Details about Daniel Buncic

Access statistics for papers by Daniel Buncic.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pbu128

Working Papers

2022

1. Discovering Stars: Problems in Recovering Latent Variables from Models
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
2. On a Standard Method for Measuring the Natural Rate of Interest
   Papers, arXiv.org View citations (2)

2020

3. Econometric issues with Laubach and Williams' estimates of the natural rate of interest
   Papers, arXiv.org View citations (4)
   Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2020) View citations (4)

2018

4. Forecast ranked tailored equity portfolios
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Forecast ranked tailored equity portfolios, Journal of International Financial Markets, Institutions and Money, Elsevier (2019) (2019)

2017

5. Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (1)
   See also Journal Article Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2019) View citations (9) (2019)

2015

6. Global Equity Market Volatility Spillovers: A Broader Role for the United States
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (1)
   See also Journal Article Global equity market volatility spillovers: A broader role for the United States, International Journal of Forecasting, Elsevier (2016) View citations (47) (2016)
7. Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (2)
   See also Journal Article Heterogeneous agents, the financial crisis and exchange rate predictability, Journal of International Money and Finance, Elsevier (2016) View citations (21) (2016)
8. Macroeconomic Factors and Equity Premium Predictability
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science
   See also Journal Article Macroeconomic factors and equity premium predictability, International Review of Economics & Finance, Elsevier (2017) View citations (8) (2017)

2014

9. Equilibrium Credit: The Reference Point for Macroprudential Supervisors
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (14)
   Also in Policy Research Working Paper Series, The World Bank (2013) View citations (8)
   See also Journal Article Equilibrium credit: The reference point for macroprudential supervisors, Journal of Banking & Finance, Elsevier (2014) View citations (18) (2014)
10. Forecasting Copper Prices with Dynamic Averaging and Selection Models
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (5)
    See also Journal Article Forecasting copper prices with dynamic averaging and selection models, The North American Journal of Economics and Finance, Elsevier (2015) View citations (50) (2015)

2012

11. Macroprudential stress testing of credit risk: a practical approach for policy makers
    Policy Research Working Paper Series, The World Bank View citations (12)
    Also in MPRA Paper, University Library of Munich, Germany (2011)
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2011) View citations (6)
    See also Journal Article Macroprudential stress testing of credit risk: A practical approach for policy makers, Journal of Financial Stability, Elsevier (2013) View citations (29) (2013)

2010

12. Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach
    Discussion Papers, School of Economics, The University of New South Wales
    Also in University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen (2010)

2009

13. Understanding forecast failure in ESTAR models of real exchange rates
    MPRA Paper, University Library of Munich, Germany View citations (10)
    Also in EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels (2009) View citations (13)
    MPRA Paper, University Library of Munich, Germany (2009) View citations (9)
    See also Journal Article Understanding forecast failure of ESTAR models of real exchange rates, Empirical Economics, Springer (2012) View citations (9) (2012)

2008

14. A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)
    Discussion Papers, School of Economics, The University of New South Wales
    Also in MPRA Paper, University Library of Munich, Germany (2008)
15. The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve
    Discussion Papers, School of Economics, The University of New South Wales View citations (24)
    Also in Working Paper Series, European Central Bank (2006) View citations (35)
    See also Journal Article The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve, Journal of the European Economic Association, MIT Press (2010) View citations (128) (2010)

2007

16. An estimated New Keynesian policy model for Australia
    MPRA Paper, University Library of Munich, Germany View citations (3)
    Also in Macroeconomics, University Library of Munich, Germany (2005) View citations (3)
    See also Journal Article An Estimated New Keynesian Policy Model for Australia, The Economic Record, The Economic Society of Australia (2008) View citations (40) (2008)

Journal Articles

2019

1. Forecast ranked tailored equity portfolios
   Journal of International Financial Markets, Institutions and Money, 2019, 63, (C)
   See also Working Paper Forecast ranked tailored equity portfolios, MPRA Paper (2018) (2018)
2. Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models
   Oxford Bulletin of Economics and Statistics, 2019, 81, (3), 667-685 View citations (9)
   See also Working Paper Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models, Working Paper Series (2017) View citations (1) (2017)

2017

3. Macroeconomic factors and equity premium predictability
   International Review of Economics & Finance, 2017, 51, (C), 621-644 View citations (8)
   See also Working Paper Macroeconomic Factors and Equity Premium Predictability, Economics Working Paper Series (2015) (2015)
4. Measuring the output gap in Switzerland with linear opinion pools
   Economic Modelling, 2017, 64, (C), 153-171 View citations (3)
5. The role of jumps and leverage in forecasting volatility in international equity markets
   Journal of International Money and Finance, 2017, 79, (C), 1-19 View citations (45)

2016

6. Global equity market volatility spillovers: A broader role for the United States
   International Journal of Forecasting, 2016, 32, (4), 1317-1339 View citations (47)
   See also Working Paper Global Equity Market Volatility Spillovers: A Broader Role for the United States, Economics Working Paper Series (2015) View citations (1) (2015)
7. Heterogeneous agents, the financial crisis and exchange rate predictability
   Journal of International Money and Finance, 2016, 60, (C), 313-359 View citations (21)
   See also Working Paper Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability, Economics Working Paper Series (2015) View citations (2) (2015)
8. Superforecasting: The Art and Science of Prediction. By Philip Tetlock and Dan Gardner
   Risks, 2016, 4, (3), 1-5
9. The term structure of interest rates in an estimated New Keynesian policy model
   Journal of Macroeconomics, 2016, 50, (C), 126-150 View citations (1)

2015

10. Forecasting copper prices with dynamic averaging and selection models
    The North American Journal of Economics and Finance, 2015, 33, (C), 1-38 View citations (50)
    See also Working Paper Forecasting Copper Prices with Dynamic Averaging and Selection Models, Economics Working Paper Series (2014) View citations (5) (2014)
11. Measuring fund style, performance and activity: a new style-profiling approach
    Accounting and Finance, 2015, 55, (1), 29-55 View citations (3)

2014

12. Equilibrium credit: The reference point for macroprudential supervisors
    Journal of Banking & Finance, 2014, 41, (C), 135-154 View citations (18)
    See also Working Paper Equilibrium Credit: The Reference Point for Macroprudential Supervisors, Economics Working Paper Series (2014) View citations (14) (2014)

2013

13. Macroprudential stress testing of credit risk: A practical approach for policy makers
    Journal of Financial Stability, 2013, 9, (3), 347-370 View citations (29)
    See also Working Paper Macroprudential stress testing of credit risk: a practical approach for policy makers, Policy Research Working Paper Series (2012) View citations (12) (2012)

2012

14. Understanding forecast failure of ESTAR models of real exchange rates
    Empirical Economics, 2012, 43, (1), 399-426 View citations (9)
    See also Working Paper Understanding forecast failure in ESTAR models of real exchange rates, MPRA Paper (2009) View citations (10) (2009)

2010

15. The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve
    Journal of the European Economic Association, 2010, 8, (6), 1266-1298 View citations (128)
    See also Working Paper The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve, Discussion Papers (2008) View citations (24) (2008)

2008

16. An Estimated New Keynesian Policy Model for Australia
    The Economic Record, 2008, 84, (264), 1-16 View citations (40)
    See also Working Paper An estimated New Keynesian policy model for Australia, MPRA Paper (2007) View citations (3) (2007)