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Institute of Information Theory and Automation
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Doc. PhDr. Jozef Baruník, Ph.D.
Position:
head of the department
Department:
Research interests:
financial econometrics, high frequency data analysis, spectral analysis, measurement of connections in financial markets
Publications ÚTIA:
The Team
| Attachment | Size |
|---|---|
 Vitae | 53.04 KB |
Person detail
Duration: 2019
- 2023
The recent availability of large digital finance datasets brings new challenges to quantitative finance. Many of the classical financial econometric or optimization models become inappropriate or intractable when applied to digital finance data.
Duration: 2016
- 2018
The project will develop a new measures of dependence between economic variables, which will allow to study the frequency dependent dznamics of correlations in different quantiles of joint distribution.
Duration: 2014
- 2016
The aim of the research project is to analyze financial risk and market co-movements using novel econometric methods and their theoretically grounded modifications. The main focus will be on emerging European markets with respect to global developed markets, as well as important assets from commodities markets.
Duration: 2014
- 2016
The ability of financial markets to bear risk is central to economic welfare and stability. Growth and economic wellbeing is inhibited if financial markets are unable to transfer resources efficiently from the suppliers of liquiditz to entrepreneurs.
Duration: 2013
- 2015
The project focuses on studying multivariate time-frequency dynamics of financial markets using spectral methods. First target is to formulate new spectral-based realized measure of variance and covariance using wavelets, which will be applied to measure the integrated volatililty and covolatility under the various types of dependent microstructure noise.
Fakulta sociálních věd UK
Fakulta sociálních věd UK
Fakulta sociálních věd UK
Fakulta sociálních věd UK
Fakulta sociálních věd UK
Fakulta sociálních věd UK