.

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Blasques, Francisco ; Koopman, Siem Jan ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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2017Firm Risk and Disclosures about Dispersion in Asset Values:. (2017). Badia, Marc ; Ormazabal, Gaizka ; Duro, Miguel ; Barth, Mary E. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12144.

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2017Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

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2017Diversification discount and investor sentiment. (2017). Harper, Joel T ; Nejadmalayeri, Ali ; Iyer, Subramanian Rama. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:218-236.

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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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2017Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets. (2017). Qureshi, Fiza ; Gee, Chan Sok ; Ismail, Izlin ; Kutan, Ali M. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:176-192.

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

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2017Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates. (2017). Fries, Christian P ; Seeger, Norman ; Nigbur, Tobias . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:175-198.

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2017Forecasting the VaR of crude oil market: Do alternative distributions help?. (2017). Lyu, Yongjian ; Ke, Rui ; Wei, YU ; Wang, Peng. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:523-534.

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2017Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition. (2017). da Fonseca, Jose ; Xu, Yahua. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:410-422.

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2017Normative portfolio theory. (2017). Fu, Yufen ; Blazenko, George W. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:240-251.

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2017Convex risk measures based on generalized lower deviation and their applications. (2017). Fu, Tianwen ; Liu, Jia ; Hui, Yongchang ; Zhuang, Xinkai . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:27-37.

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2017Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

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2017Threshold stochastic volatility: Properties and forecasting. (2017). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123.

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2017CEO turnover in large banks: Does tail risk matter?. (2017). Srivastav, Abhishek ; Vallascas, Francesco ; Mollah, Sabur ; Keasey, Kevin. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:64:y:2017:i:1:p:37-55.

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2017An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

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2017Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

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2017Institutional holdings, investment opportunities and dividend policy. (2017). Huang, Wei ; Paul, Donna L. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:152-161.

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2018Recent advances in electricity price forecasting: A review of probabilistic forecasting. (2018). Weron, Rafał ; Nowotarski, Jakub . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1548-1568.

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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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2017An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

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2017The Leading Indicators of the Economic Cycles in Lithuania. (2017). Stundziene, Alina ; Giziene, Vilda ; Barkauskas, Vytautas. In: Engineering Economics. RePEc:exl:25engi:v:28:y:2017:i:3:p:280-289.

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2017Financial Insights from the Last Few Components of a Stock Market PCA. (2017). Yang, Libin ; Rea, Alethea . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:5:y:2017:i:3:p:15-:d:105316.

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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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2017Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market. (2017). Poshakwale, Sunil S ; Mandal, Anandadeep . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0580-2.

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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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2017Real options and institutions. (2017). Pennings, Enrico ; Bekkum, Sjoerd ; Smit, Han. In: Journal of International Business Studies. RePEc:pal:jintbs:v:48:y:2017:i:5:d:10.1057_s41267-016-0055-7.

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2017Applying a microfounded-forecasting approach to predict Brazilian inflation. (2017). Issler, João ; Gaglianone, Wagner ; Matos, Silvia Maria . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1163-8.

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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

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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]
article32
2011Evaluating Value-at-Risk Models via Quantile Regression In: Journal of Business & Economic Statistics.
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article43
2009Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 43
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: 43
paper
2008Evaluating Specification Tests for Markov-Switching Time-Series Models In: Journal of Time Series Analysis.
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article8
2009Asymmetry in Stochastic Volatility Models: Threshold or Correlation? In: Studies in Nonlinear Dynamics & Econometrics.
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article5
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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article24
2007Yield-factor volatility models In: Journal of Banking & Finance.
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article3
2009Institutional ownership, volatility and dividends In: Journal of Banking & Finance.
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article20
2010Diversification and Value-at-Risk In: Journal of Banking & Finance.
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article26
2010The level and quality of Value-at-Risk disclosure by commercial banks In: Journal of Banking & Finance.
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article84
2011Comparing different explanations of the volatility trend In: Journal of Banking & Finance.
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article5
2010Comparing Different Explanations of the Volatility Trend.(2010) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2007Why common factors in international bond returns are not so common In: Journal of International Money and Finance.
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article17
2007Business cycle dynamics with duration dependence and leading indicators In: Journal of Macroeconomics.
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article27
2008The Distribution of the Sample Minimum-Variance Frontier In: Management Science.
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article11
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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