Daniel Buncic : Citation Profile

Are you Daniel Buncic?

Sveriges Riksbank

9

H index

8

i10 index

391

Citations

RESEARCH PRODUCTION:

16

Articles

26

Papers

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 23
   Journals where Daniel Buncic has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 25 (6.01 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbu128
   Updated: 2024-01-16    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 (15)

Zhang, Yaojie (11)

Ehrmann, Michael (11)

Billio, Monica (8)

de Haan, Jakob (8)

Fratzscher, Marcel (8)

Gürkaynak, Refet (7)

Hubert, Paul (6)

Jansen, David-Jan (6)

Altavilla, Carlo (6)

Blinder, Alan (6)

Cites to:

Diebold, Francis (23)

Melecký, Martin (18)

Galí, Jordi (16)

Gertler, Mark (15)

Gürkaynak, Refet (14)

Campbell, John (14)

Clarida, Richard (13)

Zhou, Guofu (13)

West, Kenneth (12)

Chinn, Menzie (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
Papers / arXiv.org2
Policy Research Working Paper Series / The World Bank2

Recent works citing Daniel Buncic (2024 and 2023)

YearTitle of citing document
2023Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2023The reaction of disagreements in inflation expectations to fiscal sentiment obtained from information in official communiqués. (2023). Maia, Victor ; Montes, Gabriel Caldas. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:828-859.

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2023Exploring Okuns law asymmetry: An endogenous threshold logistic smooth transition regression approach. (2023). McAdam, Peter ; Tzavalis, Elias ; Christopoulos, Dimitris. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:123-158.

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2023MEASURING THE EFFECT OF FORWARD GUIDANCE IN SMALL OPEN ECONOMIES: THE CASE OF ISRAEL. (2023). Kutai, Ari. In: Israel Economic Review. RePEc:boi:isrerv:v:21:y:2023:i:1:p:75-142.

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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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2023ECB monetary communications: Market fragmentation at stake. (2023). Jouvanceau, Valentin ; Mikaliunaite-Jouvanceau, Ieva. In: Economics Letters. RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000757.

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2023Predictability of risk appetite in Turkey: Local versus global factors. (2023). Bouri, Elie ; Gok, Remzi ; Gemici, Eray. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000237.

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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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2023Have the predictability of oil changed during the COVID-19 pandemic: Evidence from international stock markets. (2023). Wang, Jiqian ; Huang, Yisu ; Ding, Hui. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001369.

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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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2023International stock volatility predictability: New evidence from uncertainties. (2023). Wu, Lan ; Wang, Tianyang ; Ma, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000495.

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2023Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735.

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2023Incorporating financial development indicators into early warning systems. (2023). Ponomarenko, Alexey ; Tatarintsev, Stas. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494922000445.

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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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2023Sustainable energy transition and its demand for scarce resources: Insights into the German Energiewende through a new risk assessment framework. (2023). Rathgeber, A W ; Kurz, P ; Brem, M ; Papenfuss, P ; Schischke, A. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:176:y:2023:i:c:s1364032123000461.

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2023Stock market volatility prediction: Evidence from a new bagging model. (2023). Huang, Dengshi ; Xu, Weiju ; Bu, Jinfeng ; Luo, Qin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:445-456.

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2023An Analysis of the Pass-Through of Exchange Rates in Forest Product Markets. (2023). Goodwin, Barry ; Riquelme, Andres ; Guney, Selin. In: Agriculture. RePEc:gam:jagris:v:13:y:2023:i:3:p:515-:d:1075655.

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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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2023.

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2023Recovering stars in macroeconomics. (2023). Robinson, Tim ; Buncic, Daniel ; Pagan, Adrian. In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2023n12.

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2023Shifts in ECB Communication: A Textual Analysis of the Press Conference. (2023). Lumsdaine, Robin L ; Klejdysz, Justyna. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:2:a:9.

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2023Not all ECB meetings are created equal. (2023). Tillmann, Peter ; Kandemir, Sinem. In: MAGKS Papers on Economics. RePEc:mar:magkse:202312.

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2023Industry return lead-lag relationships between the US and other major countries. (2023). Sebastio, Helder ; Silva, Nuno ; Monteiro, Ana. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00439-1.

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2023Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia. (2023). Khan, Muhammad Zeb ; Ahmed, Shakeel ; Maqsood, Huma ; Zada, Hassan. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00417-w.

