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Details about Jozef Baruník

E-mail:
Homepage:https://barunik.github.io
Workplace:Institut ekonomických studií (Institute of Economic Studies), Univerzita Karlova v Praze (Charles University), (more information at EDIRC)
Ústav teorie informace a automatizace (ÚTIA) (Institute of Information Theory and Automation), Akademie věd České Republiky (Academy of Sciences), (more information at EDIRC)

Access statistics for papers by Jozef Baruník.

Last updated 2024-09-05. Update your information in the RePEc Author Service.

Short-id: pba685


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Working Papers

2024

  1. Common Idiosyncratic Quantile Risk
    Papers, arXiv.org Downloads
  2. Moderation or indulgence? Effects of bank distribution restrictions during stress
    Bank of England working papers, Bank of England Downloads
  3. Predicting the distributions of stock returns around the globe in the era of big data and learning
    Papers, arXiv.org Downloads
  4. Predicting the volatility of major energy commodity prices: the dynamic persistence model
    Papers, arXiv.org Downloads
  5. 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 Downloads
  6. Risks of heterogeneously persistent higher moments
    Papers, arXiv.org Downloads

2023

  1. Common Firm-level Investor Fears: Evidence from Equity Options
    Papers, arXiv.org Downloads
  2. Learning Probability Distributions of Day-Ahead Electricity Prices
    Papers, arXiv.org Downloads View citations (1)
  3. Persistence in Financial Connectedness and Systemic Risk
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article Persistence in financial connectedness and systemic risk, European Journal of Operational Research, Elsevier (2024) Downloads View citations (3) (2024)
  4. The Dynamic Persistence of Economic Shocks
    Papers, arXiv.org Downloads View citations (1)

2022

  1. Asymmetric network connectedness of fears
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (7)
    Also in Papers, arXiv.org (2020) Downloads View citations (13)

    See also Journal Article Asymmetric Network Connectedness of Fears, The Review of Economics and Statistics, MIT Press (2022) Downloads View citations (9) (2022)
  2. Learning Probability Distributions in Macroeconomics and Finance
    Papers, arXiv.org Downloads View citations (2)

2021

  1. Currency Network Risk
    Papers, arXiv.org Downloads
  2. Deep Learning, Predictability, and Optimal Portfolio Returns
    Papers, arXiv.org Downloads View citations (2)
    Also in CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague (2020) Downloads View citations (5)
  3. Dynamic industry uncertainty networks and the business cycle
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Dynamic industry uncertainty networks and the business cycle, Journal of Economic Dynamics and Control, Elsevier (2024) Downloads View citations (2) (2024)
  4. Frequency-Dependent Higher Moment Risks
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads
  5. Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices
    Papers, arXiv.org Downloads
    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) Downloads (2023)
  6. Uncertainty Network Risk and Currency Returns
    CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague Downloads

2020

  1. Dynamic Network Risk
    Papers, arXiv.org Downloads View citations (2)
  2. Investment Disputes and Abnormal Volatility of Stocks
    Papers, arXiv.org Downloads View citations (1)

2019

  1. Co-jumping of Treasury Yield Curve Rates
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article Co-Jumping of Treasury Yield Curve Rates, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2024) Downloads (2024)
  2. Forecasting dynamic return distributions based on ordered binary choice
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article Forecasting dynamic return distributions based on ordered binary choice, International Journal of Forecasting, Elsevier (2019) Downloads View citations (4) (2019)
  3. Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists
    Papers, arXiv.org Downloads
  4. Tail Risks, Asset Prices, and Investment Horizons
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads
  5. Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets
    CESifo Working Paper Series, CESifo Downloads View citations (28)
    Also in Papers, arXiv.org (2019) Downloads View citations (42)

    See also Journal Article Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets, The Energy Journal (2019) Downloads View citations (4) (2019)

2018

  1. Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities
    Papers, arXiv.org Downloads
    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) Downloads View citations (3) (2019)
  2. Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables
    Papers, arXiv.org Downloads 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) Downloads View citations (101) (2019)
  3. Volatility Term Structure Modeling Using Nelson-Siegel Model
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads

