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 4 19 379
Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 82 0 5 11 215
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 20 0 4 8 93
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover 0 0 1 110 0 3 14 424
Asymmetric Network Connectedness of Fears 0 1 13 487 1 9 50 1,255
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 0 5 340 2 5 32 887
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 0 1 43 0 6 17 178
Asymmetric network connectedness of fears 0 0 1 16 1 4 13 66
Asymmetric volatility connectedness on forex markets 0 0 7 285 0 3 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 2 6 13 281
Can we still benefit from international diversification? The case of the Czech and German stock markets 0 0 0 35 1 4 11 109
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 1 3 18 246
Common Cycles in Volatility and Cross Section of Stock Returns 0 0 0 25 0 3 4 45
Common Firm-level Investor Fears: Evidence from Equity Options 0 3 14 22 1 11 46 67
Common Idiosyncratic Quantile Factors and Asset Prices 3 11 33 106 6 23 77 208
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data 0 0 2 110 2 3 17 286
Contagion among Central and Eastern European stock markets during the financial crisis 0 0 0 66 0 4 19 139
Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility 0 0 0 49 0 2 12 98
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 1 5 170 2 5 16 344
Deep Learning, Predictability, and Optimal Portfolio Returns 1 3 14 134 4 15 68 358
Deep Learning, Predictability, and Optimal Portfolio Returns 0 0 1 28 0 5 19 74
Do co-jumps impact correlations in currency markets? 0 0 4 162 1 5 26 435
Dynamic Network Risk 0 0 1 251 1 4 19 486
Dynamic industry uncertainty networks and the business cycle 1 4 28 165 4 14 85 376
Estimation of Long Memory in Volatility Using Wavelets 0 0 0 107 1 5 10 204
Estimation of financial agent-based models with simulated maximum likelihood 0 0 0 32 1 9 33 110
Estimation of long memory in volatility using wavelets 0 0 0 30 0 3 12 76
Forecasting dynamic return distributions based on ordered binary choice 0 0 4 296 1 6 25 831
Forecasting stock return distributions around the globe with quantile neural networks 1 1 3 25 3 11 34 48
Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks 0 0 0 54 0 3 19 116
Forecasting the term structure of crude oil futures prices with neural networks 0 0 1 96 5 17 40 321
Frequency-Dependent Higher Moment Risks 0 0 0 18 0 1 8 57
Gold, Oil, and Stocks 0 1 1 124 1 7 22 267
Gold, Oil, and Stocks 0 1 1 28 1 7 16 203
Gold, Oil, and Stocks: Dynamic Correlations 0 0 2 87 1 5 24 296
How does bad and good volatility spill over across petroleum markets? 0 0 1 101 0 5 14 319
Investment Disputes and Abnormal Volatility of Stocks 0 0 0 16 1 2 10 75
Learning Probability Distributions in Macroeconomics and Finance 0 0 2 44 1 2 13 72
Learning the Probability Distributions of Day-Ahead Electricity Prices 2 3 26 67 6 13 67 134
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 0 0 1 59 1 5 13 87
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 0 1 10 334 0 11 41 925
Measuring the frequency dynamics of financial and macroeconomic connectedness 0 0 0 91 1 6 19 252
Measuring the frequency dynamics of financial connectedness and systemic risk 1 5 24 594 4 32 124 1,406
Modeling and Forecasting Persistent Financial Durations 0 1 1 174 1 6 22 549
Modeling and forecasting exchange rate volatility in time-frequency domain 0 1 2 39 1 6 19 121
Modeling and forecasting exchange rate volatility in time-frequency domain 0 1 2 268 1 10 26 587
Modeling and forecasting persistent financial durations 0 0 1 26 2 6 15 70
Moderation or indulgence? Effects of bank distribution restrictions during stress 0 0 1 13 1 3 20 39
Monte Carlo-Based Tail Exponent Estimator 0 0 0 39 2 4 14 182
Monte Carlo-based tail exponent estimator 0 1 1 30 1 3 9 89
On Hurst exponent estimation under heavy-tailed distributions 0 0 0 116 1 16 38 357
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model 0 0 1 134 0 1 13 433
Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities 0 0 1 18 1 5 16 96
Persistence in Financial Connectedness and Systemic Risk 0 0 8 445 0 8 39 824
Predicting the volatility of major energy commodity prices: the dynamic persistence model 0 2 33 102 0 6 90 208
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables 0 2 17 542 2 6 46 1,218
Quantile Preferences in Portfolio Choice: A Q-DRL Approach to Dynamic Diversification 1 1 17 50 1 1 42 142
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices 1 3 14 341 2 10 53 783
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 21 1 1 12 76
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 2 195 2 7 19 425
Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility 0 0 0 93 0 5 17 244
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 1 2 68 2 13 37 218
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression 0 0 0 86 0 5 14 204
Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression 0 0 0 40 1 11 14 177
Risks of heterogeneously persistent higher moments 0 0 0 20 1 7 51 106
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 3 62 1 4 18 203
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 1 83 0 13 20 199
Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists 0 1 2 43 1 6 26 91
Simulated ML Estimation of Financial Agent-Based Models 0 0 0 66 0 6 15 196
Skewness Dispersion and Stock Market Returns 3 14 14 14 6 18 18 18
