Details about Jozef Baruník
Access statistics for papers by Jozef Baruník.
Last updated 2024-09-05. Update your information in the RePEc Author Service.
Short-id: pba685
Jump to Journal Articles Books Chapters
Working Papers
2024
- Common Idiosyncratic Quantile Risk
Papers, arXiv.org
- Moderation or indulgence? Effects of bank distribution restrictions during stress
Bank of England working papers, Bank of England
- Predicting the distributions of stock returns around the globe in the era of big data and learning
Papers, arXiv.org
- Predicting the volatility of major energy commodity prices: the dynamic persistence model
Papers, arXiv.org
- Quantile Preferences in Portfolio Choice: A Q-DRL Approach to Dynamic Diversification
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
- Risks of heterogeneously persistent higher moments
Papers, arXiv.org
2023
- Common Firm-level Investor Fears: Evidence from Equity Options
Papers, arXiv.org
- Learning Probability Distributions of Day-Ahead Electricity Prices
Papers, arXiv.org View citations (1)
- Persistence in Financial Connectedness and Systemic Risk
Papers, arXiv.org View citations (2)
See also Journal Article Persistence in financial connectedness and systemic risk, European Journal of Operational Research, Elsevier (2024) View citations (3) (2024)
- The Dynamic Persistence of Economic Shocks
Papers, arXiv.org View citations (1)
2022
- Asymmetric network connectedness of fears
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (7)
Also in Papers, arXiv.org (2020) View citations (13)
See also Journal Article Asymmetric Network Connectedness of Fears, The Review of Economics and Statistics, MIT Press (2022) View citations (9) (2022)
- Learning Probability Distributions in Macroeconomics and Finance
Papers, arXiv.org View citations (2)
2021
- Currency Network Risk
Papers, arXiv.org
- Deep Learning, Predictability, and Optimal Portfolio Returns
Papers, arXiv.org View citations (2)
Also in CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague (2020) View citations (5)
- Dynamic industry uncertainty networks and the business cycle
Papers, arXiv.org View citations (1)
See also Journal Article Dynamic industry uncertainty networks and the business cycle, Journal of Economic Dynamics and Control, Elsevier (2024) View citations (2) (2024)
- Frequency-Dependent Higher Moment Risks
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
- Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices
Papers, arXiv.org 
See also Journal Article Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices*, Journal of Financial Econometrics, Oxford University Press (2023) (2023)
- Uncertainty Network Risk and Currency Returns
CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague
2020
- Dynamic Network Risk
Papers, arXiv.org View citations (2)
- Investment Disputes and Abnormal Volatility of Stocks
Papers, arXiv.org View citations (1)
2019
- Co-jumping of Treasury Yield Curve Rates
Papers, arXiv.org View citations (2)
See also Journal Article Co-Jumping of Treasury Yield Curve Rates, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2024) (2024)
- Forecasting dynamic return distributions based on ordered binary choice
Papers, arXiv.org View citations (6)
See also Journal Article Forecasting dynamic return distributions based on ordered binary choice, International Journal of Forecasting, Elsevier (2019) View citations (4) (2019)
- Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists
Papers, arXiv.org
- Tail Risks, Asset Prices, and Investment Horizons
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
- Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets
CESifo Working Paper Series, CESifo View citations (28)
Also in Papers, arXiv.org (2019) View citations (42)
See also Journal Article Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets, The Energy Journal (2019) View citations (4) (2019)
2018
- Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities
Papers, arXiv.org 
See also Journal Article Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities, Journal of Futures Markets, John Wiley & Sons, Ltd. (2019) View citations (3) (2019)
- Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables
Papers, arXiv.org View citations (3)
See also Journal Article Quantile coherency: A general measure for dependence between cyclical economic variables, The Econometrics Journal, Royal Economic Society (2019) View citations (101) (2019)
- Volatility Term Structure Modeling Using Nelson-Siegel Model
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
2017
- Asymmetric volatility connectedness on the forex market
KIER Working Papers, Kyoto University, Institute of Economic Research View citations (128)
Also in Papers, arXiv.org (2016) View citations (3)
See also Journal Article Asymmetric volatility connectedness on the forex market, Journal of International Money and Finance, Elsevier (2017) View citations (90) (2017)
- Common Cycles in Volatility and Cross Section of Stock Returns
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
- Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
Papers, arXiv.org View citations (21)
See also Journal Article Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets, Energy Economics, Elsevier (2017) View citations (20) (2017)
- Do co-jumps impact correlations in currency markets?
