Daniel Buncic : Citation Profile

Are you Daniel Buncic?

Sveriges Riksbank

9

H index

8

i10 index

363

Citations

RESEARCH PRODUCTION:

16

Articles

26

Papers

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 21
   Journals where Daniel Buncic has often published
   Relations with other researchers
   Recent citing documents: 94.    Total self citations: 25 (6.44 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbu128
   Updated: 2023-05-27    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

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 (14)

Ehrmann, Michael (11)

Zhang, Yaojie (11)

Fratzscher, Marcel (8)

de Haan, Jakob (8)

Billio, Monica (8)

Gürkaynak, Refet (7)

Hubert, Paul (6)

Blinder, Alan (6)

Addo, Peter Martey (6)

Altavilla, Carlo (6)

Cites to:

Diebold, Francis (23)

Melecký, Martin (18)

Galí, Jordi (16)

Gertler, Mark (15)

Campbell, John (14)

Gürkaynak, Refet (14)

Clarida, Richard (13)

Zhou, Guofu (13)

Chinn, Menzie (12)

West, Kenneth (12)

Corsi, Fulvio (12)

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
Working Paper Series / Sveriges Riksbank (Central Bank of Sweden)2
Policy Research Working Paper Series / The World Bank2
Papers / arXiv.org2

Recent works citing Daniel Buncic (2022 and 2021)

YearTitle of citing document
2021Monetary policy, Twitter and financial markets: evidence from social media traffic. (2021). Romelli, Davide ; Rubera, Gaia ; Masciandaro, Donato. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20160.

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2021Monetary policy, Twitter and financial markets: evidence from social media traffic. (2021). Romelli, Davide ; Rubera, Gaia ; Masciandaro, Donato. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21160.

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2021A Model of Natural Interest Rate: The Case of Bulgaria. (2021). Vassilev, Dilian. In: Economic Studies journal. RePEc:bas:econst:y:2021:i:7:p:46-72.

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2021Why central banks announcing liquidity injections is more effective than forward guidance. (2021). Klose, Jens ; Baumgärtner, Martin ; Baumgartner, Martin. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:2:p:236-256.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2021International Effects of Euro Area Forward Guidance. (2021). Siklos, Pierre ; Feldkircher, Martin ; Böck, Maximilian ; Bock, Maximilian. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1066-1110.

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2021Can central bank communication help to stabilise inflation expectations?. (2021). Jung, Alexander ; Kuehl, Patrick. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:68:y:2021:i:3:p:298-321.

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2023Breaking Monetary Policy News: The Role of Mass Media Coverage of ECB Announcements for Public Inflation Expectations. (2023). Feld, Lars ; Kohler, Ekkehard A ; Hirsch, Patrick. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10285.

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2022Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era. (2022). Siklos, Pierre ; Kanelis, Dimitrios. In: CQE Working Papers. RePEc:cqe:wpaper:10322.

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2021Review of macroeconomic modelling in the Eurosystem: current practices and scope for improvement. (2021). Verona, Fabio ; Vetlov, Igor ; Pisani, Massimiliano ; Papadopoulou, Niki ; Notarpietro, Alessandro ; Lozej, Matija ; Lemoine, Matthieu ; DARRACQ PARIES, Matthieu ; Alvarez, Luis ; Schmoller, Michaela ; Haertel, Thomas ; Cova, Pietro ; Angelini, Elena ; Consolo, Agostino ; Gumiel, Jose Emilio ; Paredes, Joan ; Turunen, Harri ; Ciccarelli, Matteo ; Langenus, Geert ; Dupraz, Stephane ; Montes-Galdon, Carlos ; Kuhl, Michael ; Aldama, Pierre ; Szorfi, Bela ; Christoffel, Kai ; Zhutova, Anastasia ; Zimic, Sreko ; de Walque, Gregory ; Matheron, Julien ; Julio, Paulo ; deWalque, Gregory ; Carroy, Alice ; Warne, Anders ; Kilponen, Juha ; Smadu, Andra ; Marotta, Fulvia ; Hurtado, Samuel ; Damjanovi, Milan ; Berbe
2021Clear, consistent and engaging: ECB monetary policy communication in a changing world. (2021). Assenmacher, Katrin ; Samarina, Anna ; Rieder, Kilian ; Mestre, Ricardo ; Kocharkov, Georgi ; Giovannini, Alessandro ; Gertler, Pavel ; Ehrmann, Michael ; Ioannidis, Michael ; Glockler, Gabriel ; Georgarakos, Dimitris ; Schupp, Fabian ; Meyer, Justus ; Bitterlich, Marie Therese ; Huertgen, Patrick ; Winkler, Bernhard ; Gardt, Marius ; Anta, Martin ; Bergbauer, Stephanie ; Hoffmann, Mathias ; Weber, Michael ; Ferrero, Giuseppe ; Marquez, Victor ; Bakk-Simon, Klara ; Herrala, Niko ; Tiseno, Andrea ; Ferreira, Clodomiro ; Ruhe, Corina ; Manrique, Marta ; Arigoni, Filippo ; Hernborg, Nils ; Tischer, Johannes ; Reedik, Reet ; Fernandez, Ricardo ; Linzert, Tobias ; Argiri, Eleni ; Hellstrom, Jenni ; Taylor, Eva ; Penalv
2022Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions. (2022). Sushko, Iryna ; Schmitt, Noemi ; Radi, Davide ; Gardini, Laura ; Westerhoff, Frank. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002482.

