Daniel Buncic : Citation Profile

Sveriges Riksbank

9

H index

9

i10 index

435

Citations

RESEARCH PRODUCTION:

16

Articles

26

Papers

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 25
   Journals where Daniel Buncic has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 25 (5.43 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbu128
   Updated: 2025-05-17    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:

Zhang, Yaojie (20)

Melecký, Martin (16)

Ehrmann, Michael (11)

Billio, Monica (8)

Fratzscher, Marcel (8)

de Haan, Jakob (8)

Gürkaynak, Refet (7)

Altavilla, Carlo (6)

Addo, Peter Martey (6)

Jansen, David-Jan (6)

Hubert, Paul (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)

Corsi, Fulvio (12)

West, Kenneth (12)

Chinn, Menzie (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
Economics Working Paper Series / University of St. Gallen, School of Economics and Political Science6
MPRA Paper / University Library of Munich, Germany6
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 (2025 and 2024)

YearTitle of citing document
2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041.

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2024On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futures. (2024). Wang, Zian ; Li, Xinshu. In: Papers. RePEc:arx:papers:2409.08355.

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2024COMEX Copper Futures Volatility Forecasting: Econometric Models and Deep Learning. (2024). Wang, Zian ; Lu, Xinyi. In: Papers. RePEc:arx:papers:2409.08356.

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2024Detecting excessive credit growth: An approach based on structural counterfactuals. (2024). Sass, Magnus. In: Berlin School of Economics Discussion Papers. RePEc:bdp:dpaper:0046.

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2024Reassessing the Effectiveness and Transmission of Monetary Policy: Review of the Jackson Hole Economic Policy Symposium. (2024). Ivanova, Nadezhda ; Sinyakov, Andrey ; Styrin, Konstantin. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:4:p:119-144.

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2024A statistical approach to identifying ECB monetary policy. (2024). Fonseca, Luís ; Brand, Claus ; Bitter, Lea ; Akkaya, Yildiz. In: Working Paper Series. RePEc:ecb:ecbwps:20242994.

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2024Reinvestigating the Oil Dependency of the GCC Countries€™ Stock Market: A Regime-Switching Cointegration Approach. (2024). Razaq, Yousef Abdul ; Ebadi, Esmaeil. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-03-39.

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2024Econometric issues in the estimation of the natural rate of interest. (2024). Buncic, Daniel. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999323004534.

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2024Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (2024). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623002105.

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2024Global contagion of US COVID-19 panic news. (2024). Ho, Young ; Kang, Yong Joo ; Park, Dojoon. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000116.

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2024Presidential economic approval rating and global foreign exchange market volatility. (2024). Xu, Weijun ; Li, Xiaodan ; Gong, Xue. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924005167.

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2024Forecasting exchange rate volatility: An amalgamation approach. (2024). Souropanis, Ioannis ; Alexandridis, Antonios K ; Panopoulou, Ekaterini. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001331.

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2024Asset purchases and sovereign bond spreads in the euro area during the pandemic. (2024). Blotevogel, Robert ; Hudecz, Gergely ; Vangelista, Elisabetta. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001791.

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2024Can you hear me now? Identifying the effect of Chinese monetary policy announcements. (2024). Shieh, Harrison. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:144:y:2024:i:c:s0261560624000652.

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2024Is copper a safe haven for oil?. (2024). Song, Xin Yue ; Lobon, Oana-Ramona ; Qin, Meng ; Su, Chi Wei. In: Resources Policy. RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724002642.

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2024The forward premium anomaly and the currency carry trade hypothesis. (2024). Tzavalis, Elias ; Smyrnakis, Dimitris ; Elias, Nikolaos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:203-218.

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2024International commodity market and stock volatility predictability: Evidence from G7 countries. (2024). Wang, Jiqian ; Ma, Feng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:62-71.

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2024Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set. (2024). Wang, Gang-Jin ; Zeng, Zhi-Jian ; Li, Zhao-Chen ; Zhu, You ; Gong, Jue ; Xie, Chi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:673-711.

