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Asymmetry in stochastic volatility models : threshold or correlation?

Smith, Daniel R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 3, pp. 1-34

Persistent link: https://www.econbiz.de/10009513579

Asymmetry in stochastic volatility models : threshold or correlation?

Smith, Daniel R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 3, pp. 1-34

Persistent link: https://www.econbiz.de/10009949949

An empirical investigation of the quality of value‐at‐risk disclosure in Australia

Campbell, Angus; Smith, Daniel R. - In: Accounting & Finance 62 (2021) 1, pp. 469-491

Persistent link: https://www.econbiz.de/10012634137

An empirical investigation of the quality of value-at-risk disclosure in Australia

Campbell, Angus; Smith, Daniel R. - In: Accounting and finance 62 (2022) 1, pp. 469-491

Persistent link: https://www.econbiz.de/10013166415

Stock price reaction to news : the joint effect of tone and attention on momentum

Huynh, Thanh D.; Smith, Daniel R. - In: The journal of behavioral finance : a publication of … 18 (2017) 3, pp. 304-328

Persistent link: https://www.econbiz.de/10012029757

Conditional reasoning : an integrated approach to item analysis

Smith, Daniel R.; Hoffman, Michael E.; LeBreton, James M. - In: Organizational research methods : ORM 23 (2020) 1, pp. 124-153

Persistent link: https://www.econbiz.de/10012181206

Delisted stocks and momentum : evidence from a new Australian dataset

Huynh, Thanh D.; Smith, Daniel R. - In: Australian journal of management 42 (2017) 1, pp. 140-160

Persistent link: https://www.econbiz.de/10011774112

Business cycle dynamics with duration dependence and leading indicators

Layton, Allan P.; Smith, Daniel R. - In: Journal of Macroeconomics 29 (2007) 4, pp. 855-875

Persistent link: https://www.econbiz.de/10005246991

Yield-factor volatility models

Perignon, Christophe; Smith, Daniel R. - In: Journal of Banking & Finance 31 (2007) 10, pp. 3125-3144

Persistent link: https://www.econbiz.de/10005201040

Institutional ownership, volatility and dividends

Rubin, Amir; Smith, Daniel R. - In: Journal of Banking & Finance 33 (2009) 4, pp. 627-639

We find that the sign of the correlation between institutional ownership and volatility depends on the firm's dividend policy: institutional ownership is negatively (positively) related to volatility among non-dividend (dividend) paying stocks. The empirical results are consistent with an...

Persistent link: https://www.econbiz.de/10005213578