Papers, arXiv.org 
See also Journal Article Do co-jumps impact correlations in currency markets?, Journal of Financial Markets, Elsevier (2018) View citations (12) (2018)
- Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (2)
Also in Papers, arXiv.org (2017) View citations (1)
- Measuring the frequency dynamics of financial connectedness and systemic risk
Papers, arXiv.org View citations (10)
See also Journal Article Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk, Journal of Financial Econometrics, Oxford University Press (2018) View citations (428) (2018)
2016
- Estimation of financial agent-based models with simulated maximum likelihood
FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents View citations (22)
See also Journal Article Estimation of financial agent-based models with simulated maximum likelihood, Journal of Economic Dynamics and Control, Elsevier (2017) View citations (45) (2017)
- Measuring the frequency dynamics of financial and macroeconomic connectedness
FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents View citations (15)
- Modeling and forecasting exchange rate volatility in time-frequency domain
FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents View citations (50)
Also in Papers, arXiv.org (2015) View citations (6)
See also Journal Article Modeling and forecasting exchange rate volatility in time-frequency domain, European Journal of Operational Research, Elsevier (2016) View citations (50) (2016)
- Simulated ML Estimation of Financial Agent-Based Models
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (4)
2015
- Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data
Papers, arXiv.org View citations (39)
Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2015) View citations (41)
See also Journal Article Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data, Energy Economics, Elsevier (2015) View citations (40) (2015)
- Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
CESifo Working Paper Series, CESifo View citations (7)
Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) View citations (3) Papers, arXiv.org (2014) View citations (7)
See also Journal Article Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers, Journal of Financial Markets, Elsevier (2016) View citations (183) (2016)
- Estimation of long memory in volatility using wavelets
FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents 
Also in Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2014) 
See also Journal Article Estimation of long memory in volatility using wavelets, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2017) View citations (1) (2017)
- Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies 
Also in Papers, arXiv.org (2015) View citations (1)
See also Journal Article Forecasting the term structure of crude oil futures prices with neural networks, Applied Energy, Elsevier (2016) View citations (19) (2016)
- Gold, Oil, and Stocks: Dynamic Correlations
CESifo Working Paper Series, CESifo View citations (5)
Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014)  Papers, arXiv.org (2014) View citations (12)
See also Journal Article Gold, oil, and stocks: Dynamic correlations, International Review of Economics & Finance, Elsevier (2016) View citations (75) (2016)
- Modeling and forecasting persistent financial durations
FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents View citations (2)
Also in Papers, arXiv.org (2013) 
See also Journal Article Modeling and forecasting persistent financial durations, Econometric Reviews, Taylor & Francis Journals (2017) View citations (6) (2017)
- Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression
FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents
- Volatility spillovers across petroleum markets
William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan View citations (69)
Also in Papers, arXiv.org (2014) View citations (1)
See also Journal Article Volatility Spillovers Across Petroleum Markets, The Energy Journal (2016) (2016)
2014
- Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (2)
- On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (3)
See also Journal Article On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model, Journal of Forecasting, John Wiley & Sons, Ltd. (2017) View citations (15) (2017)
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents View citations (3)
Also in Papers, arXiv.org (2013) View citations (4)
See also Journal Article Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, Quantitative Finance, Taylor & Francis Journals (2015) View citations (22) (2015)
- Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents 
Also in Papers, arXiv.org (2013) 
See also Journal Article Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility, Quantitative Finance, Taylor & Francis Journals (2015) View citations (11) (2015)
- Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents View citations (8)
Also in Papers, arXiv.org (2013) View citations (1)
See also Journal Article Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility, Journal of Financial Econometrics, Oxford University Press (2016) View citations (10) (2016)
2013
- Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
Papers, arXiv.org View citations (14)
