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 1 6 19 379
Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 82 5 5 11 215
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 20 3 4 8 93
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover 0 0 1 110 2 3 15 424
Asymmetric Network Connectedness of Fears 0 2 15 487 7 10 55 1,254
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 0 1 43 3 6 17 178
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 0 6 340 1 4 35 885
Asymmetric network connectedness of fears 0 0 1 16 1 5 12 65
Asymmetric volatility connectedness on forex markets 0 0 7 285 2 4 33 762
Asymmetric volatility connectedness on the forex market 0 0 0 49 0 2 19 147
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment 0 0 1 92 3 5 11 279
Can we still benefit from international diversification? The case of the Czech and German stock markets 0 0 0 35 1 4 10 108
Co-jumping of Treasury Yield Curve Rates 0 0 0 57 0 0 11 135
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 1 3 77 0 4 18 245
Common Cycles in Volatility and Cross Section of Stock Returns 0 0 0 25 3 3 4 45
Common Firm-level Investor Fears: Evidence from Equity Options 1 4 14 22 5 15 46 66
Common Idiosyncratic Quantile Factors and Asset Prices 6 12 37 103 12 28 81 202
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data 0 0 2 110 1 1 15 284
Contagion among Central and Eastern European stock markets during the financial crisis 0 0 0 66 3 9 19 139
Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility 0 0 0 49 1 3 12 98
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 1 5 170 1 5 14 342
Deep Learning, Predictability, and Optimal Portfolio Returns 0 1 1 28 1 7 20 74
Deep Learning, Predictability, and Optimal Portfolio Returns 2 4 17 133 6 18 70 354
Do co-jumps impact correlations in currency markets? 0 0 4 162 2 4 26 434
Dynamic Network Risk 0 0 1 251 3 5 19 485
Dynamic industry uncertainty networks and the business cycle 0 3 28 164 3 14 89 372
Estimation of Long Memory in Volatility Using Wavelets 0 0 0 107 4 4 9 203
Estimation of financial agent-based models with simulated maximum likelihood 0 0 0 32 7 12 32 109
Estimation of long memory in volatility using wavelets 0 0 0 30 2 3 12 76
Forecasting dynamic return distributions based on ordered binary choice 0 0 4 296 2 7 24 830
Forecasting stock return distributions around the globe with quantile neural networks 0 1 2 24 4 13 32 45
Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks 0 0 0 54 2 7 19 116
Forecasting the term structure of crude oil futures prices with neural networks 0 0 1 96 7 15 39 316
Frequency-Dependent Higher Moment Risks 0 0 0 18 1 3 8 57
Gold, Oil, and Stocks 0 1 1 124 3 11 21 266
Gold, Oil, and Stocks 0 1 1 28 5 7 15 202
Gold, Oil, and Stocks: Dynamic Correlations 0 0 2 87 2 7 24 295
How does bad and good volatility spill over across petroleum markets? 0 0 1 101 3 5 14 319
Investment Disputes and Abnormal Volatility of Stocks 0 0 0 16 1 1 10 74
Learning Probability Distributions in Macroeconomics and Finance 0 0 2 44 1 2 12 71
Learning the Probability Distributions of Day-Ahead Electricity Prices 0 2 25 65 1 15 63 128
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 0 0 1 59 2 6 12 86
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 0 1 11 334 6 12 42 925
Measuring the frequency dynamics of financial and macroeconomic connectedness 0 0 0 91 1 7 18 251
Measuring the frequency dynamics of financial connectedness and systemic risk 2 8 25 593 11 43 130 1,402
Modeling and Forecasting Persistent Financial Durations 0 1 1 174 3 6 21 548
Modeling and forecasting exchange rate volatility in time-frequency domain 0 1 2 39 4 6 18 120
Modeling and forecasting exchange rate volatility in time-frequency domain 0 1 2 268 4 9 26 586
Modeling and forecasting persistent financial durations 0 0 1 26 3 4 13 68
Moderation or indulgence? Effects of bank distribution restrictions during stress 0 0 1 13 1 2 19 38
Monte Carlo-Based Tail Exponent Estimator 0 0 0 39 1 2 12 180
Monte Carlo-based tail exponent estimator 0 1 1 30 1 2 8 88
On Hurst exponent estimation under heavy-tailed distributions 0 0 0 116 3 21 37 356
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model 0 0 1 134 1 1 13 433
Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities 0 0 1 18 3 4 17 95
Persistence in Financial Connectedness and Systemic Risk 0 2 8 445 4 14 39 824
Predicting the volatility of major energy commodity prices: the dynamic persistence model 0 3 37 102 3 9 96 208
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables 0 3 19 542 1 6 47 1,216
Quantile Preferences in Portfolio Choice: A Q-DRL Approach to Dynamic Diversification 0 0 16 49 0 3 41 141
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices 0 4 14 340 2 16 54 781
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 2 195 2 6 17 423
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 21 0 0 11 75
Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility 0 0 0 93 4 7 18 244
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 1 2 68 8 13 35 216
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression 0 0 0 86 1 7 14 204
Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression 0 0 0 40 6 10 14 176
Risks of heterogeneously persistent higher moments 0 0 0 20 4 10 50 105
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 1 83 12 14 20 199
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 3 62 1 3 17 202
Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists 1 1 2 43 4 11 25 90
Simulated ML Estimation of Financial Agent-Based Models 0 0 0 66 4 7 17 196
Skewness Dispersion and Stock Market Returns 11 11 11 11 12 12 12 12
