Daniel Buncic : Citation Profile


Are you Daniel Buncic?

Sveriges Riksbank

6

H index

5

i10 index

172

Citations

RESEARCH PRODUCTION:

14

Articles

22

Papers

RESEARCH ACTIVITY:

   13 years (2005 - 2018). See details.
   Cites by year: 13
   Journals where Daniel Buncic has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 21 (10.88 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbu128
   Updated: 2019-11-10    RAS profile: 2019-01-08    
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Relations with other researchers


Works with:

Melecký, Martin (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Daniel Buncic.

Is cited by:

Melecký, Martin (12)

Ehrmann, Michael (9)

de Haan, Jakob (8)

Fratzscher, Marcel (8)

Gürkaynak, Refet (6)

Billio, Monica (6)

Jansen, David-Jan (6)

Addo, Peter Martey (6)

Melecky, Ales (5)

Blinder, Alan (5)

GUEGAN, Dominique (5)

Cites to:

Diebold, Francis (23)

Melecký, Martin (18)

Gürkaynak, Refet (14)

Zhou, Guofu (12)

Campbell, John (12)

Bollerslev, Tim (11)

Watson, Mark (10)

West, Kenneth (10)

Sarno, Lucio (9)

Swanson, Eric (9)

Corsi, Fulvio (9)

Main data


Where Daniel Buncic has published?


Journals with more than one article published# docs
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany6
Economics Working Paper Series / University of St. Gallen, School of Economics and Political Science6
Discussion Papers / School of Economics, The University of New South Wales3
Policy Research Working Paper Series / The World Bank2

Recent works citing Daniel Buncic (2018 and 2017)


YearTitle of citing document
2017Monetary policy surprises over time. (2017). veronese, giovanni ; Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1102_17.

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2018ECB monetary policy and the euro exchange rate. (2018). Cecioni, Martina. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1172_18.

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2018Quantitative or qualitative forward guidance: Does it matter?. (2018). Moessner, Richhild ; Karagedikli, Ozer ; Detmers, Gunda-Alexandra. In: BIS Working Papers. RePEc:bis:biswps:742.

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2018Non-monetary news in central bank communication. (2018). Schrimpf, Andreas ; Cieslak, Anna. In: BIS Working Papers. RePEc:bis:biswps:761.

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2017Fund Volatility Index using equity market state prices. (2017). O'Neill, Michael J ; Smith, Tom ; Liu, Zhangxin. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:837-853.

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2019Evaluating fund capacity: issues and methods. (2019). O'Neill, Michael J ; Warren, Geoffrey J. In: Accounting and Finance. RePEc:bla:acctfi:v:59:y:2019:i:s1:p:773-800.

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2017RESPONSES OF TERM STRUCTURE OF INTEREST RATES AND ASSET PRICES TO MONETARY POLICY SHOCKS: EVIDENCE FROM TURKEY. (2017). Yildirim-Karaman, Secil ; Eroglu, Burak. In: Working Papers. RePEc:bli:wpaper:1705.

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2018The Effect of ECB Policy Announcements on Sovereign Yields: A Return to Normal Transmission?. (2018). Goodhead, Robert. In: Economic Letters. RePEc:cbi:ecolet:4/el/18.

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2018Quantitative or Qualitative Forward Guidance: Does it Matter?. (2018). Moessner, Richhild ; Karagedikli, Ozer ; Detmers, Gunda-Alexandra. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7314.

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2019Measuring Euro Area Monetary Policy. (2019). Gürkaynak, Refet ; Motto, Roberto ; Gurkaynak, Refet S ; Brugnolini, Luca ; Altavilla, Carlo ; Carlo Altavilla , ; Ragusa, Giuseppe. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7699.

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2018Central Bank Communication and the Yield Curve. (2018). Leombroni, Matteo ; Whelan, Paul ; Venter, Gyuri ; Vedolin, Andrea. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12970.

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2019Measuring Euro Area Monetary Policy. (2019). Gürkaynak, Refet ; Brugnolini, Luca ; Altavilla, Carlo ; Ragusa, Giuseppe ; Motto, Roberto . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13759.

