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 2 360
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 1 109 1 3 6 410
Asymmetric Network Connectedness of Fears 2 9 27 474 6 17 65 1,205
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 1 2 14 335 5 7 36 855
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 0 1 42 0 1 8 161
Asymmetric network connectedness of fears 0 0 1 15 0 0 4 53
Asymmetric volatility connectedness on forex markets 0 1 6 278 0 7 34 729
Asymmetric volatility connectedness on the forex market 0 0 0 49 0 1 2 128
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment 0 0 0 91 0 1 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 1 2 74 1 3 8 228
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 1 2 5 21
Common Idiosyncratic Quantile Risk 7 13 40 73 10 19 92 131
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 0 3 17 125 3 10 41 217
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 0 2 165 0 0 9 328
Deep Learning, Predictability, and Optimal Portfolio Returns 4 8 21 120 6 12 49 290
Deep Learning, Predictability, and Optimal Portfolio Returns 0 1 2 27 1 2 8 55
Do co-jumps impact correlations in currency markets? 0 0 5 158 1 1 9 409
Dynamic Network Risk 0 0 5 250 1 3 10 467
Dynamic industry uncertainty networks and the business cycle 1 4 32 137 8 22 85 291
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 1 32 0 1 4 77
Estimation of long memory in volatility using wavelets 0 0 1 30 0 0 5 64
Forecasting dynamic return distributions based on ordered binary choice 0 1 5 292 0 2 14 806
Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks 0 0 0 54 0 0 5 97
Forecasting the term structure of crude oil futures prices with neural networks 0 1 3 95 4 6 34 281
Frequency-Dependent Higher Moment Risks 0 0 0 18 0 0 0 49
Gold, Oil, and Stocks 0 0 0 123 0 0 1 245
Gold, Oil, and Stocks 0 0 0 27 0 0 1 187
Gold, Oil, and Stocks: Dynamic Correlations 0 0 0 85 1 1 4 272
How does bad and good volatility spill over across petroleum markets? 0 0 0 100 0 0 3 305
Investment Disputes and Abnormal Volatility of Stocks 0 0 1 16 1 1 5 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 18 41 2 11 39 67
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 0 1 1 58 0 1 3 74
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 1 4 11 324 1 6 40 884
Measuring the frequency dynamics of financial and macroeconomic connectedness 0 0 0 91 0 2 5 233
Measuring the frequency dynamics of financial connectedness and systemic risk 2 11 32 570 10 33 92 1,282
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 1 3 18 561
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 1 37 0 1 6 102
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 0 1 8 19
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 1 1 116 0 1 7 319
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model 0 0 1 133 0 2 3 420
Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities 0 0 0 17 2 5 10 80
Persistence in Financial Connectedness and Systemic Risk 0 3 28 437 0 8 50 785
Predicting the distributions of stock returns around the globe in the era of big data and learning 0 0 22 22 1 2 14 14
Predicting the volatility of major energy commodity prices: the dynamic persistence model 4 13 46 69 6 29 87 118
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables 2 9 31 525 3 12 58 1,172
Quantile Preferences in Portfolio Choice: A Q-DRL Approach to Dynamic Diversification 0 4 26 33 0 5 65 100
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices 1 4 29 327 3 9 60 730
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 1 2 3 227
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 1 1 66 0 4 9 181
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression 0 0 0 86 0 0 1 190
Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression 0 0 1 40 1 1 4 163
Risks of heterogeneously persistent higher moments 0 0 5 20 0 0 9 55
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 0 82 0 0 1 179
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 0 0 6 65
Simulated ML Estimation of Financial Agent-Based Models 0 0 0 66 2 3 10 181
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 1 1 25 1 2 4 52
The Dynamic Persistence of Economic Shocks 15 29 94 135 21 52 162 227
Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets 0 0 0 50 0 0 1 178
Total, asymmetric and frequency connectedness between oil and forex markets 2 3 15 346 3 10 41 916
Uncertainty Network Risk and Currency Returns 0 0 0 14 1 2 5 40
Understanding the source of multifractality in financial markets 0 0 0 88 1 2 2 192
Volatility Term Structure Modeling Using Nelson-Siegel Model 0 1 2 24 0 2 5 66
Volatility spillovers across petroleum markets 0 0 3 225 2 7 15 659
Wavelet Analysis of Central European Stock Market Behaviour During the Crisis 0 0 0 114 0 0 0 262
Total Working Papers 43 134 580 9,320 112 345 1,463 22,735


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 1 6 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 0 0 0 18 0 0 5 104
Asymmetric Network Connectedness of Fears 0 2 7 16 2 6 19 48
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers 1 6 13 100 2 15 38 334
Asymmetric volatility connectedness on the forex market 0 0 0 47 1 4 13 186
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment 0 0 0 13 1 2 5 86
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 2 2 138 1 4 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 5 14 236
Contagion among Central and Eastern European Stock Markets during the Financial Crisis 0 0 0 31 3 5 11 164
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 0 0 21 0 2 5 58
Do co-jumps impact correlations in currency markets? 0 0 0 9 0 1 5 62
Dynamic industry uncertainty networks and the business cycle 0 0 4 5 0 0 10 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 1 14 0 0 2 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 1 3 4 5
Forecasting dynamic return distributions based on ordered binary choice 0 0 0 17 1 1 5 67
Forecasting the term structure of crude oil futures prices with neural networks 0 1 1 13 0 2 2 88
Gold, oil, and stocks: Dynamic correlations 2 2 6 64 2 2 11 176
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? 0 2 10 173 4 8 23 441
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 7 45
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk 5 9 60 282 21 41 153 918
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 1 25 0 1 3 87
Modeling and forecasting persistent financial durations 0 0 0 4 0 0 0 28
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 1 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 0 0 1 25
Persistence in financial connectedness and systemic risk 4 13 61 79 8 32 158 199
Predicting the volatility of major energy commodity prices: The dynamic persistence model 2 2 2 2 3 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 1 3 5 93
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 1 3 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 4 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 0 2 3 138
Taming Data‐Driven Probability Distributions 0 0 0 0 1 1 10 10
Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets 0 0 0 0 0 0 0 0
Understanding the source of multifractality in financial markets 1 1 1 22 1 1 1 95
Volatility Spillovers Across Petroleum Markets 0 0 0 0 0 0 1 1
Volatility Spillovers Across Petroleum Markets 0 0 0 66 0 2 9 253
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 15 41 176 1,715 56 154 592 6,580
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 1 49 0 1 2 181
Total Books 0 0 1 49 0 1 2 181


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 2025-06-06