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 0 47 1 1 7 130
Tail Risks, Asset Prices, and Investment Horizons 0 0 0 25 0 0 7 58
Tailoring Portfolio Choice via Quantile-Targeted Policies 0 0 0 0 3 3 9 9
The Dynamic Persistence of Economic Shocks 2 9 96 216 10 36 229 435
Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets 0 0 1 51 0 2 8 186
Total, asymmetric and frequency connectedness between oil and forex markets 0 0 7 351 4 5 37 950
Uncertainty Network Risk and Currency Returns 0 0 0 14 3 10 28 67
Understanding the source of multifractality in financial markets 0 0 0 88 5 10 22 213
Volatility Shocks and Currency Returns 1 6 19 144 3 18 59 273
Volatility Term Structure Modeling Using Nelson-Siegel Model 0 0 1 25 5 7 14 80
Volatility spillovers across petroleum markets 1 4 5 230 4 10 30 687
Wavelet Analysis of Central European Stock Market Behaviour During the Crisis 0 0 0 114 2 2 5 267
When David becomes Goliath: Repo dealer-driven bond mispricing 1 11 11 11 4 4 4 4
Total Working Papers 28 101 485 9,762 271 667 2,395 25,018

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 3 9 94
An empirical model of fractionally cointegrated daily high and low stock market prices 0 0 1 29 1 1 12 103
Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests 0 0 0 64 6 8 17 296
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 1 19 5 6 22 126
Asymmetric Network Connectedness of Fears 0 1 3 19 3 5 21 67
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers 2 5 11 110 7 13 63 395
Asymmetric volatility connectedness on the forex market 0 3 8 55 6 16 52 237
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment 0 1 1 14 2 4 8 93
Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets 0 0 0 23 1 3 14 137
Can a stochastic cusp catastrophe model explain stock market crashes? 0 0 1 139 6 18 33 525
Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? 0 0 2 37 7 9 16 215
Co-Jumping of Treasury Yield Curve Rates 0 0 0 0 5 9 13 14
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 0 1 64 4 6 30 265
Contagion among Central and Eastern European Stock Markets during the Financial Crisis 0 1 3 34 1 5 19 180
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 0 0 21 5 8 17 75
Deep learning, predictability, and optimal portfolio returns 0 0 0 0 1 1 1 1
Do co-jumps impact correlations in currency markets? 0 0 0 9 0 0 8 70
Dynamic industry uncertainty networks and the business cycle 0 0 0 5 1 4 19 31
Editorial to the Special Issue on Financial Markets in Central Europe 0 0 0 0 2 2 4 30
Estimation of financial agent-based models with simulated maximum likelihood 0 1 1 15 3 10 14 104
Estimation of long memory in volatility using wavelets 0 0 0 10 3 5 10 68
Fan charts in era of big data and learning 0 0 0 1 2 3 10 14
Forecasting dynamic return distributions based on ordered binary choice 0 0 1 18 1 4 17 83
Forecasting the term structure of crude oil futures prices with neural networks 0 0 2 15 1 5 14 102
Gold, oil, and stocks: Dynamic correlations 0 0 3 65 1 3 15 189
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? 0 1 3 176 1 3 20 457
How Do Neural Networks Enhance the Predictability of Central European Stock Returns? 0 0 0 70 2 2 6 202
How do skilled traders change the structure of the market 0 0 0 10 4 4 8 72
Learning the probability distributions of day-ahead electricity prices 0 0 2 2 2 11 23 23
Measurement of common risks in tails: A panel quantile regression model for financial returns 0 2 5 24 2 8 22 67
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk 2 9 50 327 29 79 255 1,152
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 0 25 4 7 15 102
Modeling and forecasting persistent financial durations 0 0 1 5 4 4 15 43
Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof 0 0 0 26 2 8 17 113
Monte Carlo-based tail exponent estimator 0 0 0 6 2 2 12 47
On Hurst exponent estimation under heavy-tailed distributions 0 1 2 22 2 12 24 181
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model 0 0 1 3 3 4 20 47
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities 0 0 0 1 1 3 8 33
Persistence in financial connectedness and systemic risk 2 5 36 111 4 19 113 304
Predicting the volatility of major energy commodity prices: The dynamic persistence model 0 0 4 4 8 11 28 35
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices* 0 0 0 3 1 5 11 18
Quantile coherency: A general measure for dependence between cyclical economic variables 1 1 3 28 2 3 29 121
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 11 1 2 6 34
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 1 1 7 1 3 9 41
Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression 0 0 0 16 3 5 11 92
Risks of heterogeneously persistent higher moments 0 1 1 1 1 8 14 14
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 2 12 3 6 13 57
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 2 3 6 149
Tail Behavior of the Central European Stock Markets during the Financial Crisis 1 1 1 22 3 6 12 150
Taming Data‐Driven Probability Distributions 0 0 0 0 5 10 19 28
Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets 0 0 1 1 1 1 9 9
Understanding the source of multifractality in financial markets 0 1 2 23 0 2 14 108
Volatility Spillovers Across Petroleum Markets 0 0 1 1 0 1 13 14
Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc 0 0 0 23 0 3 7 137
Total Journal Articles 8 35 155 1,789 168 386 1,223 7,494
2 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 1 1 10 191
Total Books 0 0 0 49 1 1 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 1 4 10 16
Total Chapters 0 0 0 0 1 4 10 16

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Statistics updated 2026-05-06