11
H index
11
i10 index
558
Citations
Simon Fraser University | 11 H index 11 i10 index 558 Citations RESEARCH PRODUCTION: 18 Articles 10 Papers RESEARCH ACTIVITY: 17 years (2000 - 2017). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/psm72 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 5 |
Australian Journal of Management | 2 |
Journal of Business & Economic Statistics | 2 |
Working Papers Series with more than one paper published | # docs |
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NCER Working Paper Series / National Centre for Econometric Research | 3 |
Post-Print / HAL | 3 |
Year | Title of citing document |
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2023 | The distribution of sample mean-variance portfolio weights. (2023). Wang, Xiaolu ; Lassance, Nathan ; Kan, Raymond. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023006. Full description at Econpapers || Download paper |
2023 | Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Thors, Erik ; Parolya, Nestor ; Dette, Holger ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1908.04243. Full description at Econpapers || Download paper |
2023 | Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545. Full description at Econpapers || Download paper |
2023 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper |
2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper |
2023 | Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2303.11030. Full description at Econpapers || Download paper |
2023 | Do banks practice what they preach? Brown lending and environmental disclosure in the euro area. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Scannella, Enzo ; Polizzi, Salvatore. In: BIS Working Papers. RePEc:bis:biswps:1143. Full description at Econpapers || Download paper |
2023 | Exploring the performance of US international bond mutual funds. (2023). Littlejohn, Elizabeth ; Fletcher, Jonathan ; Marshall, Andrew. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:765-782. Full description at Econpapers || Download paper |
2023 | Do banks practice what they preach? Brown lending and environmental disclosure in the euro area. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Scannella, Enzo ; Polizzi, Salvatore. In: Working Paper Series. RePEc:ecb:ecbwps:20232872. Full description at Econpapers || Download paper |
2023 | Robust inference in single firm/single event analyses. (2023). Schoch, Daniela Stephanie ; Elsas, Ralf. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000408. Full description at Econpapers || Download paper |
2023 | A regime-switching model of stock returns with momentum and mean reversion. (2023). Zakamulin, Valeriy ; Giner, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000494. Full description at Econpapers || Download paper |
2023 | A description of the COVID-19 outbreak role in financial risk forecasting. (2023). Righi, Marcelo Brutti ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177. Full description at Econpapers || Download paper |
2023 | A new robust inference for predictive quantile regression. (2023). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:227-250. Full description at Econpapers || Download paper |
2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper |
2023 | Are cryptocurrencies a safe haven for stock investors? A regime-switching approach. (2023). Miu, Peter ; Li, Leon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:367-385. Full description at Econpapers || Download paper |
2023 | CEO overconfidence, lottery preference and the cross-section of stock returns. (2023). Ko, Kuan-Cheng ; Ho, Po-Hsin ; Lu, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001228. Full description at Econpapers || Download paper |
2023 | Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?. (2023). Thorsen, Erik ; Parolya, Nestor ; Bodnar, Taras. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001800. Full description at Econpapers || Download paper |
2023 | Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096. Full description at Econpapers || Download paper |
2023 | Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72.. Full description at Econpapers || Download paper |
2023 | Interest rate risk of Chinese commercial banks based on the GARCH-EVT model. (2023). Shan, Zhangming ; Chen, Xin ; Boamah, Valentina ; Zhou, Biao ; Tang, Decai. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-02321-6. Full description at Econpapers || Download paper |
2023 | Risk measures-based cluster methods for finance. (2023). Righi, Marcelo Brutti ; Muller, Fernanda Maria ; Guedes, Pablo Cristini. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00110-0. Full description at Econpapers || Download paper |
2023 | Long memory and regime switching in the stochastic volatility modelling. (2023). Shi, Yanlin. In: Annals of Operations Research. RePEc:spr:annopr:v:320:y:2023:i:2:d:10.1007_s10479-020-03841-z. Full description at Econpapers || Download paper |
2023 | The duration of acceleration cycle downturns: duration dependence, international dynamics and synchronisation. (2023). Castro, Vitor ; Koutsoumanis, George. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:4:d:10.1007_s00181-022-02299-1. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2002 | Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 50 |
2011 | Evaluating Value-at-Risk Models via Quantile Regression In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 87 |
2009 | Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 87 | paper | |
2010 | Evaluating Value-at-Risk Models via Quantile Regression.(2010) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 87 | paper | |
2008 | Evaluating Specification Tests for Markov?Switching Time?Series Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 12 |
2009 | Asymmetry in Stochastic Volatility Models: Threshold or Correlation? In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 6 |
2004 | Modeling Yield-Factor Volatility In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 0 |
2007 | Conditional coskewness and asset pricing In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 50 |
2007 | Yield-factor volatility models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 6 |
2007 | Yield-factor volatility models.(2007) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2009 | Institutional ownership, volatility and dividends In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 32 |
2010 | Diversification and Value-at-Risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 39 |
2010 | The level and quality of Value-at-Risk disclosure by commercial banks In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 133 |
2009 | The Level and Quality of Value-at-Risk Disclosure by Commercial Banks.(2009) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 133 | paper | |
2010 | The level and quality of Value-at-Risk disclosure by commercial banks.(2010) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 133 | paper | |
2011 | Comparing different explanations of the volatility trend In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 6 |
2010 | Comparing Different Explanations of the Volatility Trend.(2010) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2007 | Why common factors in international bond returns are not so common In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 22 |
2007 | Business cycle dynamics with duration dependence and leading indicators In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 36 |
2008 | The Distribution of the Sample Minimum-Variance Frontier In: Management Science. [Full Text][Citation analysis] | article | 38 |
2007 | Comparing Probability Forecasts in Markov Regime Switching Business Cycle Models In: Journal of Business Cycle Measurement and Analysis. [Full Text][Citation analysis] | article | 3 |
2011 | Forecasting Equicorrelation In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 4 |
In: . [Full Text][Citation analysis] | paper | 0 | |
In: . [Full Text][Citation analysis] | paper | 0 | |
2008 | An Empirical Investigation of the Level Effect in Australian Interest Rates In: Australian Journal of Management. [Full Text][Citation analysis] | article | 3 |
2017 | Delisted stocks and momentum: Evidence from a new Australian dataset In: Australian Journal of Management. [Full Text][Citation analysis] | article | 3 |
2008 | Testing for structural breaks in GARCH models In: Applied Financial Economics. [Full Text][Citation analysis] | article | 9 |
2000 | A further note on the three phases of the US business cycle In: Applied Economics. [Full Text][Citation analysis] | article | 19 |
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