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2021Price explosiveness in nonferrous metal futures markets. (2021). Xiong, Tao ; Ma, Richie Ruchuan. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:75-90.

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2021Predicting equity premium using dynamic model averaging. Does the state–space representation matter?. (2021). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100070x.

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2022Out-of-sample prediction of Bitcoin realized volatility: Do other cryptocurrencies help?. (2022). Zhang, Yaojie ; He, Mengxi ; Yi, Yongsheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200081x.

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2022Information effects of euro area monetary policy. (2022). Kerssenfischer, Mark. In: Economics Letters. RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001653.

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2021Financial markets and dissent in the ECB’s Governing Council. (2021). Tillmann, Peter ; PeterTillmann, . In: European Economic Review. RePEc:eee:eecrev:v:139:y:2021:i:c:s001429212100180x.

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2022Spillover effects of sovereign debt-based quantitative easing in the euro area. (2022). Gnewuch, Matthias. In: European Economic Review. RePEc:eee:eecrev:v:145:y:2022:i:c:s0014292122000654.

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2022Oil price volatility predictability: New evidence from a scaled PCA approach. (2022). Ma, Feng ; Liang, Chao ; He, Feng ; Guo, Yangli. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005648.

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2022An oil futures volatility forecast perspective on the selection of high-frequency jump tests. (2022). Ma, Feng ; Lu, Xinjie ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s014098832200487x.

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2021Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (2021). Zhang, Shuhua ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000761.

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2021The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model. (2021). Sivaprasad, Sheeja ; Pappas, Vasileios ; Muradolu, Yaz Gulnur ; Izzeldin, Marwan. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000144.

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2021Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information. (2021). Wei, YU ; Ma, Feng ; Li, Yan ; Liang, Chao. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000922.

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2022When does attention matter? The effect of investor attention on stock market volatility around news releases. (2022). Audrino, Francesco ; Ballinari, Daniele ; Sigrist, Fabio. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001466.

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2022Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320.

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2023Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?. (2023). Zhang, Han. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004045.

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2023Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136.

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2022Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets. (2022). Li, Tao ; Zeng, Qing ; Lu, Xinjie ; Wu, Lan. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001787.

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2021Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium. (2021). Vespro, Cristina ; van Roy, Patrick ; Ferrari, Stijn. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301042.

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2022An integrated macroprudential stress test of bank liquidity and solvency. (2022). Wolfe, Simon ; Mishra, Tapas ; Gerding, Enrico ; Bakoush, Mohamed. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000377.

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2021Can technical trading beat the foreign exchange market in times of crisis?. (2021). Yamani, Ehab. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300818.

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2021International tail risk connectedness: Network and determinants. (2021). Lambe, Brendan John ; Nguyen, Linh Hoang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000512.

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2021Economic stimulus through bank regulation: Government responses to the COVID-19 crisis. (2021). Kampouris, Ilias ; Samitas, Aristeidis ; Polyzos, Stathis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001542.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2022Ambiguity, ambiguity aversion and foreign bias: New evidence from international panel data. (2022). Wang, Mei ; Dlugosch, Dennis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426622001054.

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2021On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty. (2021). Pfarrhofer, Michael ; Stelzer, Anna ; Hauzenberger, Niko. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:191:y:2021:i:c:p:822-845.

