| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests |
0 |
0 |
0 |
148 |
2 |
7 |
11 |
370 |
| Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data |
0 |
0 |
0 |
82 |
0 |
2 |
5 |
206 |
| Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data |
0 |
0 |
0 |
20 |
0 |
4 |
6 |
89 |
| Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover |
0 |
1 |
1 |
110 |
1 |
9 |
13 |
420 |
| Asymmetric Network Connectedness of Fears |
1 |
3 |
21 |
484 |
5 |
9 |
53 |
1,231 |
| Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? |
1 |
1 |
1 |
43 |
1 |
3 |
8 |
168 |
| Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? |
1 |
1 |
7 |
339 |
4 |
10 |
33 |
878 |
| Asymmetric network connectedness of fears |
0 |
0 |
1 |
16 |
2 |
4 |
6 |
58 |
| Asymmetric volatility connectedness on forex markets |
0 |
4 |
8 |
285 |
2 |
20 |
35 |
753 |
| Asymmetric volatility connectedness on the forex market |
0 |
0 |
0 |
49 |
2 |
9 |
10 |
137 |
| Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment |
0 |
0 |
1 |
92 |
0 |
0 |
4 |
271 |
| Beyond Volatility: Common Factors in Idiosyncratic Quantile Risks |
4 |
6 |
31 |
88 |
6 |
19 |
66 |
168 |
| Can we still benefit from international diversification? The case of the Czech and German stock markets |
0 |
0 |
0 |
35 |
2 |
4 |
8 |
103 |
| Co-jumping of Treasury Yield Curve Rates |
0 |
0 |
0 |
57 |
3 |
9 |
11 |
134 |
| Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis |
0 |
2 |
4 |
76 |
3 |
9 |
14 |
238 |
| Common Cycles in Volatility and Cross Section of Stock Returns |
0 |
0 |
0 |
25 |
1 |
1 |
2 |
42 |
| Common Firm-level Investor Fears: Evidence from Equity Options |
2 |
6 |
8 |
16 |
5 |
23 |
28 |
47 |
| Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data |
1 |
2 |
2 |
110 |
3 |
6 |
7 |
275 |
| Contagion among Central and Eastern European stock markets during the financial crisis |
0 |
0 |
0 |
66 |
1 |
2 |
2 |
122 |
| Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility |
0 |
0 |
0 |
49 |
1 |
3 |
7 |
92 |
| Currency Network Risk |
0 |
3 |
18 |
137 |
3 |
12 |
48 |
246 |
| Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets |
0 |
0 |
4 |
169 |
1 |
3 |
10 |
336 |
| Deep Learning, Predictability, and Optimal Portfolio Returns |
2 |
3 |
16 |
127 |
8 |
16 |
54 |
326 |
| Deep Learning, Predictability, and Optimal Portfolio Returns |
0 |
0 |
1 |
27 |
2 |
5 |
11 |
63 |
| Do co-jumps impact correlations in currency markets? |
0 |
1 |
5 |
162 |
2 |
6 |
13 |
419 |
| Dynamic Network Risk |
0 |
0 |
1 |
251 |
0 |
3 |
8 |
472 |
| Dynamic industry uncertainty networks and the business cycle |
1 |
10 |
34 |
160 |
9 |
29 |
90 |
343 |
| Estimation of Long Memory in Volatility Using Wavelets |
0 |
0 |
0 |
107 |
2 |
4 |
5 |
198 |
| Estimation of financial agent-based models with simulated maximum likelihood |
0 |
0 |
0 |
32 |
1 |
4 |
8 |
84 |
| Estimation of long memory in volatility using wavelets |
0 |
0 |
0 |
30 |
2 |
3 |
6 |
68 |
| Forecasting dynamic return distributions based on ordered binary choice |
0 |
2 |
6 |
295 |
3 |
8 |
13 |
815 |
| Forecasting stock return distributions around the globe with quantile neural networks |
0 |
0 |
1 |
23 |
3 |
7 |
19 |
29 |
| Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks |
0 |
0 |
0 |
54 |
5 |
7 |
9 |
105 |
| Forecasting the term structure of crude oil futures prices with neural networks |
0 |
0 |
2 |
96 |
5 |
12 |
26 |
296 |
| Frequency-Dependent Higher Moment Risks |
0 |
0 |
0 |
18 |
1 |
1 |
2 |
51 |
| Gold, Oil, and Stocks |
0 |
0 |
0 |
123 |
1 |
2 |
2 |
247 |
| Gold, Oil, and Stocks |
0 |
0 |
0 |
