Daniel R. Smith : Citation Profile

Are you Daniel R. Smith?

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

11

H index

11

i10 index

575

Citations

RESEARCH PRODUCTION:

17

Articles

10

Papers

RESEARCH ACTIVITY:

   17 years (2000 - 2017). See details.
   Cites by year: 33
   Journals where Daniel R. Smith has often published
   Relations with other researchers
   Recent citing documents: 47.    Total self citations: 7 (1.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psm72
   Updated: 2024-11-04    RAS profile: 2019-12-03    
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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:

Ferrara, Laurent (13)

Righi, Marcelo (12)

Castro, Vitor (10)

Darné, Olivier (9)

Parolya, Nestor (8)

Ruiz, Esther (8)

Alexander, Carol (7)

Gaglianone, Wagner (7)

Andersen, Torben (6)

Bollerslev, Tim (6)

Hurlin, Christophe (6)

Cites to:

Campbell, John (15)

Fama, Eugene (12)

Bollerslev, Tim (11)

French, Kenneth (11)

Jagannathan, Ravi (10)

Harvey, Campbell (9)

Perignon, Christophe (9)

Hamilton, James (8)

Ang, Andrew (8)

Engle, Robert (8)

Christiansen, Charlotte (7)

Main data

Where Daniel R. Smith has published?

Journals with more than one article published# docs
Journal of Banking & Finance5
Australian Journal of Management2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
NCER Working Paper Series / National Centre for Econometric Research3
Post-Print / HAL3

Recent works citing Daniel R. Smith (2024 and 2023)

YearTitle of citing document
2023The distribution of sample mean-variance portfolio weights. (2023). Lassance, Nathan ; Kan, Raymond ; Wang, Xiaolu. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023006.

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2023Sampling 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.

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2024Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Tail 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.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2023Do 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.

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2023Exploring 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.

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2023Do 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.

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2023Robust 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.

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2023A 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.

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2023A 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.

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2024Is there a dark side to financial inclusion? Understanding the relationship between financial inclusion and market risk. (2024). Muller, Fernanda Maria ; Righi, Marcelo Brutti ; Foguesatto, Cristian Rogerio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000652.

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2023A 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.

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2024Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach. (2024). Hong, Yongmiao ; Linton, Oliver ; Wang, Shouyang ; Sun, Jiajing ; McCabe, Brendan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003196.

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2023Forecasting 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.

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2023Are 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.

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2023Intraday VaR: A copula-based approach. (2023). Ye, Wuyi ; Liu, Xiaoquan ; Wang, Keli. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000774.

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2024Forecasting the VaR of the crude oil market: A combination of mixed data sampling and extreme value theory. (2024). Yang, MO ; Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Chang, Jianing. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002081.

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2023The crucial role of the five-year Treasury in the US yield curve. (2023). Chen, Yu-Lun. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003447.

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2023Time-varying bond market integration and the impact of financial crises. (2023). Hyde, Stuart ; Cho, Sungjun ; Qin, Weiping. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004258.

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2024Asymmetric and high-order risk transmission across VIX and Chinese futures markets. (2024). Luo, Jiawen ; Zhang, Zhendong. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462.

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2023CEO 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.

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2023Is 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.

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2024Measuring systemic risk contribution: A higher-order moment augmented approach. (2024). Huang, Guanglin ; Wang, Peiwen. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323012059.

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2024Chinas National Team: A Game Changer in Stock Market Stabilization?. (2024). Liu, Kerry. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s154461232400014x.

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2024Constructing Bayesian tangency portfolios under short-selling restrictions. (2024). Niklasson, Vilhelm ; Bodnar, Taras. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000953.

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2024Private information disclosure in the secondary loan market and its impact on equity market trading costs. (2024). Xiao, Yuchao ; Shao, Pei ; Saunders, Anthony. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000654.

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2024Someone like you: Lottery-like preference and the cross-section of expected returns in the cryptocurrency market. (2024). Liu, Weiyi ; Wang, YE ; Zhao, Xiaojuan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000234.

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2023Static 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.

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2024Does mixed frequency variables help to forecast value at risk in the crude oil market?. (2024). Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Kong, Mengzhen ; Wei, YU. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376.

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2023Is there a risk premium? Evidence from thirteen measures. (2023). Ramos, Henrique Pinto ; Muller, Fernanda Maria ; Fracasso, Lais Martins ; Righi, Marcelo Brutti. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:182-199.

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2023Blockholdings, Dividend Policy, Stock Returns and Return Volatility: Evidence from the UAE. (2023). Chamberlain, Trevor William ; Butt, Umar. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:4:p:122-:d:1260482.

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2023Distributionally Robust Chance-Constrained p -Hub Center Problem. (2023). Zhang, Zhenzhen ; Chen, Zhi ; Zhao, Yue. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:35:y:2023:i:6:p:1361-1382.

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2023Measuring 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..

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2023Co-Skewness across Return Horizons*. (2023). Conlon, Thomas ; cotter, john ; Jin, Chenglu. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1483-1518..

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2023Interest 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.

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2023Risk 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.

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2023Long 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.

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2023The 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.

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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]		article50
2011Evaluating Value-at-Risk Models via Quantile Regression In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article90
2009Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 90		paper
2010Evaluating Value-at-Risk Models via Quantile Regression.(2010) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 90		paper
2009Asymmetry in Stochastic Volatility Models: Threshold or Correlation? In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article6
2004Modeling Yield-Factor Volatility In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper0
2007Conditional coskewness and asset pricing In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article54
2007Yield-factor volatility models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2007Yield-factor volatility models.(2007) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2009Institutional ownership, volatility and dividends In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article36
2010Diversification and Value-at-Risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article41
2010The level and quality of Value-at-Risk disclosure by commercial banks In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article143
2009The Level and Quality of Value-at-Risk Disclosure by Commercial Banks.(2009) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 143		paper
2010The level and quality of Value-at-Risk disclosure by commercial banks.(2010) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 143		paper
2011Comparing different explanations of the volatility trend In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2010Comparing 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
2007Why common factors in international bond returns are not so common In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article24
2007Business cycle dynamics with duration dependence and leading indicators In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article36
2008The Distribution of the Sample Minimum-Variance Frontier In: Management Science.
[Full Text][Citation analysis]		article40
2007Comparing Probability Forecasts in Markov Regime Switching Business Cycle Models In: Journal of Business Cycle Measurement and Analysis.
[Full Text][Citation analysis]		article3
2011Forecasting Equicorrelation In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper4
In: .
[Full Text][Citation analysis]		paper0
In: .
[Full Text][Citation analysis]		paper0
2008An Empirical Investigation of the Level Effect in Australian Interest Rates In: Australian Journal of Management.
[Full Text][Citation analysis]		article3
2017Delisted stocks and momentum: Evidence from a new Australian dataset In: Australian Journal of Management.
[Full Text][Citation analysis]		article3
2008Testing for structural breaks in GARCH models In: Applied Financial Economics.
[Full Text][Citation analysis]		article11
2000A further note on the three phases of the US business cycle In: Applied Economics.
[Full Text][Citation analysis]		article19

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