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2021The Impact of Monetary Policy on Yield Curve Expectations. (2021). Feldkircher, Martin ; Boeck, Maximilian. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:191:y:2021:i:c:p:887-901.

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2021Central bank communication and the yield curve. (2021). Whelan, Paul ; Venter, Gyuri ; Vedolin, Andrea ; Leombroni, Matteo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:3:p:860-880.

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2022The Bank of Korea watch. (2022). Ho, Kyu ; Kim, Hyerim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:126:y:2022:i:c:s0261560622000717.

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2022Complexity of ECB communication and financial market trading. (2022). Zahner, Johannes ; Rapp, Marc Steffen ; Henseler, Kai ; Hayo, Bernd. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001127.

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2022Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period. (2022). Abdoh, Hussein ; Awartani, Basel ; Maghyereh, Aktham. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:25:y:2022:i:c:s170349492100044x.

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2021Proposing two novel hybrid intelligence models for forecasting copper price based on extreme learning machine and meta-heuristic algorithms. (2021). Vu, Diep-Anh ; Mai, Ngoc-Luan ; Pradhan, Biswajeet ; Bui, Xuan-Nam ; Nguyen, Hoang ; Zhang, Hong. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002099.

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2021Economic drivers of commodity volatility: The case of copper. (2021). Hansen, Erwin ; Cabrera, Gabriel ; Diaz, Juan D. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s030142072100235x.

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2021Forecasting copper price by application of robust artificial intelligence techniques. (2021). Asadizadeh, Mostafa ; Najmoddini, Iraj ; Shakeri, Jamshid ; Khoshalan, Hasel Amini. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002506.

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2021Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility?. (2021). Umar, Muhammad ; Liang, Chao ; Chen, Zhonglu. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004001.

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2022Copper price: A brief analysis of China’s impact over its short-term forecasting. (2022). Demarco, Rodrigo ; Garces, Hugo O ; Jerez, Alejandro ; Becerra, Miguel. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004566.

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2022Forecasting Chinas crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic. (2022). Li, Xiafei ; Ye, Yong ; Chen, Zhonglu. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s030142072100461x.

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2022Copper price forecasted by hybrid neural network with Bayesian Optimization and wavelet transform. (2022). Yi, Jiahui ; Cheng, Jinhua ; Liu, Kailei. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005274.

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2022Arbitrage breakdown in WTI crude oil futures: An analysis of the events on April 20, 2020. (2022). Kane, Stephen ; Burns, Christopher B. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s030142072200054x.

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2022Are European natural gas markets connected? A time-varying spillovers analysis. (2022). Rubaszek, Michał ; Śmiech, Sławomir ; Szafranek, Karol ; Papie, Monika. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s030142072200472x.

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2022Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility. (2022). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi ; Song, Yixuan. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722005360.

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2023Chinese crude oil futures volatility and sustainability: An uncertainty indices perspective. (2023). Zhao, Chenchen ; Huang, Dengshi ; Xu, Weiju. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006705.

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2021Delphic and odyssean monetary policy shocks: Evidence from the euro area. (2021). ferroni, filippo ; Andrade, Philippe. In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:816-832.

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2021Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information. (2021). Yamani, Ehab. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:74-89.

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2021ECB language and stock returns – A textual analysis of ECB press conferences. (2021). Reichmann, Doron ; Moller, Rouven. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:590-604.

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2021The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models. (2021). Wang, Xiong ; Zhao, Yupei ; Wen, Fenghua ; Xiao, Jihong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:311-333.

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2022Singlehanded or joint race? Stock market volatility prediction. (2022). Dong, Dayong ; Wang, Jianqiong ; Ma, Feng ; Lu, Xinjie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:734-754.

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2022Does the volatility spillover effect matter in oil price volatility predictability? Evidence from high-frequency data. (2022). Li, Pan ; Huang, Dengshi ; Xu, Weiju ; Wu, Lan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:299-306.

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2021Time-varying risk attitude and the foreign exchange market behavior. (2021). Li, Zeguang ; Zhang, Qian. In: Research in International Business and Finance. RePEc:eee:riibaf:v:57:y:2021:i:c:s0275531921000155.

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2022A revised financial satellite model for COSMO. (2022). McQuinn, Kieran ; O'Toole, Conor ; Egan, Paul. In: Papers. RePEc:esr:wpaper:wp737.

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2022A Macroprudential Perspective on the Regulatory Boundaries of U.S. Financial Assets. (2022). Darst, Matthew ; Arseneau, David ; Vardoulakis, Alexandros ; Rappoport, David E ; Brang, Grace. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2022-02.