27 |
1 |
3 |
8 |
194 |
| Gold, Oil, and Stocks: Dynamic Correlations |
0 |
0 |
2 |
87 |
2 |
6 |
14 |
283 |
| How does bad and good volatility spill over across petroleum markets? |
0 |
0 |
1 |
101 |
1 |
2 |
7 |
312 |
| Investment Disputes and Abnormal Volatility of Stocks |
0 |
0 |
0 |
16 |
1 |
4 |
6 |
70 |
| Learning Probability Distributions in Macroeconomics and Finance |
0 |
2 |
2 |
44 |
1 |
8 |
10 |
68 |
| Learning the Probability Distributions of Day-Ahead Electricity Prices |
1 |
4 |
25 |
60 |
6 |
12 |
56 |
104 |
| Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns |
0 |
0 |
2 |
59 |
0 |
3 |
7 |
79 |
| Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns |
2 |
5 |
15 |
333 |
7 |
14 |
37 |
909 |
| Measuring the frequency dynamics of financial and macroeconomic connectedness |
0 |
0 |
0 |
91 |
2 |
3 |
9 |
239 |
| Measuring the frequency dynamics of financial connectedness and systemic risk |
2 |
5 |
26 |
584 |
25 |
40 |
108 |
1,349 |
| Modeling and Forecasting Persistent Financial Durations |
0 |
0 |
1 |
173 |
3 |
4 |
6 |
532 |
| Modeling and forecasting exchange rate volatility in time-frequency domain |
0 |
1 |
1 |
38 |
2 |
6 |
11 |
111 |
| Modeling and forecasting exchange rate volatility in time-frequency domain |
0 |
0 |
1 |
267 |
2 |
6 |
13 |
569 |
| Modeling and forecasting persistent financial durations |
0 |
1 |
1 |
26 |
2 |
6 |
7 |
62 |
| Moderation or indulgence? Effects of bank distribution restrictions during stress |
0 |
1 |
1 |
13 |
5 |
11 |
14 |
32 |
| Monte Carlo-Based Tail Exponent Estimator |
0 |
0 |
0 |
39 |
1 |
5 |
7 |
175 |
| Monte Carlo-based tail exponent estimator |
0 |
0 |
0 |
29 |
3 |
4 |
6 |
85 |
| On Hurst exponent estimation under heavy-tailed distributions |
0 |
0 |
1 |
116 |
1 |
8 |
9 |
327 |
| On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model |
0 |
0 |
0 |
133 |
1 |
5 |
9 |
427 |
| Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities |
1 |
1 |
1 |
18 |
3 |
6 |
13 |
88 |
| Persistence in Financial Connectedness and Systemic Risk |
4 |
4 |
13 |
442 |
4 |
8 |
34 |
804 |
| Predicting the volatility of major energy commodity prices: the dynamic persistence model |
3 |
10 |
42 |
93 |
7 |
22 |
113 |
189 |
| Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables |
1 |
7 |
27 |
538 |
4 |
20 |
55 |
1,206 |
| Quantile Preferences in Portfolio Choice: A Q-DRL Approach to Dynamic Diversification |
0 |
2 |
21 |
48 |
2 |
11 |
47 |
134 |
| Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices |
3 |
6 |
16 |
336 |
6 |
14 |
48 |
759 |
| Realized wavelet-based estimation of integrated variance and jumps in the presence of noise |
0 |
0 |
0 |
21 |
1 |
5 |
8 |
71 |
| Realized wavelet-based estimation of integrated variance and jumps in the presence of noise |
0 |
2 |
3 |
195 |
4 |
7 |
12 |
414 |
| Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility |
0 |
0 |
1 |
93 |
2 |
5 |
7 |
232 |
| Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility |
0 |
0 |
2 |
67 |
8 |
14 |
22 |
198 |
| Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression |
0 |
0 |
0 |
86 |
1 |
3 |
4 |
194 |
| Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression |
0 |
0 |
0 |
40 |
0 |
0 |
3 |
164 |
| Risks of heterogeneously persistent higher moments |
0 |
0 |
0 |
20 |
12 |
17 |
21 |
76 |
| Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility |
0 |
0 |
1 |
83 |
0 |
3 |
4 |
183 |
| Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility |
0 |
1 |
4 |
62 |
0 |
2 |
6 |
189 |
| Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists |
0 |
1 |
