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Bibliography
GA13-32263S
Kraicová Lucie
,
Baruník Jozef
:
Estimation of long memory in volatility using wavelets
,
Studies in Nonlinear Dynamics and Econometrics vol.21, 20160101
[2017]
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DOI:
10.1515/snde-2016-0101
Čech František
,
Baruník Jozef
:
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model
,
Journal of Forecasting vol.36, 1 (2017), p. 181-206
[2017]
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DOI:
10.1002/for.2423
Žikeš F.
,
Baruník Jozef
,
Shenai N.
:
Modeling and Forecasting Persistent Financial Durations
,
Econometric Reviews vol.36, 10 (2017), p. 1081-1110
[2017]
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DOI:
10.1080/07474938.2014.977057
Baruník Jozef
,
Křehlík Tomáš
,
Vácha Lukáš
:
Modeling and forecasting exchange rate volatility in time-frequency domain
,
European Journal of Operational Research vol.251, 1 (2016), p. 329-340
[2016]
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DOI:
10.1016/j.ejor.2015.12.010
Žikeš F.
,
Baruník Jozef
:
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility
,
Journal of Financial Econometrics vol.14, 1 (2016), p. 185-226
[2016]
Download
DOI:
10.1093/jjfinec/nbu029
Avdulaj Krenar
,
Baruník Jozef
:
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data
,
Energy Economics vol.51, 1 (2015), p. 31-44
[2015]
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DOI:
10.1016/j.eneco.2015.05.018
Baruník Jozef
,
Vácha Lukáš
:
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
,
Quantitative Finance vol.15, 8 (2015), p. 1347-1364
[2015]
Download
DOI:
10.1080/14697688.2014.950319
Baruník Jozef
,
Kukačka Jiří
:
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
,
Quantitative Finance vol.15, 6 (2015), p. 959-973
[2015]
Download
DOI:
10.1080/14697688.2014.950319
2019-01-07 08:39