| 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 |
2 |
7 |
16 |
375 |
| Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data |
0 |
0 |
0 |
82 |
0 |
4 |
6 |
210 |
| Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data |
0 |
0 |
0 |
20 |
0 |
0 |
4 |
89 |
| Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover |
0 |
0 |
1 |
110 |
0 |
2 |
14 |
421 |
| Asymmetric Network Connectedness of Fears |
1 |
3 |
21 |
486 |
2 |
20 |
58 |
1,246 |
| Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? |
0 |
1 |
1 |
43 |
0 |
5 |
12 |
172 |
| Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? |
0 |
2 |
7 |
340 |
1 |
8 |
34 |
882 |
| Asymmetric network connectedness of fears |
0 |
0 |
1 |
16 |
2 |
6 |
9 |
62 |
| Asymmetric volatility connectedness on forex markets |
0 |
0 |
8 |
285 |
1 |
8 |
37 |
759 |
| Asymmetric volatility connectedness on the forex market |
0 |
0 |
0 |
49 |
0 |
10 |
18 |
145 |
| Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment |
0 |
0 |
1 |
92 |
1 |
4 |
8 |
275 |
| Beyond Volatility: Common Factors in Idiosyncratic Quantile Risks |
4 |
11 |
35 |
95 |
11 |
23 |
73 |
185 |
| Can we still benefit from international diversification? The case of the Czech and German stock markets |
0 |
0 |
0 |
35 |
1 |
4 |
7 |
105 |
| Co-jumping of Treasury Yield Curve Rates |
0 |
0 |
0 |
57 |
0 |
4 |
12 |
135 |
| Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis |
0 |
0 |
3 |
76 |
2 |
8 |
18 |
243 |
| Common Cycles in Volatility and Cross Section of Stock Returns |
0 |
0 |
0 |
25 |
0 |
1 |
1 |
42 |
| Common Firm-level Investor Fears: Evidence from Equity Options |
1 |
5 |
11 |
19 |
5 |
14 |
37 |
56 |
| Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data |
0 |
1 |
2 |
110 |
0 |
11 |
14 |
283 |
| Contagion among Central and Eastern European stock markets during the financial crisis |
0 |
0 |
0 |
66 |
5 |
14 |
15 |
135 |
| Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility |
0 |
0 |
0 |
49 |
1 |
5 |
10 |
96 |
| Currency Network Risk |
1 |
2 |
17 |
139 |
6 |
18 |
54 |
261 |
| Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets |
0 |
0 |
4 |
169 |
2 |
4 |
11 |
339 |
| Deep Learning, Predictability, and Optimal Portfolio Returns |
1 |
1 |
2 |
28 |
2 |
8 |
16 |
69 |
| Deep Learning, Predictability, and Optimal Portfolio Returns |
2 |
6 |
19 |
131 |
7 |
25 |
65 |
343 |
| Do co-jumps impact correlations in currency markets? |
0 |
0 |
4 |
162 |
0 |
13 |
22 |
430 |
| Dynamic Network Risk |
0 |
0 |
1 |
251 |
2 |
10 |
18 |
482 |
| Dynamic industry uncertainty networks and the business cycle |
0 |
2 |
28 |
161 |
4 |
28 |
93 |
362 |
| Estimation of Long Memory in Volatility Using Wavelets |
0 |
0 |
0 |
107 |
0 |
3 |
5 |
199 |
| Estimation of financial agent-based models with simulated maximum likelihood |
0 |
0 |
0 |
32 |
4 |
18 |
25 |
101 |
| Estimation of long memory in volatility using wavelets |
0 |
0 |
0 |
30 |
0 |
7 |
9 |
73 |
| Forecasting dynamic return distributions based on ordered binary choice |
0 |
1 |
5 |
296 |
2 |
13 |
21 |
825 |
| Forecasting stock return distributions around the globe with quantile neural networks |
1 |
1 |
2 |
24 |
5 |
11 |
25 |
37 |
| Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks |
0 |
0 |
0 |
54 |
4 |
13 |
16 |
113 |
| Forecasting the term structure of crude oil futures prices with neural networks |
0 |
0 |
2 |
96 |
3 |
13 |
29 |
304 |
| Frequency-Dependent Higher Moment Risks |
0 |
0 |
0 |
18 |
2 |
6 |
7 |
56 |
| Gold, Oil, and Stocks |
0 |
0 |
0 |
27 |
1 |
3 |
9 |
196 |
| Gold, Oil, and Stocks |
