Michael S. Smith

University of Melbourne - Melbourne Business School

Professor of Management (Econometrics)

SCHOLARLY PAPERS

12

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2,126

SSRN CITATIONS
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in Total Papers Citations

35

CROSSREF CITATIONS

14

Scholarly Papers (12)

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1.

Modeling Dependence Using Skew T Copulas: Bayesian Inference and Applications

Downloads 372 (147,869)
Citation 7

Modeling Dependence Using Skew T Copulas: Bayesian Inference and Applications

Number of pages: 39 Posted: 04 Sep 2010
Michael S. Smith, Quan Gan and Robert Kohn
University of Melbourne - Melbourne Business School, The University of Sydney - Discipline of Finance and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 266 (209,687)
Citation 5

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Asymmetric Dependence, Bayesian Cross-Validation, Copula Modeling, Electricity Market Efficiency, Electricity Spot Prices, Nonlinear Dependence, Website Exposure, Online Advertising

Modeling Dependence Using Skew T Copulas: Bayesian Inference and Applications

Melbourne Business School Working Paper
Number of pages: 39 Posted: 08 Apr 2010 Last Revised: 17 Aug 2010
Michael S. Smith, Qan Gan and Robert Kohn
University of Melbourne - Melbourne Business School, The University of Sydney and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 106 (466,352)

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Asymmetric Dependence, Bayesian Cross-Validation, Copula Modeling, Electricity Market Efficiency, Electricity Spot Prices, Nonlinear Dependence, Website Exposure, Online Advertising

2.

Estimation of Copula Models with Discrete Margins via Bayesian Data Augmentation

Number of pages: 36 Posted: 04 Oct 2011
Michael S. Smith and Mohamad A. Khaled
University of Melbourne - Melbourne Business School and University of Technology Sydney (UTS)
Downloads 342 (162,167)
Citation 4

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Archimedian Copula, Bayesian Pair-Copula Selection, Discrete Longitudinal Data, Markov Chain Monte Carlo, Multivariate Discrete Data, Multivariate Dependence, Vine Copulas

3.

Bayesian Approaches to Copula Modelling

Damien, P. P. Dellaportas, N. G. Polson, D. A. Stephens, (2013), Bayesian Theory and Applications, OUP, pp. 336-358.
Number of pages: 33 Posted: 19 Dec 2011 Last Revised: 30 Mar 2015
Michael S. Smith
University of Melbourne - Melbourne Business School
Downloads 318 (175,255)
Citation 11

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Copula, Dependence Modelling, Vines, Gaussian copula, Archimedean copula, Dependence priors, Bayesian selection, Bayesian model averaging, Discrete copulas

4.

From Amazon to Apple: Modeling Online Retail Sales, Purchase Incidence and Visit Behavior

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 47 Posted: 13 Jun 2013
Anastasios Panagiotelis, Michael S. Smith and Peter Danaher
Monash University, University of Melbourne - Melbourne Business School and Monash University
Downloads 227 (246,235)

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Copulas, Marketing Models, Online Purchasing

5.

Modelling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence

Journal of the American Statistical Association (Theory and Methods Section), Forthcoming
Number of pages: 33 Posted: 26 Jul 2010
Michael S. Smith, Aleksey Min, Carlos Almeida and Claudia Czado
University of Melbourne - Melbourne Business School, Technische Universität München (TUM), affiliation not provided to SSRN and Technische Universität München (TUM) - Department of Mathematics
Downloads 207 (268,418)
Citation 1

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Longitudinal Copulas, Covariance Selection, Inhomogeneous Markov Process, Dvine, Bayesian Model Selection, Goodness of Fit, Intraday Electricity Load

6.

Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence

Number of pages: 56 Posted: 30 Mar 2015
Michael S. Smith and Shaun P. Vahey
University of Melbourne - Melbourne Business School and University of Warwick - Warwick Business School
Downloads 139 (377,863)
Citation 9

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Copula Multivariate Time Series Model, Gaussian Copula, Real-Time Density Forecasting, Survey of Professional Forecasters, Vine Copula

7.

Copula Modelling of Dependence in Multivariate Time Series

International Journal of Forecasting, Forthcoming
Number of pages: 47 Posted: 30 Mar 2015
Michael S. Smith
University of Melbourne - Melbourne Business School
Downloads 135 (386,565)
Citation 2

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Copula Model, Nonlinear Multivariate Time Series, Bayesian Model Averaging, Multivariate Stationarity

8.

Variational Bayes Estimation of Time Series Copulas for Multivariate Ordinal and Mixed Data

Number of pages: 36 Posted: 02 Jan 2018
Rubén Albeiro Loaiza Maya and Michael S. Smith
The University of Melbourne, Melbourne Business School and University of Melbourne - Melbourne Business School
Downloads 114 (439,438)

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9.

Whether, When and Which: Modelling Advanced Seat Reservations by Airline Passengers

Number of pages: 55 Posted: 13 Feb 2019 Last Revised: 04 Dec 2019
Shuai Shao, Göran Kauermann and Michael S. Smith
Ludwig Maximilian University of Munich, Faculty of Mathematics, Department of Statistics, Bielefeld University and University of Melbourne - Melbourne Business School
Downloads 84 (539,333)

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Advanced Seat Reservation, Airline Ancillary Pricing, Customer Behaviour Analysis, Discrete Choice Model, Discrete Time Duration Model, Willingness to Pay

10.

Real-Time Macroeconomic Forecasting with a Heteroskedastic Inversion Copula

Number of pages: 71 Posted: 25 Jun 2018 Last Revised: 01 Aug 2018
Ruben Loaiza-Maya and Michael S. Smith
MBS and University of Melbourne - Melbourne Business School
Downloads 73 (585,022)
Citation 5

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Asymmetric Density Forecasting, Time Series Copula, Downside Risk, Macroeconomic Uncertainty

11.

Bicycle Commuting in Melbourne During the 2000s Energy Crisis: A Semiparametric Analysis of Intraday Volumes

Journal of Transportation Research Part B: Methodological, 2011
Number of pages: 47 Posted: 08 Jul 2011
Michael S. Smith and Goeran Kauermann
University of Melbourne - Melbourne Business School and Bielefeld University
Downloads 67 (612,536)
Citation 1

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Cross-Price Elasticity, Discrete Copula Model, Generalized Mixed Models, Mode of Transport, Multivariate Penalized Spline Smoothing, Count Data Model

12.

Econometric Modeling of Regional Electricity Spot Prices in the Australian Market

Number of pages: 53 Posted: 26 Apr 2018
Michael S. Smith and Thomas Shively
University of Melbourne - Melbourne Business School and University of Texas at Austin - McCombs School of Business
Downloads 48 (717,519)
Citation 2

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Bayesian Monotonic Function Estimation, Intraday Electricity Prices, Copula Time Series Model