2017

  1. Asymmetric volatility connectedness on the forex market
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (128)
    Also in Papers, arXiv.org (2016) Downloads View citations (3)

    See also Journal Article Asymmetric volatility connectedness on the forex market, Journal of International Money and Finance, Elsevier (2017) Downloads View citations (90) (2017)
  2. Common Cycles in Volatility and Cross Section of Stock Returns
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads
  3. Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
    Papers, arXiv.org Downloads 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) Downloads View citations (20) (2017)
  4. Do co-jumps impact correlations in currency markets?
    Papers, arXiv.org Downloads
    See also Journal Article Do co-jumps impact correlations in currency markets?, Journal of Financial Markets, Elsevier (2018) Downloads View citations (12) (2018)
  5. 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 Downloads View citations (2)
    Also in Papers, arXiv.org (2017) Downloads View citations (1)
  6. Measuring the frequency dynamics of financial connectedness and systemic risk
    Papers, arXiv.org Downloads 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) Downloads View citations (428) (2018)

2016

  1. 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 Downloads 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) Downloads View citations (45) (2017)
  2. 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 Downloads View citations (15)
  3. 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 Downloads View citations (50)
    Also in Papers, arXiv.org (2015) Downloads View citations (6)

    See also Journal Article Modeling and forecasting exchange rate volatility in time-frequency domain, European Journal of Operational Research, Elsevier (2016) Downloads View citations (50) (2016)
  4. Simulated ML Estimation of Financial Agent-Based Models
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads View citations (4)

2015

  1. Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data
    Papers, arXiv.org Downloads View citations (39)
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2015) Downloads 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) Downloads View citations (40) (2015)
  2. Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
    CESifo Working Paper Series, CESifo Downloads View citations (7)
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) Downloads View citations (3)
    Papers, arXiv.org (2014) Downloads 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) Downloads View citations (183) (2016)
  3. 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 Downloads
    Also in Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2014) Downloads

    See also Journal Article Estimation of long memory in volatility using wavelets, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2017) Downloads View citations (1) (2017)
  4. 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 Downloads
    Also in Papers, arXiv.org (2015) Downloads View citations (1)

    See also Journal Article Forecasting the term structure of crude oil futures prices with neural networks, Applied Energy, Elsevier (2016) Downloads View citations (19) (2016)
  5. Gold, Oil, and Stocks: Dynamic Correlations
    CESifo Working Paper Series, CESifo Downloads View citations (5)
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) Downloads
    Papers, arXiv.org (2014) Downloads View citations (12)

    See also Journal Article Gold, oil, and stocks: Dynamic correlations, International Review of Economics & Finance, Elsevier (2016) Downloads View citations (75) (2016)
  6. Modeling and forecasting persistent financial durations
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads View citations (2)
    Also in Papers, arXiv.org (2013) Downloads

    See also Journal Article Modeling and forecasting persistent financial durations, Econometric Reviews, Taylor & Francis Journals (2017) Downloads View citations (6) (2017)
  7. 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 Downloads
  8. Volatility spillovers across petroleum markets
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan Downloads View citations (69)
    Also in Papers, arXiv.org (2014) Downloads View citations (1)

    See also Journal Article Volatility Spillovers Across Petroleum Markets, The Energy Journal (2016) Downloads (2016)

2014

  1. 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 Downloads View citations (2)
  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 Downloads 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) Downloads View citations (15) (2017)
  3. 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 Downloads View citations (3)
    Also in Papers, arXiv.org (2013) Downloads 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) Downloads View citations (22) (2015)
  4. 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 Downloads
    Also in Papers, arXiv.org (2013) Downloads

    See also Journal Article Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility, Quantitative Finance, Taylor & Francis Journals (2015) Downloads View citations (11) (2015)
  5. 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 Downloads View citations (8)
    Also in Papers, arXiv.org (2013) Downloads 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) Downloads View citations (10) (2016)

