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Publications - Jozef Baruník


Books and chapters (1)
1. * Jozef Baruník, Evžen Kočenda, Lukáš Vácha: Wavelet-Based Correlation Analysis of the Key Traded Assets. Wavelet Applications in Economics and Finance, 157-183. Springer, Cham 2014.   Download

Journal articles (52)
1. * Jozef Baruník, M. Bevilacqua, R. Faff: Dynamic industry uncertainty networks and the business cycle. Journal of Economic Dynamics & Control 159. Elsevier.   Download
2. * Jozef Baruník, Luboš Hanus: Fan charts in era of big data and learning. Finance Research Letters 61. Elsevier.   Download
3. * Jozef Baruník, Matěj Nevrla: Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices. Journal of Financial Econometrics 21:5 (2023), 1590-1646. Oxford University Press.   Download
4. * Jozef Baruník, M. Bevilacqua, R. Tunaru: Asymmetric Network Connectedness of Fears. Review of Economics and Statistics 104:6 (2022), 1304-1316. MIT Press.   Download
5. * Jozef Baruník, František Čech: Measurement of common risks in tails: A panel quantile regression model for financial returns. Journal of Financial Markets 52. Elsevier.   Download
6. * Stanislav Anatolyev, Jozef Baruník: Forecasting dynamic return distributions based on ordered binary choice. International Journal of Forecasting 35:3 (2019), 823-835. Elsevier.   Download
7. * Jozef Baruník, T. Kley: Quantile coherency: A general measure for dependence between cyclical economic variables. Econometrics Journal 22:2 (2019), 131-152. Oxford University Press.   Download
8. * František Čech, Jozef Baruník: Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities. Journal of Futures Markets 39:9 (2019), 1167-1189. Wiley.   Download
9. * Jozef Baruník, E. Kočenda: Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets. Energy Journal 40, 157-174. International Association for Energy Economics.   Download
10. * J. Baruník, Lukáš Vácha: Do co-jumps impact correlations in currency markets?. Journal of Financial Markets 37:1 (2018), 97-119. Elsevier.   Download
11. * Jozef Baruník, Tomáš Křehlík: Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. Journal of Financial Econometrics 16:2 (2018), 271-296. Oxford University Press.   Download
12. * Krenar Avdulaj, Jozef Baruník: Semiparametric nonlinear quantile regression model for financial returns. Studies in Nonlinear Dynamics and Econometrics 21:1 (2017), 81-97.   Download
13. * F. Žikeš, Jozef Baruník, N. Shenai: Modeling and Forecasting Persistent Financial Durations. Econometric Reviews 36:10 (2017), 1081-1110. Taylor & Francis.   Download
14. * Jozef Baruník, Evžen Kočenda, Lukáš Vácha: Asymmetric volatility connectedness on the forex market. Journal of International Money and Finance 77:1 (2017), 39-56. Elsevier.   Download
15. * Lucie Kraicová, Jozef Baruník: Estimation of long memory in volatility using wavelets. Studies in Nonlinear Dynamics and Econometrics 21.   Download
16. * Tomáš Křehlík, Jozef Baruník: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. Energy Economics 65:1 (2017), 208-218. Elsevier.   Download
17. * Jiří Kukačka, Jozef Baruník: Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood. Journal of Economic Dynamics & Control 85:1 (2017), 21-45. Elsevier.   Download
18. * František Čech, Jozef Baruník: On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model. Journal of Forecasting 36:1 (2017), 181-206. Wiley.   Download
19. * Jozef Baruník, Evžen Kočenda, Lukáš Vácha: Gold, oil, and stocks: Dynamic correlations. International Review of Economics & Finance 42:1 (2016), 186-201. Elsevier.   Download
20. * F. Žikeš, Jozef Baruník: Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility. Journal of Financial Econometrics 14:1 (2016), 185-226. Oxford University Press.   Download
21. * Jozef Baruník, B. Malinská: Forecasting the term structure of crude oil futures prices with neural networks. Applied Energy 164:1 (2016), 366-379. Elsevier.   Download
22. * Jozef Baruník, Tomáš Křehlík, Lukáš Vácha: Modeling and forecasting exchange rate volatility in time-frequency domain. European Journal of Operational Research 251:1 (2016), 329-340. Elsevier.   Download
23. * Jozef Baruník, Tomáš Křehlík: Combining high frequency data with non-linear models for forecasting energy market volatility. Expert Systems With Applications 55:1 (2016), 222-242. Elsevier.   Download
24. * Jozef Baruník, M. Hlínková: Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression. Economic Modelling 54:1 (2016), 503-514. Elsevier.   Download
25. * Jozef Baruník, Lukáš Vácha: Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. Quantitative Finance 15:8 (2015), 1347-1364.   Download
26. * Jozef Baruník, Jiří Kukačka: Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility. Quantitative Finance 15:6 (2015), 959-973.   Download
27. * Jozef Baruník, Evžen Kočenda, Lukáš Vácha: Volatility Spillovers Across Petroleum Markets. Energy Journal 36:3 (2015), 309-329. International Association for Energy Economics.   Download
28. * Krenar Avdulaj, Jozef Baruník: Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data. Energy Economics 51:1 (2015), 31-44. Elsevier.   Download
29. * Jozef Baruník, S. Dvořáková: An Empirical Model Of Fractionally Cointegrated Daily High And Low Stock Market Prices. Economic Modelling 45:1 (2015), 193-206. Elsevier.   Download
30. * M. Franta, Jozef Baruník, Roman Horváth, K. Šmídková: Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests. International Journal of Central Banking 10:1 (2014), 159-187. Federal Reserve Board.