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2023Macroeconomic Factors of Consumer Loan Credit Risk in Central and Eastern European Countries. (2023). Valukonis, Mantas ; Neifaltas, Airidas ; Picas, Renatas ; Vasiliauskait, Deimant ; Keliuotyt-Staniulnien, Greta ; Kanapickien, Rasa. In: Economies. RePEc:gam:jecomi:v:11:y:2023:i:4:p:102-:d:1105510.

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2021Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets. (2021). Wong, Wing-Keung ; Hassan, Arshad ; Zada, Hassan. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:2:p:92-:d:576215.

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2022A Counterfactual Analysis of the Effects of Climate Change on the Natural Interest Rate. (2022). Ojeda-Joya, Jair. In: IHEID Working Papers. RePEc:gii:giihei:heidwp10-2022.

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2021Housing Loan Repayment Behaviour in Malaysia: An Analytical Insight. (2021). Siew, Goh-Yeok ; Lim, Hock-Eam ; Saha, Asish. In: International Journal of Business and Economics. RePEc:ijb:journl:v:20:y:2021:i:2:p:1-19.

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2021Housing Loan Repayment Behaviour in Malaysia: An Analytical Insight. (2021). Siew, Goh-Yeok ; Lim, Hock-Eam ; Saha, Asish. In: International Journal of Business and Economics. RePEc:ijb:journl:v:20:y:2021:i:2:p:141-159.

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2021The role of ECB communication in guiding markets. (2021). Sturm, Jan-Egbert ; Streicher, Sina ; Rathke, Alexander ; Anderes, Marc. In: Public Choice. RePEc:kap:pubcho:v:186:y:2021:i:3:d:10.1007_s11127-019-00733-0.

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2021Effects of Monetary Policy Communication in Emerging Market Economies: Evidence from Malaysia. (2021). Karagedikli, Ozer ; Ho, Sui-Jade. In: MAGKS Papers on Economics. RePEc:mar:magkse:202126.

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2021Whatever it takes to understand a central banker - Embedding their words using neural networks.. (2021). Baumgärtner, Martin ; Zahner, Johannes. In: MAGKS Papers on Economics. RePEc:mar:magkse:202130.

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2021Stress Testing of Credit Risk in Iran’s Banking System. (2021). Bazzazan, Fatemeh ; Sanatkhani, Mahboobeh . In: Journal of Money and Economy. RePEc:mbr:jmonec:v:16:y:2021:i:1:p:93-114.

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2021What should be taken into consideration when forecasting oil implied volatility index?. (2021). Degiannakis, Stavros ; Giannopoulos, Kostantinos ; Delis, Panagiotis. In: MPRA Paper. RePEc:pra:mprapa:110831.

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2021Causality Analysis of South Africa Reserve Bank’s Monetary Policy Statements and Communication. (2021). Segawa, Arnold. In: International Journal of Finance & Banking Studies. RePEc:rbs:ijfbss:v:10:y:2021:i:4:p:55-74.

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2022Monetary Stance and Favorableness of Monetary Policy in the Media: The Case of Viet Nam. (2022). van Dat, Luong ; Dong, Do Phy ; Long, Trinh ; Hoang, Pham Thi ; Thang, Doan Ngoc. In: ADBI Working Papers. RePEc:ris:adbiwp:1325.

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2021Effects of Monetary Policy Communication in Emerging Market Economies: Evidence from Malaysia. (2021). Karagedikli, Ozer ; Ho, Sui-Jade. In: Working Papers. RePEc:sea:wpaper:wp44.

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2021Does the belt and road initiative resolve the steel overcapacity in China? Evidence from a dynamic model averaging approach. (2021). Lu, Xing ; Ni, Zhongxin ; Xue, Wenjun. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:1:d:10.1007_s00181-020-01861-z.

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2022To jump or not to jump: momentum of jumps in crude oil price volatility prediction. (2022). Zhang, Yaojie ; Wang, Yudong ; Ma, Feng ; Wei, YU. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00360-7.

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2022The link between regional CDS spreads and equity returns: a multivariate GARCH approach. (2022). Manicaro, Christian. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:2:d:10.1007_s43546-021-00197-9.

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2022Forecasting the volatility of the German stock market: New evidence. (2022). Zhang, Yaojie ; Liang, Chao. In: Applied Economics. RePEc:taf:applec:v:54:y:2022:i:9:p:1055-1070.

