Stockholm University
Stockholm
Sweden
http://www.danielbuncic.com/
Stockholm Business School
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money market rates, yield curve, ECB, central bank communication
Equity premium predictability, Factor models, Macroeconomic variables, Adaptive Lasso, Sign restrictions, Forecast combination, Asset allocation
Exponential STAR, non-linear time series models, identification and estimation issues, exponential weighting function, real exchange rates, simulation analysis
Economic Theory & Research, Access to Finance, Currencies and Exchange Rates, Banks & Banking Reform, Debt Markets
Equilibrium Credit, Macroprudential Supervision, Demand for Credit, Time-Series Panel Data, High- and Middle-Income Countries
Banks & Banking Reform, Debt Markets, Currencies and Exchange Rates, Economic Theory & Research, Bankruptcy and Resolution of Financial Distress
Natural Rate of Interest, Median Unbiased Estimation, Kalman Filter, Spuri- Ous Relations, Mis-specified Econometric Models.
Copper forecasting, time varying parameter model, state-space modelling, dynamic averaging and selection models
Performance Measurement, Tailored Benchmark, Characteristic Matching, Size Profile, Growth Profile, Activity, Excess Return
Realized Volatility, jumps, the leverage effect, HAR modelling and forecasting, international equity markets.
Natural rate of interest, Median Unbiased Estimation, Kalman Filter, misspecified econometric models, correction to Stage 2 model.
Realized Volatility, HAR modelling and forecasting, augmented HAR model, U.S. volatility information, VIX, international volatility spillovers
Affine term structure and macro-finance modelling, New Keynesian Policy Model, risk price parameter restrictions, JSZ normalisation
Linear opinion pool, forecasting and nowcasting, inflation, the output gap, real- time, data revision
active factor models, model averaging and selection, computational finance, quantitative equity investing, stock selection strategies, return-based factor models
exponential STAR, non-linear time series models, identification and estimation issues, exponential weighting function, real exchange rates, simulation analysis
Recoverability, excess shocks, latent variables, neutral rates, Kalman Filter
Kalman filter and smoother, State Space models, shock recovery, short systems, natural rate of interest, macroeconomic policy, Beveridge-Nelson decomposition