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 0 47 1 2 8 131
Tail Risks, Asset Prices, and Investment Horizons 0 0 0 25 0 0 6 58
Tailoring Portfolio Choice via Quantile-Targeted Policies 0 0 0 0 1 4 10 10
The Dynamic Persistence of Economic Shocks 5 11 86 221 9 28 217 444
Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets 0 0 1 51 0 1 8 186
Total, asymmetric and frequency connectedness between oil and forex markets 0 0 5 351 0 5 34 950
Uncertainty Network Risk and Currency Returns 0 0 0 14 0 5 27 67
Understanding the source of multifractality in financial markets 0 0 0 88 1 9 22 214
Volatility Shocks and Currency Returns 1 6 20 145 2 14 58 275
Volatility Term Structure Modeling Using Nelson-Siegel Model 0 0 1 25 0 6 14 80
Volatility spillovers across petroleum markets 0 3 5 230 2 9 30 689
Wavelet Analysis of Central European Stock Market Behaviour During the Crisis 0 0 0 114 0 2 5 267
When David becomes Goliath: Repo dealer-driven bond mispricing 0 11 11 11 0 4 4 4
Total Working Papers 20 95 462 9,782 104 578 2,387 25,122

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 95
An empirical model of fractionally cointegrated daily high and low stock market prices 0 0 1 29 1 2 13 104
Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests 0 0 0 64 0 6 17 296
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 1 19 1 7 23 127
Asymmetric Network Connectedness of Fears 0 0 3 19 1 5 20 68
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers 1 6 11 111 5 17 66 400
Asymmetric volatility connectedness on the forex market 3 4 11 58 5 17 56 242
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment 0 1 1 14 0 3 7 93
Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets 0 0 0 23 0 3 14 137
Can a stochastic cusp catastrophe model explain stock market crashes? 0 0 1 139 0 11 32 525
Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? 0 0 2 37 1 8 17 216
Co-Jumping of Treasury Yield Curve Rates 0 0 0 0 5 11 18 19
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 0 1 64 0 5 29 265
Contagion among Central and Eastern European Stock Markets during the Financial Crisis 0 0 3 34 1 5 17 181
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 0 0 21 0 6 17 75
Deep learning, predictability, and optimal portfolio returns 0 0 0 0 0 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 3 20 32
Editorial to the Special Issue on Financial Markets in Central Europe 0 0 0 0 0 2 4 30
Estimation of financial agent-based models with simulated maximum likelihood 0 0 1 15 1 7 15 105
Estimation of long memory in volatility using wavelets 0 0 0 10 0 4 10 68
Fan charts in era of big data and learning 0 0 0 1 0 2 9 14
Forecasting dynamic return distributions based on ordered binary choice 0 0 1 18 1 2 17 84
Forecasting the term structure of crude oil futures prices with neural networks 0 0 2 15 0 2 14 102
Gold, oil, and stocks: Dynamic correlations 0 0 1 65 1 4 14 190
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? 0 1 3 176 0 3 16 457
How Do Neural Networks Enhance the Predictability of Central European Stock Returns? 0 0 0 70 0 2 6 202
How do skilled traders change the structure of the market 0 0 0 10 0 4 8 72
Learning the probability distributions of day-ahead electricity prices 1 1 3 3 6 15 29 29
Measurement of common risks in tails: A panel quantile regression model for financial returns 0 1 5 24 0 5 22 67
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk 6 11 51 333 28 86 262 1,180
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 0 25 1 6 16 103
Modeling and forecasting persistent financial durations 0 0 1 5 2 6 17 45
Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof 0 0 0 26 1 4 18 114
Monte Carlo-based tail exponent estimator 0 0 0 6 0 2 12 47
On Hurst exponent estimation under heavy-tailed distributions 0 0 2 22 2 9 26 183
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model 0 0 1 3 0 3 20 47
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities 0 0 0 1 0 2 8 33
Persistence in financial connectedness and systemic risk 0 4 32 111 2 12 107 306
Predicting the volatility of major energy commodity prices: The dynamic persistence model 0 0 2 4 1 11 26 36
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices* 0 0 0 3 1 5 12 19
Quantile coherency: A general measure for dependence between cyclical economic variables 1 2 4 29 1 3 29 122
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 11 0 2 6 34
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 0 1 7 1 2 9 42
Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression 0 0 0 16 0 4 11 92
Risks of heterogeneously persistent higher moments 0 1 1 1 1 4 15 15
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 2 12 0 4 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 0 3 6 149
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 1 1 22 0 5 12 150
Taming Data‐Driven Probability Distributions 1 1 1 1 2 7 20 30
Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets 0 0 1 1 1 2 10 10
Understanding the source of multifractality in financial markets 0 0 1 23 1 1 14 109
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 1 2 8 138
Total Journal Articles 13 34 153 1,802 77 350 1,244 7,571
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 0 1 10 191
Total Books 0 0 0 49 0 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 0 2 10 16
Total Chapters 0 0 0 0 0 2 10 16

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Statistics updated 2026-06-04