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1

On Hurst exponent estimation under heavy-tailed distributions

Jozef Barunik, Ladislav Kristoufek

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2010

Language:

english

File:

PDF, 1.02 MB

english, 2010

2

Asymmetric volatility connectedness on the forex market

Baruník, Jozef, Kočenda, Evžen, Vácha, Lukáš

Journal:

Journal of International Money and Finance

Year:

2017

Language:

english

File:

PDF, 1.78 MB

english, 2017

3

Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*

Baruník, Jozef, Křehlík, Tomáš

Journal:

Journal of Financial Econometrics

Year:

2018

Language:

english

File:

PDF, 933 KB

english, 2018

4

Asymmetric Volatility Connectedness on Forex Markets

Barunik, Jozef, Vacha, Lukas

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 1.24 MB

english, 2016

5

Estimation of long memory in volatility using wavelets

Kraicová, Lucie, Baruník, Jozef

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

2017

Language:

english

File:

PDF, 2.73 MB

english, 2017

6

Do co-jumps impact correlations in currency markets?

Barunik, Jozef, Vacha, Lukas

Journal:

Journal of Financial Markets

Year:

2017

Language:

english

File:

PDF, 1.46 MB

english, 2017

7

Smart predictors in the heterogeneous agent model

Jozef Barunik, Lukas Vacha, Miloslav Vosvrda

Journal:

Journal of Economic Interaction and Coordination

Year:

2009

Language:

english

File:

PDF, 205 KB

english, 2009

8

Realized wavelet-based estimation of integrated variance and jumps in the presence of noise

Barunik, Jozef, Vacha, Lukas

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 1.88 MB

english, 2015

9

Gold, Oil, and Stocks: Dynamic Correlations

Baruník, Jozef, Kočenda, Evžen, Vácha, Lukáš

Journal:

International Review of Economics & Finance

Year:

2015

Language:

english

File:

PDF, 1.19 MB

english, 2015

10

Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility

Barunik, Jozef, Kukacka, Jiri

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 1.20 MB

english, 2015

11

Modeling and forecasting exchange rate volatility in time-frequency domain

Barunik, Jozef, Krehlik, Tomas, Vacha, Lukas

Journal:

European Journal of Operational Research

Year:

2016

Language:

english

File:

PDF, 1.26 MB

english, 2016

12

On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model

Čech, František, Baruník, Jozef

Journal:

Journal of Forecasting

Year:

2016

Language:

english

File:

PDF, 2.73 MB

english, 2016

13

Realized Wavelet Jump-GARCH Model: Can Wavelet Decomposition of Volatility Improve its Forecasting?

Barunik, Jozef, Vacha, Lukas

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 692 KB

english, 2012

14

Monte Carlo-based tail exponent estimator

Jozef Barunik, Lukas Vacha

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2010

Language:

english

File:

PDF, 1.33 MB

english, 2010

15

Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis

Lukas Vacha, Jozef Barunik

Journal:

Energy Economics

Year:

2012

Language:

english

File:

PDF, 1.39 MB

english, 2012

16

Understanding the source of multifractality in financial markets

Jozef Barunik, Tomaso Aste, T. Di Matteo, Ruipeng Liu

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2012

Language:

english

File:

PDF, 1.25 MB

english, 2012

17

How do skilled traders change the structure of the market

Lukas Vacha, Jozef Barunik, Miloslav Vosvrda

Journal:

International Review of Financial Analysis

Year:

2012

Language:

english

File:

PDF, 540 KB

english, 2012

18

Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment

Kukacka, Jiri, Barunik, Jozef

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2013

Language:

english

File:

PDF, 1.52 MB

english, 2013

19

Modeling and Forecasting Persistent Financial Durations

Žikeš, Filip, Baruník, Jozef, Shenai, Nikhil

Journal:

Econometric Reviews

Year:

2014

Language:

english

File:

PDF, 1022 KB

english, 2014

20

An empirical model of fractionally cointegrated daily high and low stock market prices

Baruník, Jozef, Dvořáková, Sylvie

Journal:

Economic Modelling

Year:

2015

Language:

english

File:

PDF, 1.18 MB

english, 2015

21

Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data

Avdulaj, Krenar, Barunik, Jozef

Journal:

Energy Economics

Year:

2015

Language:

english

File:

