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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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Conditional coskewness and asset pricing
Smith, Daniel R. - In: Journal of empirical finance 14 (2007) 1, pp. 91-119
Persistent link: https://www.econbiz.de/10003416066
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The distribution of the sample minimum-variance frontier
Kan, Raymond; Smith, Daniel R. - In: Management science : journal of the Institute for … 54 (2008) 7, pp. 1364-1380
Persistent link: https://www.econbiz.de/10003755064
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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/10003586713
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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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Testing for structural breaks in GARCH models
Smith, Daniel R. - In: Applied financial economics 18 (2008) 10/12, pp. 845-862
Persistent link: https://www.econbiz.de/10003739446
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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
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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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Stock Price Reaction to News : The Joint Effect of Tone and Attention on Momentum
Huynh, Thanh D. - 2016
This study finds that market's underreaction to good news is a driver of Gutierrez and Kelly's (2008) weekly momentum returns. By employing a dataset of 10.1 million news items in four regions (the U.S., Europe, Japan, and Asia Pacific), we find that stocks having important and positive news...
Persistent link: https://www.econbiz.de/10013007183