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2017Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks. (2017). Georgiadis, Georgios ; Jancokova, Martina. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2017_008.

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2019The Short-Run Effect of Monetary Policy Shocks on Credit Risk: An Analysis of the Euro Area. (2019). Kim, Chi Hyun ; Other, Lars. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1781.

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2017Financial globalisation, monetary policy spillovers and macro-modelling: tales from 1001 shocks. (2017). Georgiadis, Georgios ; Janokova, Martina . In: Working Paper Series. RePEc:ecb:ecbwps:20172082.

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2018Semi-structural credit gap estimation. (2018). Welz, Peter ; Lang, Jan Hannes. In: Working Paper Series. RePEc:ecb:ecbwps:20182194.

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2019Measuring euro area monetary policy. (2019). Gürkaynak, Refet ; Brugnolini, Luca ; Altavilla, Carlo ; Ragusa, Giuseppe ; Motto, Roberto. In: Working Paper Series. RePEc:ecb:ecbwps:20192281.

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2019Monetary policy shocks and the health of banks. (2019). Jung, Alexander ; Uhlig, Harald. In: Working Paper Series. RePEc:ecb:ecbwps:20192303.

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2017Dissecting models forecasting performance. (2017). Siliverstovs, Boriss. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:294-299.

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2018The pass-through of monetary policy rate to lending rates: The role of macro-financial factors. (2018). Melecký, Martin ; Gregor, Jiří. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:71-88.

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2017Asset market response to monetary policy news from SNB press releases. (2017). Huning, Hendrik . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:160-177.

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2018Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example. (2018). Drachal, Krzysztof. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:208-251.

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2018Mortgage default, lending conditions and macroprudential policy: Loan-level evidence from UK buy-to-lets. (2018). O'Toole, Conor ; Kelly, Robert ; Otoole, Conor. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:322-335.

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2019Non-monetary news in central bank communication. (2019). Schrimpf, Andreas ; Cieslak, Anna. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:293-315.

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2017Sector-specific analysis of non-performing loans in the US banking system and their macroeconomic impact. (2017). Ghosh, Amit. In: Journal of Economics and Business. RePEc:eee:jebusi:v:93:y:2017:i:c:p:29-45.

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2017Forecasting copper prices by decision tree learning. (2017). Liu, Chang ; Hu, Zhenhua . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:427-434.

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2018Co-existence of stochastic and chaotic behaviour in the copper price time series. (2018). Naldi, Maurizio ; Vellucci, Pierluigi ; Mastroeni, Loretta . In: Resources Policy. RePEc:eee:jrpoli:v:58:y:2018:i:c:p:295-302.

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2019Forecasting gold price fluctuations using improved multilayer perceptron neural network and whale optimization algorithm. (2019). el Aziz, Mohamed Abd ; Alameer, Zakaria ; Jianhua, Zhang ; Ye, Haiwang ; Ewees, Ahmed A ; Elaziz, Mohamed Abd. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:250-260.

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2019Diversification role of currency momentum for carry trade: Evidence from financial crises. (2019). Yamani, Ehab. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:49:y:2019:i:c:p:1-19.

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2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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2018Many a little makes a mickle: Stress testing small and medium-sized German banks. (2018). Koziol, Philipp ; Mitrovic, Marc ; Busch, Ramona. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:237-253.

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2018Regime shifts and stock return predictability. (2018). Hammerschmid, Regina ; Lohre, Harald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:138-160.

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2018Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets. (2018). Kutan, Ali M ; Zhao, Yang ; Wei, Mingzhe ; Shi, Yukun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:183-197.

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2017Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks. (2017). Georgiadis, Georgios ; Jancokova, Martina. In: Globalization Institute Working Papers. RePEc:fip:feddgw:314.

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2018Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework. (2018). Drachal, Krzysztof. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1207-:d:145404.

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2018Some Novel Bayesian Model Combination Schemes: An Application to Commodities Prices. (2018). Drachal, Krzysztof. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:8:p:2801-:d:162455.

