Work in process and working papers
"Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models"
For an up-to-date list of current working papers, see: http://www.danielbuncic.com/research.html
Publications in refereed journals
(2017) "The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets", (with Katja Gisler). Journal of International Money and Finance, (in press)
(2017) "Macroeconomic Factors and Equity Premium Predictability", (with Martin Tischhauser). International Review of Economics and Finance, 51(September), 621-644.
(2017) "Measuring the Output Gap in Switzerland with Linear Opinion Pools", (with Oliver Müller). Economic Modelling, 64(August), 163-171.
(2016) "The Term Structure of Interest Rates in an estimated New Keynesian Policy Model", (with Philipp Lentner). Journal of Macroeconomics, 50(December), 126-150.
(2016) "Superforecasting: The Art and Science of Prediction, by Philip Tetlock and Dan Gardner", invited book review. Risks, 4(3),5.
(2016) "Global Equity Market Volatility Spillovers: A Broader Role for the United States", (with Katja Gisler). International Journal of Forecasting, 32(4), 1317-1339.
(2016) "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability", (with Gion Donat Piras). Journal of International Money and Finance, 60(February), 313-359.
(2015) "Forecasting Copper Prices with Dynamic Averaging and Selection Models", (with Carlo Moretto), North American Journal of Economics and Finance, 33(1), 1-38.
(2015) "Measuring Fund Style, Performance and Activity: A New Style Profiling Approach", (with Robert Hill and Jon Eggins), Accounting and Finance, 55(1), 29-55.
(2014) "Equilibrium Credit: The Reference Point for Macroprudential Supervisors", (with Martin Melecky). Journal of Banking and Finance, 41(4), 135-154.
(2013) "Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers", (with Martin Melecky), Journal of Financial Stability, 9(3), 347-370.
(2012) "Understanding forecast failure of ESTAR models of real exchange rates", Empirical Economics, 34(1), 399-426.
(2010) "The impact of ECB monetary policy decisions and communication on the yield curve", (with Claus Brand and Jarkko Turunen), Journal of the European Economic Association, 8(6), 1266-1298.
(2008) "An estimated New Keynesian Policy Model for Australia", (with Martin Melecky), The Economic Record, 84(264), 1-16.
(2006) "Bootstrap causality tests of the relationship between the equity markets of the U.S. and other developed countries: Pre- and post-September 11", (with Eduardo Roca and Abdulnasser Hatemi-J), Journal of Applied Business Research, 22(3), 65-74.
(2005) "The extent and stability of long-run relationships between stock prices: Evidence from the U.S., the U.K. and Australia", (with Eduardo Roca), Investment Management and Financial Innovations, 2(4), 80-94.
(2002) "Equity market price interdependence between Australia and the Asian Tigers", (with Eduardo Roca), International Journal of Business Studies, 10(2), 61-74.
"Appendix D - Structural Estimates of the Probability of a Banking Crisis at Different Levels of Capital " in: "Appropriate capital ratios in major Swedish banks – new perspectives", Staff Memo, May 2017, Sveriges Riksbank.
Recent Teaching (University of St. Gallen)
- Time Series Econometrics (Master's level course),
- Bayesian Econometrics: Applications in Economics and Finance (PhD & Master's level course),
- Linear Time Series Analysis (3rd year Bachelor level course),
- Further Topics in Regression (3rd year Bachelor level course).