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 1 360
Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 1 82 0 0 5 204
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 1 20 0 0 5 85
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover 0 0 0 109 0 3 5 410
Asymmetric Network Connectedness of Fears 2 8 25 476 5 15 63 1,210
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 1 2 14 336 5 11 37 860
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 0 1 42 1 1 8 162
Asymmetric network connectedness of fears 0 0 1 15 0 0 4 53
Asymmetric volatility connectedness on forex markets 0 0 6 278 0 3 31 729
Asymmetric volatility connectedness on the forex market 0 0 0 49 0 0 2 128
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment 0 0 0 91 0 0 2 268
Can we still benefit from international diversification? The case of the Czech and German stock markets 0 0 0 35 0 0 4 98
Co-jumping of Treasury Yield Curve Rates 0 0 0 57 0 1 1 124
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 0 2 74 1 3 9 229
Common Cycles in Volatility and Cross Section of Stock Returns 0 0 0 25 0 0 2 41
Common Firm-level Investor Fears: Evidence from Equity Options 0 0 1 8 0 1 4 21
Common Idiosyncratic Quantile Risk 1 12 37 74 4 19 87 135
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data 0 0 0 108 0 0 2 269
Contagion among Central and Eastern European stock markets during the financial crisis 0 0 0 66 0 0 1 120
Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility 0 0 0 49 0 0 2 86
Currency Network Risk 1 1 17 126 5 10 44 222
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 1 1 3 166 1 1 10 329
Deep Learning, Predictability, and Optimal Portfolio Returns 0 0 2 27 1 2 9 56
Deep Learning, Predictability, and Optimal Portfolio Returns 2 7 22 122 9 16 54 299
Do co-jumps impact correlations in currency markets? 0 0 5 158 1 2 10 410
Dynamic Network Risk 0 0 5 250 1 2 11 468
Dynamic industry uncertainty networks and the business cycle 1 4 31 138 4 19 83 295
Estimation of Long Memory in Volatility Using Wavelets 0 0 1 107 0 0 3 194
Estimation of financial agent-based models with simulated maximum likelihood 0 0 0 32 0 0 3 77
Estimation of long memory in volatility using wavelets 0 0 1 30 1 1 6 65
Forecasting dynamic return distributions based on ordered binary choice 0 0 5 292 0 1 11 806
Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks 0 0 0 54 1 1 5 98
Forecasting the term structure of crude oil futures prices with neural networks 0 1 3 95 0 5 26 281
Frequency-Dependent Higher Moment Risks 0 0 0 18 0 0 0 49
Gold, Oil, and Stocks 0 0 0 123 0 0 0 245
Gold, Oil, and Stocks 0 0 0 27 3 3 4 190
Gold, Oil, and Stocks: Dynamic Correlations 0 0 0 85 1 2 5 273
How does bad and good volatility spill over across petroleum markets? 1 1 1 101 2 2 4 307
Investment Disputes and Abnormal Volatility of Stocks 0 0 0 16 0 1 2 65
Learning Probability Distributions in Macroeconomics and Finance 0 0 3 42 0 1 9 59
Learning Probability Distributions of Day-Ahead Electricity Prices 1 4 19 42 1 10 40 68
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 0 2 11 324 2 5 39 886
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 1 1 2 59 2 2 5 76
Measuring the frequency dynamics of financial and macroeconomic connectedness 0 0 0 91 2 2 7 235
Measuring the frequency dynamics of financial connectedness and systemic risk 1 8 30 571 5 25 89 1,287
Modeling and Forecasting Persistent Financial Durations 0 0 2 173 0 0 14 527
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 5 266 0 2 15 561
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 1 37 0 0 5 102
Modeling and forecasting persistent financial durations 0 0 0 25 0 0 0 55
Moderation or indulgence? Effects of bank distribution restrictions during stress 0 0 1 12 1 1 7 20
Monte Carlo-Based Tail Exponent Estimator 0 0 0 39 0 0 0 168
Monte Carlo-based tail exponent estimator 0 0 0 29 0 0 2 80
On Hurst exponent estimation under heavy-tailed distributions 0 0 1 116 0 0 6 319
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model 0 0 1 133 1 1 4 421
Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities 0 0 0 17 1 5 11 81
Persistence in Financial Connectedness and Systemic Risk 0 1 24 437 2 4 45 787
Predicting the distributions of stock returns around the globe in the era of big data and learning 0 0 22 22 1 2 15 15
Predicting the volatility of major energy commodity prices: the dynamic persistence model 3 9 47 72 19 36 104 137
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables 1 4 30 526 6 11 61 1,178
Quantile Preferences in Portfolio Choice: A Q-DRL Approach to Dynamic Diversification 3 5 22 36 11 13 62 111
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices 1 4 26 328 6 13 58 736
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 5 193 0 1 11 406
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 21 0 0 2 64
Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility 0 1 1 93 0 2 3 227
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 0 1 66 0 3 8 181
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression 0 0 0 86 1 1 2 191
Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression 0 0 1 40 0 1 4 163
Risks of heterogeneously persistent higher moments 0 0 3 20 0 0 7 55
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 1 1 1 83 1 1 1 180
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 2 59 0 1 6 185
Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists 0 0 1 41 1 1 7 66
Simulated ML Estimation of Financial Agent-Based Models 0 0 0 66 1 4 9 182
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 0 47 0 0 0 123
Tail Risks, Asset Prices, and Investment Horizons 0 0 1 25 0 1 4 52
The Dynamic Persistence of Economic Shocks 9 31 99 144 23 61 176 250
Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets 1 1 1 51 2 2 3 180
Total, asymmetric and frequency connectedness between oil and forex markets 1 4 14 347 1 6 35 917
Uncertainty Network Risk and Currency Returns 0 0 0 14 1 2 6 41
Understanding the source of multifractality in financial markets 0 0 0 88 2 4 4 194
Volatility Term Structure Modeling Using Nelson-Siegel Model 0 0 2 24 0 0 5 66
Volatility spillovers across petroleum markets 0 0 3 225 0 7 14 659
Wavelet Analysis of Central European Stock Market Behaviour During the Crisis 0 0 0 114 0 0 0 262
Total Working Papers 33 113 567 9,353 139 357 1,470 22,874


