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, Swedenhttp://www.riksbank.se/
RePEc:edi:rbgovse (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- 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.
- Daniel Buncic, 2021. "On a Standard Method for Measuring the Natural Rate of Interest," Papers 2103.16452, arXiv.org, revised Apr 2022.
- Daniel Buncic, 2020.
"Econometric issues with Laubach and Williams' estimates of the natural rate of interest,"
Papers
2002.11583, arXiv.org, revised Aug 2020.
- Buncic, Daniel, 2020. "Econometric issues with Laubach and Williams’ estimates of the natural rate of interest," Working Paper Series 397, Sveriges Riksbank (Central Bank of Sweden).
- Buncic, Daniel & Stern, Cord, 2018.
"Forecast ranked tailored equity portfolios,"
MPRA Paper
90382, University Library of Munich, Germany.
- Buncic, Daniel & Stern, Cord, 2019. "Forecast ranked tailored equity portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Buncic, Daniel, 2017.
"Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models,"
Working Paper Series
344, Sveriges Riksbank (Central Bank of Sweden).
- 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.
- 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.
- 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.
- 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.
- Buncic, Daniel & Tischhauser, Martin, 2017. "Macroeconomic factors and equity premium predictability," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 621-644.
- 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.
- 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.
- 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.
- 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.
- 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.
- Buncic, Daniel & Melecky, Martin, 2014. "Equilibrium credit: The reference point for macroprudential supervisors," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 135-154.
- Buncic, Daniel & Melecky, Martin, 2013. "Equilibrium credit : the reference point for macroprudential supervisors," Policy Research Working Paper Series 6358, The World Bank.
- 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.
- 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.
- Buncic, Daniel & Melecky, Martin, 2011. "Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers," Economics Working Paper Series 1139, University of St. Gallen, School of Economics and Political Science.
- Buncic, Daniel & Melecky, Martin, 2012. "Macroprudential stress testing of credit risk : a practical approach for policy makers," Policy Research Working Paper Series 5936, The World Bank.
- 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.
- Daniel Buncic & Jon E. Eggins & Robert J. Hill, 2010. "Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach," University of St. Gallen Department of Economics working paper series 2010 2010-20, Department of Economics, University of St. Gallen.
- 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.
- Daniel Buncic, 2012. "Understanding forecast failure of ESTAR models of real exchange rates," Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
- Buncic, Daniel, 2009. "Understanding forecast failure in ESTAR models of real exchange rates," MPRA Paper 13121, University Library of Munich, Germany.
- Buncic, Daniel, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," MPRA Paper 16526, University Library of Munich, Germany.
- 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.
- Daniel Buncic, 2008. "A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)," Discussion Papers 2008-02, School of Economics, The University of New South Wales.
- Buncic, Daniel & Melecky, Martin, 2007.
"An estimated New Keynesian policy model for Australia,"
MPRA Paper
4138, University Library of Munich, Germany.
- 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.
- Martin Melecky & Daniel Buncic, 2005. "An Estimated, New Keynesian Policy Model for Australia," Macroeconomics 0511026, University Library of Munich, Germany.
- 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.
- 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.
- Claus Brand & Daniel Buncic & Jarkko Turunen, 2008. "The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve," Discussion Papers 2008-11, School of Economics, The University of New South Wales.
Articles
- Buncic, Daniel & Stern, Cord, 2019.
"Forecast ranked tailored equity portfolios,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Buncic, Daniel & Stern, Cord, 2018. "Forecast ranked tailored equity portfolios," MPRA Paper 90382, University Library of Munich, Germany.
- 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.
- Buncic, Daniel, 2017. "Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models," Working Paper Series 344, Sveriges Riksbank (Central Bank of Sweden).
- Buncic, Daniel & Tischhauser, Martin, 2017.
"Macroeconomic factors and equity premium predictability,"
International Review of Economics & Finance, Elsevier, vol. 51(C), pages 621-644.
- 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.
- Buncic, Daniel & Müller, Oliver, 2017. "Measuring the output gap in Switzerland with linear opinion pools," Economic Modelling, Elsevier, vol. 64(C), pages 153-171.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Buncic, Daniel & Melecky, Martin, 2014.
"Equilibrium credit: The reference point for macroprudential supervisors,"
Journal of Banking & Finance, Elsevier, vol. 41(C), pages 135-154.
- 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.
- Buncic, Daniel & Melecky, Martin, 2013. "Equilibrium credit : the reference point for macroprudential supervisors," Policy Research Working Paper Series 6358, The World Bank.
- 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.
- Buncic, Daniel & Melecky, Martin, 2011. "Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers," Economics Working Paper Series 1139, University of St. Gallen, School of Economics and Political Science.
- 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.
- Buncic, Daniel & Melecky, Martin, 2012. "Macroprudential stress testing of credit risk : a practical approach for policy makers," Policy Research Working Paper Series 5936, The World Bank.
- Daniel Buncic, 2012.
"Understanding forecast failure of ESTAR models of real exchange rates,"
Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
- Buncic, Daniel, 2009. "Understanding forecast failure in ESTAR models of real exchange rates," MPRA Paper 13121, University Library of Munich, Germany.
- Buncic, Daniel, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," MPRA Paper 16526, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Claus Brand & Daniel Buncic & Jarkko Turunen, 2008. "The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve," Discussion Papers 2008-11, School of Economics, The University of New South Wales.
- 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.
- Buncic, Daniel & Melecky, Martin, 2007. "An estimated New Keynesian policy model for Australia," MPRA Paper 4138, University Library of Munich, Germany.
- Martin Melecky & Daniel Buncic, 2005. "An Estimated, New Keynesian Policy Model for Australia," Macroeconomics 0511026, University Library of Munich, Germany.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
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.- 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
- 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
- NEP-BAN: Banking (5) 2011-10-09 2011-10-15 2012-01-18 2013-02-16 2013-03-09. Author is listed
- NEP-ECM: Econometrics (5) 2008-02-02 2009-08-30 2017-11-19 2020-03-09 2022-11-21. Author is listed
- NEP-ETS: Econometric Time Series (5) 2008-02-02 2009-02-07 2017-11-19 2020-03-09 2022-11-21. Author is listed
- NEP-CBA: Central Banking (4) 2007-07-27 2008-08-31 2013-02-16 2013-03-09
- NEP-IFN: International Finance (4) 2008-02-02 2008-02-16 2009-02-07 2009-08-30
- NEP-RMG: Risk Management (3) 2011-10-09 2011-10-15 2012-01-18
- NEP-TRA: Transition Economics (3) 2011-10-09 2011-10-15 2012-01-18
- NEP-MON: Monetary Economics (2) 2007-07-27 2008-08-31
- NEP-OPM: Open Economy Macroeconomics (2) 2009-02-07 2009-08-30
- NEP-CMP: Computational Economics (1) 2019-01-07
- NEP-DGE: Dynamic General Equilibrium (1) 2005-12-09
- NEP-EEC: European Economics (1) 2008-08-31
- NEP-ORE: Operations Research (1) 2020-12-07
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.
To update listings or check citations waiting for approval, Daniel Buncic should log into the RePEc Author Service.
To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.
To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.
Please note that most corrections can take a couple of weeks to filter through the various RePEc services.