2 |
42 |
4 |
5 |
13 |
74 |
| Simulated ML Estimation of Financial Agent-Based Models |
0 |
0 |
0 |
66 |
2 |
2 |
12 |
188 |
| Tail Behavior of the Central European Stock Markets during the Financial Crisis |
0 |
0 |
0 |
47 |
1 |
2 |
3 |
126 |
| Tail Risks, Asset Prices, and Investment Horizons |
0 |
0 |
1 |
25 |
0 |
0 |
5 |
53 |
| Tailoring Portfolio Choice via Quantile-Targeted Policies |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
3 |
| The Dynamic Persistence of Economic Shocks |
5 |
21 |
99 |
193 |
28 |
71 |
220 |
371 |
| Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets |
0 |
0 |
1 |
51 |
1 |
3 |
5 |
183 |
| Total, asymmetric and frequency connectedness between oil and forex markets |
0 |
0 |
8 |
351 |
1 |
11 |
43 |
941 |
| Uncertainty Network Risk and Currency Returns |
0 |
0 |
0 |
14 |
4 |
10 |
14 |
52 |
| Understanding the source of multifractality in financial markets |
0 |
0 |
0 |
88 |
1 |
4 |
9 |
199 |
| Volatility Term Structure Modeling Using Nelson-Siegel Model |
0 |
0 |
2 |
25 |
1 |
1 |
7 |
71 |
| Volatility spillovers across petroleum markets |
1 |
1 |
1 |
226 |
4 |
6 |
15 |
667 |
| Wavelet Analysis of Central European Stock Market Behaviour During the Crisis |
0 |
0 |
0 |
114 |
1 |
2 |
2 |
264 |
| Total Working Papers |
36 |
120 |
497 |
9,621 |
261 |
682 |
1,745 |
23,920 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A semiparametric nonlinear quantile regression model for financial returns |
0 |
0 |
0 |
24 |
0 |
1 |
6 |
87 |
| An empirical model of fractionally cointegrated daily high and low stock market prices |
0 |
1 |
1 |
29 |
1 |
9 |
11 |
100 |
| Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests |
0 |
0 |
0 |
64 |
0 |
5 |
6 |
285 |
| Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data |
0 |
0 |
1 |
19 |
2 |
6 |
11 |
113 |
| Asymmetric Network Connectedness of Fears |
0 |
0 |
4 |
18 |
1 |
3 |
17 |
56 |
| Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers |
1 |
3 |
12 |
105 |
5 |
18 |
58 |
373 |
| Asymmetric volatility connectedness on the forex market |
1 |
2 |
5 |
52 |
5 |
14 |
37 |
215 |
| Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment |
0 |
0 |
0 |
13 |
0 |
1 |
5 |
88 |
| Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets |
0 |
0 |
0 |
23 |
1 |
6 |
9 |
130 |
| Can a stochastic cusp catastrophe model explain stock market crashes? |
0 |
1 |
3 |
139 |
4 |
7 |
15 |
504 |
| Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? |
0 |
2 |
2 |
37 |
0 |
3 |
4 |
202 |
| Co-Jumping of Treasury Yield Curve Rates |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
| Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis |
0 |
1 |
1 |
64 |
5 |
12 |
28 |
255 |
| Contagion among Central and Eastern European Stock Markets during the Financial Crisis |
2 |
2 |
2 |
33 |
2 |
5 |
16 |
173 |
| Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets |
0 |
0 |
0 |
21 |
1 |
4 |
9 |
64 |
| Do co-jumps impact correlations in currency markets? |
0 |
0 |
0 |
9 |
1 |
3 |
7 |
66 |
| Dynamic industry uncertainty networks and the business cycle |
0 |
0 |
0 |
5 |
4 |
9 |
13 |
24 |
| Editorial to the Special Issue on Financial Markets in Central Europe |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
26 |
| Estimation of financial agent-based models with simulated maximum likelihood |
0 |
0 |
0 |
14 |
2 |
3 |
4 |
94 |
| Estimation of long memory in volatility using wavelets |
0 |
0 |
0 |
10 |
0 |
3 |
4 |
62 |
| Fan charts in era of big data and learning |
0 |
0 |
0 |
1 |
1 |
3 |
6 |
8 |