PDF, 504 KB

english, 2015

22

Forecasting the term structure of crude oil futures prices with neural networks

Baruník, Jozef, Malinská, Barbora

Journal:

Year:

2016

Language:

english

File:

PDF, 1.18 MB

english, 2016

23

Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression

Baruník, Jozef, Hlínková, Michaela

Journal:

Economic Modelling

Year:

2016

Language:

english

File:

PDF, 2.83 MB

english, 2016

24

Combining high frequency data with non-linear models for forecasting energy market volatility

Baruník, Jozef, Křehlík, Tomáš

Journal:

Expert Systems with Applications

Year:

2016

Language:

english

File:

PDF, 1.40 MB

english, 2016

25

A semiparametric nonlinear quantile regression model for financial returns

Avdulaj, Krenar, Barunik, Jozef

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

2016

Language:

english

File:

PDF, 1.56 MB

english, 2016

26

Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets

Křehlík, Tomáš, Baruník, Jozef

Journal:

Energy Economics

Year:

2017

Language:

english

File:

PDF, 10.71 MB

english, 2017

27

Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?

Apergis, Nicholas, Baruník, Jozef, Lau, Marco Chi Keung

Journal:

Energy Economics

Year:

2017

Language:

english

File:

PDF, 725 KB

english, 2017

28

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

Kukacka, Jiri, Barunik, Jozef

Journal:

Journal of Economic Dynamics and Control

Year:

2017

Language:

english

File:

PDF, 3.06 MB

english, 2017

29

Are Benefits from Oil - Stocks Diversification Gone? A New Evidence from a Dynamic Copulas and High Frequency Data

Avdulaj, Krenar, Barunik, Jozef

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 645 KB

english, 2013

30

Realized Wavelet-Based Estimation of Integrated Variance and Jumps in the Presence of Noise

Barunik, Jozef, Vacha, Lukas

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 1.39 MB

english, 2012

31

Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility

Zikes, Filip, Barunik, Jozef

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 560 KB

english, 2013

32

Realizing Stock Market Crashes: Stochastic Cusp Catastrophe Model of Returns under the Time-Varying Volatility

Barunik, Jozef, Kukacka, Jiri

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 932 KB

english, 2013

33

Volatility Spillovers Across Petroleum Markets

Barunik, Jozef, Kocenda, Evzen, Vacha, Lukas

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 2.78 MB

english, 2015

34

Measuring the Frequency Dynamics of Financial and Macroeconomic Connectedness

Barunik, Jozef, Krehlik, Tomas

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 1.95 MB

english, 2015

35

Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns

Cech, Frantisek, Barunik, Jozef

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 496 KB

english, 2017

36

Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks

Barunik, Jozef, Malinskk, Barbora

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 1.06 MB

english, 2015

37

How Does Bad and Good Volatility Spill Over Across Petroleum Markets?

Barunik, Jozef, Kocenda, Evzen, Vacha, Lukas

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 2.61 MB

english, 2014

38

Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Barunik, Jozef, Barunikova, Michaela

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 1.71 MB

english, 2012

39

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

Kukacka, Jiri, Barunik, Jozef

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 2.47 MB

english, 2016

40

Asymmetric Connectedness of Fears in the U.S. Financial Sector

Barunik, Jozef, Bevilacqua, Mattia, Tunaru, Radu

Journal:

SSRN Electronic Journal

Year:

2018

File:

PDF, 1.33 MB

2018

41

Do Co-Jumps Impact Correlations in Currency Markets?

Barunik, Jozef, Vacha, Lukas

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 1.48 MB

english, 2016

42

Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables

Baruník, Jozef, Kley, Tobias

Journal:

The Econometrics Journal

Year:

2019

Language:

english

File:

PDF, 824 KB

english, 2019

43

Coupling High-Frequency Data with Nonlinear Models in Multiple-Step-Ahead Forecasting of Energy Markets' Volatility

Barunik, Jozef, KKehllk, Tommm

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 636 KB

english, 2014

44

Coupling High-Frequency Data with Nonlinear Models in Multiple-Step-Ahead Forecasting of Energy Markets' Volatility

Barunik, Jozef, KKehllk, Tommm

Journal:

SSRN Electronic Journal

Year:

2014

File:

PDF, 636 KB

2014