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2024The impact of carbon transition risk concerns on stock market cycles: Evidence from China. (2024). Zeng, Qing ; Huang, Dengshi ; Lu, Xinjie ; Luo, Qin. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:209:y:2024:i:c:s0040162524006255.

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2024How Do Analyst Recommendations on Banks Respond to Monetary Policy News? An Application to the Eurozone. (2024). Brana, Sophie ; Vaubourg, Anne-Gal ; de Comres, Quentin Bro. In: Post-Print. RePEc:hal:journl:hal-04986898.

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2025Monetary Policy Transmission in the Euro Area: Is this Time Different? Chapter I: Lags and Strength. (2025). Zlobins, Andrejs. In: Working Papers. RePEc:ltv:wpaper:202501.

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2024Liquidity Traps: A Unified Theory of the Great Depression and Great Recession. (2024). Eggertsson, Gauti ; Egiev, Sergey. In: NBER Working Papers. RePEc:nbr:nberwo:33195.

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2024Forecasting the equity premium using weighted regressions: Does the jump variation help?. (2024). Zhang, Yaojie ; Wang, Yudong. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02521-8.

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2024Forward Guidance and Credibility. (2024). Linta, Tanja. In: TSE Working Papers. RePEc:tse:wpaper:129332.

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2024Forecasting exchange rates: An iterated combination constrained predictor approach. (2024). Souropanis, Ioannis ; Panopoulou, Ekaterini ; Alexandridis, Antonios K. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:4:p:983-1017.

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2025Forecasting Chinese Stock Market Volatility With Volatilities in Bond Markets. (2025). Zhang, Yaojie ; He, Mengxi ; Lei, Likun. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:547-555.

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2025Forecasting Realized Volatility: The Choice of Window Size. (2025). Zhang, Yaojie ; Feng, Yuqing. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:692-705.

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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]		paper2
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]		article37
2007An estimated New Keynesian policy model for Australia.(2007) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2005An Estimated, New Keynesian Policy Model for Australia.(2005) In: Macroeconomics.
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This paper has nother version. Agregated cites: 37		paper
2019Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article10
2017Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models.(2017) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2006The impact of ECB monetary policy decisions and communication on the yield curve In: Working Paper Series.
[Full Text][Citation analysis]		paper152
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: 152		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: 152		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]		article45
2014Forecasting Copper Prices with Dynamic Averaging and Selection Models.(2014) In: Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		paper
2013Macroprudential stress testing of credit risk: A practical approach for policy makers In: Journal of Financial Stability.
[Full Text][Citation analysis]		article41
2011Macroprudential stress testing of credit risk: A practical approach for policy makers.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2011Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers.(2011) In: Economics Working Paper Series.
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This paper has nother version. Agregated cites: 41		paper
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: 41		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]		article45
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: 45		paper
2014Equilibrium credit: The reference point for macroprudential supervisors In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article20
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: 20		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: 20		paper
2016Heterogeneous agents, the financial crisis and exchange rate predictability In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article14
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: 14		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]		article46
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]		article6
2015Macroeconomic Factors and Equity Premium Predictability.(2015) In: Economics Working Paper Series.
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This paper has nother version. Agregated cites: 6		paper
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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This paper has nother version. Agregated cites: 9		paper
2009Understanding forecast failure of ESTAR models of real exchange rates.(2009) In: MPRA Paper.
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This paper has nother version. Agregated cites: 9		paper
2012Understanding forecast failure of ESTAR models of real exchange rates.(2012) In: Empirical Economics.
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This paper has nother version. Agregated cites: 9		article
2022Discovering Stars: Problems in Recovering Latent Variables from Models In: CAMA Working Papers.
[Full Text][Citation analysis]		paper2
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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This paper has nother version. Agregated cites: 0		paper
2010Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach In: Discussion Papers.
[Full Text][Citation analysis]		paper0
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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