| Forecasting dynamic return distributions based on ordered binary choice |
0 |
0 |
0 |
17 |
1 |
4 |
6 |
71 |
| Forecasting the term structure of crude oil futures prices with neural networks |
0 |
2 |
3 |
15 |
1 |
3 |
6 |
92 |
| Gold, oil, and stocks: Dynamic correlations |
0 |
0 |
4 |
65 |
3 |
4 |
13 |
186 |
| Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? |
1 |
1 |
5 |
175 |
4 |
7 |
18 |
450 |
| How Do Neural Networks Enhance the Predictability of Central European Stock Returns? |
0 |
0 |
0 |
70 |
2 |
2 |
2 |
198 |
| How do skilled traders change the structure of the market |
0 |
0 |
0 |
10 |
1 |
2 |
3 |
66 |
| Learning the probability distributions of day-ahead electricity prices |
2 |
2 |
2 |
2 |
5 |
5 |
5 |
5 |
| Measurement of common risks in tails: A panel quantile regression model for financial returns |
1 |
3 |
4 |
22 |
1 |
6 |
8 |
52 |
| Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk |
5 |
16 |
52 |
315 |
31 |
69 |
196 |
1,053 |
| Modeling and forecasting exchange rate volatility in time-frequency domain |
0 |
0 |
0 |
25 |
1 |
4 |
8 |
94 |
| Modeling and forecasting persistent financial durations |
0 |
0 |
1 |
5 |
0 |
5 |
8 |
36 |
| Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof |
0 |
0 |
0 |
26 |
1 |
3 |
5 |
99 |
| Monte Carlo-based tail exponent estimator |
0 |
0 |
0 |
6 |
0 |
3 |
6 |
40 |
| On Hurst exponent estimation under heavy-tailed distributions |
0 |
1 |
1 |
21 |
1 |
8 |
10 |
166 |
| On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model |
0 |
0 |
0 |
2 |
5 |
11 |
13 |
38 |
| Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
28 |
| Persistence in financial connectedness and systemic risk |
3 |
11 |
49 |
105 |
11 |
28 |
132 |
273 |
| Predicting the volatility of major energy commodity prices: The dynamic persistence model |
0 |
1 |
4 |
4 |
2 |
6 |
11 |
17 |
| Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices* |
0 |
0 |
1 |
3 |
0 |
3 |
6 |
11 |
| Quantile coherency: A general measure for dependence between cyclical economic variables |
1 |
1 |
2 |
27 |
4 |
13 |
20 |
110 |
| Realized wavelet-based estimation of integrated variance and jumps in the presence of noise |
0 |
0 |
0 |
11 |
1 |
1 |
3 |
31 |
| Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility |
0 |
0 |
1 |
6 |
1 |
2 |
6 |
36 |
| Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression |
0 |
0 |
0 |
16 |
1 |
3 |
5 |
85 |
| Risks of heterogeneously persistent higher moments |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
| Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility |
0 |
2 |
2 |
12 |
1 |
6 |
7 |
50 |
| Smart Agents and Sentiment in the Heterogeneous Agent Model |
0 |
0 |
0 |
19 |
0 |
2 |
2 |
126 |
| Smart predictors in the heterogeneous agent model |
0 |
0 |
0 |
20 |
0 |
0 |
1 |
143 |
| Tail Behavior of the Central European Stock Markets during the Financial Crisis |
0 |
0 |
0 |
21 |
1 |
2 |
6 |
141 |
| Taming Data‐Driven Probability Distributions |
0 |
0 |
0 |
0 |
3 |
3 |
13 |
13 |
| Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets |
0 |
0 |
1 |
1 |
2 |
5 |
6 |
6 |
| Understanding the source of multifractality in financial markets |
0 |
0 |
1 |
22 |
2 |
5 |
7 |
101 |
| Volatility Spillovers Across Petroleum Markets |
1 |
1 |
1 |
1 |
5 |
8 |
8 |
9 |
| Volatility Spillovers Across Petroleum Markets |
1 |
1 |
1 |
67 |
2 |
4 |
13 |
262 |
| Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc |
0 |
0 |
0 |
23 |
1 |
1 |
2 |
131 |
| Total Journal Articles |
19 |
54 |
166 |
1,815 |
130 |
345 |
827 |
7,147 |
LogEc is hosted by the
Örebro University School of Business.