Jozef Baruník
Names
| first: |
Jozef |
| last: |
Baruník |
Identifer
Contact
Affiliations
-
Univerzita Karlova v Praze
/ Institut ekonomických studií (weight: 50%)
-
Akademie věd České Republiky
/ Ústav teorie informace a automatizace (ÚTIA) (weight: 50%)
Research profile
author of:
- Volatility Spillovers Across Petroleum Markets (RePEc:aen:journl:ej36-3-barunik)
by Jozef Baruník, Evzen Kocenda and Lukáa Vácha - Understanding the source of multifractality in financial markets (RePEc:arx:papers:1201.1535)
by Jozef Barunik & Tomaso Aste & Tiziana Di Matteo & Ruipeng Liu - Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (RePEc:arx:papers:1201.4776)
by Lukas Vacha & Jozef Barunik - Monte Carlo-based tail exponent estimator (RePEc:arx:papers:1201.4781)
by Jozef Barunik & Lukas Vacha - On Hurst exponent estimation under heavy-tailed distributions (RePEc:arx:papers:1201.4786)
by Jozef Barunik & Ladislav Kristoufek - Realized wavelet-based estimation of integrated variance and jumps in the presence of noise (RePEc:arx:papers:1202.1854)
by Jozef Barunik & Lukas Vacha - Modeling and forecasting exchange rate volatility in time-frequency domain (RePEc:arx:papers:1204.1452)
by Jozef Barunik & Tomas Krehlik & Lukas Vacha - Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment (RePEc:arx:papers:1205.3763)
by Jiri Kukacka & Jozef Barunik - Modeling and Forecasting Persistent Financial Durations (RePEc:arx:papers:1208.3087)
by Filip Zikes & Jozef Barunik & Nikhil Shenai - Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression (RePEc:arx:papers:1208.4831)
by Jozef Barunik & Michaela Barunikova - Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility (RePEc:arx:papers:1302.7036)
by Jozef Barunik & Jiri Kukacka - Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data (RePEc:arx:papers:1307.5981)
by Krenar Avdulaj & Jozef Barunik - Gold, Oil, and Stocks (RePEc:arx:papers:1308.0210)
by Jozef Barunik & Evzen Kocenda & Lukas Vacha - Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? (RePEc:arx:papers:1308.1221)
by Jozef Barunik & Evzen Kocenda & Lukas Vacha - Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility (RePEc:arx:papers:1308.4276)
by Filip Zikes & Jozef Barunik - Can we still benefit from international diversification? The case of the Czech and German stock markets (RePEc:arx:papers:1308.6120)
by Krenar Avdulaj & Jozef Barunik - Contagion among Central and Eastern European stock markets during the financial crisis (RePEc:arx:papers:1309.0491)
by Jozef Barunik & Lukas Vacha - How does bad and good volatility spill over across petroleum markets? (RePEc:arx:papers:1405.2445)
by Jozef Barunik & Evzen Kocenda & Lukas Vacha - Forecasting the term structure of crude oil futures prices with neural networks (RePEc:arx:papers:1504.04819)
by Jozef Barunik & Barbora Malinska - Measuring the frequency dynamics of financial connectedness and systemic risk (RePEc:arx:papers:1507.01729)
by Jozef Barunik & Tomas Krehlik - Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables (RePEc:arx:papers:1510.06946)
by Jozef Barun'ik & Tobias Kley - Do co-jumps impact correlations in currency markets? (RePEc:arx:papers:1602.05489)
by Jozef Barunik & Lukas Vacha - Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets (RePEc:arx:papers:1603.07020)
by Tomas Krehlik & Jozef Barunik - Asymmetric volatility connectedness on forex markets (RePEc:arx:papers:1607.08214)
by Jozef Barunik & Evzen Kocenda & Lukas Vacha - Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns (RePEc:arx:papers:1708.08622)
by Frantisek Cech & Jozef Barunik - Forecasting dynamic return distributions based on ordered binary choice (RePEc:arx:papers:1711.05681)
