Access Statistics for Jozef Baruník

Author contact details at EconPapers.

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 1 128 0 1 12 201
Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 1 81 0 1 7 180
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 18 1 1 6 59
Asymmetric Connectedness of Fears in the U.S. Financial Sector 4 11 31 31 7 19 55 55
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover 1 4 8 79 2 6 19 213
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 0 2 34 0 1 11 82
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 2 8 15 128 3 18 39 258
Asymmetric volatility connectedness on forex markets 0 10 21 88 5 23 58 190
Asymmetric volatility connectedness on the forex market 0 0 1 41 0 1 19 72
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment 0 0 0 85 0 1 2 238
Can we still benefit from international diversification? The case of the Czech and German stock markets 0 0 1 35 1 2 6 81
Co-jumping of Treasury Yield Curve Rates 1 6 18 18 3 14 22 22
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 0 6 55 1 2 18 152
Common Cycles in Volatility and Cross Section of Stock Returns 0 2 4 24 0 3 13 35
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data 0 2 6 98 0 2 14 236
Contagion among Central and Eastern European stock markets during the financial crisis 0 0 1 66 1 1 5 104
Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility 0 0 0 46 0 0 4 74
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 4 8 73 2 9 22 129
Do co-jumps impact correlations in currency markets? 0 8 11 48 2 16 34 109
Estimation of Long Memory in Volatility Using Wavelets 1 2 11 100 2 4 32 167
Estimation of financial agent-based models with simulated maximum likelihood 0 0 3 20 0 1 10 37
Estimation of long memory in volatility using wavelets 0 0 0 27 0 0 4 38
Forecasting dynamic return distributions based on ordered binary choice 2 14 88 157 12 106 273 322
Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks 0 0 0 52 1 2 14 55
Forecasting the term structure of crude oil futures prices with neural networks 0 1 2 63 1 5 16 115
Gold, Oil, and Stocks 0 0 0 122 1 1 5 223
Gold, Oil, and Stocks 0 0 3 26 1 7 14 160
Gold, Oil, and Stocks: Dynamic Correlations 0 1 4 64 2 5 28 173
How does bad and good volatility spill over across petroleum markets? 0 0 1 84 1 2 10 205
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 0 0 2 45 0 1 7 24
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 3 8 18 47 6 14 47 97
Measuring the frequency dynamics of financial and macroeconomic connectedness 0 3 16 71 3 8 48 147
Measuring the frequency dynamics of financial connectedness and systemic risk 2 10 42 229 5 21 94 412
Modeling and Forecasting Persistent Financial Durations 2 4 6 149 5 9 22 395
Modeling and forecasting exchange rate volatility in time-frequency domain 1 1 1 35 4 8 19 58
Modeling and forecasting exchange rate volatility in time-frequency domain 1 5 9 168 3 8 22 332
Modeling and forecasting persistent financial durations 0 0 0 25 0 1 2 42
Monte Carlo-Based Tail Exponent Estimator 0 0 0 38 0 0 1 131
Monte Carlo-based tail exponent estimator 0 0 0 29 0 0 2 66
On Hurst exponent estimation under heavy-tailed distributions 0 0 2 109 0 0 5 284
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model 2 2 12 113 7 12 47 292
Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities 0 0 3 11 0 2 13 18
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables 6 29 57 130 18 52 107 213
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 20 0 0 2 44
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 7 12 144 4 13 23 290
Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility 0 1 1 89 0 1 2 209
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 0 1 31 1 3 13 70
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression 0 0 1 83 5 5 8 170
Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression 0 0 1 39 3 4 6 79
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 1 3 3 22 6 9 13 73
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 0 76 0 1 3 147
Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists 2 31 31 31 2 20 20 20
Simulated ML Estimation of Financial Agent-Based Models 0 0 2 37 0 0 17 75
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 0 46 0 0 5 113
Tail Risks, Asset prices, and Investment Horizons 1 4 16 38 6 14 58 90
Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets 4 4 4 4 0 0 0 0
Total, asymmetric and frequency connectedness between oil and forex markets 7 10 22 36 17 28 71 91
Understanding the source of multifractality in financial markets 0 0 1 79 0 0 5 155
Volatility Term Structure Modeling Using Nelson-Siegel Model 2 2 14 14 3 3 34 34
Volatility spillovers across petroleum markets 1 6 16 91 3 16 39 222
Wavelet Analysis of Central European Stock Market Behaviour During the Crisis 0 0 0 110 0 0 1 249
Total Working Papers 46 203 540 4,080 150 507 1,528 8,627