2013

  1. Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
    Papers, arXiv.org Downloads 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) Downloads View citations (11) (2013)
  2. Can we still benefit from international diversification? The case of the Czech and German stock markets
    Papers, arXiv.org Downloads 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) Downloads View citations (5) (2013)
  3. Contagion among Central and Eastern European stock markets during the financial crisis
    Papers, arXiv.org Downloads 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) Downloads View citations (16) (2013)
  4. Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression
    Papers, arXiv.org Downloads View citations (2)

2012

  1. Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
    Papers, arXiv.org Downloads View citations (239)
    See also Journal Article Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis, Energy Economics, Elsevier (2012) Downloads View citations (255) (2012)
  2. Monte Carlo-based tail exponent estimator
    Papers, arXiv.org Downloads
    Also in Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2010) Downloads View citations (2)

    See also Journal Article Monte Carlo-based tail exponent estimator, Physica A: Statistical Mechanics and its Applications, Elsevier (2010) Downloads View citations (2) (2010)
  3. On Hurst exponent estimation under heavy-tailed distributions
    Papers, arXiv.org Downloads View citations (18)
    See also Journal Article On Hurst exponent estimation under heavy-tailed distributions, Physica A: Statistical Mechanics and its Applications, Elsevier (2010) Downloads View citations (108) (2010)
  4. Understanding the source of multifractality in financial markets
    Papers, arXiv.org Downloads View citations (67)
    See also Journal Article Understanding the source of multifractality in financial markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2012) Downloads View citations (59) (2012)

2011

  1. Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests
    Working Papers, Czech National Bank, Research and Statistics Department Downloads View citations (5)
  2. 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 Downloads View citations (14)

2010

  1. 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 Downloads 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) Downloads (2010)

2009

  1. 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 Downloads View citations (1)

Journal Articles

2024

  1. Co-Jumping of Treasury Yield Curve Rates
    Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (3), 481-506 Downloads
    See also Working Paper Co-jumping of Treasury Yield Curve Rates, Papers (2019) Downloads View citations (2) (2019)
  2. Dynamic industry uncertainty networks and the business cycle
    Journal of Economic Dynamics and Control, 2024, 159, (C) Downloads View citations (2)
    See also Working Paper Dynamic industry uncertainty networks and the business cycle, Papers (2021) Downloads View citations (1) (2021)
  3. Fan charts in era of big data and learning
    Finance Research Letters, 2024, 61, (C) Downloads
  4. Persistence in financial connectedness and systemic risk
    European Journal of Operational Research, 2024, 314, (1), 393-407 Downloads View citations (3)
    See also Working Paper Persistence in Financial Connectedness and Systemic Risk, Papers (2023) Downloads View citations (2) (2023)

2023

  1. Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices*
    Journal of Financial Econometrics, 2023, 21, (5), 1590-1646 Downloads
    See also Working Paper Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices, Papers (2021) Downloads (2021)

2022

  1. Asymmetric Network Connectedness of Fears
    The Review of Economics and Statistics, 2022, 104, (6), 1304-1316 Downloads View citations (9)
    See also Working Paper Asymmetric network connectedness of fears, LSE Research Online Documents on Economics (2022) Downloads View citations (7) (2022)

2021

  1. Measurement of common risks in tails: A panel quantile regression model for financial returns
    Journal of Financial Markets, 2021, 52, (C) Downloads View citations (9)

2019

  1. Forecasting dynamic return distributions based on ordered binary choice
    International Journal of Forecasting, 2019, 35, (3), 823-835 Downloads View citations (4)
    See also Working Paper Forecasting dynamic return distributions based on ordered binary choice, Papers (2019) Downloads View citations (6) (2019)
  2. Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities
    Journal of Futures Markets, 2019, 39, (9), 1167-1189 Downloads View citations (3)
    See also Working Paper Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities, Papers (2018) Downloads (2018)
  3. Quantile coherency: A general measure for dependence between cyclical economic variables
    The Econometrics Journal, 2019, 22, (2), 131-152 Downloads View citations (101)
    See also Working Paper Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables, Papers (2018) Downloads View citations (3) (2018)
  4. Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets
    The Energy Journal, 2019, 40, (2_suppl), 157-174 Downloads View citations (4)
    See also Working Paper Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets, CESifo Working Paper Series (2019) Downloads View citations (28) (2019)