by Stanislav Anatolyev & Jozef Barunik - Total, asymmetric and frequency connectedness between oil and forex markets (RePEc:arx:papers:1805.03980)
by Jozef Barun'ik & Evv{z}en Kov{c}enda - Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices (RePEc:arx:papers:1806.06148)
by Jozef Barun'ik & Matv{e}j Nevrla - Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities (RePEc:arx:papers:1807.11823)
by Frantiv{s}ek v{C}ech & Jozef Barun'ik - Asymmetric Network Connectedness of Fears (RePEc:arx:papers:1810.12022)
by Jozef Barunik & Mattia Bevilacqua & Radu Tunaru - Co-jumping of Treasury Yield Curve Rates (RePEc:arx:papers:1905.01541)
by Jozef Barunik & Pavel Fiser - Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists (RePEc:arx:papers:1906.00059)
by Jozef Barunik & Cathy Yi-Hsuan Chen & Jan Vecer - Dynamic Network Risk (RePEc:arx:papers:2006.04639)
by Jozef Barunik & Michael Ellington - Investment Disputes and Abnormal Volatility of Stocks (RePEc:arx:papers:2006.10505)
by Jozef Barunik & Zdenek Drabek & Matej Nevrla - Persistence in Financial Connectedness and Systemic Risk (RePEc:arx:papers:2007.07842)
by Jozef Barunik & Michael Ellington - Deep Learning, Predictability, and Optimal Portfolio Returns (RePEc:arx:papers:2009.03394)
by Mykola Babiak & Jozef Barunik - Dynamic industry uncertainty networks and the business cycle (RePEc:arx:papers:2101.06957)
by Jozef Barunik & Mattia Bevilacqua & Robert Faff - Currency Network Risk (RePEc:arx:papers:2101.09738)
by Mykola Babiak & Jozef Barunik - Risks of heterogeneously persistent higher moments (RePEc:arx:papers:2104.04264)
by Jozef Barunik & Josef Kurka - Learning Probability Distributions in Macroeconomics and Finance (RePEc:arx:papers:2204.06848)
by Jozef Barunik & Lubos Hanus - Common Idiosyncratic Quantile Risk (RePEc:arx:papers:2208.14267)
by Jozef Barunik & Matej Nevrla - The Dynamic Persistence of Economic Shocks (RePEc:arx:papers:2306.01511)
by Jozef Barunik & Lukas Vacha - Common Firm-level Investor Fears: Evidence from Equity Options (RePEc:arx:papers:2309.03968)
by Jozef Barunik & Mattia Bevilacqua & Michael Ellington - Learning Probability Distributions of Day-Ahead Electricity Prices (RePEc:arx:papers:2310.02867)
by Jozef Barunik & Lubos Hanus - Forecasting Volatility of Oil-based Commodities: The Model of Dynamic Persistence (RePEc:arx:papers:2402.01354)
by Jozef Barunik & Lukas Vacha - Moderation or indulgence? Effects of bank distribution restrictions during stress (RePEc:boe:boeewp:1053)
by Acosta-Smith, Jonathan & Barunik, Jozef & Gerba, Eddie & Katsoulis, Petros - A semiparametric nonlinear quantile regression model for financial returns (RePEc:bpj:sndecm:v:21:y:2017:i:1:p:81-97:n:2)
by Avdulaj Krenar & Barunik Jozef - Estimation of long memory in volatility using wavelets (RePEc:bpj:sndecm:v:21:y:2017:i:3:p:22:n:5)
by Kraicová Lucie & Baruník Jozef - Deep Learning, Predictability, and Optimal Portfolio Returns (RePEc:cer:papers:wp677)
by Mykola Babiak & Jozef Barunik - Uncertainty Network Risk and Currency Returns (RePEc:cer:papers:wp687)
by Mykola Babiak & Jozef Barunik - Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover (RePEc:ces:ceswps:_5305)
by Jozef Baruník & Evžen Kocenda & Lukáš Vácha - Gold, Oil, and Stocks: Dynamic Correlations (RePEc:ces:ceswps:_5333)
by Jozef Baruník & Evžen Kocenda & Lukáš Vácha - Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets (RePEc:ces:ceswps:_7756)
by Jozef Baruník & Evžen Kocenda - Macroeconomic Forecasting: Methods, Accuracy and Coordination (RePEc:cnb:ocpubv:rb10/1)
