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, 79(December), 1-19.
(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.
Journal of Applied Econometrics; Journal of Business and Economic Statistics; European Economic Review; Journal of Money, Credit, and Banking; International Journal of Forecasting; Studies in Nonlinear Dynamics and Econometrics; The Economic Record; Journal of Macroeconomics; Economics Letters; Empirical Economics; Economic Modelling; Journal of International Money and Finance; Oxford Economic Papers; Journal of Banking and Finance; International Economic Journal; Journal of Media Economics; International Review of Economics and Finance; Australian Economic Review; Journal of Common Market Studies; Emerging Markets Finance and Trade; North American Journal of Economics and Finance; Journal of Comparative Economics; Econometrics and Statistics; Journal of Asian Economics; IECON14; Quarterly Journal of Finance; Economic Systems.
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).