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 1 1 8 138 1 4 22 227
Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 81 0 1 6 192
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 18 0 4 11 76
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover 2 3 12 94 4 10 30 251
Asymmetric Network Connectedness of Fears 5 11 31 68 13 32 70 139
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 6 15 44 186 13 37 118 404
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 0 2 37 2 8 14 103
Asymmetric volatility connectedness on forex markets 3 14 43 145 10 37 131 346
Asymmetric volatility connectedness on the forex market 0 1 3 45 0 3 20 99
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment 0 1 1 86 0 1 13 251
Can we still benefit from international diversification? The case of the Czech and German stock markets 0 0 0 35 0 0 5 87
Co-jumping of Treasury Yield Curve Rates 0 2 14 34 0 4 28 55
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 1 2 58 2 5 16 170
Common Cycles in Volatility and Cross Section of Stock Returns 0 0 1 25 0 0 4 39
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data 0 0 2 101 0 0 3 243
Contagion among Central and Eastern European stock markets during the financial crisis 0 0 0 66 1 1 4 110
Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility 0 0 0 47 0 0 4 79
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 2 3 13 98 3 12 36 185
Deep Learning, Predictability, and Optimal Portfolio Returns 23 27 27 27 18 28 28 28
Do co-jumps impact correlations in currency markets? 2 3 22 78 3 14 64 193
Dynamic Network Risk 11 28 49 49 21 60 92 92
Dynamic Networks in Large Financial and Economic Systems 8 34 56 56 17 66 86 86
Estimation of Long Memory in Volatility Using Wavelets 1 2 2 102 1 3 11 179
Estimation of financial agent-based models with simulated maximum likelihood 1 3 7 29 2 6 18 59
Estimation of long memory in volatility using wavelets 0 1 1 28 0 4 13 52
Forecasting dynamic return distributions based on ordered binary choice 2 9 48 222 7 36 208 590
Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks 0 0 0 52 0 0 14 74
Forecasting the term structure of crude oil futures prices with neural networks 0 0 2 70 1 8 34 162
Gold, Oil, and Stocks 0 0 0 26 0 2 8 174
Gold, Oil, and Stocks 0 0 0 122 1 3 5 232
Gold, Oil, and Stocks: Dynamic Correlations 4 5 10 75 6 10 32 212
How does bad and good volatility spill over across petroleum markets? 1 2 7 91 2 8 24 231
Investment Disputes and Abnormal Volatility of Stocks 0 1 5 5 2 10 17 17
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 4 12 44 92 18 48 159 266
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 1 1 1 47 2 3 19 48
Measuring the frequency dynamics of financial and macroeconomic connectedness 0 1 12 85 1 4 32 189
Measuring the frequency dynamics of financial connectedness and systemic risk 6 17 72 320 16 42 168 624
Modeling and Forecasting Persistent Financial Durations 1 2 4 157 3 10 28 429
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 1 36 2 7 22 83
Modeling and forecasting exchange rate volatility in time-frequency domain 3 7 25 197 5 14 55 404
Modeling and forecasting persistent financial durations 0 0 0 25 0 1 5 48
Monte Carlo-Based Tail Exponent Estimator 0 0 0 38 1 2 6 138
Monte Carlo-based tail exponent estimator 0 0 0 29 1 2 8 74
On Hurst exponent estimation under heavy-tailed distributions 0 0 4 113 0 2 12 301
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model 0 0 7 122 5 11 58 364
Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities 0 0 2 13 2 3 16 35
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables 2 14 71 225 17 43 197 459
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices 1 6 24 68 1 11 52 152
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 2 3 10 155 2 5 25 319
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 1 21 0 5 11 56
Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility 0 0 1 91 0 0 6 216
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 1 2 10 42 3 7 31 102
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression 0 0 2 85 0 1 8 182
Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression 0 0 0 39 0 0 13 96
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 1 77 0 0 11 162
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 2 10 33 1 6 33 110
Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists 0 0 5 36 1 2 21 47
Simulated ML Estimation of Financial Agent-Based Models 0 1 4 44 4 11 26 105
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 1 47 0 1 8 122
Tail Risks, Asset Prices, and Investment Horizons 0 0 16 16 3 4 24 26
Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets 2 2 17 24 4 12 83 89
Total, asymmetric and frequency connectedness between oil and forex markets 8 25 83 146 21 56 233 387
Understanding the source of multifractality in financial markets 0 0 3 82 1 4 17 174
Volatility Term Structure Modeling Using Nelson-Siegel Model 0 0 2 17 0 2 7 44
Volatility spillovers across petroleum markets 3 8 30 129 8 24 91 330
Wavelet Analysis of Central European Stock Market Behaviour During the Crisis 0 1 3 113 0 1 5 257
Total Working Papers 106 271 878 5,158 252 761 2,679 11,875


