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Daniel Buncic

Personal Details

First Name:Daniel
Middle Name:
Last Name:Buncic
Suffix:
RePEc Short-ID:pbu128
[This author has chosen not to make the email address public]
http://www.danielbuncic.com

Affiliation

Sveriges Riksbank

Stockholm, Sweden
http://www.riksbank.se/
RePEc:edi:rbgovse (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Daniel Buncic & Adrian Pagan, 2022. "Discovering Stars: Problems in Recovering Latent Variables from Models," CAMA Working Papers 2022-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. Daniel Buncic, 2021. "On a Standard Method for Measuring the Natural Rate of Interest," Papers 2103.16452, arXiv.org, revised Apr 2022.
  3. Daniel Buncic, 2020. "Econometric issues with Laubach and Williams' estimates of the natural rate of interest," Papers 2002.11583, arXiv.org, revised Aug 2020.
  4. Buncic, Daniel & Stern, Cord, 2018. "Forecast ranked tailored equity portfolios," MPRA Paper 90382, University Library of Munich, Germany.
  5. Buncic, Daniel, 2017. "Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models," Working Paper Series 344, Sveriges Riksbank (Central Bank of Sweden).
  6. Buncic, Daniel & Gisler, Katja I. M., 2015. "Global Equity Market Volatility Spillovers: A Broader Role for the United States," Economics Working Paper Series 1508, University of St. Gallen, School of Economics and Political Science.
  7. Buncic, Daniel & Tischhauser, Martin, 2015. "Macroeconomic Factors and Equity Premium Predictability," Economics Working Paper Series 1522, University of St. Gallen, School of Economics and Political Science.
  8. Buncic, Daniel & Piras, Gion Donat, 2014. "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability," Economics Working Paper Series 1436, University of St. Gallen, School of Economics and Political Science, revised Oct 2015.
  9. Buncic, Daniel & Moretto, Carlo, 2014. "Forecasting Copper Prices with Dynamic Averaging and Selection Models," Economics Working Paper Series 1430, University of St. Gallen, School of Economics and Political Science.
  10. Buncic, Daniel & Martin Melecky, 2013. "Equilibrium Credit: The Reference Point for Macroprudential Supervisors," Economics Working Paper Series 1301, University of St. Gallen, School of Economics and Political Science, revised Feb 2014.
  11. Buncic, Daniel & Martin, Melecky, 2011. "Macroprudential stress testing of credit risk: A practical approach for policy makers," MPRA Paper 33927, University Library of Munich, Germany.
  12. Daniel Buncic & Jon E. Eggins & Robert J. Hill, 2010. "Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach," Discussion Papers 2010-12, School of Economics, The University of New South Wales.
  13. Daniel Buncic, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series EERI_RP_2009_18, Economics and Econometrics Research Institute (EERI), Brussels.
  14. Buncic, Daniel, 2008. "A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006)," MPRA Paper 6904, University Library of Munich, Germany.
  15. Buncic, Daniel & Melecky, Martin, 2007. "An estimated New Keynesian policy model for Australia," MPRA Paper 4138, University Library of Munich, Germany.
  16. Brand, Claus & Turunen, Jarkko & Buncic, Daniel, 2006. "The impact of ECB monetary policy decisions and communication on the yield curve," Working Paper Series 657, European Central Bank.

Articles

  1. Buncic, Daniel & Stern, Cord, 2019. "Forecast ranked tailored equity portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  2. Daniel Buncic, 2019. "Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 667-685, June.
  3. Buncic, Daniel & Tischhauser, Martin, 2017. "Macroeconomic factors and equity premium predictability," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 621-644.
  4. Buncic, Daniel & Müller, Oliver, 2017. "Measuring the output gap in Switzerland with linear opinion pools," Economic Modelling, Elsevier, vol. 64(C), pages 153-171.
  5. Buncic, Daniel & Gisler, Katja I.M., 2017. "The role of jumps and leverage in forecasting volatility in international equity markets," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 1-19.
  6. Buncic, Daniel & Gisler, Katja I.M., 2016. "Global equity market volatility spillovers: A broader role for the United States," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1317-1339.
  7. Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
  8. Daniel Buncic, 2016. "Superforecasting: The Art and Science of Prediction. By Philip Tetlock and Dan Gardner," Risks, MDPI, vol. 4(3), pages 1-5, July.
  9. Buncic, Daniel & Lentner, Philipp, 2016. "The term structure of interest rates in an estimated New Keynesian policy model," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 126-150.
  10. Daniel Buncic & Jon E. Eggins & Robert J. Hill & David Gallagher, 2015. "Measuring fund style, performance and activity: a new style-profiling approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(1), pages 29-55, March.
  11. Buncic, Daniel & Moretto, Carlo, 2015. "Forecasting copper prices with dynamic averaging and selection models," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 1-38.
  12. Buncic, Daniel & Melecky, Martin, 2014. "Equilibrium credit: The reference point for macroprudential supervisors," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 135-154.
  13. Buncic, Daniel & Melecky, Martin, 2013. "Macroprudential stress testing of credit risk: A practical approach for policy makers," Journal of Financial Stability, Elsevier, vol. 9(3), pages 347-370.
  14. Daniel Buncic, 2012. "Understanding forecast failure of ESTAR models of real exchange rates," Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
  15. Claus Brand & Daniel Buncic & Jarkko Turunen, 2010. "The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve," Journal of the European Economic Association, MIT Press, vol. 8(6), pages 1266-1298, December.
  16. Daniel Buncic & Martin Melecky, 2008. "An Estimated New Keynesian Policy Model for Australia," The Economic Record, The Economic Society of Australia, vol. 84(264), pages 1-16, March.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 21 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FOR: Forecasting (9) 2005-12-09 2008-02-02 2008-02-16 2009-02-07 2009-08-30 2014-09-25 2015-01-03 2015-10-25 2019-01-07. Author is listed
  2. NEP-MAC: Macroeconomics (8) 2005-12-09 2007-07-27 2008-08-31 2011-10-15 2015-01-03 2015-10-25 2020-12-07 2021-04-05. Author is listed
  3. NEP-BAN: Banking (5) 2011-10-09 2011-10-15 2012-01-18 2013-02-16 2013-03-09. Author is listed
  4. NEP-ECM: Econometrics (5) 2008-02-02 2009-08-30 2017-11-19 2020-03-09 2022-11-21. Author is listed
  5. NEP-ETS: Econometric Time Series (5) 2008-02-02 2009-02-07 2017-11-19 2020-03-09 2022-11-21. Author is listed
  6. NEP-CBA: Central Banking (4) 2007-07-27 2008-08-31 2013-02-16 2013-03-09
  7. NEP-IFN: International Finance (4) 2008-02-02 2008-02-16 2009-02-07 2009-08-30
  8. NEP-RMG: Risk Management (3) 2011-10-09 2011-10-15 2012-01-18
  9. NEP-TRA: Transition Economics (3) 2011-10-09 2011-10-15 2012-01-18
  10. NEP-MON: Monetary Economics (2) 2007-07-27 2008-08-31
  11. NEP-OPM: Open Economy Macroeconomics (2) 2009-02-07 2009-08-30
  12. NEP-CMP: Computational Economics (1) 2019-01-07
  13. NEP-DGE: Dynamic General Equilibrium (1) 2005-12-09
  14. NEP-EEC: European Economics (1) 2008-08-31
  15. NEP-ORE: Operations Research (1) 2020-12-07

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