Daniel Buncic

Stockholm University - Stockholm Business School

Sweden

SCHOLARLY PAPERS

15

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CITATIONS
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14

Scholarly Papers (15)

The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve

ECB Working Paper No. 657
Number of pages: 39 Posted: 02 Aug 2006
Claus Brand, Daniel Buncic and Jarkko Turunen
European Central Bank (ECB), Stockholm University - Stockholm Business School and International Monetary Fund
Downloads 369 (77,444)
Citation 11

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money market rates, yield curve, ECB, central bank communication

The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve

UNSW Australian School of Business Research Paper No. 2008 ECON 11
Number of pages: 37 Posted: 08 Dec 2008
Claus Brand, Daniel Buncic and Jarkko Turunen
European Central Bank (ECB), Stockholm University - Stockholm Business School and International Monetary Fund
Downloads 185 (159,493)
Citation 11

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money market rates, yield curve, ECB, central bank communication

2.

Macroeconomic Factors and Equity Premium Predictability

Number of pages: 53 Posted: 04 Apr 2016 Last Revised: 02 Jun 2017
Daniel Buncic and Martin Tischhauser
Stockholm University - Stockholm Business School and ETH Zurich
Downloads 455 (60,878)

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Equity premium predictability, Factor models, Macroeconomic variables, Adaptive Lasso, Sign restrictions, Forecast combination, Asset allocation

Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models

30th Australasian Finance and Banking Conference 2017
Number of pages: 45 Posted: 13 Apr 2016 Last Revised: 17 Nov 2017
Daniel Buncic
Stockholm University - Stockholm Business School
Downloads 242 (123,013)

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Exponential STAR, non-linear time series models, identification and estimation issues, exponential weighting function, real exchange rates, simulation analysis

Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models

Sveriges Riksbank Working Paper Series No.344, Riksbank Research Paper Series No. 168
Number of pages: 21 Posted: 31 Jan 2018 Last Revised: 30 Aug 2018
Daniel Buncic
Stockholm University - Stockholm Business School
Downloads 105 (252,527)

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Exponential STAR, non-linear time series models, identification and estimation issues, exponential weighting function, real exchange rates, simulation analysis

Equilibrium Credit: The Reference Point for Macroprudential Supervisors

World Bank Policy Research Working Paper No. 6358
Number of pages: 52 Posted: 20 Apr 2016
Daniel Buncic and Martin Melecky
Stockholm University - Stockholm Business School and World Bank
Downloads 173 (169,502)

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Economic Theory & Research, Access to Finance, Currencies and Exchange Rates, Banks & Banking Reform, Debt Markets

Equilibrium Credit: The Reference Point for Macroprudential Supervisors

26th Australasian Finance and Banking Conference 2013
Number of pages: 62 Posted: 19 Aug 2013
Daniel Buncic and Martin Melecky
Stockholm University - Stockholm Business School and World Bank
Downloads 153 (188,518)

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Equilibrium Credit, Macroprudential Supervision, Demand for Credit, Time-Series Panel Data, High- and Middle-Income Countries

5.

Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers

World Bank Policy Research Working Paper No. 5936
Number of pages: 73 Posted: 20 Apr 2016
Daniel Buncic and Martin Melecky
Stockholm University - Stockholm Business School and World Bank
Downloads 321 (91,595)
Citation 1

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Banks & Banking Reform, Debt Markets, Currencies and Exchange Rates, Economic Theory & Research, Bankruptcy and Resolution of Financial Distress

6.

The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets

Number of pages: 33 Posted: 09 Sep 2016 Last Revised: 13 Sep 2016
Daniel Buncic and Katja Gisler
Stockholm University - Stockholm Business School and University of St. Gallen
Downloads 265 (112,518)

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Realized Volatility, jumps, the leverage effect, HAR modelling and forecasting, international equity markets.

7.

Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach

UNSW Australian School of Business Research Paper No. 2010 ECON 12
Number of pages: 45 Posted: 24 Jun 2010
Daniel Buncic, Robert J. Hill and Jon Edward Eggins
Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Economics and Russell Investments
Downloads 260 (114,759)

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Performance Measurement, Tailored Benchmark, Characteristic Matching, Size Profile, Growth Profile, Activity, Excess Return

8.

The Term Structure of Interest Rates in an Estimated New Keynesian Policy Model

Number of pages: 40 Posted: 03 Jun 2016 Last Revised: 07 Jun 2016
Daniel Buncic and Philipp Lentner
Stockholm University - Stockholm Business School and Swiss Finance Institute
Downloads 250 (119,548)

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Affine term structure and macro-finance modelling, New Keynesian Policy Model, risk price parameter restrictions, JSZ normalisation

9.

Global Equity Market Volatility Spillovers: A Broader Role for the United States

Number of pages: 65 Posted: 16 Feb 2016 Last Revised: 05 May 2016
Daniel Buncic and Katja Gisler
Stockholm University - Stockholm Business School and University of St. Gallen
Downloads 243 (123,000)

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Realized Volatility, HAR modelling and forecasting, augmented HAR model, U.S. volatility information, VIX, international volatility spillovers

10.

Measuring the Output Gap in Switzerland with Linear Opinion Pools

Number of pages: 46 Posted: 26 Aug 2016
Daniel Buncic and Oliver Müller
Stockholm University - Stockholm Business School and KOF Swiss Economic Institute
Downloads 220 (136,306)

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Linear opinion pool, forecasting and nowcasting, inflation, the output gap, real- time, data revision

11.

Forecasting Copper Prices with Dynamic Averaging and Selection Models

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 57 Posted: 18 Aug 2014 Last Revised: 01 Jun 2017
Daniel Buncic and Carlo Moretto
Stockholm University - Stockholm Business School and University of St. Gallen
Downloads 196 (152,065)

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Copper forecasting, time varying parameter model, state-space modelling, dynamic averaging and selection models

12.

Forecast Ranked Tailored Equity Portfolios

Number of pages: 52 Posted: 02 Jan 2019
Daniel Buncic and Cord Stern
Stockholm University - Stockholm Business School and IBM
Downloads 126 (221,165)

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active factor models, model averaging and selection, computational finance, quantitative equity investing, stock selection strategies, return-based factor models

13.

Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models

Sveriges Riksbank Working Paper Series No. 344, Riksbank Research Paper Series No. 168
Number of pages: 46 Posted: 14 Aug 2018
Daniel Buncic
Stockholm University - Stockholm Business School
Downloads 53 (370,173)

Abstract:

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exponential STAR, non-linear time series models, identification and estimation issues, exponential weighting function, real exchange rates, simulation analysis

14.

An Estimated New Keynesian Policy Model for Australia

Economic Record, Vol. 84, Issue 264, pp. 1-16, March 2008
Number of pages: 16 Posted: 19 Mar 2008
Daniel Buncic and Martin Melecky
Stockholm University - Stockholm Business School and World Bank
Downloads 8 (579,497)
Citation 2
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15.

Measuring Fund Style, Performance and Activity: A New Style‐Profiling Approach

Accounting & Finance, Vol. 55, Issue 1, pp. 29-55, 2015
Number of pages: 27 Posted: 11 Mar 2015
Daniel Buncic, Jon Edward Eggins and Robert J. Hill
Stockholm University - Stockholm Business School, Russell Investments and University of Graz
Downloads 0 (650,343)
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Characteristic‐matched benchmark, Fund activity, Investment performance, Investment style, Portfolio management