Daniel Buncic

University of St. Gallen

Varnbuelstr. 14

Saint Gallen, St. Gallen CH-9000

Switzerland

SCHOLARLY PAPERS

13

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CITATIONS

1

Scholarly Papers (13)

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), University of St. Gallen and International Monetary Fund
Downloads 214 (116,484)
Citation 11

Abstract:

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), University of St. Gallen and International Monetary Fund
Downloads 56 (312,165)
Citation 11

Abstract:

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

2.

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
University of St. Gallen and World Bank
Downloads 105 (151,791)
Citation 1

Abstract:

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
University of St. Gallen and World Bank
Downloads 59 (304,042)

Abstract:

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
University of St. Gallen and World Bank
Downloads 36 (377,605)

Abstract:

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

4.

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
University of St. Gallen, UNSW Australia Business School, School of Economics and Russell Investments
Downloads 92 (205,683)

Abstract:

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

5.

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
University of St. Gallen and World Bank
Downloads 8 (502,132)
Citation 2

Abstract:

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 I. M. Gisler
University of St. Gallen and University of St. Gallen
Downloads 0 (231,040)

Abstract:

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

7.

Measuring the Output Gap in Switzerland with Linear Opinion Pools

Number of pages: 46 Posted: 26 Aug 2016
Daniel Buncic and Oliver Müller
University of St. Gallen and KOF Swiss Economic Institute
Downloads 0 (310,424)

Abstract:

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

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
University of St. Gallen and University of Zurich - Department of Banking and Finance
Downloads 0 (236,021)

Abstract:

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

9.

Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models

Number of pages: 59 Posted: 13 Apr 2016 Last Revised: 12 May 2016
Daniel Buncic
University of St. Gallen
Downloads 0 (248,349)

Abstract:

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

10.

Macroeconomic Factors and Equity Premium Predictability

Number of pages: 53 Posted: 04 Apr 2016 Last Revised: 02 Jun 2017
Daniel Buncic and Martin Tischhauser
University of St. Gallen and ETH Zurich
Downloads 0 (102,876)

Abstract:

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

11.

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 I. M. Gisler
University of St. Gallen and University of St. Gallen
Downloads 0 (242,859)

Abstract:

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

12.

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
University of St. Gallen, Russell Investments and University of Graz
Downloads 0 (553,143)

Abstract:

Characteristic‐matched benchmark, Fund activity, Investment performance, Investment style, Portfolio management

13.

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
University of St. Gallen and University of St. Gallen
Downloads 0 (487,452)

Abstract:

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