2018

  1. Do co-jumps impact correlations in currency markets?
    Journal of Financial Markets, 2018, 37, (C), 97-119 Downloads View citations (12)
    See also Working Paper Do co-jumps impact correlations in currency markets?, Papers (2017) Downloads (2017)
  2. Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk
    Journal of Financial Econometrics, 2018, 16, (2), 271-296 Downloads View citations (428)
    See also Working Paper Measuring the frequency dynamics of financial connectedness and systemic risk, Papers (2017) Downloads View citations (10) (2017)

2017

  1. A semiparametric nonlinear quantile regression model for financial returns
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 81-97 Downloads View citations (3)
  2. Asymmetric volatility connectedness on the forex market
    Journal of International Money and Finance, 2017, 77, (C), 39-56 Downloads View citations (90)
    See also Working Paper Asymmetric volatility connectedness on the forex market, KIER Working Papers (2017) Downloads View citations (128) (2017)
  3. Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
    Energy Economics, 2017, 65, (C), 208-218 Downloads View citations (20)
    See also Working Paper Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets, Papers (2017) Downloads View citations (21) (2017)
  4. Estimation of financial agent-based models with simulated maximum likelihood
    Journal of Economic Dynamics and Control, 2017, 85, (C), 21-45 Downloads View citations (45)
    See also Working Paper Estimation of financial agent-based models with simulated maximum likelihood, FinMaP-Working Papers (2016) Downloads View citations (22) (2016)
  5. Estimation of long memory in volatility using wavelets
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (3), 22 Downloads View citations (1)
    See also Working Paper Estimation of long memory in volatility using wavelets, FinMaP-Working Papers (2015) Downloads (2015)
  6. Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?
    Energy Economics, 2017, 66, (C), 108-115 Downloads View citations (54)
  7. Modeling and forecasting persistent financial durations
    Econometric Reviews, 2017, 36, (10), 1081-1110 Downloads View citations (6)
    See also Working Paper Modeling and forecasting persistent financial durations, FinMaP-Working Papers (2015) Downloads View citations (2) (2015)
  8. On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model
    Journal of Forecasting, 2017, 36, (2), 181-206 Downloads View citations (15)
    See also Working Paper On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model, Working Papers IES (2014) Downloads View citations (3) (2014)

2016

  1. Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
    Journal of Financial Markets, 2016, 27, (C), 55-78 Downloads 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) Downloads View citations (7) (2015)
  2. Forecasting the term structure of crude oil futures prices with neural networks
    Applied Energy, 2016, 164, (C), 366-379 Downloads View citations (19)
    See also Working Paper Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks, Working Papers IES (2015) Downloads (2015)
  3. Gold, oil, and stocks: Dynamic correlations
    International Review of Economics & Finance, 2016, 42, (C), 186-201 Downloads View citations (75)
    See also Working Paper Gold, Oil, and Stocks: Dynamic Correlations, CESifo Working Paper Series (2015) Downloads View citations (5) (2015)
  4. Modeling and forecasting exchange rate volatility in time-frequency domain
    European Journal of Operational Research, 2016, 251, (1), 329-340 Downloads View citations (50)
    See also Working Paper Modeling and forecasting exchange rate volatility in time-frequency domain, FinMaP-Working Papers (2016) Downloads View citations (50) (2016)
  5. Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression
    Economic Modelling, 2016, 54, (C), 503-514 Downloads View citations (4)
  6. Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility
    Journal of Financial Econometrics, 2016, 14, (1), 185-226 Downloads View citations (10)
    See also Working Paper Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility, FinMaP-Working Papers (2014) Downloads View citations (8) (2014)
  7. Volatility Spillovers Across Petroleum Markets
    The Energy Journal, 2016, 37, (1), 136-158 Downloads
    Also in The Energy Journal, 2015, Volume 36, (Number 3) (2015) Downloads View citations (83)

