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Daniel Smith Associate Professor of Finance
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You can download my CV as a pdf.
Education:
Ph.D. (University of British Columbia) 2002
M.Bus. (Queensland University of
Technology) 1999
B.Bus.(Hons) (Queensland University of
Technology) 1996
Publications:
"Evaluating Value-at-Risk models via Quantile Regression", 2009 Forthcoming, Journal of Business and Economic Statistics (with Wagner Gaglianone, Luiz Renato Lima, and Oliver Linton)
"The
Level and Quality of Value-at-Risk Disclosure by Commercial Banks", 2009 Forthcoming, Journal of Banking and Finance (with
Christophe Pérignon).
"Diversification
and Value-at-Risk," 2009 Forthcoming, Journal of Banking and Finance (with
Christophe Pérignon).
"Institutional
Ownership, Volatility and Dividends," 2009 , Journal of Banking and Finance, 33, 627-639 (with Amir Rubin).
"Asymmetry
in Stochastic Volatility Models: Threshold or Correlation", 2009 , Studies in Nonlinear Dynamics and Econometrics, 13, Article 1.
"A New Approach to Comparing VaR Estimation Methods", 2008, Journal of Derivatives, 15, 54-66 (with Christophe Pérignon).
"The
Distribution of the Sample Minimum-Variance Frontier," 2008,
Management Science, 54, 1364-1380 (with
Raymond Kan).
"Evaluating
Specification Tests for Markov-Switching Time Series Models," 2008, Journal
of Time Series Analysis, 62, 629-652.
"Testing
for Structural Breaks in GARCH Models,"
2008, Applied Financial Economics, 18, 845-862.
"An Empirical Investigation of the Level
Effect in Australian Interest Rates",
2008, Australian Journal of Management, 33, 31-45 (with
Philip Gray).
"Business
Cycle Dynamics with
Duration Dependence and Leading Indicators," 2007, Journal of Macroeconomics, 29, 855-875
(with Allan
Layton).
"Yield-Factor
Volatility Models," 2007, Journal
of Banking and Finance, 31, 3125-3144
(with Christophe Pérignon).
"Comparing
Probability
Forecasts in Markov Regime Switching Business Cycle Models," 2007, Journal of
Business Cycle Measurement and Analysis, 3, 79-98 (with Allan
Layton).
"Why
Common Factors in International Bond Returns Are Not So
Common," 2007,
Journal of
International Money and Finance, 26, 284-304
(with Christophe Pérignon and Christophe Villa).
"Conditional
Coskewness and
Asset Pricing,” 2007, Journal
of
Empirical Finance, 14:
91-119.
"Markov-Switching
and Stochastic Volatility in Short-Term Interest Rates,"
2002, Journal of Business and Economic
Statistics, 20: 183-197.
"A
Further Note on the Three
Phases of the US Business Cycle," 2000, Applied
Economics, 32: 1133-1143
(with Allan Layton).
Working Papers:
Risk
and
Return in Stochastic Volatility Models: Volatility Feedback Matters!
Asset Allocation with Stochastic Volatility
Conditional Backtesting of Value-at-Risk Models
Alternative Explanations of the Volatility Trend: Are They Really That Different? (with Amir Rubin)
A Stochastic
Volatility Model with Fat Tails, Skewness and Leverage Effects
Testing for
Equal Dynamic Conditional Correlations
The Stochastic Equicorrelation Model
Work In Progress:
Standard Errors for Regressions using
Overlapping Observations (with Marco Rossi and Tim Simin)
Simulated Maximum Likelihood Estimation of
Continuous-Time Stochastic Volatility Models
Does Risk Aversion Vary Over the Business
Cycle? (with Robert Whitelaw)
Teaching:
Bus418
International Financial
Management
Bus810
Fixed Income Security Analysis (MBA)
Bus865
Market Risk Management (MA)