31. * Jiří Kukačka, Jozef Baruník: Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment. Physica. A : Statistical Mechanics and its Applications 392:23 (2013), 5920-5938. Elsevier.   Download
33. * Krenar Avdulaj, Jozef Baruník: Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets. Finance a úvěr-Czech Journal of Economics and Finance 63:5 (2013), 425-442. Univerzita Karlova v Praze.   Download
34. * Jozef Baruník, Lukáš Vácha: Contagion among Central and Eastern European stock markets during the financial crisis. Finance a úvěr-Czech Journal of Economics and Finance 63:5 (2013), 443-453. Univerzita Karlova v Praze.   Download
35. * Lukáš Vácha, Jozef Baruník: Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. Energy Economics 34:1 (2012), 241-247. Elsevier.
36. * Jozef Baruník, T. Aste, T. Di Matteo, R. Liu: Understanding the source of multifractality in financial markets. Physica. A : Statistical Mechanics and its Applications 391:17 (2012), 4234-4251. Elsevier.   Download
37. * Lukáš Vácha, Jozef Baruník, Miloslav Vošvrda: How do skilled traders change the structure of the market. International Review of Financial Analysis 23:1 (2012), 66-71. Elsevier.   Download
38. * Jozef Baruník, Lukáš Vácha, Ladislav Krištoufek: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data. IES Working Papers 22 (2011), 1-22.   Download
39. * Jozef Baruník, M. Baruníková: Neural Networks as Semiparametric Option Pricing Tool. Bulletin of the Czech Econometric Society 18:28 (2011), 66-83.   Download
40. * Lukáš Vácha, Jozef Baruník, Miloslav Vošvrda: Smart Agents and Sentiment in the Heterogeneous Agent Model. ERCIM News 81 (2010), 39-40. European Research Consortium for Informatics and Mathematics.   Download
41. * Jozef Baruník, Lukáš Vácha: Monte Carlo-Based Tail Exponent Estimator. IES Working Paper 6 (2010), 1-26.   Download
42. * Jozef Baruník, Lukáš Vácha, Miloslav Vošvrda: Tail Behavior of the Central European Stock Markets during the Financial Crisis. IES Working Papers 4 (2010), 1-17.   Download
43. * Jozef Baruník, Lukáš Vácha, Miloslav Vošvrda: Tail Behavior of the Central European Stock Markets during the Financial Crisis. AUCO Czech Economic Review 4:3 (2010), 282-294.   Download
44. * Jozef Baruník, B. Soták: Vplyv rôznych foriem vlastníctva na efektivitu Českých a Slovenských bánk: Prístup analýzy stochastických hraníc. Politická ekonomie 58:2 (2010), 207-224. Vysoká škola ekonomická v Praze.
45. * Jozef Baruník, Lukáš Vácha: Monte Carlo-based tail exponent estimator. Physica. A : Statistical Mechanics and its Applications 389:21 (2010), 4863-4874. Elsevier.   Download
46. * Jozef Baruník, Ladislav Krištoufek: On Hurst exponent estimation under heavy-tailed distributions. Physica. A : Statistical Mechanics and its Applications 389:18 (2010), 3844-3855. Elsevier.   Download
47. * Lukáš Vácha, Jozef Baruník, Miloslav Vošvrda: Smart Agents and Sentiment in the Heterogeneous Agent Model. Prague Economic Papers 18:3 (2009), 209-219. Vysoká škola ekonomická v Praze.   Download
48. * Jozef Baruník, Miloslav Vošvrda: Can a stochastic cusp catastrophe model explain stock market crashes?. Journal of Economic Dynamics & Control 33:10 (2009), 1824-1836. Elsevier.
