Professor Daniel Smith
Faculty of Business & Law,
School of Economics & Finance
Personal details
Positions
- Professor
Faculty of Business & Law,
School of Economics & Finance
Research field
Banking, Finance and Investment, Econometrics
Field of Research code, Australian and New Zealand Standard Research Classification (ANZSRC), 2008
Qualifications
- PhD (University of British Columbia)
Professional memberships and associations
Publications
- Gaglianone, W., Lima, L., Linton, O. & Smith, D. (2011). Evaluating value-at-risk models via quantile regression. Journal of Business and Economic Statistics, 29(1), 150–160. https://eprints.qut.edu.au/52444
- Rubin, A. & Smith, D. (2011). Comparing different explanations of the volatility trend. Journal of Banking and Finance, 35(6), 1581–1597. https://eprints.qut.edu.au/44546
- Perignon, C. & Smith, D. (2010). The level and quality of Value-at-Risk disclosure by commercial banks. Journal of Banking and Finance, 34(2), 362–377. https://eprints.qut.edu.au/43032
- Smith, D., (2009). Asymmetry in stochastic volatility models: threshold or correlation? Studies in Nonlinear Dynamics and Econometrics, 13(3), 1–34. https://eprints.qut.edu.au/45511
- Rubin, A. & Smith, D. (2009). Institutional ownership, volatility and dividends. Journal of Banking and Finance, 33(4), 627–639. https://eprints.qut.edu.au/43223
- Perignon, C. & Smith, D. (2010). Diversification and value-at-risk. Journal of Banking and Finance, 34(1), 55–66. https://eprints.qut.edu.au/43024
- Smith, D., (2002). Markov-switching and stochastic volatility diffusion models of short-term interest rates. Journal of Business and Economic Statistics, 20(2), 183–197.
- Smith, D., (2008). Evaluating specification tests for Markov-switching time-series models. Journal of Time Series Analysis, 29(4), 629–652. https://eprints.qut.edu.au/31022
- Smith, D., (2007). Conditional coskewness and asset pricing. Journal of Empirical Finance, 14(1), 91–119. https://eprints.qut.edu.au/32936
- Kan, R. & Smith, D. (2008). The distribution of the sample minimum-variance frontier. Management Science, 54(7), 1364–1380. https://eprints.qut.edu.au/31041
QUT ePrints
For more publications by Daniel, explore their research in QUT ePrints (our digital repository).