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 1 1 3 22 1 2 15 61
An empirical model of fractionally cointegrated daily high and low stock market prices 0 0 2 14 0 0 7 51
Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests 0 1 5 48 0 8 19 138
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 1 12 0 1 10 56
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers 0 3 8 41 2 7 27 104
Asymmetric volatility connectedness on the forex market 1 3 11 23 2 6 25 62
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment 0 0 0 9 2 2 4 49
Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets 0 0 3 21 0 0 8 97
Can a stochastic cusp catastrophe model explain stock market crashes? 1 2 4 103 4 6 14 416
Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? 0 0 0 35 0 0 4 175
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 0 4 41 2 5 30 146
Contagion among Central and Eastern European Stock Markets during the Financial Crisis 0 0 1 28 0 1 15 111
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 1 3 5 10 1 3 9 22
Do co-jumps impact correlations in currency markets? 0 0 1 2 1 3 10 16
Editorial to the Special Issue on Financial Markets in Central Europe 0 0 0 0 1 1 9 19
Estimation of financial agent-based models with simulated maximum likelihood 0 0 2 3 0 3 15 35
Estimation of long memory in volatility using wavelets 1 1 3 8 2 4 13 37
Forecasting dynamic return distributions based on ordered binary choice 2 2 2 2 7 7 7 7
Forecasting the term structure of crude oil futures prices with neural networks 0 0 0 4 1 1 12 40
Gold, oil, and stocks: Dynamic correlations 1 3 7 32 1 6 29 85
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? 1 5 15 23 4 10 41 70
How Do Neural Networks Enhance the Predictability of Central European Stock Returns? 0 1 3 63 0 1 7 164
How do skilled traders change the structure of the market 0 0 0 9 1 1 5 55
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk 1 1 17 19 3 6 46 56
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 0 15 0 0 5 48
Modeling and forecasting persistent financial durations 0 0 0 4 0 0 4 21
Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof 0 0 0 26 0 0 1 81
Monte Carlo-based tail exponent estimator 0 0 0 4 0 0 1 18
Neural Networks as Semiparametric Option Pricing Tool 0 1 1 22 1 3 9 124
On Hurst exponent estimation under heavy-tailed distributions 0 0 2 15 1 2 8 95
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model 0 0 0 1 1 1 3 11
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities 0 0 0 0 0 0 0 0
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 1 7 0 0 3 16
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 0 0 3 0 0 0 10
Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression 0 1 3 12 5 21 27 58
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 0 2 0 0 3 10
Smart Agents and Sentiment in the Heterogeneous Agent Model 0 0 0 16 0 1 4 113
Smart predictors in the heterogeneous agent model 0 0 0 18 0 1 3 127
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 0 21 1 1 5 125
Understanding the source of multifractality in financial markets 0 0 2 13 0 0 6 62
Volatility Spillovers Across Petroleum Markets 1 1 3 25 3 8 29 110
Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc 0 0 0 22 0 0 3 103
Total Journal Articles 11 29 109 798 47 122 495 3,204


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Macroeconomic Forecasting: Methods, Accuracy and Coordination 0 0 1 44 2 4 9 130
Total Books 0 0 1 44 2 4 9 130


Statistics updated 2019-09-09