0 |
0 |
0 |
123 |
5 |
14 |
15 |
260 |
| Gold, Oil, and Stocks: Dynamic Correlations |
0 |
0 |
2 |
87 |
3 |
10 |
20 |
291 |
| How does bad and good volatility spill over across petroleum markets? |
0 |
0 |
1 |
101 |
0 |
3 |
9 |
314 |
| Investment Disputes and Abnormal Volatility of Stocks |
0 |
0 |
0 |
16 |
0 |
4 |
9 |
73 |
| Learning Probability Distributions in Macroeconomics and Finance |
0 |
0 |
2 |
44 |
1 |
3 |
12 |
70 |
| Learning the Probability Distributions of Day-Ahead Electricity Prices |
1 |
5 |
27 |
64 |
8 |
23 |
65 |
121 |
| Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns |
0 |
0 |
2 |
59 |
2 |
3 |
9 |
82 |
| Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns |
0 |
2 |
13 |
333 |
1 |
12 |
36 |
914 |
| Measuring the frequency dynamics of financial and macroeconomic connectedness |
0 |
0 |
0 |
91 |
2 |
9 |
15 |
246 |
| Measuring the frequency dynamics of financial connectedness and systemic risk |
4 |
7 |
30 |
589 |
15 |
50 |
125 |
1,374 |
| Modeling and Forecasting Persistent Financial Durations |
0 |
0 |
0 |
173 |
1 |
14 |
16 |
543 |
| Modeling and forecasting exchange rate volatility in time-frequency domain |
0 |
0 |
1 |
38 |
1 |
6 |
14 |
115 |
| Modeling and forecasting exchange rate volatility in time-frequency domain |
0 |
0 |
1 |
267 |
0 |
10 |
19 |
577 |
| Modeling and forecasting persistent financial durations |
0 |
0 |
1 |
26 |
0 |
4 |
9 |
64 |
| Moderation or indulgence? Effects of bank distribution restrictions during stress |
0 |
0 |
1 |
13 |
0 |
9 |
18 |
36 |
| Monte Carlo-Based Tail Exponent Estimator |
0 |
0 |
0 |
39 |
0 |
4 |
10 |
178 |
| Monte Carlo-based tail exponent estimator |
0 |
0 |
0 |
29 |
0 |
4 |
6 |
86 |
| On Hurst exponent estimation under heavy-tailed distributions |
0 |
0 |
1 |
116 |
6 |
15 |
23 |
341 |
| On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model |
0 |
1 |
1 |
134 |
0 |
6 |
14 |
432 |
| Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities |
0 |
1 |
1 |
18 |
0 |
6 |
16 |
91 |
| Persistence in Financial Connectedness and Systemic Risk |
2 |
7 |
11 |
445 |
6 |
16 |
39 |
816 |
| Predicting the volatility of major energy commodity prices: the dynamic persistence model |
1 |
10 |
44 |
100 |
3 |
20 |
113 |
202 |
| Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables |
1 |
3 |
24 |
540 |
2 |
10 |
52 |
1,212 |
| Quantile Preferences in Portfolio Choice: A Q-DRL Approach to Dynamic Diversification |
0 |
1 |
20 |
49 |
3 |
9 |
46 |
141 |
| Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices |
2 |
5 |
15 |
338 |
8 |
20 |
52 |
773 |
| Realized wavelet-based estimation of integrated variance and jumps in the presence of noise |
0 |
0 |
0 |
21 |
0 |
5 |
11 |
75 |
| Realized wavelet-based estimation of integrated variance and jumps in the presence of noise |
0 |
0 |
2 |
195 |
1 |
8 |
13 |
418 |
| Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility |
0 |
0 |
1 |
93 |
2 |
9 |
14 |
239 |
| Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility |
0 |
0 |
2 |
67 |
2 |
15 |
28 |
205 |
| Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression |
0 |
0 |
0 |
86 |
2 |
6 |
9 |
199 |
| Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression |
0 |
0 |
0 |
40 |
0 |
2 |
4 |
166 |
| Risks of heterogeneously persistent higher moments |
0 |
0 |
0 |
20 |
4 |
35 |
44 |
99 |
| Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility |
0 |
0 |
1 |
83 |
1 |
3 |
7 |
186 |
| Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility |
0 |
0 |
3 |
62 |
0 |
10 |
15 |
199 |
| Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists |
0 |
0 |
1 |
42 |
6 |
15 |
20 |
85 |
| Simulated ML Estimation of Financial Agent-Based Models |
0 |
0 |
0 |
66 |
1 |
4 |
12 |
190 |
| Tail Behavior of the Central European Stock Markets during the Financial Crisis |
0 |
0 |
0 |
47 |
0 |
4 |
6 |
129 |
| Tail Risks, Asset Prices, and Investment Horizons |
0 |
0 |
1 |
25 |
0 |
5 |
8 |
58 |
| Tailoring Portfolio Choice via Quantile-Targeted Policies |
0 |
0 |
0 |
0 |
0 |
4 |
6 |
6 |
| The Dynamic Persistence of Economic Shocks |
3 |
22 |
104 |
210 |
17 |
73 |
241 |
416 |
| Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets |
0 |
0 |
1 |
51 |
1 |
3 |
7 |
185 |
| Total, asymmetric and frequency connectedness between oil and forex markets |
0 |
0 |
8 |
351 |
0 |
5 |
39 |
945 |
| Uncertainty Network Risk and Currency Returns |
0 |
0 |
0 |
14 |
5 |
14 |
24 |
62 |
| Understanding the source of multifractality in financial markets |
0 |
0 |
0 |
88 |
2 |
7 |
15 |
205 |
| Volatility Term Structure Modeling Using Nelson-Siegel Model |
0 |
0 |
2 |
25 |
1 |
4 |
10 |
74 |
| Volatility spillovers across petroleum markets |
1 |
2 |
2 |
227 |
3 |
17 |
28 |
680 |
| Wavelet Analysis of Central European Stock Market Behaviour During the Crisis |
0 |
0 |
0 |
114 |
0 |
2 |
3 |
265 |
| Total Working Papers |
26 |
102 |
501 |
9,687 |
193 |
885 |
2,154 |
24,544 |
| 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 |
5 |
7 |
92 |
| An empirical model of fractionally cointegrated daily high and low stock market prices |
0 |
0 |
1 |
29 |
0 |
3 |
11 |
102 |
| Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests |
0 |
0 |
0 |
64 |
2 |
5 |
11 |
290 |
| Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data |
0 |
0 |
1 |
19 |
0 |
9 |
16 |
120 |
| Asymmetric Network Connectedness of Fears |
1 |
1 |
5 |
19 |
1 |
8 |
21 |
63 |
| Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers |
0 |
1 |
11 |
105 |
1 |
15 |
64 |
383 |
| Asymmetric volatility connectedness on the forex market |
2 |
3 |
7 |
54 |
4 |
15 |
43 |
225 |
| Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment |
0 |
0 |
0 |
13 |
1 |
2 |
6 |
90 |
| Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets |
0 |
0 |
0 |
23 |
0 |
5 |
11 |
134 |
| Can a stochastic cusp catastrophe model explain stock market crashes? |
0 |
0 |
3 |
139 |
7 |
14 |
25 |
514 |
| Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? |
0 |
0 |
2 |
37 |
2 |
6 |
10 |
208 |
| Co-Jumping of Treasury Yield Curve Rates |
0 |
0 |
0 |
0 |
3 |
6 |
7 |
8 |
| Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis |
0 |
0 |
1 |
64 |
1 |
10 |
29 |
260 |
| Contagion among Central and Eastern European Stock Markets during the Financial Crisis |
1 |
3 |
3 |
34 |
1 |
5 |
17 |
176 |
| Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets |
0 |
0 |
0 |
21 |
2 |
6 |
13 |
69 |
| Do co-jumps impact correlations in currency markets? |
0 |
0 |
0 |
9 |
0 |
5 |
9 |
70 |
| Dynamic industry uncertainty networks and the business cycle |
0 |
0 |
0 |
5 |
2 |
9 |
17 |
29 |
| Editorial to the Special Issue on Financial Markets in Central Europe |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
28 |
| Estimation of financial agent-based models with simulated maximum likelihood |
1 |
1 |
1 |
15 |
4 |
6 |
8 |
98 |
| Estimation of long memory in volatility using wavelets |
0 |
0 |
0 |
10 |
1 |
2 |
6 |
64 |
| Fan charts in era of big data and learning |
0 |
0 |
0 |
1 |
1 |
5 |
10 |
12 |
| Forecasting dynamic return distributions based on ordered binary choice |
0 |
1 |
1 |
18 |
3 |
