Meet the Researchers
Simon C. Smith
[email protected]
Education
- Ph.D., Finance, University of Bristol, 2016
- Economic Forecasting
- Structural Break Modeling
Senior Economist
Board of Governors of the Federal Reserve System
2021 - presentEconomist
Board of Governors of the Federal Reserve System
2020 - 2021Postdoctoral Research Associate in Economics
University of Southern California
2017 - 2019Developmental Lecturer in Finance
Lancaster University
2015 - 2017
- Noncommon Breaks
Simon C. Smith
Journal of Business & Economic Statistics (Forthcoming)
https://doi.org/10.1080/07350015.2024.2301969 - Breaks in the Phillips Curve: Evidence from Panel Data
Simon C. Smith, Allan Timmermann, and Jonathan Wright
Finance and Economics Discussion Series (2023)
https://doi.org/10.17016/FEDS.2023.015 - Structural Breaks in Grouped Heterogeneity
Simon C. Smith
Journal of Business & Economic Statistics (2023)
https://doi.org/10.1080/07350015.2022.2063132 - Time-variation, multiple testing, and the factor zoo
Simon C. Smith
International Review of Financial Analysis (2022)
https://doi.org/10.1016/j.irfa.2022.102394 - Have risk premia vanished?
Simon C. Smith and Allan Timmermann
Journal of Financial Economics (2022)
https://doi.org/10.1016/j.jfineco.2021.08.019 - International stock return predictability
Simon C. Smith
International Review of Financial Analysis (2021)
https://doi.org/10.1016/j.irfa.2021.101963 - Break Risk
Simon C. Smith and Allan Timmermann
Review of Financial Studies (2021)
https://doi.org/10.1093/rfs/hhaa084 - Equity Premium Prediction and Structural Breaks
Simon C. Smith
International Journal of Finance & Economics (2020)
https://doi.org/10.1002/ijfe.1759 - Equity Premium Forecasts with an Unknown Number of Structural Breaks
Simon C. Smith, George Bulkley, and David S. Leslie
Journal of Financial Econometrics (2020)
https://doi.org/10.1093/jjfinec/nby034 - Variable Selection in Panel Models with Breaks
Simon C. Smith, Allan Timmermann, and Yinchu Zhu
Journal of Econometrics (2019)
https://doi.org/10.1016/j.jeconom.2019.04.033 - Most Recent Changepoint Detection in Panel Data
Lawrence Bardwell, Paul Fearnhead, Idris A. Eckley, Simon Smith, and Martin Spott
Technometrics (2019)
https://doi.org/10.1080/00401706.2018.1438926 - Equity Premium Estimates from Economic Fundamentals under Structural Breaks
Simon C. Smith
International Review of Financial Analysis (2017)
https://doi.org/10.1016/j.irfa.2017.04.011
conference
November 2021SFA Annual Meeting
Have Risk Premia Vanished?
conference
October 2021Federal Reserve System Econometrics Meeting
Have Risk Premia Vanished?
conference
October 2021FMA Annual Meting
Have Risk Premia Vanished?
conference
July 2021Stanford Institute for Theoretical Economics
Have Risk Premia Vanished?
conference
June 2021Society of Financial Econometrics
Have Risk Premia Vanished?
conference
January 2021North American Winter Meeting of the Econometric Society
Have Risk Premia Vanished?
