Simon Smith

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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Top 15,758

in Total Papers Citations

84

CROSSREF CITATIONS

11

Scholarly Papers (13)

1.
Downloads 813 (60,240)
Citation 23

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 813 (59,355)

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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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Citation 18
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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 365 (160,868)
Citation 7

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

Factor Selection and Structural Breaks

Number of pages: 42 Posted: 16 Apr 2024
Siddhartha Chib and Simon Smith
Washington University in St. Louis - John M. Olin Business School and Board of Governors of the Federal Reserve System
Downloads 171 (339,276)

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Model comparison, Factor models, Structural breaks, Anomaly, Bayesian analysis, Discount factor, Portfolio analysis, Sparsity.

Factor Selection and Structural Breaks

FEDS Working Paper No. 2024-37
Number of pages: 47 Posted: 11 Jun 2024
Siddhartha Chib and Simon Smith
Washington University in St. Louis - John M. Olin Business School and Board of Governors of the Federal Reserve System
Downloads 120 (453,205)

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Model comparison, Factor models, Structural breaks, Anomaly, Bayesian analysis, Discount factor, Portfolio analysis, Sparsity

4.

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 255 (234,159)
Citation 6

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

5.

Noncommon Breaks

Number of pages: 59 Posted: 09 Sep 2018
Simon Smith
Board of Governors of the Federal Reserve System
Downloads 196 (300,528)
Citation 1

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

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 168 (344,865)
Citation 1

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

7.

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 162 (355,766)
Citation 3

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

8.

Breaks in the Phillips Curve: Evidence from Panel Data

FEDS Working Paper No. 2023-15
Number of pages: 62 Posted: 05 May 2023
Johns Hopkins University - Department of Economics, Board of Governors of the Federal Reserve System and University of California, San Diego (UCSD) - Rady School of Management
Downloads 159 (361,365)

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

Breaks in the Phillips Curve: Evidence from Panel Data

Number of pages: 61 Posted: 10 Apr 2023 Last Revised: 12 Apr 2023
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
Downloads 54 (736,555)

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

Breaks in the Phillips Curve: Evidence from Panel Data

NBER Working Paper No. w31153
Number of pages: 62 Posted: 24 Apr 2023 Last Revised: 08 May 2023
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
Downloads 15 (1,084,889)
Citation 3
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10.

Nonlinear Phillips Curves

FEDS Notes No. 2024-09-04-1
Posted: 16 Sep 2024
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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11.

Monetary Policy in Uncertain Times

FEDS Notes No. 2024-08-30-1
Posted: 16 Sep 2024
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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12.

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

13.

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