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GA13-32263S

  1. Kraicová Lucie, Baruník Jozef :  Estimation of long memory in volatility using wavelets , Studies in Nonlinear Dynamics and Econometrics vol.21, 20160101 [2017] Download DOI: 10.1515/snde-2016-0101
  2. 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] Download DOI: 10.1002/for.2423
  3. Žikeš F., Baruník Jozef, Shenai N. :  Modeling and Forecasting Persistent Financial Durations , Econometric Reviews vol.36, 10 (2017), p. 1081-1110 [2017] Download DOI: 10.1080/07474938.2014.977057
  4. 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] Download DOI: 10.1016/j.ejor.2015.12.010
  5. 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
  6. 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] Download DOI: 10.1016/j.eneco.2015.05.018
  7. 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
  8. 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
07.01.2019 - 08:39
Institute of Information Theory and Automation