Professor Daniel Smith
Faculty of Business & Law,
School of Economics & Finance
Personal details
Positions
- Professor
Faculty of Business & Law,
School of Economics & Finance
Discipline
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
Selected 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), pp. 150-160.
- Rubin A, Smith D, (2011) Comparing different explanations of the volatility trend, Journal of Banking and Finance, 35 (6), pp. 1581-1597.
- Perignon C, Smith D, (2010) The level and quality of Value-at-Risk disclosure by commercial banks, Journal of Banking and Finance, 34 (2), pp. 362-377.
- Smith D, (2009) Asymmetry in stochastic volatility models: threshold or correlation?, Studies in Nonlinear Dynamics and Econometrics, 13 (3), pp. 1-34.
- Rubin A, Smith D, (2009) Institutional ownership, volatility and dividends, Journal of Banking and Finance, 33 (4), pp. 627-639.
- Perignon C, Smith D, (2010) Diversification and value-at-risk, Journal of Banking and Finance, 34 (1), pp. 55-66.
- Smith D, (2002) Markov-switching and stochastic volatility diffusion models of short-term interest rates, Journal of Business and Economic Statistics, 20 (2), pp. 183-197.
- Smith D, (2008) Evaluating specification tests for Markov-switching time-series models, Journal of Time Series Analysis, 29 (4), pp. 629-652.
- Smith D, (2007) Conditional coskewness and asset pricing, Journal of Empirical Finance, 14 (1), pp. 91-119.
- Kan R, Smith D, (2008) The distribution of the sample minimum-variance frontier, Management Science, 54 (7), pp. 1364-1380.
QUT ePrints
For more publications by Daniel, explore their research in QUT ePrints (our digital repository).