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2019Exploring Carry Trade and Exchange Rate toward Sustainable Financial Resources: An application of the Artificial Intelligence UKF Method. (2019). Tseng, Ming-Lang ; Wu, Kuo-Jui ; Zhang, Qian. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:12:p:3240-:d:239134.

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2019Analysis of Agricultural Commodities Prices with New Bayesian Model Combination Schemes. (2019). Drachal, Krzysztof. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:19:p:5305-:d:270889.

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2019The Effects of Macroeconomic, Fiscal and Monetary Policy Announcements on Sovereign Bond Spreads: An Event Study from the EMU. (2019). Jalles, Joao ; Afonso, Antonio ; Kazemi, Mina. In: Working Papers REM. RePEc:ise:remwps:wp0672019.

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2017Central Bank Communication in a Low Interest Rate Environment. (2017). Cure, Benoit. In: Open Economies Review. RePEc:kap:openec:v:28:y:2017:i:5:d:10.1007_s11079-017-9459-7.

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2017Effectiveness of Unconventional Monetary Policy in the Euro Area: An Assessment Based on a Literature Survey. (2017). Wolters, Maik ; Jannsen, Nils ; Hanisch, Nils Jannsen ; Fiedler, Salomon. In: Credit and Capital Markets. RePEc:kuk:journl:v:50:y:2017:i:4:p:455-488.

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2019Complexity of ECB Communication and Financial Market Trading. (2019). Hayo, Bernd ; Rapp, Marc Steffen ; Henseler, Kai. In: MAGKS Papers on Economics. RePEc:mar:magkse:201919.

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2018Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium. (2018). Van Roy, Patrick ; Vespro, Cristina ; Ferrari, Stijn. In: Working Paper Research. RePEc:nbb:reswpp:201803-338.

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2018Forecasting Base Metal Prices with Commodity Currencies. (2018). Pincheira, Pablo ; Hardy, Nicolas. In: MPRA Paper. RePEc:pra:mprapa:83564.

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2018The Pass-Through of Monetary Policy Rate to Lending Rates: The Role of Macro-financial Factors. (2018). Melecký, Martin ; Gregor, Jiří. In: MPRA Paper. RePEc:pra:mprapa:84048.

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2018Measuring Financial Stability in Ghana: A New Index-Based Approach. (2018). Akosah, Nana ; Kumah, Claudia ; Lawson, Natalia ; Loloh, Francis. In: MPRA Paper. RePEc:pra:mprapa:86634.

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2018The predictive relationship between exchange rate expectations and base metal prices. (2018). Pincheira, Pablo ; Hardy, Nicolas. In: MPRA Paper. RePEc:pra:mprapa:89423.

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2019Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages. (2019). GUPTA, RANGAN ; Yilmaz, Hasan M ; Guney, Ethem I ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:201957.

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2018Macroeconomic Drivers of Non-Performing Loans: A Meta-Regression Analysis. (2018). Melecky, Ales ; Ulganova, Monika ; MacHaek, Martin. In: Prague Economic Papers. RePEc:prg:jnlpep:v:2018:y:2018:i:3:id:656:p:351-374.

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2018Twenty-five Years of Inflation Targeting in Australia: Are There Better Alternatives for the Next Twenty-five Years?. (2018). McKibbin, Warwick J ; Panton, Augustus J. In: RBA Annual Conference Volume. RePEc:rba:rbaacv:acv2018-09.

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2017The (home) bias of European central bankers: new evidence based on speeches. (2017). Neuenkirch, Matthias ; Bennani, Hamza. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:11:p:1114-1131.

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2018Textual Sentiment, Option Characteristics, and Stock Return Predictability. (2018). Härdle, Wolfgang ; Fengler, Matthias ; Liu, Yanchu ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan. In: Economics Working Paper Series. RePEc:usg:econwp:2018:08.

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2019Adaptive learning from model space. (2019). Pruser, Jan. In: Journal of Forecasting. RePEc:wly:jforec:v:38:y:2019:i:1:p:29-38.

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2019Information effects of euro area monetary policy: New evidence from high-frequency futures data. (2019). Kerssenfischer, Mark. In: Discussion Papers. RePEc:zbw:bubdps:072019.