by Katerina Arnostova & Jozef Barunik & Jan Filacek & Michal Franta & David Havrlant & Roman Horvath & Filip Novotny & Marie Rakova & Lubos Ruzicka & Branislav Saxa & Katerina Smidkova & Peter Toth - Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests (RePEc:cnb:wpaper:2011/10)
by Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova - Neural Networks as Semiparametric Option Pricing Tool (RePEc:czx:journl:v:18:y:2011:i:28:id:189)
by Michaela Barunikova & Jozef Barunik - Forecasting the term structure of crude oil futures prices with neural networks (RePEc:eee:appene:v:164:y:2016:i:c:p:366-379)
by Baruník, Jozef & Malinská, Barbora - Dynamic industry uncertainty networks and the business cycle (RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999)
by Baruník, Jozef & Bevilacqua, Mattia & Faff, Robert - Can a stochastic cusp catastrophe model explain stock market crashes? (RePEc:eee:dyncon:v:33:y:2009:i:10:p:1824-1836)
by Barunik, J. & Vosvrda, M. - Estimation of financial agent-based models with simulated maximum likelihood (RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45)
by Kukacka, Jiri & Barunik, Jozef - An empirical model of fractionally cointegrated daily high and low stock market prices (RePEc:eee:ecmode:v:45:y:2015:i:c:p:193-206)
by Baruník, Jozef & Dvořáková, Sylvie - Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression (RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514)
by Baruník, Jozef & Hlínková, Michaela - Modeling and forecasting exchange rate volatility in time-frequency domain (RePEc:eee:ejores:v:251:y:2016:i:1:p:329-340)
by Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas - Persistence in financial connectedness and systemic risk (RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407)
by Baruník, Jozef & Ellington, Michael - Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (RePEc:eee:eneeco:v:34:y:2012:i:1:p:241-247)
by Vacha, Lukas & Barunik, Jozef - Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data (RePEc:eee:eneeco:v:51:y:2015:i:c:p:31-44)
by Avdulaj, Krenar & Barunik, Jozef - Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets (RePEc:eee:eneeco:v:65:y:2017:i:c:p:208-218)
by Křehlík, Tomáš & Baruník, Jozef - Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? (RePEc:eee:eneeco:v:66:y:2017:i:c:p:108-115)
by Apergis, Nicholas & Baruník, Jozef & Lau, Marco Chi Keung - How do skilled traders change the structure of the market (RePEc:eee:finana:v:23:y:2012:i:c:p:66-71)
by Vacha, Lukas & Barunik, Jozef & Vosvrda, Miloslav - Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (RePEc:eee:finmar:v:27:y:2016:i:c:p:55-78)
by Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš - Do co-jumps impact correlations in currency markets? (RePEc:eee:finmar:v:37:y:2018:i:c:p:97-119)
by Barunik, Jozef & Vacha, Lukas - Measurement of common risks in tails: A panel quantile regression model for financial returns (RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300318)
by Baruník, Jozef & Čech, František - Forecasting dynamic return distributions based on ordered binary choice (RePEc:eee:intfor:v:35:y:2019:i:3:p:823-835)
by Anatolyev, Stanislav & Baruník, Jozef - Asymmetric volatility connectedness on the forex market (RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56)
by Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš - On Hurst exponent estimation under heavy-tailed distributions (RePEc:eee:phsmap:v:389:y:2010:i:18:p:3844-3855)
by Barunik, Jozef & Kristoufek, Ladislav - Monte Carlo-based tail exponent estimator (RePEc:eee:phsmap:v:389:y:2010:i:21:p:4863-4874)
by Barunik, Jozef & Vacha, Lukas - Understanding the source of multifractality in financial markets (RePEc:eee:phsmap:v:391:y:2012:i:17:p:4234-4251)
