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A new approach to comparing VaR estimation methods
Pérignon, Christophe; Smith, Daniel R. - In: The journal of derivatives : the official publication … 16 (2008/09) 2, pp. 54-66
Persistent link: https://www.econbiz.de/10003795258
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Institutional ownership, volatility and dividends
Rubin, Amir; Smith, Daniel R. - In: Journal of banking & finance 33 (2009) 4, pp. 627-639
Persistent link: https://www.econbiz.de/10003820518
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Diversification and Value-at-Risk
Pérignon, Christophe; Smith, Daniel R. - In: Journal of banking & finance 34 (2010) 1, pp. 55-66
Persistent link: https://www.econbiz.de/10003905666
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Why common factors in international bond returns are not so common
Pérignon, Christophe; Smith, Daniel R.; Villa, Christophe - In: Journal of international money and finance 26 (2007) 2, pp. 284-304
Persistent link: https://www.econbiz.de/10003429372
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The level and quality of Value-at-Risk disclosure by commercial banks
Pérignon, Christophe; Smith, Daniel R. - In: Journal of banking & finance 34 (2010) 2, pp. 362-377
Persistent link: https://www.econbiz.de/10003935605
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Evaluating value-at-risk models via quantile regression
Gaglianone, Wagner Piazza; Lima, Luiz Renato; Linton, Oliver - 2009
Persistent link: https://www.econbiz.de/10003971702
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Comparing different explanations of the volatility trend
Rubin, Amir; Smith, Daniel R. - 2010
Persistent link: https://www.econbiz.de/10008798842
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Evaluating value-at-risk models via quantile regression
Gaglianone, Wagner Piazza; Lima, Luiz Renato; Linton, Oliver - 2010
Persistent link: https://www.econbiz.de/10008798843
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Yield-factor volatility models
Pérignon, Christophe; Smith, Daniel R. - In: Journal of banking & finance 31 (2007) 10, pp. 3125-3144
Persistent link: https://www.econbiz.de/10003574840
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Forecasting equicorrelation
Clements, Adam; Coleman-Fenn, Christopher A.; Smith, … - 2011
Persistent link: https://www.econbiz.de/10009153525