See also Journal Article Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment, Physica A: Statistical Mechanics and its Applications, Elsevier (2013) View citations (11) (2013)
- Can we still benefit from international diversification? The case of the Czech and German stock markets
Papers, arXiv.org View citations (5)
See also Journal Article Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets, Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences (2013) View citations (5) (2013)
- Contagion among Central and Eastern European stock markets during the financial crisis
Papers, arXiv.org View citations (16)
See also Journal Article Contagion among Central and Eastern European Stock Markets during the Financial Crisis, Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences (2013) View citations (16) (2013)
- Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression
Papers, arXiv.org View citations (2)
2012
- Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
Papers, arXiv.org View citations (239)
See also Journal Article Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis, Energy Economics, Elsevier (2012) View citations (255) (2012)
- Monte Carlo-based tail exponent estimator
Papers, arXiv.org 
Also in Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2010) View citations (2)
See also Journal Article Monte Carlo-based tail exponent estimator, Physica A: Statistical Mechanics and its Applications, Elsevier (2010) View citations (2) (2010)
- On Hurst exponent estimation under heavy-tailed distributions
Papers, arXiv.org View citations (18)
See also Journal Article On Hurst exponent estimation under heavy-tailed distributions, Physica A: Statistical Mechanics and its Applications, Elsevier (2010) View citations (108) (2010)
- Understanding the source of multifractality in financial markets
Papers, arXiv.org View citations (67)
See also Journal Article Understanding the source of multifractality in financial markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2012) View citations (59) (2012)
2011
- Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests
Working Papers, Czech National Bank, Research and Statistics Department View citations (5)
- Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (14)
2010
- Tail Behavior of the Central European Stock Markets during the Financial Crisis
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (1)
See also Journal Article Tail Behavior of the Central European Stock Markets during the Financial Crisis, Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2010) (2010)
2009
- Wavelet Analysis of Central European Stock Market Behaviour During the Crisis
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (1)
Journal Articles
2024
- Co-Jumping of Treasury Yield Curve Rates
Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (3), 481-506 
See also Working Paper Co-jumping of Treasury Yield Curve Rates, Papers (2019) View citations (2) (2019)
- Dynamic industry uncertainty networks and the business cycle
Journal of Economic Dynamics and Control, 2024, 159, (C) View citations (2)
See also Working Paper Dynamic industry uncertainty networks and the business cycle, Papers (2021) View citations (1) (2021)
- Fan charts in era of big data and learning
Finance Research Letters, 2024, 61, (C)
- Persistence in financial connectedness and systemic risk
European Journal of Operational Research, 2024, 314, (1), 393-407 View citations (3)
See also Working Paper Persistence in Financial Connectedness and Systemic Risk, Papers (2023) View citations (2) (2023)
2023
- Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices*
Journal of Financial Econometrics, 2023, 21, (5), 1590-1646 
See also Working Paper Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices, Papers (2021) (2021)
2022
- Asymmetric Network Connectedness of Fears
The Review of Economics and Statistics, 2022, 104, (6), 1304-1316 View citations (9)
See also Working Paper Asymmetric network connectedness of fears, LSE Research Online Documents on Economics (2022) View citations (7) (2022)
2021
- Measurement of common risks in tails: A panel quantile regression model for financial returns
Journal of Financial Markets, 2021, 52, (C) View citations (9)
2019
- Forecasting dynamic return distributions based on ordered binary choice
International Journal of Forecasting, 2019, 35, (3), 823-835 View citations (4)
See also Working Paper Forecasting dynamic return distributions based on ordered binary choice, Papers (2019) View citations (6) (2019)
- Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities
Journal of Futures Markets, 2019, 39, (9), 1167-1189 View citations (3)
See also Working Paper Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities, Papers (2018) (2018)
- Quantile coherency: A general measure for dependence between cyclical economic variables
The Econometrics Journal, 2019, 22, (2), 131-152 View citations (101)
See also Working Paper Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables, Papers (2018) View citations (3) (2018)
- Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets
The Energy Journal, 2019, 40, (2_suppl), 157-174 View citations (4)
See also Working Paper Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets, CESifo Working Paper Series (2019) View citations (28) (2019)
2018
- Do co-jumps impact correlations in currency markets?
