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 19 380
Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 82 0 0 11 215
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 20 0 2 10 95
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover 0 0 1 110 0 0 14 424
Asymmetric Network Connectedness of Fears 0 1 11 488 3 6 46 1,260
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 0 3 340 1 4 25 889
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 0 1 43 0 3 19 181
Asymmetric network connectedness of fears 0 0 1 16 0 2 14 67
Asymmetric volatility connectedness on forex markets 0 0 6 285 1 2 33 764
Asymmetric volatility connectedness on the forex market 0 0 0 49 0 0 19 147
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment 0 0 0 92 0 3 12 282
Can we still benefit from international diversification? The case of the Czech and German stock markets 0 0 0 35 0 2 11 110
Co-jumping of Treasury Yield Curve Rates 0 0 0 57 0 1 11 136
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 0 3 77 0 1 17 246
Common Cycles in Volatility and Cross Section of Stock Returns 0 0 0 25 0 0 4 45
Common Firm-level Investor Fears: Evidence from Equity Options 0 0 14 22 0 3 47 69
Common Idiosyncratic Quantile Factors and Asset Prices 2 7 34 110 2 12 73 214
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data 0 0 2 110 0 2 17 286
Contagion among Central and Eastern European stock markets during the financial crisis 0 0 0 66 0 0 19 139
Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility 0 0 0 49 0 0 11 98
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 0 1 170 0 3 12 345
Deep Learning, Predictability, and Optimal Portfolio Returns 1 1 2 29 1 2 18 76
Deep Learning, Predictability, and Optimal Portfolio Returns 1 2 12 135 2 10 60 364
Do co-jumps impact correlations in currency markets? 0 1 5 163 1 3 27 437
Dynamic Network Risk 0 0 1 251 1 2 19 487
Dynamic industry uncertainty networks and the business cycle 1 2 25 166 2 6 76 378
Estimation of Long Memory in Volatility Using Wavelets 0 0 0 107 0 1 10 204
Estimation of financial agent-based models with simulated maximum likelihood 0 0 0 32 0 1 31 110
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 1 1 5 297 1 2 26 832
Forecasting stock return distributions around the globe with quantile neural networks 0 1 3 25 0 9 36 54
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 1 96 0 5 40 321
Frequency-Dependent Higher Moment Risks 0 0 0 18 0 0 7 57
Gold, Oil, and Stocks 0 0 1 124 1 2 23 268
Gold, Oil, and Stocks 0 0 1 28 0 1 13 203
Gold, Oil, and Stocks: Dynamic Correlations 0 0 2 87 0 4 24 299
How does bad and good volatility spill over across petroleum markets? 0 0 0 101 0 1 13 320
Investment Disputes and Abnormal Volatility of Stocks 0 0 0 16 0 1 10 75
Learning Probability Distributions in Macroeconomics and Finance 0 0 2 44 1 2 13 73
Learning the Probability Distributions of Day-Ahead Electricity Prices 0 2 21 67 0 8 59 136
Managing Portfolios Across the Return Distribution 0 0 0 0 2 4 13 13
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 0 0 8 334 1 1 35 926
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 0 0 0 59 0 1 11 87
Measuring the frequency dynamics of financial and macroeconomic connectedness 1 1 1 92 1 4 20 255
Measuring the frequency dynamics of financial connectedness and systemic risk 2 4 23 597 4 15 122 1,417
Modeling and Forecasting Persistent Financial Durations 0 0 1 174 0 1 21 549
Modeling and forecasting exchange rate volatility in time-frequency domain 1 1 3 269 1 3 28 589
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 2 39 0 2 18 122
Modeling and forecasting persistent financial durations 0 0 1 26 0 2 15 70
Moderation or indulgence? Effects of bank distribution restrictions during stress 1 1 2 14 2 3 21 41
Monte Carlo-Based Tail Exponent Estimator 0 0 0 39 0 2 13 182
Monte Carlo-based tail exponent estimator 0 0 1 30 0 1 9 89
On Hurst exponent estimation under heavy-tailed distributions 0 0 0 116 1 2 39 358
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model 0 0 1 134 1 1 12 434
Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities 0 0 1 18 0 2 16 97
Persistence in Financial Connectedness and Systemic Risk 0 0 8 445 0 1 35 825
Predicting the volatility of major energy commodity prices: the dynamic persistence model 1 1 26 103 3 5 60 213
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables 0 0 15 542 1 5 42 1,221
Quantile Preferences in Portfolio Choice: A Q-DRL Approach to Dynamic Diversification 0 1 9 50 2 3 27 144
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices 0 1 12 341 2 4 43 785
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 1 1 3 196 1 5 22 428
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 21 0 3 13 78
Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility 0 0 0 93 0 0 17 244
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 0 1 68 4 8 42 224
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression 0 0 0 86 0 0 13 204
Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression 0 0 0 40 1 2 15 178
Risks of heterogeneously persistent higher moments 0 0 0 20 0 2 51 107
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 2 62 0 2 18 204
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 1 1 1 84 2 3 22 202
Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists 0 0 2 43 1 2 25 92
Simulated ML Estimation of Financial Agent-Based Models 1 1 1 67 1 1 13 197
Skewness Dispersion and Stock Market Returns 0 3 14 14 0 10 22 22
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 0 47 0 2 9 132
Tail Risks, Asset Prices, and Investment Horizons 0 0 0 25 0 0 6 58
The Dynamic Persistence of Economic Shocks 2 9 74 225 7 28 200 463
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 2 351 0 2 26 952
Uncertainty Network Risk and Currency Returns 0 0 0 14 0 1 27 68
Understanding the source of multifractality in financial markets 0 0 0 88 0 1 19 214
Volatility Shocks and Currency Returns 0 1 17 145 0 3 52 276
Volatility Term Structure Modeling Using Nelson-Siegel Model 0 0 0 25 0 0 13 80
Volatility spillovers across petroleum markets 0 0 5 230 0 4 31 691
Wavelet Analysis of Central European Stock Market Behaviour During the Crisis 0 0 0 114 0 0 5 267
When David becomes Goliath: Repo dealer-driven bond mispricing 0 0 11 11 0 0 4 4
Total Working Papers 17 44 405 9,806 55 248 2,249 25,266