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 5 86
An empirical model of fractionally cointegrated daily high and low stock market prices 0 0 0 28 0 0 3 91
Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests 0 0 1 64 0 0 2 279
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data 1 1 1 19 1 1 4 105
Asymmetric Network Connectedness of Fears 0 2 7 16 0 4 19 48
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers 1 4 14 101 4 13 38 338
Asymmetric volatility connectedness on the forex market 2 2 2 49 3 5 15 189
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment 0 0 0 13 1 2 6 87
Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets 0 0 0 23 0 0 3 123
Can a stochastic cusp catastrophe model explain stock market crashes? 0 0 2 138 0 2 5 493
Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? 0 0 0 35 0 1 1 199
Co-Jumping of Treasury Yield Curve Rates 0 0 0 0 0 0 1 1
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 0 0 63 1 4 14 237
Contagion among Central and Eastern European Stock Markets during the Financial Crisis 0 0 0 31 0 4 10 164
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 0 0 21 0 0 5 58
Do co-jumps impact correlations in currency markets? 0 0 0 9 0 0 5 62
Dynamic industry uncertainty networks and the business cycle 0 0 4 5 0 0 9 12
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 0 0 1 90
Estimation of long memory in volatility using wavelets 0 0 0 10 0 0 3 58
Fan charts in era of big data and learning 0 0 0 1 0 3 4 5
Forecasting dynamic return distributions based on ordered binary choice 0 0 0 17 0 1 5 67
Forecasting the term structure of crude oil futures prices with neural networks 0 0 1 13 0 1 2 88
Gold, oil, and stocks: Dynamic correlations 1 3 7 65 1 3 12 177
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? 0 1 10 173 0 6 21 441
How Do Neural Networks Enhance the Predictability of Central European Stock Returns? 0 0 0 70 0 0 0 196
How do skilled traders change the structure of the market 0 0 0 10 0 0 1 64
Measurement of common risks in tails: A panel quantile regression model for financial returns 0 0 2 19 0 0 5 45
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk 3 10 59 285 15 48 153 933
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 1 25 2 2 5 89
Modeling and forecasting persistent financial durations 1 1 1 5 1 1 1 29
Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof 0 0 0 26 0 0 3 96
Monte Carlo-based tail exponent estimator 0 0 0 6 0 0 2 35
On Hurst exponent estimation under heavy-tailed distributions 0 0 0 20 0 0 7 157
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model 0 0 0 2 0 0 2 27
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities 0 0 0 1 1 1 2 26
Persistence in financial connectedness and systemic risk 4 13 57 83 9 30 151 208
Predicting the volatility of major energy commodity prices: The dynamic persistence model 0 2 2 2 0 3 10 10
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices* 0 0 2 3 0 0 4 7
Quantile coherency: A general measure for dependence between cyclical economic variables 0 0 0 25 2 3 7 95
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 11 0 0 1 28
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 1 1 6 0 2 6 33
Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression 0 0 0 16 0 1 2 81
Risks of heterogeneously persistent higher moments 0 0 0 0 0 0 0 0
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 1 10 0 1 3 44
Smart Agents and Sentiment in the Heterogeneous Agent Model 0 0 0 19 0 0 0 124
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 3 4 139
Taming Data‐Driven Probability Distributions 0 0 0 0 0 1 10 10
Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets 1 1 1 1 1 1 1 1
Understanding the source of multifractality in financial markets 0 1 1 22 1 2 2 96
Volatility Spillovers Across Petroleum Markets 0 0 0 0 0 0 1 1
Volatility Spillovers Across Petroleum Markets 0 0 0 66 0 1 8 253
Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc 0 0 0 23 0 0 1 130
Total Journal Articles 14 42 177 1,729 44 151 587 6,624
1 registered items for which data could not be found


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 49 0 0 1 181
Total Books 0 0 0 49 0 0 1 181


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 1 6
Total Chapters 0 0 0 0 0 0 1 6


Statistics updated 2025-07-04