    See also Working Paper Volatility spillovers across petroleum markets, William Davidson Institute Working Papers Series (2015) Downloads View citations (69) (2015)

2015

  1. An empirical model of fractionally cointegrated daily high and low stock market prices
    Economic Modelling, 2015, 45, (C), 193-206 Downloads View citations (13)
  2. Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data
    Energy Economics, 2015, 51, (C), 31-44 Downloads 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) Downloads View citations (39) (2015)
  3. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
    Quantitative Finance, 2015, 15, (8), 1347-1364 Downloads 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) Downloads View citations (3) (2014)
  4. Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
    Quantitative Finance, 2015, 15, (6), 959-973 Downloads 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) Downloads (2014)

2014

  1. 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 Downloads View citations (27)

2013

  1. 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 Downloads View citations (11)
    See also Working Paper Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment, Papers (2013) Downloads View citations (14) (2013)
  2. 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 Downloads 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) Downloads View citations (5) (2013)
  3. Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?
    ACTA VSFS, 2013, 7, (1), 6-30 Downloads
  4. 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 Downloads View citations (16)
    See also Working Paper Contagion among Central and Eastern European stock markets during the financial crisis, Papers (2013) Downloads View citations (16) (2013)
  5. 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 Downloads

2012

  1. Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
    Energy Economics, 2012, 34, (1), 241-247 Downloads View citations (255)
    See also Working Paper Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis, Papers (2012) Downloads View citations (239) (2012)
  2. How do skilled traders change the structure of the market
    International Review of Financial Analysis, 2012, 23, (C), 66-71 Downloads View citations (5)
  3. Understanding the source of multifractality in financial markets
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (17), 4234-4251 Downloads View citations (59)
    See also Working Paper Understanding the source of multifractality in financial markets, Papers (2012) Downloads View citations (67) (2012)

2010

  1. Monte Carlo-based tail exponent estimator
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4863-4874 Downloads View citations (2)
    See also Working Paper Monte Carlo-based tail exponent estimator, Papers (2012) Downloads (2012)
  2. On Hurst exponent estimation under heavy-tailed distributions
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (18), 3844-3855 Downloads View citations (108)
    See also Working Paper On Hurst exponent estimation under heavy-tailed distributions, Papers (2012) Downloads View citations (18) (2012)
  3. Tail Behavior of the Central European Stock Markets during the Financial Crisis
    Czech Economic Review, 2010, 4, (3), 281-294 Downloads
    See also Working Paper Tail Behavior of the Central European Stock Markets during the Financial Crisis, Working Papers IES (2010) Downloads View citations (1) (2010)
  4. 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 Downloads View citations (2)

2009

  1. Can a stochastic cusp catastrophe model explain stock market crashes?
    Journal of Economic Dynamics and Control, 2009, 33, (10), 1824-1836 Downloads View citations (3)
  2. Smart Agents and Sentiment in the Heterogeneous Agent Model
    Prague Economic Papers, 2009, 2009, (3), 209-219 Downloads View citations (2)
  3. Smart predictors in the heterogeneous agent model
    Journal of Economic Interaction and Coordination, 2009, 4, (2), 163-172 Downloads View citations (8)

2008

  1. 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 Downloads View citations (1)
  2. Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof
    (Stock market crashes modeling: stochastic cusp catastrophe application)
    Politická ekonomie, 2008, 2008, (6), 759-771 Downloads

Books

2012

  1. Macroeconomic Forecasting: Methods, Accuracy and Coordination, vol 10
    Occasional Publications - Edited Volumes, Czech National Bank, Research and Statistics Department Downloads

Chapters

2014

  1. Wavelet-Based Correlation Analysis of the Key Traded Assets
    Springer
 
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