Simon Smith

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

9

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11

Scholarly Papers (9)

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1.

Have Risk Premia Vanished?

Downloads 684 (59,456)
Citation 7

Have Risk Premia Vanished?

Number of pages: 67 Posted: 06 Jan 2021 Last Revised: 03 May 2021
Simon Smith and Allan Timmermann
Board of Governors of the Federal Reserve System and UCSD
Downloads 684 (58,658)

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Cross-sectional variation in risk premia, instability risk factor, industry and style portfolios, Bayesian analysis

Have Risk Premia Vanished?

CEPR Discussion Paper No. DP16109
Number of pages: 70 Posted: 24 May 2021
Simon Smith and Allan Timmermann
Board of Governors of the Federal Reserve System and University of California, San Diego (UCSD) - Rady School of Management
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2.

Break Risk

Number of pages: 75 Posted: 03 Sep 2018
Simon Smith and Allan Timmermann
Board of Governors of the Federal Reserve System and UCSD
Downloads 310 (151,774)
Citation 7

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Forecasting Stock Returns, Panel Data, Structural Breaks, Bayesian Analysis, Dividend Growth

3.

Detecting Breaks in Real Time: A Panel Forecasting Approach

Number of pages: 61 Posted: 03 Sep 2018
Simon Smith and Allan Timmermann
Board of Governors of the Federal Reserve System and UCSD
Downloads 198 (235,544)
Citation 6

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Panel Data, Structural Breaks, Bayesian Analysis, Out-of-Sample Forecasts, Inflation Modeling

4.

Noncommon Breaks

Number of pages: 59 Posted: 09 Sep 2018
Simon Smith
Board of Governors of the Federal Reserve System
Downloads 136 (323,017)
Citation 1

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Panel Data, Structural Breaks, Bayesian Analysis, Stock Return Predictability

5.

Variable Selection in Panel Models with Breaks

Number of pages: 82 Posted: 04 Sep 2018 Last Revised: 23 Sep 2018
Simon Smith, Allan Timmermann and Yinchu Zhu
Board of Governors of the Federal Reserve System, UCSD and University of Oregon
Downloads 134 (326,768)
Citation 3

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Variable selection, Structural breaks, Panel data, Bayesian analysis, High-dimensional modeling, Firms' Choice of Capital Structure

6.

International Stock Return Predictability and Asset Pricing Models

Number of pages: 69 Posted: 06 Jan 2021
Simon Smith
Board of Governors of the Federal Reserve System
Downloads 117 (361,105)

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International stock return predictability, International CAPM, International multifactor model, Factor selection, Structural breaks, Bayesian analysis

7.

Bayesian Inference Tames the Factor Zoo

Posted: 11 Dec 2018 Last Revised: 30 Jun 2021
Simon Smith
Board of Governors of the Federal Reserve System

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Cross-section of expected returns, Factor zoo, Learning, Parameter uncertainty, Time-variation, Panel data, Structural breaks, Bayesian analysis

8.

Structural Breaks in Grouped Heterogeneity

USC-INET Research Paper No. 18-20
Posted: 25 Oct 2018 Last Revised: 04 Apr 2022
Simon Smith
Board of Governors of the Federal Reserve System

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Forecasting, Panel data, Structural Breaks, Grouped Heterogeneity, Bayesian Analysis

9.

Breaks in the Phillips Curve: Evidence from Panel Data

Simon Smith, Allan Timmermann and Jonathan H. Wright
Board of Governors of the Federal Reserve System, University of California, San Diego (UCSD) - Rady School of Management and Johns Hopkins University - Department of Economics

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Phillips curve, Inflation, Unemployment, Panel data, Structural breaks, Bayesian analysis