Daniel Buncic

Stockholm Business School

Stockholm University

Stockholm

Sweden

http://www.danielbuncic.com/

SCHOLARLY PAPERS

17

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7,708

SSRN CITATIONS
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Top 8,790

in Total Papers Citations

142

CROSSREF CITATIONS

57

Scholarly Papers (17)

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 Business School and International Monetary Fund
Downloads 583 (88,445)
Citation 6

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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 Business School and International Monetary Fund
Downloads 302 (189,828)
Citation 33

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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 Business School and ETH Zürich
Downloads 683 (73,393)
Citation 3

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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 Business School
Downloads 364 (155,179)
Citation 1

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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 Business School
Downloads 269 (213,987)

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

4.

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 Business School and World Bank
Downloads 551 (96,132)
Citation 8

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

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 Business School and World Bank
Downloads 284 (202,409)
Citation 5

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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 Business School and World Bank
Downloads 267 (215,597)

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

6.

Econometric Issues with Laubach and Williams’ Estimates of the Natural Rate of Interest

Number of pages: 98 Posted: 24 Mar 2020 Last Revised: 03 Aug 2021
Daniel Buncic
Stockholm Business School
Downloads 528 (101,382)
Citation 6

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Natural Rate of Interest, Median Unbiased Estimation, Kalman Filter, Spuri- Ous Relations, Mis-specified Econometric Models.

On a Standard Method for Measuring the Natural Rate of Interest

Number of pages: 41 Posted: 02 Dec 2020 Last Revised: 06 May 2024
Daniel Buncic
Stockholm Business School
Downloads 494 (108,718)
Citation 1

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Natural rate of interest, Median Unbiased Estimation, Kalman Filter, misspecified econometric models, correction to Stage 2 model.

On a Standard Method for Measuring the Natural Rate of Interest

Number of pages: 41 Posted: 12 May 2024
Daniel Buncic
Stockholm Business School
Downloads 14 (1,069,708)

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Natural rate of interest, Median Unbiased Estimation, Kalman Filter, misspecified econometric models, correction to Stage 2 model.

8.

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 Business School and University of St. Gallen
Downloads 475 (115,150)
Citation 5

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

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 Business School and University of St. Gallen
Downloads 434 (128,140)
Citation 15

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

10.

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 Business School, UNSW Australia Business School, School of Economics and Russell Investments
Downloads 434 (128,140)

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

11.

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 Business School and University of St. Gallen
Downloads 431 (129,192)
Citation 2

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

12.

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 Business School and WU Vienna University of Economics and Business
Downloads 415 (134,962)
Citation 1

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

13.

Measuring the Output Gap in Switzerland with Linear Opinion Pools

Number of pages: 46 Posted: 26 Aug 2016
Daniel Buncic and Oliver Müller
Stockholm Business School and ETH Zürich - KOF Swiss Economic Institute
Downloads 412 (136,436)

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

14.

Forecast Ranked Tailored Equity Portfolios

Number of pages: 38 Posted: 02 Jan 2019 Last Revised: 31 Jul 2019
Daniel Buncic and Cord Stern
Stockholm Business School and IBM
Downloads 358 (159,354)

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

15.

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 Business School
Downloads 235 (246,918)
Citation 1

Abstract:

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

16.
Downloads 136 (396,972)
Citation 1

Recovering Stars in Macroeconomics

Number of pages: 47 Posted: 08 Sep 2023
Daniel Buncic, Adrian Pagan and Tim Robinson
Stockholm Business School, University of Sydney and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 102 (495,569)

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Kalman filter and smoother, State Space models, shock recovery, short systems, natural rate of interest, macroeconomic policy, Beveridge-Nelson decomposition

Recovering Stars in Macroeconomics

Melbourne Institute Working Paper No. 12/23
Number of pages: 48 Posted: 07 Oct 2023
Daniel Buncic, Adrian Pagan and Tim Robinson
Stockholm Business School, University of Sydney and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 23 (970,266)
Citation 1

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Kalman filter and smoother, State Space models, shock recovery, short systems, natural rate of interest, macroeconomic policy, Beveridge-Nelson decomposition

Recovering Stars in Macroeconomics

Number of pages: 42 Posted: 12 Apr 2024
Daniel Buncic, Adrian Pagan and Tim Robinson
Stockholm Business School, University of Sydney and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 8 (1,135,227)

Abstract:

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Kalman filter and smoother, State Space models, shock recovery, short systems, natural rate of interest, macroeconomic policy, Beveridge-Nelson decomposition.

Recovering Stars in Macroeconomics

Number of pages: 42 Posted: 21 May 2024
Daniel Buncic, Adrian Pagan and Tim Robinson
Stockholm Business School, University of Sydney and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 3 (1,185,986)

Abstract:

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Kalman filter and smoother, State Space models, shock recovery, short systems, natural rate of interest, macroeconomic policy, Beveridge-Nelson decomposition.

17.

Discovering Stars: Problems in Recovering Latent Variables from Models

Number of pages: 31 Posted: 09 Mar 2023
Daniel Buncic and Adrian Pagan
Stockholm Business School and University of Sydney
Downloads 39 (802,888)

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Recoverability, excess shocks, latent variables, neutral rates, Kalman Filter