Journal of Financial Markets, 2018, 37, (C), 97-119 View citations (12)
See also Working Paper Do co-jumps impact correlations in currency markets?, Papers (2017) (2017)
- Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk
Journal of Financial Econometrics, 2018, 16, (2), 271-296 View citations (428)
See also Working Paper Measuring the frequency dynamics of financial connectedness and systemic risk, Papers (2017) View citations (10) (2017)
2017
- A semiparametric nonlinear quantile regression model for financial returns
Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 81-97 View citations (3)
- Asymmetric volatility connectedness on the forex market
Journal of International Money and Finance, 2017, 77, (C), 39-56 View citations (90)
See also Working Paper Asymmetric volatility connectedness on the forex market, KIER Working Papers (2017) View citations (128) (2017)
- Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
Energy Economics, 2017, 65, (C), 208-218 View citations (20)
See also Working Paper Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets, Papers (2017) View citations (21) (2017)
- Estimation of financial agent-based models with simulated maximum likelihood
Journal of Economic Dynamics and Control, 2017, 85, (C), 21-45 View citations (45)
See also Working Paper Estimation of financial agent-based models with simulated maximum likelihood, FinMaP-Working Papers (2016) View citations (22) (2016)
- Estimation of long memory in volatility using wavelets
Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (3), 22 View citations (1)
See also Working Paper Estimation of long memory in volatility using wavelets, FinMaP-Working Papers (2015) (2015)
- Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?
Energy Economics, 2017, 66, (C), 108-115 View citations (54)
- Modeling and forecasting persistent financial durations
Econometric Reviews, 2017, 36, (10), 1081-1110 View citations (6)
See also Working Paper Modeling and forecasting persistent financial durations, FinMaP-Working Papers (2015) View citations (2) (2015)
- On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model
Journal of Forecasting, 2017, 36, (2), 181-206 View citations (15)
See also Working Paper On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model, Working Papers IES (2014) View citations (3) (2014)
2016
- Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
Journal of Financial Markets, 2016, 27, (C), 55-78 View citations (183)
See also Working Paper Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover, CESifo Working Paper Series (2015) View citations (7) (2015)
- Forecasting the term structure of crude oil futures prices with neural networks
Applied Energy, 2016, 164, (C), 366-379 View citations (19)
See also Working Paper Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks, Working Papers IES (2015) (2015)
- Gold, oil, and stocks: Dynamic correlations
International Review of Economics & Finance, 2016, 42, (C), 186-201 View citations (75)
See also Working Paper Gold, Oil, and Stocks: Dynamic Correlations, CESifo Working Paper Series (2015) View citations (5) (2015)
- Modeling and forecasting exchange rate volatility in time-frequency domain
European Journal of Operational Research, 2016, 251, (1), 329-340 View citations (50)
See also Working Paper Modeling and forecasting exchange rate volatility in time-frequency domain, FinMaP-Working Papers (2016) View citations (50) (2016)
- Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression
Economic Modelling, 2016, 54, (C), 503-514 View citations (4)
- Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility
Journal of Financial Econometrics, 2016, 14, (1), 185-226 View citations (10)
See also Working Paper Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility, FinMaP-Working Papers (2014) View citations (8) (2014)
- Volatility Spillovers Across Petroleum Markets
The Energy Journal, 2016, 37, (1), 136-158 
Also in The Energy Journal, 2015, Volume 36, (Number 3) (2015) View citations (83)
See also Working Paper Volatility spillovers across petroleum markets, William Davidson Institute Working Papers Series (2015) View citations (69) (2015)
2015
- An empirical model of fractionally cointegrated daily high and low stock market prices
Economic Modelling, 2015, 45, (C), 193-206 View citations (13)
- Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data
Energy Economics, 2015, 51, (C), 31-44 View citations (40)
See also Working Paper Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data, Papers (2015) View citations (39) (2015)
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
Quantitative Finance, 2015, 15, (8), 1347-1364 View citations (22)
See also Working Paper Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, FinMaP-Working Papers (2014) View citations (3) (2014)
- Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
Quantitative Finance, 2015, 15, (6), 959-973 View citations (11)
See also Working Paper Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility, FinMaP-Working Papers (2014) (2014)
2014
- Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests
International Journal of Central Banking, 2014, 10, (1), 159-188 View citations (27)
2013
- Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment
Physica A: Statistical Mechanics and its Applications, 2013, 392, (23), 5920-5938 View citations (11)
See also Working Paper Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment, Papers (2013) View citations (14) (2013)
- Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets
Czech Journal of Economics and Finance (Finance a uver), 2013, 63, (5), 425-442 View citations (5)
See also Working Paper Can we still benefit from international diversification? The case of the Czech and German stock markets, Papers (2013) View citations (5) (2013)
- Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?