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2022Late Banking Transitions : Comparing Uzbekistan to Earlier Reformers. (2022). Melecký, Martin ; Babasyan, Davit ; Gu, Yunfan. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:9984.

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2022Volatility forecasting revisited using Markov?switching with time?varying probability transition. (2022). Chen, Zhonglu ; Liang, Chao ; Ma, Feng ; Wang, Jiqian. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1387-1400.

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2022Global equity market volatility forecasting: New evidence. (2022). Ma, Feng ; Lei, Likun ; Wei, YU ; Liang, Chao. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:594-609.

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2022Predicting the volatility of crude oil futures: The roles of leverage effects and structural changes. (2022). Lin, Boqiang ; Gong, XU. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:610-640.

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2022Which predictor is more predictive for Bitcoin volatility? And why?. (2022). Ma, Feng ; Li, Xiafei ; Zhang, Yaojie ; Liang, Chao. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1947-1961.

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2022Which uncertainty is powerful to forecast crude oil market volatility? New evidence. (2022). Wei, YU ; Li, Xiafei ; Chen, Wang ; Liang, Chao ; Ma, Feng. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4279-4297.

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2022Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model. (2022). Ma, Feng ; Tang, Yusui ; Wei, YU ; Zhang, Yaojie. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4770-4783.

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2021Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump. (2021). Li, Xiafei ; Wei, YU ; Bai, Lan ; Zhang, Xuhui. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1501-1523.

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2022What matters when developing oil price volatility forecasting frameworks?. (2022). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:361-382.

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2022Measuring multi?volatility states of financial markets based on multifractal clustering model. (2022). Tang, Huiyue ; Huang, Xun. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:3:p:422-434.

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2022Forecasting international equity market volatility: A new approach. (2022). Li, Yan ; Liang, Chao ; Ma, Feng ; Zhang, Yaojie. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:7:p:1433-1457.

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2022Forecasting value at risk and expected shortfall using high?frequency data of domestic and international stock markets. (2022). Wang, Man ; Cheng, Yihan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:8:p:1595-1607.

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2021Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. (2021). Tsakou, Katerina ; McMillan, David G ; Kambouroudis, Dimos S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1618-1639.

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2022Directly pricing VIX futures with observable dynamic jumps based on high?frequency VIX. (2022). Wang, LU ; Ma, Feng ; Qiao, Gaoxiu ; Jiang, Gongyue. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1518-1548.

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2021System-wide and banks internal stress tests: Regulatory requirements and literature review. (2021). Pliszka, Kamil. In: Discussion Papers. RePEc:zbw:bubdps:192021.

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2022.

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Works by Daniel Buncic:

YearTitleTypeCited
2020Econometric issues with Laubach and Williams estimates of the natural rate of interest In: Papers.
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2020Econometric issues with Laubach and Williams’ estimates of the natural rate of interest.(2020) In: Working Paper Series.
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2022On a Standard Method for Measuring the Natural Rate of Interest In: Papers.
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2015Measuring fund style, performance and activity: a new style-profiling approach In: Accounting and Finance.
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2008An Estimated New Keynesian Policy Model for Australia In: The Economic Record.
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2007An estimated New Keynesian policy model for Australia.(2007) In: MPRA Paper.
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2005An Estimated, New Keynesian Policy Model for Australia.(2005) In: Macroeconomics.
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2019Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
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2017Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models.(2017) In: Working Paper Series.
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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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2015Forecasting copper prices with dynamic averaging and selection models In: The North American Journal of Economics and Finance.
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2014Forecasting Copper Prices with Dynamic Averaging and Selection Models.(2014) In: Economics Working Paper Series.
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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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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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2019Forecast ranked tailored equity portfolios In: Journal of International Financial Markets, Institutions and Money.
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2018Forecast ranked tailored equity portfolios.(2018) In: MPRA Paper.
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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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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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2013Equilibrium credit : the reference point for macroprudential supervisors.(2013) In: Policy Research Working Paper Series.
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2016Heterogeneous agents, the financial crisis and exchange rate predictability In: Journal of International Money and Finance.
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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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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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2022Discovering Stars: Problems in Recovering Latent Variables from Models In: CAMA Working Papers.
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2016Superforecasting: The Art and Science of Prediction. By Philip Tetlock and Dan Gardner In: Risks.
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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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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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