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 1 1 2 141 10 30 58 289
Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 81 0 1 3 195
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 1 19 0 0 4 80
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover 1 1 3 99 10 20 58 314
Asymmetric Network Connectedness of Fears 14 30 96 178 40 78 273 452
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 3 11 48 243 13 32 142 576
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 1 3 40 1 3 22 128
Asymmetric network connectedness of fears 0 0 6 6 2 4 24 24
Asymmetric volatility connectedness on forex markets 8 16 50 201 17 38 157 515
Asymmetric volatility connectedness on the forex market 0 0 1 46 1 5 11 111
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment 0 1 1 87 1 3 5 256
Can we still benefit from international diversification? The case of the Czech and German stock markets 0 0 0 35 0 0 2 90
Co-jumping of Treasury Yield Curve Rates 0 1 7 44 5 10 28 88
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 2 3 7 66 4 7 23 196
Common Cycles in Volatility and Cross Section of Stock Returns 0 0 0 25 0 0 0 39
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data 0 1 4 105 1 4 9 254
Contagion among Central and Eastern European stock markets during the financial crisis 0 0 0 66 0 0 5 116
Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility 0 0 1 48 0 0 4 83
Currency Network Risk 5 15 36 36 10 21 55 55
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 5 25 127 5 15 47 239
Deep Learning, Predictability, and Optimal Portfolio Returns 0 0 23 23 0 3 33 33
Deep Learning, Predictability, and Optimal Portfolio Returns 2 5 28 60 5 16 80 127
Do co-jumps impact correlations in currency markets? 4 9 33 114 12 23 81 284
Dynamic Network Risk 7 19 84 144 18 39 159 274
Dynamic industry uncertainty networks and the business cycle 3 12 40 40 5 17 68 68
Estimation of Long Memory in Volatility Using Wavelets 0 1 2 104 1 2 9 189
Estimation of financial agent-based models with simulated maximum likelihood 0 1 2 31 0 3 9 69
Estimation of long memory in volatility using wavelets 0 0 0 28 0 1 4 57
Forecasting dynamic return distributions based on ordered binary choice 0 4 29 253 5 16 90 689
Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks 0 0 0 52 1 1 8 83
Forecasting the term structure of crude oil futures prices with neural networks 1 2 6 78 3 7 26 192
Frequency-Dependent Higher Moment Risks 0 2 8 8 3 8 27 27
Frequency-Dependent Higher Moment Risks 0 2 15 15 1 4 34 34
Gold, Oil, and Stocks 0 0 0 122 0 5 9 242
Gold, Oil, and Stocks 0 0 1 27 0 2 5 180
Gold, Oil, and Stocks: Dynamic Correlations 0 3 8 83 0 6 33 247
How does bad and good volatility spill over across petroleum markets? 0 0 5 96 1 10 30 264
Investment Disputes and Abnormal Volatility of Stocks 0 0 4 9 1 4 22 44
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 9 16 54 154 30 53 173 458
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 0 0 1 48 0 0 7 56
Measuring the frequency dynamics of financial and macroeconomic connectedness 0 1 2 88 1 3 14 207
Measuring the frequency dynamics of financial connectedness and systemic risk 10 24 89 423 17 61 213 865
Modeling and Forecasting Persistent Financial Durations 1 1 6 164 3 8 30 462
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 0 36 0 0 2 86
Modeling and forecasting exchange rate volatility in time-frequency domain 4 8 27 229 6 13 59 473
Modeling and forecasting persistent financial durations 0 0 0 25 0 0 1 50
Monte Carlo-Based Tail Exponent Estimator 0 0 0 38 1 4 24 162
Monte Carlo-based tail exponent estimator 0 0 0 29 0 0 2 76
On Hurst exponent estimation under heavy-tailed distributions 0 0 1 114 0 1 6 307
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model 2 3 6 128 4 9 29 396
Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities 0 0 1 14 1 5 15 51
Persistence in Economic Networks 10 33 121 192 22 57 234 350
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables 9 21 88 322 24 53 213 695
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 21 1 1 3 59
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 3 7 14 171 7 14 31 356
Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility 0 0 0 91 0 0 5 221
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 1 2 10 56 4 7 37 145
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression 0 0 0 85 0 0 2 184
Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression 0 0 0 39 3 5 15 112
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 2 3 6 43 4 6 24 141
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 2 79 0 1 7 169
Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists 0 0 1 38 1 1 5 53
Simulated ML Estimation of Financial Agent-Based Models 0 3 10 55 4 8 28 136
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 0 47 0 0 0 122
Tail Risks, Asset Prices, and Investment Horizons 0 1 4 20 2 3 13 40
Tail Risks, Investment Horizons, and Asset Prices 2 6 32 103 8 13 60 220
Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets 0 3 16 42 2 11 63 157
Total, asymmetric and frequency connectedness between oil and forex markets 6 19 77 232 21 55 199 608
Uncertainty Network Risk and Currency Returns 1 2 11 11 2 4 24 24
Understanding the source of multifractality in financial markets 1 2 4 86 1 3 9 183
Volatility Term Structure Modeling Using Nelson-Siegel Model 0 0 0 17 0 0 3 47
Volatility spillovers across petroleum markets 2 8 33 169 13 30 106 453
Wavelet Analysis of Central European Stock Market Behaviour During the Crisis 0 0 0 113 0 0 2 259
Total Working Papers 114 309 1,195 6,502 358 867 3,315 15,586


