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 0 148 0 1 18 381
Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 82 0 1 12 216
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 20 0 0 10 95
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover 0 0 1 110 0 2 15 426
Asymmetric Network Connectedness of Fears 0 0 7 488 1 7 42 1,264
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 0 2 340 1 5 25 893
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 0 1 43 2 5 21 186
Asymmetric network connectedness of fears 0 0 0 16 0 0 13 67
Asymmetric volatility connectedness on forex markets 0 1 5 286 2 6 36 769
Asymmetric volatility connectedness on the forex market 0 0 0 49 1 2 21 149
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment 0 0 0 92 1 2 13 284
Can we still benefit from international diversification? The case of the Czech and German stock markets 0 0 0 35 1 2 13 112
Co-jumping of Treasury Yield Curve Rates 0 0 0 57 0 1 12 137
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 0 3 77 0 3 20 249
Common Cycles in Volatility and Cross Section of Stock Returns 0 0 0 25 1 2 6 47
Common Firm-level Investor Fears: Evidence from Equity Options 1 3 15 25 4 7 52 76
Common Idiosyncratic Quantile Factors and Asset Prices 0 3 29 111 5 12 75 224
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data 0 0 2 110 0 0 17 286
Contagion among Central and Eastern European stock markets during the financial crisis 0 0 0 66 1 1 20 140
Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility 0 0 0 49 0 1 10 99
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 0 1 170 2 4 16 349
Deep Learning, Predictability, and Optimal Portfolio Returns 0 1 2 29 0 3 20 78
Deep Learning, Predictability, and Optimal Portfolio Returns 0 1 11 135 2 8 60 370
Do co-jumps impact correlations in currency markets? 0 0 2 163 0 4 27 440
Dynamic Network Risk 0 0 0 251 0 2 19 488
Dynamic industry uncertainty networks and the business cycle 0 2 17 167 0 5 67 381
Estimation of Long Memory in Volatility Using Wavelets 0 0 0 107 0 0 10 204
Estimation of financial agent-based models with simulated maximum likelihood 0 0 0 32 1 2 32 112
Estimation of long memory in volatility using wavelets 0 0 0 30 0 0 11 76
Forecasting dynamic return distributions based on ordered binary choice 0 1 4 297 0 5 29 836
Forecasting stock return distributions around the globe with quantile neural networks 1 2 4 27 4 8 40 62
Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks 0 0 0 54 0 0 18 116
Forecasting the term structure of crude oil futures prices with neural networks 0 0 0 96 1 5 42 326
Frequency-Dependent Higher Moment Risks 0 0 0 18 0 0 7 57
Gold, Oil, and Stocks 0 0 1 124 2 3 25 270
Gold, Oil, and Stocks 0 0 1 28 0 0 12 203
Gold, Oil, and Stocks: Dynamic Correlations 0 0 0 87 1 3 25 302
How does bad and good volatility spill over across petroleum markets? 0 0 0 101 0 0 10 320
Investment Disputes and Abnormal Volatility of Stocks 0 0 0 16 0 2 11 77
Learning Probability Distributions in Macroeconomics and Finance 0 0 2 44 0 2 14 74
Learning the Probability Distributions of Day-Ahead Electricity Prices 0 0 11 67 2 5 49 141
Managing Portfolios Across the Return Distribution 0 0 0 0 0 8 19 19
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 0 0 6 334 1 3 33 928
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 1 1 1 60 1 2 13 89
Measuring the frequency dynamics of financial and macroeconomic connectedness 0 1 1 92 0 1 19 255
Measuring the frequency dynamics of financial connectedness and systemic risk 0 2 18 597 3 10 114 1,423
Modeling and Forecasting Persistent Financial Durations 0 0 1 174 0 2 23 551
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 2 39 1 2 19 124
Modeling and forecasting exchange rate volatility in time-frequency domain 1 2 3 270 1 5 30 593
Modeling and forecasting persistent financial durations 0 0 1 26 0 0 14 70
Moderation or indulgence? Effects of bank distribution restrictions during stress 0 1 2 14 1 7 25 46
Monte Carlo-Based Tail Exponent Estimator 0 0 0 39 0 0 12 182
Monte Carlo-based tail exponent estimator 0 0 1 30 0 1 9 90
On Hurst exponent estimation under heavy-tailed distributions 0 0 0 116 0 2 40 359
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model 1 1 2 135 1 2 13 435
Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities 0 0 1 18 0 3 18 100
Persistence in Financial Connectedness and Systemic Risk 0 0 7 445 3 4 33 829
Predicting the volatility of major energy commodity prices: the dynamic persistence model 0 1 20 103 1 8 51 218
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables 1 1 12 543 2 8 42 1,228
Quantile Preferences in Portfolio Choice: A Q-DRL Approach to Dynamic Diversification 0 1 5 51 3 7 26 149
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices 2 2 13 343 3 7 45 790
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 21 0 0 12 78
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 1 3 196 1 4 24 431
Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility 0 0 0 93 1 4 21 248
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 0 1 68 2 9 45 229
Repo dealer-driven bond mispricing 0 0 0 0 1 2 2 2
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression 0 0 0 86 0 1 14 205
Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression 0 0 0 40 0 1 14 178
Risks of heterogeneously persistent higher moments 0 0 0 20 0 3 51 110
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 1 1 84 0 3 23 203
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 1 62 1 4 21 208
Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists 0 0 2 43 0 4 26 95
Simulated ML Estimation of Financial Agent-Based Models 0 1 1 67 0 2 12 198
Skewness Dispersion and Stock Market Returns 0 0 14 14 0 4 26 26
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 0 47 1 2 10 134
Tail Risks, Asset Prices, and Investment Horizons 0 0 0 25 0 0 5 58
The Dynamic Persistence of Economic Shocks 2 5 56 228 6 20 176 476
Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets 0 0 0 51 0 0 6 186
Total, asymmetric and frequency connectedness between oil and forex markets 0 0 0 351 1 5 27 957
Uncertainty Network Risk and Currency Returns 0 0 0 14 1 1 27 69
Understanding the source of multifractality in financial markets 0 0 0 88 0 3 22 217
Volatility Shocks and Currency Returns 0 2 13 147 1 5 47 281
Volatility Term Structure Modeling Using Nelson-Siegel Model 0 0 0 25 0 0 10 80
Volatility spillovers across petroleum markets 0 0 5 230 2 4 34 695
Wavelet Analysis of Central European Stock Market Behaviour During the Crisis 0 0 0 114 0 1 6 268
When David becomes Goliath: Repo dealer-driven bond mispricing 0 0 11 11 0 1 5 5
Total Working Papers 10 37 325 9,826 74 286 2,259 25,497

