9
H index
9
i10 index
417
Citations
Sveriges Riksbank | 9 H index 9 i10 index 417 Citations RESEARCH PRODUCTION: 16 Articles 26 Papers RESEARCH ACTIVITY: 17 years (2005 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pbu128 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of International Money and Finance | 2 |
Year | Title of citing document |
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2023 | Graph 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. Full description at Econpapers || Download paper |
2023 | Predicting 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Exploring 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. Full description at Econpapers || Download paper |
2023 | MEASURING 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. Full description at Econpapers || Download paper |
2023 | Breaking 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. Full description at Econpapers || Download paper |
2023 | The increased interest in Bitcoin and the immediate and long-term impact of Bitcoin volatility on global stock markets. (2023). Bazan-Palomino, Walter. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:1080-1095. Full description at Econpapers || Download paper |
2024 | Econometric 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. Full description at Econpapers || Download paper |
2023 | ECB 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. Full description at Econpapers || Download paper |
2024 | Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (2024). Teräsvirta, Timo ; Silvennoinen, Annastiina ; He, Changli ; Terasvirta, Timo ; Kang, Jian. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623002105. Full description at Econpapers || Download paper |
2023 | Predictability 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. Full description at Econpapers || Download paper |
2023 | Nonperforming loans and related lending: Evidence from Ukraine. (2023). Sohn, Wook ; Vyshnevskyi, Iegor. In: Emerging Markets Review. RePEc:eee:ememar:v:57:y:2023:i:c:s1566014123000742. Full description at Econpapers || Download paper |
2024 | Global contagion of US COVID-19 panic news. (2024). Ho, Young ; Park, Dojoon ; Kang, Yong Joo. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000116. Full description at Econpapers || Download paper |
2023 | Forecasting realized volatility with wavelet decomposition. (2023). Vivian, Andrew ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000993. Full description at Econpapers || Download paper |
2023 | Volatility 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. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2023 | Have 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. Full description at Econpapers || Download paper |
2023 | Discovering 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. Full description at Econpapers || Download paper |
2023 | International 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. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2023 | Stock market volatility predictability in a data-rich world: A new insight. (2023). Ma, Yuanhui ; Wahab, M. I. M., ; Wang, Jiqian. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1804-1819. Full description at Econpapers || Download paper |
2024 | Asset purchases and sovereign bond spreads in the euro area during the pandemic. (2024). Vangelista, Elisabetta ; Hudecz, Gergely ; Blotevogel, Robert. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001791. Full description at Econpapers || Download paper |
2023 | Commodity prices under the threat of operational disruptions: Labor strikes at copper mines. (2023). Wagner, Rodrigo ; Fernandez, Viviana ; Tapia-Grien, Pablo ; Pasten-Henriquez, Boris. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000557. Full description at Econpapers || Download paper |
2023 | Incorporating 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. Full description at Econpapers || Download paper |
2023 | Chinese 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. Full description at Econpapers || Download paper |
2023 | “Watch your tone!”: Forecasting mining industry commodity prices with financial report tone. (2023). Hardy, Nicolas ; Ferreira, Tiago ; Magner, Nicolas S ; Quinteros, Maria J. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009625. Full description at Econpapers || Download paper |
2024 | Is copper a safe haven for oil?. (2024). Lobon, Oana-Ramona ; Qin, Meng ; Song, Xin Yue ; Su, Chi Wei. In: Resources Policy. RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724002642. Full description at Econpapers || Download paper |
2024 | The forward premium anomaly and the currency carry trade hypothesis. (2024). Smyrnakis, Dimitris ; Tzavalis, Elias ; Elias, Nikolaos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:203-218. Full description at Econpapers || Download paper |
2023 | Sustainable 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. Full description at Econpapers || Download paper |
2023 | Stock 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. Full description at Econpapers || Download paper |
2024 | International commodity market and stock volatility predictability: Evidence from G7 countries. (2024). Ma, Feng ; Wang, Jiqian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:62-71. Full description at Econpapers || Download paper |
2023 | An 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. Full description at Econpapers || Download paper |
2023 | Macroeconomic 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. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Recovering stars in macroeconomics. (2023). Robinson, Tim ; Buncic, Daniel ; Pagan, Adrian. In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2023n12. Full description at Econpapers || Download paper |
2023 | Shifts 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. Full description at Econpapers || Download paper |
2023 | Not all ECB meetings are created equal. (2023). Tillmann, Peter ; Kandemir, Sinem. In: MAGKS Papers on Economics. RePEc:mar:magkse:202312. Full description at Econpapers || Download paper |
2024 | ÚvÄ›ry v selhánà a makroekonomika: Modelovánà systémového kreditnÃho rizika v ÄŒeské republice. (2014). Melecky, Ales ; Melecký, Martin ; Sulganova, Monika . In: MPRA Paper. RePEc:pra:mprapa:59917. Full description at Econpapers || Download paper |
