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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", 2011, Journal of Business and Economic Statistics, 29, 150-160 (with Wagner Gaglianone, Luiz Renato Lima, and Oliver Linton)
"Comparing Different Explanations of the Volatility Trend", 2011 forthcoming, Journal of Banking and Finance (with Amir Rubin).
"The
Level and Quality of Value-at-Risk Disclosure by Commercial Banks", 2010, Journal of Banking and Finance, 34, 362-377 (with
Christophe Pérignon).
"Diversification
and Value-at-Risk," 2010, Journal of Banking and Finance, 34, 55-66 (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
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)
Forecasting Equicorrelation (with Adam Clements and Christopher Coleman-Fenn)
Teaching:
Bus418
International Financial
Management
Bus810
Fixed Income Security Analysis (MBA)
Bus865
Market Risk Management (MA)