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 23 0 1 4 76
An empirical model of fractionally cointegrated daily high and low stock market prices 1 2 5 24 2 3 8 76
Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests 0 0 6 60 14 21 45 207
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 1 16 0 1 11 90
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers 0 1 6 62 2 12 45 195
Asymmetric volatility connectedness on the forex market 0 0 3 32 1 2 14 117
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment 0 0 2 12 0 3 9 71
Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets 0 0 0 22 0 1 5 112
Can a stochastic cusp catastrophe model explain stock market crashes? 1 4 10 123 3 6 19 462
Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? 0 0 0 35 2 2 5 196
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 2 3 5 54 2 3 16 188
Contagion among Central and Eastern European Stock Markets during the Financial Crisis 0 0 0 30 0 0 10 137
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 0 4 17 3 4 12 42
Do co-jumps impact correlations in currency markets? 0 0 3 7 3 6 15 43
Editorial to the Special Issue on Financial Markets in Central Europe 0 0 0 0 0 0 1 25
Estimation of financial agent-based models with simulated maximum likelihood 0 0 1 10 0 1 10 72
Estimation of long memory in volatility using wavelets 0 0 0 8 1 3 3 50
Forecasting dynamic return distributions based on ordered binary choice 0 0 2 15 1 1 8 56
Forecasting the term structure of crude oil futures prices with neural networks 1 2 6 11 1 2 17 76
Gold, oil, and stocks: Dynamic correlations 0 3 9 50 1 5 21 140
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? 4 8 37 100 12 26 99 273
How Do Neural Networks Enhance the Predictability of Central European Stock Returns? 0 0 1 67 0 1 6 183
How do skilled traders change the structure of the market 0 0 0 9 0 0 2 61
Measurement of common risks in tails: A panel quantile regression model for financial returns 1 2 4 4 2 3 16 16
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk 1 7 36 67 11 36 117 233
Modeling and forecasting exchange rate volatility in time-frequency domain 0 1 2 20 0 2 8 75
Modeling and forecasting persistent financial durations 0 0 0 4 0 0 1 26
Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof 0 0 0 26 0 0 2 88
Monte Carlo-based tail exponent estimator 0 0 1 5 3 3 8 30
Neural Networks as Semiparametric Option Pricing Tool 0 0 3 27 0 1 8 146
On Hurst exponent estimation under heavy-tailed distributions 0 0 2 18 1 1 22 140
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model 0 0 0 2 1 1 4 21
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities 0 0 1 1 1 1 6 20
Quantile coherency: A general measure for dependence between cyclical economic variables 0 1 9 12 2 7 29 42
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 3 10 0 0 6 24
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 0 0 5 0 1 3 26
Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression 0 0 0 15 2 2 6 74
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility 1 1 1 7 1 2 6 33
Smart Agents and Sentiment in the Heterogeneous Agent Model 0 0 0 18 0 2 5 123
Smart predictors in the heterogeneous agent model 1 1 1 20 1 1 4 139
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 0 21 0 0 1 134
Understanding the source of multifractality in financial markets 0 0 1 18 0 0 5 87
Volatility Spillovers Across Petroleum Markets 2 2 9 57 3 5 29 217
Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc 0 0 0 23 1 2 12 123
Total Journal Articles 15 38 174 1,167 77 174 683 4,765


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 0 46 1 4 13 169
Total Books 0 0 0 46 1 4 13 169


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Wavelet-Based Correlation Analysis of the Key Traded Assets 0 0 0 0 0 1 4 4
Total Chapters 0 0 0 0 0 1 4 4


Statistics updated 2021-12-05