2023 | Industry 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. Full description at Econpapers || Download paper |
2023 | Information 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. Full description at Econpapers || Download paper |
2023 | To Boost or Not to Boost? That is the Question. (2023). Pagan, Adrian ; Lu, YE. In: Working Papers. RePEc:syd:wpaper:2023-05. Full description at Econpapers || Download paper |
2024 | Forward Guidance and Credibility. (2024). Linta, Tanja. In: TSE Working Papers. RePEc:tse:wpaper:129332. Full description at Econpapers || Download paper |
2023 | Directly 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. Full description at Econpapers || Download paper |
2023 | Impact 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. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2020 | Econometric issues with Laubach and Williams estimates of the natural rate of interest In: Papers. [Full Text][Citation analysis] | paper | 3 |
2020 | Econometric issues with Laubach and Williams’ estimates of the natural rate of interest.(2020) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2022 | On a Standard Method for Measuring the Natural Rate of Interest In: Papers. [Full Text][Citation analysis] | paper | 2 |
2015 | Measuring fund style, performance and activity: a new style-profiling approach In: Accounting and Finance. [Full Text][Citation analysis] | article | 3 |
2008 | An Estimated New Keynesian Policy Model for Australia In: The Economic Record. [Full Text][Citation analysis] | article | 36 |
2007 | An estimated New Keynesian policy model for Australia.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2005 | An Estimated, New Keynesian Policy Model for Australia.(2005) In: Macroeconomics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2019 | Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 10 |
2017 | Identification 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 | |
2006 | The impact of ECB monetary policy decisions and communication on the yield curve In: Working Paper Series. [Full Text][Citation analysis] | paper | 145 |
2008 | The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve.(2008) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 145 | paper | |
2010 | The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve.(2010) In: Journal of the European Economic Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 145 | article | |
2017 | Measuring the output gap in Switzerland with linear opinion pools In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
2015 | Forecasting copper prices with dynamic averaging and selection models In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 43 |
2014 | Forecasting 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: 43 | paper | |
2013 | Macroprudential stress testing of credit risk: A practical approach for policy makers In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 41 |
2011 | Macroprudential 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 | |
2011 | Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers.(2011) In: Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
2012 | Macroprudential stress testing of credit risk : a practical approach for policy makers.(2012) In: Policy Research Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
2019 | Forecast ranked tailored equity portfolios In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 0 |
2018 | Forecast ranked tailored equity portfolios.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2016 | Global equity market volatility spillovers: A broader role for the United States In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 43 |
2015 | Global Equity Market Volatility Spillovers: A Broader Role for the United States.(2015) In: Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 43 | paper | |
2014 | Equilibrium credit: The reference point for macroprudential supervisors In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 20 |
2014 | Equilibrium Credit: The Reference Point for Macroprudential Supervisors.(2014) In: Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
2013 | Equilibrium credit : the reference point for macroprudential supervisors.(2013) In: Policy Research Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
2016 | Heterogeneous agents, the financial crisis and exchange rate predictability In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 13 |
2015 | Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability.(2015) In: Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2017 | The role of jumps and leverage in forecasting volatility in international equity markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 41 |
2016 | The term structure of interest rates in an estimated New Keynesian policy model In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 0 |
2017 | Macroeconomic factors and equity premium predictability In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 6 |
2015 | Macroeconomic Factors and Equity Premium Predictability.(2015) In: Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2009 | Understanding forecast failure of ESTAR models of real exchange rates In: EERI Research Paper Series. [Full Text][Citation analysis] | paper | 9 |
2009 | Understanding forecast failure in ESTAR models of real exchange rates.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2009 | Understanding forecast failure of ESTAR models of real exchange rates.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2012 | Understanding forecast failure of ESTAR models of real exchange rates.(2012) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
2022 | Discovering Stars: Problems in Recovering Latent Variables from Models In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 2 |
2016 | Superforecasting: The Art and Science of Prediction. By Philip Tetlock and Dan Gardner In: Risks. [Full Text][Citation analysis] | article | 0 |
2008 | A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006) In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2008 | A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006).(2008) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2010 | Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Mutual 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. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper |
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