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2019Measuring euro area monetary policy. (2019). Gürkaynak, Refet ; Motto, Roberto ; Gurkaynak, Refet S ; Brugnolini, Luca ; Altavilla, Carlo ; Carlo Altavilla , ; Ragusa, Giuseppe. In: CFS Working Paper Series. RePEc:zbw:cfswop:624.

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Works by Daniel Buncic:


YearTitleTypeCited
2015Measuring fund style, performance and activity: a new style-profiling approach In: Accounting and Finance.
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article2
2008An Estimated New Keynesian Policy Model for Australia In: The Economic Record.
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article29
2007An estimated New Keynesian policy model for Australia.(2007) In: MPRA Paper.
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This paper has another version. Agregated cites: 29
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2005An Estimated, New Keynesian Policy Model for Australia.(2005) In: Macroeconomics.
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This paper has another version. Agregated cites: 29
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2006The impact of ECB monetary policy decisions and communication on the yield curve In: Working Paper Series.
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2008The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve.(2008) In: Discussion Papers.
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2010The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve.(2010) In: Journal of the European Economic Association.
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2017Measuring the output gap in Switzerland with linear opinion pools In: Economic Modelling.
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article0
2015Forecasting copper prices with dynamic averaging and selection models In: The North American Journal of Economics and Finance.
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article15
2014Forecasting Copper Prices with Dynamic Averaging and Selection Models.(2014) In: Economics Working Paper Series.
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This paper has another version. Agregated cites: 15
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2013Macroprudential stress testing of credit risk: A practical approach for policy makers In: Journal of Financial Stability.
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article21
2011Macroprudential stress testing of credit risk: A practical approach for policy makers.(2011) In: MPRA Paper.
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2011Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers.(2011) In: Economics Working Paper Series.
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2012Macroprudential stress testing of credit risk : a practical approach for policy makers.(2012) In: Policy Research Working Paper Series.
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2016Global equity market volatility spillovers: A broader role for the United States In: International Journal of Forecasting.
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article2
2015Global Equity Market Volatility Spillovers: A Broader Role for the United States.(2015) In: Economics Working Paper Series.
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2014Equilibrium credit: The reference point for macroprudential supervisors In: Journal of Banking & Finance.
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2014Equilibrium Credit: The Reference Point for Macroprudential Supervisors.(2014) In: Economics Working Paper Series.
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This paper has another version. Agregated cites: 10
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2013Equilibrium credit : the reference point for macroprudential supervisors.(2013) In: Policy Research Working Paper Series.
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This paper has another version. Agregated cites: 10
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2016Heterogeneous agents, the financial crisis and exchange rate predictability In: Journal of International Money and Finance.
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article2
2015Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability.(2015) In: Economics Working Paper Series.
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2017The role of jumps and leverage in forecasting volatility in international equity markets In: Journal of International Money and Finance.
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2016The term structure of interest rates in an estimated New Keynesian policy model In: Journal of Macroeconomics.
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2017Macroeconomic factors and equity premium predictability In: International Review of Economics & Finance.
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article2
2015Macroeconomic Factors and Equity Premium Predictability.(2015) In: Economics Working Paper Series.
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2009Understanding forecast failure of ESTAR models of real exchange rates In: EERI Research Paper Series.
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2009Understanding forecast failure in ESTAR models of real exchange rates.(2009) In: MPRA Paper.
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2009Understanding forecast failure of ESTAR models of real exchange rates.(2009) In: MPRA Paper.
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2012Understanding forecast failure of ESTAR models of real exchange rates.(2012) In: Empirical Economics.
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2016Superforecasting: The Art and Science of Prediction. By Philip Tetlock and Dan Gardner In: Risks.
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2017Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models In: Working Paper Series.
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2008A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006) In: MPRA Paper.
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2008A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006).(2008) In: Discussion Papers.
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2018Forecast ranked tailored equity portfolios In: MPRA Paper.
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2010Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach In: Discussion Papers.
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2010Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach.(2010) In: University of St. Gallen Department of Economics working paper series 2010.
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