by Barunik, Jozef & Aste, Tomaso & Di Matteo, T. & Liu, Ruipeng - Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment (RePEc:eee:phsmap:v:392:y:2013:i:23:p:5920-5938)
by Kukacka, Jiri & Barunik, Jozef - Gold, oil, and stocks: Dynamic correlations (RePEc:eee:reveco:v:42:y:2016:i:c:p:186-201)
by Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš - Asymmetric network connectedness of fears (RePEc:ehl:lserod:108199)
by Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu - Tail Behavior of the Central European Stock Markets during the Financial Crisis (RePEc:fau:aucocz:au2010_281)
by Jozef Baruník & Lukáš Vácha & Miloslav Vošvrda - How Do Neural Networks Enhance the Predictability of Central European Stock Returns? (RePEc:fau:fauart:v:58:y:2008:i:7-8:p:358-376)
by Jozef Baruník - Editorial to the Special Issue on Financial Markets in Central Europe (RePEc:fau:fauart:v:63:y:2013:i:5:p:406-406)
by Jozef Barunik & Roman Horvath - Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets (RePEc:fau:fauart:v:63:y:2013:i:5:p:425-442)
by Krenar AVDULAJ & Jozef BARUNIK - Contagion among Central and Eastern European Stock Markets during the Financial Crisis (RePEc:fau:fauart:v:63:y:2013:i:5:p:443-453)
by Jozef BARUNÍK & Lukáš VÁCHA - Wavelet Analysis of Central European Stock Market Behaviour During the Crisis (RePEc:fau:wpaper:wp2009_23)
by Jozef Barunik & Lukas Vacha - Tail Behavior of the Central European Stock Markets during the Financial Crisis (RePEc:fau:wpaper:wp2010_04)
by Jozef Barunik & Lukas Vacha & Miloslav Vosvrda - Monte Carlo-Based Tail Exponent Estimator (RePEc:fau:wpaper:wp2010_06)
by Jozef Barunik & Lukas Vacha - Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data (RePEc:fau:wpaper:wp2011_22)
by Jozef Barunik & Lukas Vacha & Ladislav Krištoufek - On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model (RePEc:fau:wpaper:wp2014_23)
by Jozef Baruník & Frantisek Cech - Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility (RePEc:fau:wpaper:wp2014_30)
by Jozef Barunik & Tomáš Krehlik - Estimation of Long Memory in Volatility Using Wavelets (RePEc:fau:wpaper:wp2014_33)
by Jozef Baruník & Lucie Kraicová - Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks (RePEc:fau:wpaper:wp2015_25)
by Jozef Barunik & Barbora Malinska - Simulated ML Estimation of Financial Agent-Based Models (RePEc:fau:wpaper:wp2016_07)
by Jiri Kukacka & Jozef Barunik - Common Cycles in Volatility and Cross Section of Stock Returns (RePEc:fau:wpaper:wp2017_19)
by Jozef Barunik & Lucie Kraicova - Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns (RePEc:fau:wpaper:wp2017_20)
by Frantisek Cech & Jozef Barunik - Volatility Term Structure Modeling Using Nelson-Siegel Model (RePEc:fau:wpaper:wp2018_17)
by Barbora Malinska - Tail Risks, Asset Prices, and Investment Horizons (RePEc:fau:wpaper:wp2019_10)
by Jozef Baruník & Matěj Nevrla - Frequency-Dependent Higher Moment Risks (RePEc:fau:wpaper:wp2021_11)
by Jozef Barunik & Josef Kurka - Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests (RePEc:ijc:ijcjou:y:2014:q:1:a:5)
by Michal Franta & Jozef Baruník & Roman Horváth & Katerina Smídková - Asymmetric volatility connectedness on the forex market (RePEc:kyo:wpaper:956)
by Jozef Barunik & Evzen Kocenda & Lukas Vacha - Quantile coherency: A general measure for dependence between cyclical economic variables (RePEc:oup:emjrnl:v:22:y:2019:i:2:p:131-152.)
by Jozef Baruník & Tobias Kley - Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility (RePEc:oup:jfinec:v:14:y:2016:i:1:p:185-226.)
by Filip Žikeš & Jozef Baruník - Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk (RePEc:oup:jfinec:v:16:y:2018:i:2:p:271-296.)