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2023To Boost or Not to Boost? That is the Question. (2023). Pagan, Adrian ; Lu, YE. In: Working Papers. RePEc:syd:wpaper:2023-05.

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2023Uncertainty?driven oil volatility risk premium and international stock market volatility forecasting. (2023). Yin, Libo ; Su, Zhi ; Miao, Deyu ; Fang, Tong. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:872-904.

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2023Impact of crude oil volatility jumps on sustainable investments: Evidence from India. (2023). Uddin, Gazi Salah ; Park, Donghyun ; Ghosh, Sajal ; Kanjilal, Kakali ; Dutta, Anupam. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1450-1468.

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Works by Daniel Buncic:

YearTitleTypeCited
2020Econometric issues with Laubach and Williams estimates of the natural rate of interest In: Papers.
[Full Text][Citation analysis]		paper3
2020Econometric issues with Laubach and Williams’ estimates of the natural rate of interest.(2020) In: Working Paper Series.
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This paper has nother version. Agregated cites: 3		paper
2022On a Standard Method for Measuring the Natural Rate of Interest In: Papers.
[Full Text][Citation analysis]		paper1
2015Measuring fund style, performance and activity: a new style-profiling approach In: Accounting and Finance.
[Full Text][Citation analysis]		article3
2008An Estimated New Keynesian Policy Model for Australia In: The Economic Record.
[Full Text][Citation analysis]		article35
2007An estimated New Keynesian policy model for Australia.(2007) In: MPRA Paper.
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This paper has nother version. Agregated cites: 35		paper
2005An Estimated, New Keynesian Policy Model for Australia.(2005) In: Macroeconomics.
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This paper has nother version. Agregated cites: 35		paper
2019Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article7
2017Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models.(2017) In: Working Paper Series.
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This paper has nother version. Agregated cites: 7		paper
2006The impact of ECB monetary policy decisions and communication on the yield curve In: Working Paper Series.
[Full Text][Citation analysis]		paper142
2008The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve.(2008) In: Discussion Papers.
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This paper has nother version. Agregated cites: 142		paper
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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This paper has nother version. Agregated cites: 142		article
2017Measuring the output gap in Switzerland with linear opinion pools In: Economic Modelling.
[Full Text][Citation analysis]		article0
2015Forecasting copper prices with dynamic averaging and selection models In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article38
2014Forecasting Copper Prices with Dynamic Averaging and Selection Models.(2014) In: Economics Working Paper Series.
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This paper has nother version. Agregated cites: 38		paper
2013Macroprudential stress testing of credit risk: A practical approach for policy makers In: Journal of Financial Stability.
[Full Text][Citation analysis]		article40
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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This paper has nother version. Agregated cites: 40		paper
2019Forecast ranked tailored equity portfolios In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article0
2018Forecast ranked tailored equity portfolios.(2018) In: MPRA Paper.
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This paper has nother version. Agregated cites: 0		paper
2016Global equity market volatility spillovers: A broader role for the United States In: International Journal of Forecasting.
[Full Text][Citation analysis]		article40
2015Global Equity Market Volatility Spillovers: A Broader Role for the United States.(2015) In: Economics Working Paper Series.
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This paper has nother version. Agregated cites: 40		paper
2014Equilibrium credit: The reference point for macroprudential supervisors In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article17
2014Equilibrium Credit: The Reference Point for Macroprudential Supervisors.(2014) In: Economics Working Paper Series.
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This paper has nother version. Agregated cites: 17		paper
2013Equilibrium credit : the reference point for macroprudential supervisors.(2013) In: Policy Research Working Paper Series.
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This paper has nother version. Agregated cites: 17		paper
2016Heterogeneous agents, the financial crisis and exchange rate predictability In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article11
2015Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability.(2015) In: Economics Working Paper Series.
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This paper has nother version. Agregated cites: 11		paper
2017The role of jumps and leverage in forecasting volatility in international equity markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article39
2016The term structure of interest rates in an estimated New Keynesian policy model In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article0
2017Macroeconomic factors and equity premium predictability In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article5
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.
[Full Text][Citation analysis]		paper9
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.
[Full Text][Citation analysis]		paper1
2016Superforecasting: The Art and Science of Prediction. By Philip Tetlock and Dan Gardner In: Risks.
[Full Text][Citation analysis]		article0
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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This paper has nother version. Agregated cites: 0		paper

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