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Details about Jozef Baruník

E-mail:
Homepage:http://staff.utia.cas.cz/barunik/
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 2019-08-18. Update your information in the RePEc Author Service.

Short-id: pba685


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Working Papers

2019

  1. Co-jumping of Treasury Yield Curve Rates
    Papers, arXiv.org Downloads
  2. Forecasting dynamic return distributions based on ordered binary choice
    Papers, arXiv.org Downloads
    See also Journal Article in International Journal of Forecasting (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
    Also in Papers, arXiv.org (2018) Downloads
  5. Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Papers, arXiv.org (2019) Downloads

2018

  1. Asymmetric Connectedness of Fears in the U.S. Financial Sector
    Papers, arXiv.org Downloads
  2. Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Futures Markets (2019)
  3. Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables
    Papers, arXiv.org Downloads View citations (3)
  4. 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 (12)
    Also in Papers, arXiv.org (2016) Downloads View citations (1)

    See also Journal Article in Journal of International Money and Finance (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 (2)
    See also Journal Article in Energy Economics (2017)
  4. Do co-jumps impact correlations in currency markets?
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Financial Markets (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 (1)
    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 (4)
    See also Journal Article in Journal of Financial Econometrics (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 (12)
    See also Journal Article in Journal of Economic Dynamics and Control (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 (2)
  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 (17)
    Also in Papers, arXiv.org (2015) Downloads View citations (6)

    See also Journal Article in European Journal of Operational Research (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 (3)

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 (17)
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2015) Downloads View citations (16)

    See also Journal Article in Energy Economics (2015)
  2. Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (4)
    Also in Papers, arXiv.org (2014) Downloads View citations (5)
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) Downloads View citations (2)

    See also Journal Article in Journal of Financial Markets (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 in Studies in Nonlinear Dynamics & Econometrics (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

    See also Journal Article in Applied Energy (2016)
  5. Gold, Oil, and Stocks: Dynamic Correlations
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    Also in Papers, arXiv.org (2014) Downloads View citations (7)
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) Downloads

    See also Journal Article in International Review of Economics & Finance (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
    Also in Papers, arXiv.org (2013) Downloads

    See also Journal Article in Econometric Reviews (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 (20)
    Also in Papers, arXiv.org (2014) Downloads

    See also Journal Article in The Energy Journal (2015)

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 (1)
  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 in Journal of Forecasting (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 (3)

    See also Journal Article in Quantitative Finance (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 in Quantitative Finance (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 (5)
    Also in Papers, arXiv.org (2013) Downloads View citations (1)

    See also Journal Article in Journal of Financial Econometrics (2016)

2013

  1. Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
    Papers, arXiv.org Downloads View citations (10)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2013)
  2. Can we still benefit from international diversification? The case of the Czech and German stock markets
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Czech Journal of Economics and Finance (Finance a uver) (2013)
  3. Contagion among Central and Eastern European stock markets during the financial crisis
    Papers, arXiv.org Downloads View citations (7)
    See also Journal Article in Czech Journal of Economics and Finance (Finance a uver) (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 (127)
    See also Journal Article in Energy Economics (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 in Physica A: Statistical Mechanics and its Applications (2010)
  3. On Hurst exponent estimation under heavy-tailed distributions
    Papers, arXiv.org Downloads View citations (15)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2010)
  4. Understanding the source of multifractality in financial markets
    Papers, arXiv.org Downloads View citations (39)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2012)

2011

  1. Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests
    Working Papers, Czech National Bank Downloads View citations (4)
  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 (9)

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
    See also Journal Article in Czech Economic Review (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

Journal Articles

2019

  1. Forecasting dynamic return distributions based on ordered binary choice
    International Journal of Forecasting, 2019, 35, (3), 823-835 Downloads
    See also Working Paper (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
    See also Working Paper (2018)

2018

  1. Do co-jumps impact correlations in currency markets?
    Journal of Financial Markets, 2018, 37, (C), 97-119 Downloads View citations (1)
    See also Working Paper (2017)
  2. Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk
    Journal of Financial Econometrics, 2018, 16, (2), 271-296 Downloads View citations (4)
    See also Working Paper (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 (1)
  2. Asymmetric volatility connectedness on the forex market
    Journal of International Money and Finance, 2017, 77, (C), 39-56 Downloads View citations (12)
    See also Working Paper (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 (2)
    See also Working Paper (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 (3)
    See also Working Paper (2016)
  5. Estimation of long memory in volatility using wavelets
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (3), 22 Downloads
    See also Working Paper (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 (6)
  7. Modeling and forecasting persistent financial durations
    Econometric Reviews, 2017, 36, (10), 1081-1110 Downloads View citations (2)
    See also Working Paper (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 (2)
    See also Working Paper (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 (23)
    See also Working Paper (2015)
  2. Forecasting the term structure of crude oil futures prices with neural networks
    Applied Energy, 2016, 164, (C), 366-379 Downloads View citations (8)
    See also Working Paper (2015)
  3. Gold, oil, and stocks: Dynamic correlations
    International Review of Economics & Finance, 2016, 42, (C), 186-201 Downloads View citations (21)
    See also Working Paper (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 (18)
    See also Working Paper (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 (2)
  6. Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility
    Journal of Financial Econometrics, 2016, 14, (1), 185-226 Downloads View citations (2)
    See also Working Paper (2014)

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 (5)
  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 (14)
    See also Working Paper (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 (9)
    See also Working Paper (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 (7)
    See also Working Paper (2014)
  5. Volatility Spillovers Across Petroleum Markets
    The Energy Journal, 2015, Volume 36, (Number 3) Downloads View citations (20)
    See also Working Paper (2015)

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 (18)

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 (7)
    See also Working Paper (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 (3)
    See also Working Paper (2013)
  3. 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 (8)
    See also Working Paper (2013)
  4. 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 (129)
    See also Working Paper (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 (34)
    See also Working Paper (2012)

2011

  1. Neural Networks as Semiparametric Option Pricing Tool
    Bulletin of the Czech Econometric Society, 2011, 18, (28) Downloads

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 (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 (77)
    See also Working Paper (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 (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 (4)
  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 (7)

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 Downloads
 
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