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Jozef Barunik
Jozef Barunik
Charles University and Czech Academy of Sciences
在 fsv.cuni.cz 的电子邮件经过验证 - 首页
标题
引用次数
引用次数
年份
Measuring the frequency dynamics of financial connectedness and systemic risk
J Baruník, T Křehlík
Journal of Financial Econometrics 16 (2), 271-296, 2018
11702018
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
L Vacha, J Barunik
Energy Economics 34 (1), 241-247, 2012
5252012
Asymmetric connectedness on the US stock market: Bad and good volatility spillovers
J Baruník, E Kočenda, L Vácha
Journal of Financial Markets 27, 55-78, 2016
4392016
On Hurst exponent estimation under heavy-tailed distributions
J Barunik, L Kristoufek
Physica A: statistical mechanics and its applications 389 (18), 3844-3855, 2010
3202010
Asymmetric volatility connectedness on the forex market
J Baruník, E Kočenda, L Vácha
Journal of International Money and Finance 77, 39-56, 2017
2672017
Quantile coherency: A general measure for dependence between cyclical economic variables
J Baruník, T Kley
The Econometrics Journal 22 (2), 131-152, 2019
1812019
Understanding the source of multifractality in financial markets
J Barunik, T Aste, T Di Matteo, R Liu
Physica A: Statistical Mechanics and its Applications 391 (17), 4234-4251, 2012
1802012
Gold, oil, and stocks: Dynamic correlations
J Baruník, E Kočenda, L Vácha
International Review of Economics & Finance 42, 186-201, 2016
1722016
Volatility spillovers across petroleum markets
J Barunk, E Kočenda, L Váchaa
The Energy Journal 36 (3), 309-330, 2015
1392015
Modeling and forecasting exchange rate volatility in time-frequency domain
J Barunik, T Krehlik, L Vacha
European Journal of Operational Research 251 (1), 329-340, 2016
1172016
Forecasting the term structure of crude oil futures prices with neural networks
J Baruník, B Malinska
Applied energy 164, 366-379, 2016
1162016
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data
K Avdulaj, J Barunik
Energy Economics 51, 31-44, 2015
982015
Can a stochastic cusp catastrophe model explain stock market crashes?
J Baruník, M Vosvrda
Journal of Economic Dynamics and Control 33 (10), 1824-1836, 2009
952009
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?
N Apergis, J Baruník, MCK Lau
Energy Economics 66, 108-115, 2017
882017
Estimation of financial agent-based models with simulated maximum likelihood
J Kukacka, J Barunik
Journal of Economic Dynamics and Control 85, 21-45, 2017
792017
Semi-parametric conditional quantile models for financial returns and realized volatility
F Žikeš, J Baruník
Journal of Financial Econometrics 14 (1), 185-226, 2015
782015
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment
J Kukacka, J Barunik
Physica A: Statistical Mechanics and its Applications 392 (23), 5920-5938, 2013
742013
Total, asymmetric and frequency connectedness between oil and forex markets
J Baruník, E Kocenda
The Energy Journal 40 (Special Issue), 2019
732019
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
T Křehlík, J Baruník
Energy Economics 65, 208-218, 2017
632017
Contagion among Central and Eastern European stock markets during the financial crisis
J Barunik, L Vacha
arXiv preprint arXiv:1309.0491, 2013
622013
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