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Details about Daniel Buncic

E-mail:
Homepage:http://www.danielbuncic.com
Workplace:Sveriges Riksbank (Central Bank of Sweden), (more information at EDIRC)

Access statistics for papers by Daniel Buncic.

Last updated 2021-04-11. Update your information in the RePEc Author Service.

Short-id: pbu128


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Working Papers

2021

  1. On a standard Method for Measuring the Natural Rate of Interest
    Papers, arXiv.org Downloads

2020

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

2018

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

2017

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

2015

  1. 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 Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2016)
  2. Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads View citations (2)
    See also Journal Article in Journal of International Money and Finance (2016)
  3. Macroeconomic Factors and Equity Premium Predictability
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads
    See also Journal Article in International Review of Economics & Finance (2017)

2014

  1. Equilibrium Credit: The Reference Point for Macroprudential Supervisors
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads View citations (10)
    Also in Policy Research Working Paper Series, The World Bank (2013) Downloads View citations (6)

    See also Journal Article in Journal of Banking & Finance (2014)
  2. Forecasting Copper Prices with Dynamic Averaging and Selection Models
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads View citations (6)
    See also Journal Article in The North American Journal of Economics and Finance (2015)

2012

  1. Macroprudential stress testing of credit risk: a practical approach for policy makers
    Policy Research Working Paper Series, The World Bank Downloads View citations (8)
    Also in Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2011) Downloads View citations (6)
    MPRA Paper, University Library of Munich, Germany (2011) Downloads

    See also Journal Article in Journal of Financial Stability (2013)

2010

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

2009

  1. Understanding forecast failure in ESTAR models of real exchange rates
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2009) Downloads View citations (4)
    EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels (2009) Downloads View citations (11)

    See also Journal Article in Empirical Economics (2012)

2008

  1. 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 Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2008) Downloads
  2. The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (24)
    Also in Working Paper Series, European Central Bank (2006) Downloads View citations (27)

    See also Journal Article in Journal of the European Economic Association (2010)

2007

  1. An estimated New Keynesian policy model for Australia
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    Also in Macroeconomics, University Library of Munich, Germany (2005) Downloads View citations (3)

    See also Journal Article in The Economic Record (2008)

Journal Articles

2019

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

2017

  1. Macroeconomic factors and equity premium predictability
    International Review of Economics & Finance, 2017, 51, (C), 621-644 Downloads View citations (7)
    See also Working Paper (2015)
  2. Measuring the output gap in Switzerland with linear opinion pools
    Economic Modelling, 2017, 64, (C), 153-171 Downloads View citations (1)
  3. The role of jumps and leverage in forecasting volatility in international equity markets
    Journal of International Money and Finance, 2017, 79, (C), 1-19 Downloads View citations (13)

2016

  1. Global equity market volatility spillovers: A broader role for the United States
    International Journal of Forecasting, 2016, 32, (4), 1317-1339 Downloads View citations (14)
    See also Working Paper (2015)
  2. Heterogeneous agents, the financial crisis and exchange rate predictability
    Journal of International Money and Finance, 2016, 60, (C), 313-359 Downloads View citations (15)
    See also Working Paper (2015)
  3. Superforecasting: The Art and Science of Prediction. By Philip Tetlock and Dan Gardner
    Risks, 2016, 4, (3), 1-5 Downloads
  4. The term structure of interest rates in an estimated New Keynesian policy model
    Journal of Macroeconomics, 2016, 50, (C), 126-150 Downloads View citations (1)

2015

  1. Forecasting copper prices with dynamic averaging and selection models
    The North American Journal of Economics and Finance, 2015, 33, (C), 1-38 Downloads View citations (34)
    See also Working Paper (2014)
  2. Measuring fund style, performance and activity: a new style-profiling approach
    Accounting and Finance, 2015, 55, (1), 29-55 Downloads View citations (3)

2014

  1. Equilibrium credit: The reference point for macroprudential supervisors
    Journal of Banking & Finance, 2014, 41, (C), 135-154 Downloads View citations (16)
    See also Working Paper (2014)

2013

  1. Macroprudential stress testing of credit risk: A practical approach for policy makers
    Journal of Financial Stability, 2013, 9, (3), 347-370 Downloads View citations (19)
    See also Working Paper (2012)

2012

  1. Understanding forecast failure of ESTAR models of real exchange rates
    Empirical Economics, 2012, 43, (1), 399-426 Downloads View citations (7)
    See also Working Paper (2009)

2010

  1. The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve
    Journal of the European Economic Association, 2010, 8, (6), 1266-1298 Downloads View citations (79)
    See also Working Paper (2008)

2008

  1. An Estimated New Keynesian Policy Model for Australia
    The Economic Record, 2008, 84, (264), 1-16 Downloads View citations (38)
    See also Working Paper (2007)
 
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