Measuring the frequency dynamics of financial connectedness and systemic risk J Baruník, T Křehlík Journal of Financial Econometrics 16 (2), 271-296, 2018 | 1170 | 2018 |
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis L Vacha, J Barunik Energy Economics 34 (1), 241-247, 2012 | 525 | 2012 |
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 | 439 | 2016 |
On Hurst exponent estimation under heavy-tailed distributions J Barunik, L Kristoufek Physica A: statistical mechanics and its applications 389 (18), 3844-3855, 2010 | 320 | 2010 |
Asymmetric volatility connectedness on the forex market J Baruník, E Kočenda, L Vácha Journal of International Money and Finance 77, 39-56, 2017 | 267 | 2017 |
Quantile coherency: A general measure for dependence between cyclical economic variables J Baruník, T Kley The Econometrics Journal 22 (2), 131-152, 2019 | 181 | 2019 |
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 | 180 | 2012 |
Gold, oil, and stocks: Dynamic correlations J Baruník, E Kočenda, L Vácha International Review of Economics & Finance 42, 186-201, 2016 | 172 | 2016 |
Volatility spillovers across petroleum markets J Barunk, E Kočenda, L Váchaa The Energy Journal 36 (3), 309-330, 2015 | 139 | 2015 |
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 | 117 | 2016 |
Forecasting the term structure of crude oil futures prices with neural networks J Baruník, B Malinska Applied energy 164, 366-379, 2016 | 116 | 2016 |
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 | 98 | 2015 |
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 | 95 | 2009 |
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 | 88 | 2017 |
Estimation of financial agent-based models with simulated maximum likelihood J Kukacka, J Barunik Journal of Economic Dynamics and Control 85, 21-45, 2017 | 79 | 2017 |
Semi-parametric conditional quantile models for financial returns and realized volatility F Žikeš, J Baruník Journal of Financial Econometrics 14 (1), 185-226, 2015 | 78 | 2015 |
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 | 74 | 2013 |
Total, asymmetric and frequency connectedness between oil and forex markets J Baruník, E Kocenda The Energy Journal 40 (Special Issue), 2019 | 73 | 2019 |
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets T Křehlík, J Baruník Energy Economics 65, 208-218, 2017 | 63 | 2017 |
Contagion among Central and Eastern European stock markets during the financial crisis J Barunik, L Vacha arXiv preprint arXiv:1309.0491, 2013 | 62 | 2013 |