ACTA VSFS, 2013, 7, (1), 6-30
- Contagion among Central and Eastern European Stock Markets during the Financial Crisis
Czech Journal of Economics and Finance (Finance a uver), 2013, 63, (5), 443-453 View citations (16)
See also Working Paper Contagion among Central and Eastern European stock markets during the financial crisis, Papers (2013) View citations (16) (2013)
- Editorial to the Special Issue on Financial Markets in Central Europe
Czech Journal of Economics and Finance (Finance a uver), 2013, 63, (5), 406-406
2012
- Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
Energy Economics, 2012, 34, (1), 241-247 View citations (255)
See also Working Paper Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis, Papers (2012) View citations (239) (2012)
- How do skilled traders change the structure of the market
International Review of Financial Analysis, 2012, 23, (C), 66-71 View citations (5)
- Understanding the source of multifractality in financial markets
Physica A: Statistical Mechanics and its Applications, 2012, 391, (17), 4234-4251 View citations (59)
See also Working Paper Understanding the source of multifractality in financial markets, Papers (2012) View citations (67) (2012)
2010
- Monte Carlo-based tail exponent estimator
Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4863-4874 View citations (2)
See also Working Paper Monte Carlo-based tail exponent estimator, Papers (2012) (2012)
- On Hurst exponent estimation under heavy-tailed distributions
Physica A: Statistical Mechanics and its Applications, 2010, 389, (18), 3844-3855 View citations (108)
See also Working Paper On Hurst exponent estimation under heavy-tailed distributions, Papers (2012) View citations (18) (2012)
- Tail Behavior of the Central European Stock Markets during the Financial Crisis
Czech Economic Review, 2010, 4, (3), 281-294 
See also Working Paper Tail Behavior of the Central European Stock Markets during the Financial Crisis, Working Papers IES (2010) View citations (1) (2010)
- Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc
(Influence of Different Ownership Forms on Efficiency of Czech and Slovak Banks: Stochastic Frontier Approach)
Politická ekonomie, 2010, 2010, (2), 207-224 View citations (2)
2009
- Can a stochastic cusp catastrophe model explain stock market crashes?
Journal of Economic Dynamics and Control, 2009, 33, (10), 1824-1836 View citations (3)
- Smart Agents and Sentiment in the Heterogeneous Agent Model
Prague Economic Papers, 2009, 2009, (3), 209-219 View citations (2)
- Smart predictors in the heterogeneous agent model
Journal of Economic Interaction and Coordination, 2009, 4, (2), 163-172 View citations (8)
2008
- How Do Neural Networks Enhance the Predictability of Central European Stock Returns?
Czech Journal of Economics and Finance (Finance a uver), 2008, 58, (07-08), 358-376 View citations (1)
- Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof
(Stock market crashes modeling: stochastic cusp catastrophe application)
Politická ekonomie, 2008, 2008, (6), 759-771
Books
2012
- Macroeconomic Forecasting: Methods, Accuracy and Coordination, vol 10
Occasional Publications - Edited Volumes, Czech National Bank, Research and Statistics Department
Chapters
2014
- Wavelet-Based Correlation Analysis of the Key Traded Assets
Springer
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|