by Jozef Baruník & Tomáš Křehlík - Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices (RePEc:oup:jfinec:v:21:y:2023:i:5:p:1590-1646.)
by Jozef Baruník & Matěj Nevrla - Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? (RePEc:prf:journl:v:7:y:2013:i:1:p:6-30)
by Jozef Barunik - Smart Agents and Sentiment in the Heterogeneous Agent Model (RePEc:prg:jnlpep:v:2009:y:2009:i:3:id:350:p:209-219)
by Lukáš Vácha & Jozef Barunik & Miloslav Vošvrda - Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof
[Stock market crashes modeling: stochastic cusp catastrophe application] (RePEc:prg:jnlpol:v:2008:y:2008:i:6:id:662:p:759-771)
by Miloslav Vošvrda & Jozef Baruník - 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: Sto (RePEc:prg:jnlpol:v:2010:y:2010:i:2:id:727:p:207-224)
by Jozef Baruník & Branislav Soták - Wavelet-Based Correlation Analysis of the Key Traded Assets (RePEc:spr:dymchp:978-3-319-07061-2_8)
by Jozef Baruník & Evžen Kočenda & Lukas Vacha - Smart predictors in the heterogeneous agent model (RePEc:spr:jeicoo:v:4:y:2009:i:2:p:163-172)
by Jozef Barunik & Lukas Vacha & Miloslav Vosvrda - Modeling and forecasting persistent financial durations (RePEc:taf:emetrv:v:36:y:2017:i:10:p:1081-1110)
by Filip Žikeš & Jozef Baruník & Nikhil Shenai - Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility (RePEc:taf:quantf:v:15:y:2015:i:6:p:959-973)
by Jozef Barunik & Jiri Kukacka - Realized wavelet-based estimation of integrated variance and jumps in the presence of noise (RePEc:taf:quantf:v:15:y:2015:i:8:p:1347-1364)
by Jozef Barunik & Lukas Vacha - Asymmetric Network Connectedness of Fears (RePEc:tpr:restat:v:104:y:2022:i:6:p:1304-1316)
by Jozef Barunik & Mattia Bevilacqua & Radu Tunaru - Volatility spillovers across petroleum markets (RePEc:wdi:papers:2015-1093)
by Jozef Baruni & Evzen Kocenda & Lukas Vacha - On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model (RePEc:wly:jforec:v:36:y:2017:i:2:p:181-206)
by František Čech & Jozef Baruník - Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities (RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1167-1189)
by František Čech & Jozef Baruník - Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? (RePEc:zbw:fmpwps:13)
by Barunik, Jozef & Kočenda, Evžen & Vácha, Lukáš - Gold, Oil, and Stocks (RePEc:zbw:fmpwps:14)
by Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš - Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility (RePEc:zbw:fmpwps:15)
by Baruník, Jozef & Kukacka, Jiri - Realized wavelet-based estimation of integrated variance and jumps in the presence of noise (RePEc:zbw:fmpwps:16)
by Baruník, Jozef & Vácha, Lukáš - Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility (RePEc:zbw:fmpwps:20)
by Žikeš, Filip & Baruník, Jozef - Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data (RePEc:zbw:fmpwps:32)
by Avdulaj, Krenar & Barunik, Jozef - Estimation of long memory in volatility using wavelets (RePEc:zbw:fmpwps:33)
by Kraicova, Lucie & Barunik, Jozef - Modeling and forecasting persistent financial durations (RePEc:zbw:fmpwps:36)
by Zikes, Filip & Barunik, Jozef & Shenai, Nikhil - Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression (RePEc:zbw:fmpwps:43)
by Barunik, Jozef & Barunikova, Michaela - Measuring the frequency dynamics of financial and macroeconomic connectedness (RePEc:zbw:fmpwps:54)
by Barunik, Jozef & Krehlik, Tomas - Modeling and forecasting exchange rate volatility in time-frequency domain (RePEc:zbw:fmpwps:55)
by Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas - Estimation of financial agent-based models with simulated maximum likelihood (RePEc:zbw:fmpwps:63)
by Kukacka, Jiri & Barunik, Jozef