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 3 9 14 373
Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 82 4 5 6 210
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 0 20 0 2 4 89
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover 0 1 1 110 1 8 14 421
Asymmetric Network Connectedness of Fears 1 3 20 485 13 20 61 1,244
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 1 2 7 340 3 10 33 881
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? 0 1 1 43 4 7 12 172
Asymmetric network connectedness of fears 0 0 1 16 2 5 8 60
Asymmetric volatility connectedness on forex markets 0 4 8 285 5 25 37 758
Asymmetric volatility connectedness on the forex market 0 0 0 49 8 16 18 145
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment 0 0 1 92 3 3 7 274
Beyond Volatility: Common Factors in Idiosyncratic Quantile Risks 3 8 32 91 6 18 68 174
Can we still benefit from international diversification? The case of the Czech and German stock markets 0 0 0 35 1 5 7 104
Co-jumping of Treasury Yield Curve Rates 0 0 0 57 1 8 12 135
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 0 4 76 3 9 17 241
Common Cycles in Volatility and Cross Section of Stock Returns 0 0 0 25 0 1 2 42
Common Firm-level Investor Fears: Evidence from Equity Options 2 5 10 18 4 19 32 51
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data 0 1 2 110 8 12 14 283
Contagion among Central and Eastern European stock markets during the financial crisis 0 0 0 66 8 9 10 130
Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility 0 0 0 49 3 6 10 95
Currency Network Risk 1 3 17 138 9 18 52 255
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 0 4 169 1 2 10 337
Deep Learning, Predictability, and Optimal Portfolio Returns 0 0 1 27 4 9 15 67
Deep Learning, Predictability, and Optimal Portfolio Returns 2 5 18 129 10 21 62 336
Do co-jumps impact correlations in currency markets? 0 1 5 162 11 15 23 430
Dynamic Network Risk 0 0 1 251 8 9 16 480
Dynamic industry uncertainty networks and the business cycle 1 9 30 161 15 38 96 358
Estimation of Long Memory in Volatility Using Wavelets 0 0 0 107 1 4 5 199
Estimation of financial agent-based models with simulated maximum likelihood 0 0 0 32 13 15 21 97
Estimation of long memory in volatility using wavelets 0 0 0 30 5 7 10 73
Forecasting dynamic return distributions based on ordered binary choice 1 2 6 296 8 15 20 823
Forecasting stock return distributions around the globe with quantile neural networks 0 0 1 23 3 9 21 32
Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks 0 0 0 54 4 10 13 109
Forecasting the term structure of crude oil futures prices with neural networks 0 0 2 96 5 16 29 301
Frequency-Dependent Higher Moment Risks 0 0 0 18 3 4 5 54
Gold, Oil, and Stocks 0 0 0 27 1 4 8 195
Gold, Oil, and Stocks 0 0 0 123 8 10 10 255
Gold, Oil, and Stocks: Dynamic Correlations 0 0 2 87 5 10 19 288
How does bad and good volatility spill over across petroleum markets? 0 0 1 101 2 4 9 314
Investment Disputes and Abnormal Volatility of Stocks 0 0 0 16 3 6 9 73
Learning Probability Distributions in Macroeconomics and Finance 0 1 2 44 1 6 11 69
Learning the Probability Distributions of Day-Ahead Electricity Prices 3 6 26 63 9 18 59 113
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 0 3 14 333 4 14 37 913
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns 0 0 2 59 1 2 7 80
Measuring the frequency dynamics of financial and macroeconomic connectedness 0 0 0 91 5 8 14 244
Measuring the frequency dynamics of financial connectedness and systemic risk 1 5 26 585 10 44 114 1,359
Modeling and Forecasting Persistent Financial Durations 0 0 1 173 10 13 16 542
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 1 38 3 6 13 114
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 1 267 8 13 21 577
Modeling and forecasting persistent financial durations 0 1 1 26 2 7 9 64
Moderation or indulgence? Effects of bank distribution restrictions during stress 0 0 1 13 4 10 18 36
Monte Carlo-Based Tail Exponent Estimator 0 0 0 39 3 5 10 178
Monte Carlo-based tail exponent estimator 0 0 0 29 1 4 7 86
On Hurst exponent estimation under heavy-tailed distributions 0 0 1 116 8 11 17 335
On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model 1 1 1 134 5 6 14 432
Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities 0 1 1 18 3 7 16 91
Persistence in Financial Connectedness and Systemic Risk 1 5 13 443 6 13 39 810
Predicting the volatility of major energy commodity prices: the dynamic persistence model 6 13 44 99 10 23 114 199
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables 1 3 24 539 4 15 52 1,210
Quantile Preferences in Portfolio Choice: A Q-DRL Approach to Dynamic Diversification 1 1 21 49 4 7 46 138
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices 0 4 14 336 6 15 47 765
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 1 2 195 3 9 13 417
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 21 4 7 11 75
Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility 0 0 1 93 5 8 12 237
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 0 2 67 5 13 27 203
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression 0 0 0 86 3 6 7 197
Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression 0 0 0 40 2 2 5 166
Risks of heterogeneously persistent higher moments 0 0 0 20 19 35 40 95
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 1 83 2 3 6 185
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 0 3 62 10 11 15 199
Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists 0 0 2 42 5 9 18 79
Simulated ML Estimation of Financial Agent-Based Models 0 0 0 66 1 3 11 189
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 0 47 3 5 6 129
Tail Risks, Asset Prices, and Investment Horizons 0 0 1 25 5 5 10 58
Tailoring Portfolio Choice via Quantile-Targeted Policies 0 0 0 0 3 5 6 6
The Dynamic Persistence of Economic Shocks 14 23 107 207 28 69 237 399
Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets 0 0 1 51 1 2 6 184
Total, asymmetric and frequency connectedness between oil and forex markets 0 0 8 351 4 8 39 945
Uncertainty Network Risk and Currency Returns 0 0 0 14 5 12 19 57
Understanding the source of multifractality in financial markets 0 0 0 88 4 8 13 203
Volatility Term Structure Modeling Using Nelson-Siegel Model 0 0 2 25 2 3 9 73
Volatility spillovers across petroleum markets 0 1 1 226 10 15 25 677
Wavelet Analysis of Central European Stock Market Behaviour During the Crisis 0 0 0 114 1 3 3 265
Total Working Papers 40 114 500 9,661 431 911 2,058 24,351

