Daniel Buncic

Stockholm Business School

Stockholm University

Stockholm

Sweden

http://www.danielbuncic.com/

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 10,450

SSRN RANKINGS

Top 10,450

in Total Papers Downloads

6,691

SSRN CITATIONS
Rank 8,129

SSRN RANKINGS

Top 8,129

in Total Papers Citations

99

CROSSREF CITATIONS

60

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 520 (76,899)
Citation 6

Abstract:

Loading...

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 279 (155,961)
Citation 33

Abstract:

Loading...

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 642 (59,558)
Citation 3

Abstract:

Loading...

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 337 (127,487)
Citation 1

Abstract:

Loading...

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 237 (182,852)

Abstract:

Loading...

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 501 (81,327)
Citation 5

Abstract:

Loading...

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 257 (168,952)
Citation 3

Abstract:

Loading...

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 242 (179,180)

Abstract:

Loading...

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

6.

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 424 (98,998)
Citation 5

Abstract:

Loading...

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

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 Business School, UNSW Australia Business School, School of Economics and Russell Investments
Downloads 414 (101,800)

Abstract:

Loading...

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

8.

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 412 (102,394)
Citation 2

Abstract:

Loading...

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

9.

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 410 (103,222)
Citation 2

Abstract:

Loading...

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

10.

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 402 (105,269)
Citation 5

Abstract:

Loading...

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

11.

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 Swiss Finance Institute
Downloads 393 (108,135)
Citation 1

Abstract:

Loading...

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

12.

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 389 (109,389)

Abstract:

Loading...

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

13.

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 330 (131,137)

Abstract:

Loading...

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

14.

On a Standard Method for Measuring the Natural Rate of Interest

Number of pages: 43 Posted: 02 Dec 2020 Last Revised: 29 Apr 2022
Daniel Buncic
Stockholm Business School
Downloads 284 (153,364)
Citation 1

Abstract:

Loading...

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

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 209 (206,459)
Citation 1

Abstract:

Loading...

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

16.

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 Business School and World Bank
Downloads 8 (827,267)
Citation 1

Abstract:

Loading...

17.

Discovering Stars: Problems in Recovering Latent Variables from Models

Number of pages: 31
Daniel Buncic and Adrian Pagan
Stockholm Business School and University of Sydney
Downloads 1

Abstract:

Loading...

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