49. * Jozef Baruník, Lukáš Vácha, Miloslav Vošvrda: Smart predictors in the heterogeneous agent model. Journal of Economic Interaction and Coordination 4:2 (2009), 163-172.
50. * Jozef Baruník, Lukáš Vácha: Wavelet Analysis of Central European Stock Market Behaviour During the Crisis. IES Working Papers 23 (2009), 1-14.
51. * Jozef Baruník: How Do Neural Networks Enhance the Predictability of Central European Stock Returns?. Finance a úvěr-Czech Journal of Economics and Finance 58, 359-376. Univerzita Karlova v Praze.   Download
52. * Miloslav Vošvrda, Jozef Baruník: Modelování Krachů na kapitálových trzích: Aplikace teorie stochastických katastrof. Politická ekonomie 6 (2008), 759-771. Vysoká škola ekonomická v Praze.   Download

Conference papers (7)
1. * Jozef Baruník, Lukáš Vácha: Modeling multivariate volatility using wavelet-based realized covariance estimator. Mathematical Methods in Economics 2011, 29-34. Proffesional publishing, Prague 2011.
2. * Jozef Baruník, Lukáš Vácha, Ladislav Krištoufek: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data. 28th International Conference on Mathematical Methods in Economics 2010, 12-17. University of South Bohemia in České Budějovice, Faculty of Economy, České Budějovice 2010.   Download
3. * Lukáš Vácha, Jozef Baruník: What does the wavelet analysis tell us about the Central European stock markets behavior during the crisis?. Proceedings of 27th International Conference Mathematical Methods in Economics 2009, 7-12. Czech University of Life Sciences Prague, Prague 2009.   Download
4. * Lukáš Vácha, Jozef Baruník: Wavelet Neural Networks Prediction of Central European Stock Markets. Quantitative Methods in Economics: Multiple Criteria Decision making XIV, 291-297. University of Economics in Bratislava, Bratislava 2008.
5. * Jozef Baruník, Miloslav Vošvrda: Application of Cusp Catastrophe Theory to U.S. Stock Market Crashes. Quantitative Methods in Economics: Multiple Criteria Decision making XIV, 19-27. University of Economics in Bratislava, Bratislava 2008.
6. * Jozef Baruník, Miloslav Vošvrda: Cusp Catastrophe Theory: Application to U.S. Stock. Proceedings of 26th International Conference Mathematical Methods in Economics 2008, 12-25. Technical University of Liberec, Liberec 2008.   Download
7. * Jozef Baruník, Lukáš Vácha: Neural Networks with Wavelet Based Denoising Layer: Application to Central European Stock Market Forecasting. Proceedings of 26th International Conference Mathematical Methods in Economics 2008, 1-6. Technical University of Liberec, Liberec 2008.   Download

Other publications (9)
1. * Jozef Baruník, Evžen Kočenda, Lukáš Vácha: Asymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?. FinMaP-Working Papers 13. Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, Kiel 2014.   Download
2. * Jozef Baruník: L. E. Calvet & A. J. Fisher: Multifractal Volatility: Theory, Forecasting, and Pricing. AUCO Czech Economic Review 4:3 (2010), 341-343.   Download
3. * Jozef Baruník, Ladislav Krištoufek: On Hurst exponent estimation under heavy-tailed distributions. Research Report 2267. ÚTIA AV ČR, Praha 2009.
4. * Jozef Baruník, M. Baruníková: Neural Networks as Semiparametric Option Pricing Tool. Research Report 2266. ÚTIA AV ČR, Praha 2009.
5. * Jozef Baruník, Lukáš Vácha, Miloslav Vošvrda: Power Law Behavior of the Central European Stock Markets During the Financial Crisis. Research Report 2268. ÚTIA AV ČR, Praha 2009.
6. * Lukáš Vácha, Jozef Baruník: Wavelet Neural Networks Prediction of Central European Stock Markets. Research Reports 2225. ÚTIA AV ČR, Praha 2008.
7. * Lukáš Vácha, Jozef Baruník, Miloslav Vošvrda: Sentiment Patterns in the Heterogeneous Agent Model. Research Report 2224. ÚTIA AV ČR, Praha 2008.
8. * Lukáš Vácha, Jozef Baruník, Miloslav Vošvrda: Smart Predictors in the Heterogeneous Agent Model. Research Report 2222. ÚTIA AV ČR, Praha 2008.
9. * Jozef Baruník, Miloslav Vošvrda: Stochastic Cusp Catastrophe Application to Stock Market Crashes Modeling. Research Report 2223. ÚTIA AV ČR, Praha 2008.