conference
October 2020FMA Annual Meeting
Bayesian Inference Tames the Factor Zoo
conference
August 2020Econometric Society World Congress
Break Risk
conference
August 2020NBER-NSF Seminar on Bayesian Inference in Econometrics and Statistics
Detecting Breaks in Real Time: A Panel Forecasting Approach
seminar
June 2020Federal Reserve Board
Forecasting Panel Data with Structural Breaks and Regime-specific Grouped Heterogeneity
conference
September 2019European Seminar on Bayesian Econometrics
Forecasting Panel Data with Structural Breaks and Regime-specific Grouped Heterogeneity
conference
June 2019Interational Association of Applied Econometrics
Noncommon Breaks
conference
May 2019NBER-NSF SBIES
Forecasting Panel Data with Structural Breaks and Regime-specific Grouped Heterogeneity
seminar
May 2019UC Riverside
Noncommon Breaks
conference
April 2019Panel Data Prediction Conference at USC
Forecasting Panel Data with Structural Breaks and Regime-specific Grouped Heterogeneity
conference
January 2019American Finance Association 2019
Break Risk
seminar
January 2019University of Manchester
Noncommon Breaks
seminar
January 2019Federal Reserve Board
Noncommon Breaks
seminar
January 2019Brandeis University
Noncommon Breaks
conference
December 201813th Imperial Conference on Advances in the Analysis of Hedge Fund Strategies
Break Risk
seminar
November 2018USC
Noncommon Breaks
seminar
October 2018UC San Diego (Economics)
Noncommon Breaks
conference
July 2018NBER-NSF Summer Institute (EFFE)
Noncommon Breaks
conference
May 2018NBER-NSF SBIES
Noncommon Breaks
conference
May 2018SFS Cavalcade North America
Break Risk
conference
December 2017EC(2) Conference
Detecting Breaks in Real Time: A Panel Forecasting Approach
conference
November 2017St Louis Fed Central Banking Conference
Detecting Breaks in Real Time: A Panel Forecasting Approach
seminar
June 2017Lancaster University
Detecting Breaks in Real Time: A Panel Forecasting Approach
conference
June 20173rd High-dimensional Time Series Conference in Macroeconomics and Finance
Detecting Breaks in Real Time: A Panel Forecasting Approach
seminar
May 2017UC San Diego (Finance)
Break Risk
conference
June 2016Empirical Asset Pricing and Financial Econometrics Conference at Lancaster University
Equity Premium Prediction and Structural Breaks
conference
May 201610th Annual RCEA Bayesian Econometrics Workshop
Equity Premium Forecasts with an unknown Number of Structural Breaks
seminar
April 2016University of Bristol
Equity Premium Forecasts with an unknown Number of Structural Breaks
conference
September 2015SWAG BAFA
Equity Premium Forecasts with an unknown Number of Structural Breaks
conference
August 2015World Finance Conference
Equity Premium Forecasts with an unknown Number of Structural Breaks
seminar
July 2015Lancaster University
Equity Premium Forecasts with an unknown Number of Structural Breaks
conference
July 2015Bristol Econometric Study Group
Equity Premium Forecasts with an unknown Number of Structural Breaks
conference
June 2015PhD Conference in Monetary and Financial Economics
Equity Premium Forecasts with an unknown Number of Structural Breaks
conference
June 20152nd Young Finance Scholars' Conference
Equity Premium Forecasts with an unknown Number of Structural Breaks
conference
April 2015RES Doctoral Symposium
Equity Premium Forecasts with an unknown Number of Structural Breaks
Awards
- 2019
National Association of Active Investment Managers
NAAIM Founders Award (3rd place, Break Risk)
- 2018
University of Southern California
USC Postdoctoral Scholar Training and Travel Award
- 2018
Society of Financial Econometrics
SoFiE Travel Award (declined)
- 2016
Money, Macro and Finance Research Group
MMF Travel Award (declined)
- 2015
American Finance Association
AFA Travel Grant
- 2014
VSAE
Econometric Game (runner-up)
- 2013
VSAE
Econometric Game (finalist)
- 2012
Economic and Social Research Council
ESRC +3 PhD Studentship
Conference Organization
April 2019 | University of Southern California
Panel Data Prediction Conference
Conference Organizing Committee Member
June 2016 | Lancaster University
Empirical Asset Pricing and Financial Econometrics Conference
Scientific Committee Member
Referee
- Journal of Econometrics
- Journal of Business and Economic Statistics
- Management Science
- Journal of Empirical Finance
- Annals of Applied Statistics
- North American Journal of Economics and Finance
- Computational Statistics
- Data Science for Economics and Finance