Professor Daniel Smith

QUT Business School,
Economics and Finance

Personal

* Field of Research code, Australian and New Zealand Standard Research Classification (ANZSRC), 2008

Gaglianone WP, Lima LR, Linton O, Smith DR, (2011) Evaluating value-at-risk models via quantile regression, Journal of Business and Economic Statistics p150-160
Rubin A, Smith DR, (2011) Comparing different explanations of the volatility trend, Journal of Banking and Finance p1581-1597
Perignon C, Smith DR, (2010) The level and quality of Value-at-Risk disclosure by commercial banks, Journal of Banking and Finance p362-377
Smith DR, (2009) Asymmetry in stochastic volatility models: threshold or correlation?, Studies in Nonlinear Dynamics and Econometrics p1-34
Rubin A, Smith DR, (2009) Institutional ownership, volatility and dividends, Journal of Banking and Finance p627-639
Perignon C, Smith DR, (2010) Diversification and value-at-risk, Journal of Banking and Finance p55-66
Smith D, (2002) Markov-switching and stochastic volatility diffusion models of short-term interest rates, Journal of Business and Economic Statistics p183-197
Smith D, (2008) Evaluating specification tests for Markov-switching time-series models, Journal of Time Series Analysis p629-652
Smith D, (2007) Conditional coskewness and asset pricing, Journal of Empirical Finance p91-119
Kan RM, Smith D, (2008) The distribution of the sample minimum-variance frontier, Management Science p1364-1380

For more publications by this staff member, visit QUT ePrints, the University's research repository.