Daniel Buncic : Citation Profile

Sveriges Riksbank

9

H index

9

i10 index

465

Citations

RESEARCH PRODUCTION:

16

Articles

26

Papers

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 27
   Journals where Daniel Buncic has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 25 (5.1 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbu128
   Updated: 2025-12-20    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)

de Haan, Jakob (8)

Fratzscher, Marcel (8)

Billio, Monica (8)

Gürkaynak, Refet (7)

Altavilla, Carlo (6)

Blinder, Alan (6)

Addo, Peter Martey (6)

Jansen, David-Jan (6)

Cites to:

Diebold, Francis (23)

Melecký, Martin (18)

Galí, Jordi (16)

Gertler, Mark (15)

Campbell, John (14)

Gürkaynak, Refet (14)

Zhou, Guofu (13)

Clarida, Richard (13)

West, Kenneth (12)

Corsi, Fulvio (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
Policy Research Working Paper Series / The World Bank2
Papers / arXiv.org2

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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2025Measuring Communication Quality of Interest Rate Announcements. (2025). Benchimol, Jonathan ; Kazinnik, Sophia ; Caspi, Itamar. In: Papers. RePEc:arx:papers:2506.09868.

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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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2025When does Monetary Policy Matter? Policy Stance vs. Term Premium News. (2025). Herbert, Sylvrie ; Hubert, Paul. In: Working papers. RePEc:bfr:banfra:1017.

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2025The Signaling Effects of Tightening and Easing Monetary Policy. (2025). Hubert, Paul ; Portier, Rose. In: Working papers. RePEc:bfr:banfra:999.

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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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2025Housing and Credit Cycles in Ireland. (2025). Mugrabi, Farah ; Rnstler, Gerhard. In: Research Technical Papers. RePEc:cbi:wpaper:16/rt/25.

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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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2025Twitter-based market uncertainty and global stock volatility predictability. (2025). Zhou, Mingtao ; Ma, Yong ; Li, Shuaibing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001815.

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2025Factors of predictive power for metal commodities. (2025). Schischke, Amelie ; Rathgeber, Andreas ; Papenfuss, Patric. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002341.

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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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2025Dynamic financial connectedness among the US, China, and countries of the Belt and Road Initiative. (2025). Winkelried, Diego ; Bazn-Palomino, Walter. In: Emerging Markets Review. RePEc:eee:ememar:v:66:y:2025:i:c:s1566014125000354.

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2025Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk. (2025). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004189.

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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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2025Modeling gasoline price volatility. (2025). Ormos, Mihály ; Kamocsai, Lszl. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016866.

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2024Estimating the impact of supply chain network contagion on financial stability. (2024). Diem, Christian ; Thurner, Stefan ; Borsos, Andrs ; Tabachov, Zlata ; Burger, Csaba. In: Journal of Financial Stability. RePEc:eee:finsta:v:75:y:2024:i:c:s1572308924001219.

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2025Modeling the procyclical impact of monetary policy on bank leverage: A stochastic macroprudential approach. (2025). Perote, Javier ; Rendn, Juan F ; Corts, Lina M. In: Journal of Financial Stability. RePEc:eee:finsta:v:79:y:2025:i:c:s1572308925000506.

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2025Climate risk and predictability of global stock market volatility. (2025). Ma, Yong ; Zhou, Mingtao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000253.

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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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2025Forecasting realized volatility with spillover effects: Perspectives from graph neural networks. (2025). Cucuringu, Mihai ; Dong, Xiaowen ; Zhang, Chao ; Pu, Xingyue. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:377-397.

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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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2025Information content in yield curve dynamics: Implications for monetary policy. (2025). Hwang, Youngjin. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:83:y:2025:i:c:s0164070424000727.

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2025Exploring global financial interdependencies among ASEAN-5, major developed and developing markets. (2025). Kumar, Pankaj ; Yadav, Mahender ; Saini, Mohit ; Dhingra, Barkha. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:31:y:2025:i:c:s1703494924000471.

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2025Macroeconomics, geopolitical risk, and resource commodity price bubbles. (2025). Wu, Haipeng ; Chen, Yiming ; Li, Beibei ; Mao, Xuefeng. In: Resources Policy. RePEc:eee:jrpoli:v:101:y:2025:i:c:s0301420725000200.

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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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2024Islamic Macroprudential Policy to Support Staple Agricultural Sector Financing. (2024). Syarifuddin, Ferry. In: Economia agro-alimentare. RePEc:fan:ecaqec:v:html10.3280/ecag2024oa16369.

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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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2025A Bayesian Network Model to Evaluate the Credit Risk of Mexican Microfinance Institutions in 2023. (2025). Gress, Alondra M ; Martnez, Francisco J ; Vargas, Jedidia Hernndez. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:20:y:2025:i:1:a:6.

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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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2024WTI, Brent or implied volatility index: Perspective of volatility spillover from oil market to Chinese stock market. (2024). Bai, Manying ; Qin, Peng. In: PLOS ONE. RePEc:plo:pone00:0302131.

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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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2025Causality Nexus Between Volatility, Liquidity and Foreign Ownership: Evidence from Borsa Istanbul. (2025). Benturk, Mehmet. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:23:y:2025:i:3:d:10.1007_s40953-025-00446-w.

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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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2025Forecasting the Realized Volatility of Stock Markets: The Roles of Jumps and Asymmetric Spillovers. (2025). Kang, Sang Hoon ; McMillan, David ; Mensi, Walid ; al Rababaa, Abdel Razzaq. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1294-1325.

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2025Emotion in euro area monetary policy communication and bond yields: The Draghi era. (2025). Siklos, Pierre L ; Kanelis, Dimitrios. In: Discussion Papers. RePEc:zbw:bubdps:320429.

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2025The Emotions of Monetary Policy. (2025). Barry, Mamdou-Lamine ; Kandemir, Sinem ; Bruns, Brenton Joey ; Klose, Jens ; Tillmann, Peter ; Smirnov, Victor. In: VfS Annual Conference 2025 (Cologne): Revival of Industrial Policy. RePEc:zbw:vfsc25:325365.

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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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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.
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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.
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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]		paper159
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: 159		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: 159		article
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.
[Full Text][Citation analysis]		article47
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: 47		paper
2013Macroprudential stress testing of credit risk: A practical approach for policy makers In: Journal of Financial Stability.
[Full Text][Citation analysis]		article45
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: 45		paper
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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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]		article53
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: 53		paper
2014Equilibrium credit: The reference point for macroprudential supervisors In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article22
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: 22		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: 22		paper
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.
[Full Text][Citation analysis]		article53
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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This paper has nother version. Agregated cites: 6		paper
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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