12 |
16 |
82 |
| Forecasting the term structure of crude oil futures prices with neural networks |
0 |
0 |
3 |
15 |
3 |
9 |
14 |
100 |
| Gold, oil, and stocks: Dynamic correlations |
0 |
0 |
3 |
65 |
0 |
3 |
12 |
186 |
| Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? |
0 |
1 |
4 |
175 |
0 |
8 |
21 |
454 |
| How Do Neural Networks Enhance the Predictability of Central European Stock Returns? |
0 |
0 |
0 |
70 |
0 |
4 |
4 |
200 |
| How do skilled traders change the structure of the market |
0 |
0 |
0 |
10 |
0 |
3 |
4 |
68 |
| Learning the probability distributions of day-ahead electricity prices |
0 |
2 |
2 |
2 |
2 |
14 |
14 |
14 |
| Measurement of common risks in tails: A panel quantile regression model for financial returns |
1 |
2 |
4 |
23 |
3 |
11 |
17 |
62 |
| Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk |
4 |
12 |
49 |
322 |
21 |
72 |
217 |
1,094 |
| Modeling and forecasting exchange rate volatility in time-frequency domain |
0 |
0 |
0 |
25 |
2 |
4 |
11 |
97 |
| Modeling and forecasting persistent financial durations |
0 |
0 |
1 |
5 |
0 |
3 |
11 |
39 |
| Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof |
0 |
0 |
0 |
26 |
5 |
12 |
14 |
110 |
| Monte Carlo-based tail exponent estimator |
0 |
0 |
0 |
6 |
0 |
5 |
10 |
45 |
| On Hurst exponent estimation under heavy-tailed distributions |
1 |
1 |
2 |
22 |
5 |
9 |
18 |
174 |
| On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model |
0 |
1 |
1 |
3 |
1 |
11 |
17 |
44 |
| Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities |
0 |
0 |
0 |
1 |
1 |
3 |
6 |
31 |
| Persistence in financial connectedness and systemic risk |
1 |
5 |
41 |
107 |
9 |
32 |
127 |
294 |
| Predicting the volatility of major energy commodity prices: The dynamic persistence model |
0 |
0 |
4 |
4 |
1 |
10 |
18 |
25 |
| Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices* |
0 |
0 |
0 |
3 |
1 |
3 |
7 |
14 |
| Quantile coherency: A general measure for dependence between cyclical economic variables |
0 |
1 |
2 |
27 |
1 |
13 |
29 |
119 |
| Realized wavelet-based estimation of integrated variance and jumps in the presence of noise |
0 |
0 |
0 |
11 |
0 |
2 |
4 |
32 |
| Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility |
1 |
1 |
2 |
7 |
2 |
5 |
10 |
40 |
| Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression |
0 |
0 |
0 |
16 |
1 |
4 |
8 |
88 |
| Risks of heterogeneously persistent higher moments |
0 |
0 |
0 |
0 |
5 |
11 |
11 |
11 |
| Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility |
0 |
0 |
2 |
12 |
2 |
4 |
10 |
53 |
| Smart Agents and Sentiment in the Heterogeneous Agent Model |
0 |
0 |
0 |
19 |
0 |
4 |
6 |
130 |
| Smart predictors in the heterogeneous agent model |
0 |
0 |
0 |
20 |
0 |
3 |
3 |
146 |
| Tail Behavior of the Central European Stock Markets during the Financial Crisis |
0 |
0 |
0 |
21 |
1 |
5 |
9 |
145 |
| Taming Data‐Driven Probability Distributions |
0 |
0 |
0 |
0 |
5 |
13 |
14 |
23 |
| Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets |
0 |
0 |
1 |
1 |
0 |
4 |
8 |
8 |
| Understanding the source of multifractality in financial markets |
1 |
1 |
2 |
23 |
2 |
9 |
14 |
108 |
| Volatility Spillovers Across Petroleum Markets |
0 |
1 |
1 |
67 |
2 |
9 |
18 |
269 |
| Volatility Spillovers Across Petroleum Markets |
0 |
1 |
1 |
1 |
1 |
10 |
13 |
14 |
| Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc |
0 |
0 |
0 |
23 |
2 |
6 |
6 |
136 |
| Total Journal Articles |
14 |
39 |
161 |
1,835 |
115 |
473 |
1,064 |
7,490 |
LogEc is hosted by the
Örebro University School of Business.