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 1 2 11 97
An empirical model of fractionally cointegrated daily high and low stock market prices 0 0 1 29 0 1 14 105
Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests 0 0 0 64 0 1 17 297
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 19 1 2 24 131
Asymmetric Network Connectedness of Fears 0 0 2 20 0 1 17 70
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers 0 1 11 113 0 7 56 411
Asymmetric volatility connectedness on the forex market 0 2 12 62 0 3 51 252
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment 0 0 1 14 1 1 7 94
Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets 0 0 0 23 1 3 16 140
Can a stochastic cusp catastrophe model explain stock market crashes? 0 0 1 139 2 6 36 533
Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? 0 0 2 37 0 2 19 218
Co-Jumping of Treasury Yield Curve Rates 0 0 0 0 0 1 18 20
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 0 1 64 0 0 23 266
Contagion among Central and Eastern European Stock Markets during the Financial Crisis 0 0 3 34 1 2 16 184
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 0 0 21 0 1 17 77
Deep learning, predictability, and optimal portfolio returns 0 1 2 2 1 8 11 11
Do co-jumps impact correlations in currency markets? 0 0 0 9 0 1 9 72
Dynamic industry uncertainty networks and the business cycle 0 0 0 5 0 2 19 34
Editorial to the Special Issue on Financial Markets in Central Europe 0 0 0 0 0 0 4 30
Estimation of financial agent-based models with simulated maximum likelihood 0 0 1 15 1 3 17 108
Estimation of long memory in volatility using wavelets 0 0 0 10 0 1 10 69
Fan charts in era of big data and learning 0 0 0 1 1 2 11 16
Forecasting dynamic return distributions based on ordered binary choice 0 0 1 18 0 1 18 85
Forecasting stock return distributions around the globe with quantile neural networks 0 0 0 0 2 2 2 2
Forecasting the term structure of crude oil futures prices with neural networks 0 0 2 15 1 4 17 106
Gold, oil, and stocks: Dynamic correlations 1 1 1 66 1 3 12 194
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? 0 0 2 176 2 4 19 462
How Do Neural Networks Enhance the Predictability of Central European Stock Returns? 0 0 0 70 1 2 8 204
How do skilled traders change the structure of the market 0 0 0 10 0 1 9 73
Learning the probability distributions of day-ahead electricity prices 0 0 3 3 2 4 33 33
Measurement of common risks in tails: A panel quantile regression model for financial returns 0 1 7 26 0 1 24 70
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk 2 8 49 348 18 57 278 1,262
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 0 25 0 0 13 103
Modeling and forecasting persistent financial durations 0 0 0 5 0 0 14 45
Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof 0 0 0 26 0 2 20 116
Monte Carlo-based tail exponent estimator 0 0 0 6 0 1 11 48
On Hurst exponent estimation under heavy-tailed distributions 0 1 3 23 0 3 31 189
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model 0 0 1 3 0 0 21 48
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities 0 0 0 1 1 1 7 34
Persistence in financial connectedness and systemic risk 1 2 20 114 5 11 76 321
Predicting the volatility of major energy commodity prices: The dynamic persistence model 0 0 1 4 0 2 27 38
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices* 0 0 0 3 0 2 13 21
Quantile coherency: A general measure for dependence between cyclical economic variables 0 1 4 30 1 5 30 127
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 11 0 0 5 35
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 0 1 7 0 1 10 44
Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression 0 1 1 17 0 2 12 94
Risks of heterogeneously persistent higher moments 0 0 1 1 1 1 17 17
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 2 12 2 4 17 61
Smart Agents and Sentiment in the Heterogeneous Agent Model 0 0 0 19 0 0 6 130
Smart predictors in the heterogeneous agent model 0 0 0 20 0 0 6 149
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 1 22 0 1 12 151
Taming Data‐Driven Probability Distributions 0 0 1 1 0 1 21 31
Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets 0 0 0 1 1 1 10 11
Understanding the source of multifractality in financial markets 0 0 1 23 0 2 15 111
Volatility Spillovers Across Petroleum Markets 0 0 1 1 0 0 13 14
Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc 0 0 0 23 0 0 8 138
Total Journal Articles 4 19 140 1,835 48 169 1,258 7,802
2 registered items for which data could not be found

Book File Downloads Abstract Views
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Macroeconomic Forecasting: Methods, Accuracy and Coordination 0 0 0 49 0 0 9 191
Total Books 0 0 0 49 0 0 9 191

Chapter File Downloads Abstract Views
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Wavelet-Based Correlation Analysis of the Key Traded Assets 0 0 0 0 1 1 11 17
Total Chapters 0 0 0 0 1 1 11 17

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Statistics updated 2026-10-11