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 10 96
An empirical model of fractionally cointegrated daily high and low stock market prices 0 0 1 29 0 1 13 104
Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests 0 0 0 64 1 1 18 297
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 19 0 3 23 129
Asymmetric Network Connectedness of Fears 0 1 4 20 1 3 22 70
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers 0 2 11 112 4 13 62 408
Asymmetric volatility connectedness on the forex market 1 6 12 61 1 13 55 250
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment 0 0 1 14 0 0 6 93
Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets 0 0 0 23 1 1 14 138
Can a stochastic cusp catastrophe model explain stock market crashes? 0 0 1 139 3 5 35 530
Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? 0 0 2 37 1 2 18 217
Co-Jumping of Treasury Yield Curve Rates 0 0 0 0 0 5 18 19
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 0 1 64 0 1 28 266
Contagion among Central and Eastern European Stock Markets during the Financial Crisis 0 0 3 34 0 2 16 182
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 0 0 21 1 2 19 77
Deep learning, predictability, and optimal portfolio returns 1 2 2 2 4 6 7 7
Do co-jumps impact correlations in currency markets? 0 0 0 9 0 1 9 71
Dynamic industry uncertainty networks and the business cycle 0 0 0 5 1 2 21 33
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 2 15 106
Estimation of long memory in volatility using wavelets 0 0 0 10 1 1 11 69
Fan charts in era of big data and learning 0 0 0 1 1 1 10 15
Forecasting dynamic return distributions based on ordered binary choice 0 0 1 18 1 2 18 85
Forecasting the term structure of crude oil futures prices with neural networks 0 0 2 15 2 2 16 104
Gold, oil, and stocks: Dynamic correlations 0 0 0 65 0 2 14 191
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? 0 0 2 176 0 1 15 458
How Do Neural Networks Enhance the Predictability of Central European Stock Returns? 0 0 0 70 1 1 7 203
How do skilled traders change the structure of the market 0 0 0 10 0 0 8 72
Learning the probability distributions of day-ahead electricity prices 0 1 3 3 0 6 29 29
Measurement of common risks in tails: A panel quantile regression model for financial returns 0 1 6 25 0 2 24 69
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk 4 17 55 344 22 75 276 1,227
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 0 25 0 1 13 103
Modeling and forecasting persistent financial durations 0 0 0 5 0 2 15 45
Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof 0 0 0 26 2 3 20 116
Monte Carlo-based tail exponent estimator 0 0 0 6 0 0 11 47
On Hurst exponent estimation under heavy-tailed distributions 0 0 2 22 1 6 30 187
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model 0 0 1 3 0 1 21 48
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities 0 0 0 1 0 0 7 33
Persistence in financial connectedness and systemic risk 1 2 23 113 4 10 88 314
Predicting the volatility of major energy commodity prices: The dynamic persistence model 0 0 1 4 1 2 26 37
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices* 0 0 0 3 2 3 13 21
Quantile coherency: A general measure for dependence between cyclical economic variables 1 2 5 30 4 5 31 126
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 11 0 1 6 35
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 0 1 7 1 3 11 44
Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression 1 1 1 17 1 1 11 93
Risks of heterogeneously persistent higher moments 0 0 1 1 0 2 16 16
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 2 12 1 1 14 58
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 0 11 150
Taming Data‐Driven Probability Distributions 0 1 1 1 1 3 21 31
Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets 0 0 0 1 0 1 9 10
Understanding the source of multifractality in financial markets 0 0 1 23 0 1 13 109
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 1 8 138
Total Journal Articles 9 36 149 1,825 66 205 1,261 7,699
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 10 191
Total Books 0 0 0 49 0 0 10 191

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 0 10 16
Total Chapters 0 0 0 0 0 0 10 16

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Statistics updated 2026-08-07