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 1 23 0 0 9 71
An empirical model of fractionally cointegrated daily high and low stock market prices 1 2 4 19 1 4 13 68
Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests 0 0 3 54 0 1 19 161
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 3 15 0 1 15 77
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers 1 3 10 54 2 7 29 144
Asymmetric volatility connectedness on the forex market 0 1 6 29 2 6 29 102
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment 0 0 1 10 0 0 12 62
Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets 0 1 1 22 0 2 8 107
Can a stochastic cusp catastrophe model explain stock market crashes? 1 1 5 111 2 6 18 440
Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? 0 0 0 35 2 4 15 190
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 2 6 48 1 6 20 169
Contagion among Central and Eastern European Stock Markets during the Financial Crisis 1 2 2 30 3 4 15 126
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 0 0 13 1 2 4 29
Do co-jumps impact correlations in currency markets? 1 1 2 4 1 1 9 28
Editorial to the Special Issue on Financial Markets in Central Europe 0 0 0 0 0 0 4 24
Estimation of financial agent-based models with simulated maximum likelihood 1 2 6 9 3 8 24 61
Estimation of long memory in volatility using wavelets 0 0 0 8 0 0 6 47
Forecasting dynamic return distributions based on ordered binary choice 1 1 5 13 1 3 26 47
Forecasting the term structure of crude oil futures prices with neural networks 1 1 1 5 1 4 13 57
Gold, oil, and stocks: Dynamic correlations 1 2 8 41 3 8 23 115
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? 2 8 25 57 3 20 74 165
How Do Neural Networks Enhance the Predictability of Central European Stock Returns? 0 1 3 66 2 3 10 177
How do skilled traders change the structure of the market 0 0 0 9 0 0 2 59
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk 1 4 11 31 7 14 50 113
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 3 18 1 3 17 66
Modeling and forecasting persistent financial durations 0 0 0 4 0 0 2 25
Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof 0 0 0 26 0 1 5 86
Monte Carlo-based tail exponent estimator 0 0 0 4 0 0 3 22
Neural Networks as Semiparametric Option Pricing Tool 0 0 2 24 0 1 12 138
On Hurst exponent estimation under heavy-tailed distributions 0 0 1 16 1 4 22 117
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model 0 0 0 2 0 0 5 17
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities 0 0 0 0 2 2 13 14
Quantile coherency: A general measure for dependence between cyclical economic variables 1 2 3 3 3 5 13 13
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 7 0 0 1 18
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 0 2 5 1 1 11 23
Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression 0 0 3 15 0 1 8 68
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 4 6 1 1 16 27
Smart Agents and Sentiment in the Heterogeneous Agent Model 0 1 1 17 0 2 3 117
Smart predictors in the heterogeneous agent model 0 1 1 19 1 2 6 135
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 0 21 0 1 7 133
Understanding the source of multifractality in financial markets 1 2 3 16 2 4 14 80
Volatility Spillovers Across Petroleum Markets 2 5 19 45 2 13 61 181
Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc 0 0 1 23 0 0 6 109
Total Journal Articles 16 43 146 977 49 145 672 4,028


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 2 46 1 4 24 156
Total Books 0 0 2 46 1 4 24 156


Statistics updated 2020-11-03