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 4 4 8 91
An empirical model of fractionally cointegrated daily high and low stock market prices 0 1 1 29 2 4 13 102
Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests 0 0 0 64 3 5 9 288
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data 0 0 1 19 7 10 16 120
Asymmetric Network Connectedness of Fears 0 0 4 18 6 8 21 62
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers 0 2 12 105 9 23 65 382
Asymmetric volatility connectedness on the forex market 0 1 5 52 6 16 40 221
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment 0 0 0 13 1 1 6 89
Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets 0 0 0 23 4 9 11 134
Can a stochastic cusp catastrophe model explain stock market crashes? 0 0 3 139 3 8 18 507
Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? 0 1 2 37 4 5 8 206
Co-Jumping of Treasury Yield Curve Rates 0 0 0 0 3 3 4 5
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis 0 1 1 64 4 12 30 259
Contagion among Central and Eastern European Stock Markets during the Financial Crisis 0 2 2 33 2 5 17 175
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets 0 0 0 21 3 7 11 67
Do co-jumps impact correlations in currency markets? 0 0 0 9 4 7 10 70
Dynamic industry uncertainty networks and the business cycle 0 0 0 5 3 10 16 27
Editorial to the Special Issue on Financial Markets in Central Europe 0 0 0 0 2 2 3 28
Estimation of financial agent-based models with simulated maximum likelihood 0 0 0 14 0 2 4 94
Estimation of long memory in volatility using wavelets 0 0 0 10 1 1 5 63
Fan charts in era of big data and learning 0 0 0 1 3 5 9 11
Forecasting dynamic return distributions based on ordered binary choice 1 1 1 18 8 11 14 79
Forecasting the term structure of crude oil futures prices with neural networks 0 2 3 15 5 8 11 97
Gold, oil, and stocks: Dynamic correlations 0 0 4 65 0 3 13 186
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? 0 1 5 175 4 9 22 454
How Do Neural Networks Enhance the Predictability of Central European Stock Returns? 0 0 0 70 2 4 4 200
How do skilled traders change the structure of the market 0 0 0 10 2 4 5 68
Learning the probability distributions of day-ahead electricity prices 0 2 2 2 7 12 12 12
Measurement of common risks in tails: A panel quantile regression model for financial returns 0 3 4 22 7 10 15 59
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk 3 11 54 318 20 68 212 1,073
Modeling and forecasting exchange rate volatility in time-frequency domain 0 0 0 25 1 4 9 95
Modeling and forecasting persistent financial durations 0 0 1 5 3 5 11 39
Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof 0 0 0 26 6 8 10 105
Monte Carlo-based tail exponent estimator 0 0 0 6 5 7 11 45
On Hurst exponent estimation under heavy-tailed distributions 0 0 1 21 3 7 13 169
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model 1 1 1 3 5 12 17 43
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities 0 0 0 1 2 3 5 30
Persistence in financial connectedness and systemic risk 1 12 43 106 12 33 129 285
Predicting the volatility of major energy commodity prices: The dynamic persistence model 0 0 4 4 7 10 17 24
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices* 0 0 1 3 2 4 7 13
Quantile coherency: A general measure for dependence between cyclical economic variables 0 1 2 27 8 16 28 118
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 0 0 0 11 1 2 4 32
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility 0 0 1 6 2 3 8 38
Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression 0 0 0 16 2 3 7 87
Risks of heterogeneously persistent higher moments 0 0 0 0 5 6 6 6
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility 0 2 2 12 1 6 8 51
Smart Agents and Sentiment in the Heterogeneous Agent Model 0 0 0 19 4 4 6 130
Smart predictors in the heterogeneous agent model 0 0 0 20 3 3 4 146
Tail Behavior of the Central European Stock Markets during the Financial Crisis 0 0 0 21 3 5 8 144
Taming Data‐Driven Probability Distributions 0 0 0 0 5 8 18 18
Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets 0 0 1 1 2 7 8 8
Understanding the source of multifractality in financial markets 0 0 1 22 5 9 12 106
Volatility Spillovers Across Petroleum Markets 0 1 1 67 5 9 17 267
Volatility Spillovers Across Petroleum Markets 0 1 1 1 4 11 12 13
Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc 0 0 0 23 3 4 4 134
Total Journal Articles 6 46 164 1,821 228 465 1,011 7,375
1 registered items for which data could not be found

Book File Downloads Abstract Views
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Macroeconomic Forecasting: Methods, Accuracy and Coordination 0 0 0 49 5 7 10 190
Total Books 0 0 0 49 5 7 10 190

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 3 4 7 12
Total Chapters 0 0 0 0 3 4 7 12

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Statistics updated 2026-02-12