Jozef Baruník

  1. Baruník Jozef, Kočenda Evžen, Vácha Lukáš :  Wavelet-Based Correlation Analysis of the Key Traded Assets , Wavelet Applications in Economics and Finance, p. 157-183 [2014] Download DOI: 10.1007/978-3-319-07061-2_8

  1. Baruník Jozef, Hanus Luboš :  Taming data-driven probability distributions , Journal of Forecasting [2025] Download DOI: 10.2139/ssrn.4083719
  2. Baruník Jozef, Vácha Lukáš :  Predicting the volatility of major energy commodity prices: the dynamic persistence model , Energy Economics vol.140, 107982 [2024] Download Download DOI: 10.1016/j.eneco.2024.107982
  3. Baruník Jozef, Kurka Josef :  Risks of heterogeneously persistent higher moments , International Review of Financial Analysis vol.96, 103573 [2024] Download Download DOI: 10.1016/j.irfa.2024.103573
  4. Baruník Jozef, Fišer Pavel :  Co-Jumping of Treasury Yield Curve Rates , Studies in Nonlinear Dynamics and Econometrics vol.28, 3 (2024), p. 481-506 [2024] Download Download DOI: 10.1515/snde-2022-0091
  5. Baruník Jozef, Ellington M. :  Persistence in financial connectedness and systemic risk , European Journal of Operational Research vol.314, 1 (2024), p. 393-407 [2024] Download Download DOI: 10.1016/j.ejor.2023.11.023
  6. Baruník Jozef, Hanus Luboš :  Fan charts in era of big data and learning , Finance Research Letters vol.61, 105003 [2024] Download Download DOI: 10.1016/j.frl.2024.105003
  7. Baruník Jozef, Bevilacqua M., Faff R. :  Dynamic industry uncertainty networks and the business cycle , Journal of Economic Dynamics & Control vol.159, 104793 [2024] Download Download DOI: 10.1016/j.jedc.2023.104793
  8. Baruník Jozef, Nevrla Matěj :  Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices , Journal of Financial Econometrics vol.21, 5 (2023), p. 1590-1646 [2023] Download Download DOI: 10.1093/jjfinec/nbac017
  9. Baruník Jozef, Bevilacqua M., Tunaru R. :  Asymmetric Network Connectedness of Fears , Review of Economics and Statistics vol.104, 6 (2022), p. 1304-1316 [2022] Download Download DOI: 10.1162/rest_a_01003
  10. Baruník Jozef, Čech František :  Measurement of common risks in tails: A panel quantile regression model for financial returns , Journal of Financial Markets vol.52, 100562 [2021] Download Download DOI: 10.1016/j.finmar.2020.100562
  11. Baruník Jozef, Kočenda E. :  Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets , Energy Journal vol.40, p. 157-174 [2019] Download Download DOI: 10.5547/01956574.40.SI2.jbar
  12. Čech František, Baruník Jozef :  Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities , Journal of Futures Markets vol.39, 9 (2019), p. 1167-1189 [2019] Download Download DOI: 10.1002/fut.22017
  13. Baruník Jozef, Kley T. :  Quantile coherency: A general measure for dependence between cyclical economic variables , Econometrics Journal vol.22, 2 (2019), p. 131-152 [2019] Download Download DOI: 10.1093/ectj/utz002
  14. Anatolyev Stanislav, Baruník Jozef :  Forecasting dynamic return distributions based on ordered binary choice , International Journal of Forecasting vol.35, 3 (2019), p. 823-835 [2019] Download DOI: 10.1016/j.ijforecast.2019.01.005
  15. Baruník Jozef, Křehlík Tomáš :  Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk , Journal of Financial Econometrics vol.16, 2 (2018), p. 271-296 [2018] Download DOI: 10.1093/jjfinec/nby001
  16. Kukačka Jiří, Baruník Jozef :  Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood , Journal of Economic Dynamics & Control vol.85, 1 (2017), p. 21-45 [2017] Download DOI: 10.1016/j.jedc.2017.09.006
  17. 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
  18. 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
  19. Křehlík Tomáš, Baruník Jozef :  Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets , Energy Economics vol.65, 1 (2017), p. 208-218 [2017] Download DOI: 10.1016/j.eneco.2017.05.003
  20. Baruník Jozef, Kočenda Evžen, Vácha Lukáš :  Asymmetric volatility connectedness on the forex market , Journal of International Money and Finance vol.77, 1 (2017), p. 39-56 [2017] Download DOI: 10.1016/j.jimonfin.2017.06.003
  21. Avdulaj Krenar, Baruník Jozef :  Semiparametric nonlinear quantile regression model for financial returns , Studies in Nonlinear Dynamics and Econometrics vol.21, 1 (2017), p. 81-97 [2017] Download DOI: 10.1515/snde-2016-0044
  22. 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
  23. Baruník Jozef, Hlínková M. :  Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression , Economic Modelling vol.54, 1 (2016), p. 503-514 [2016] Download DOI: 10.1016/j.econmod.2016.01.014
  24. Baruník Jozef, Křehlík Tomáš :  Combining high frequency data with non-linear models for forecasting energy market volatility , Expert Systems With Applications vol.55, 1 (2016), p. 222-242 [2016] Download DOI: 10.1016/j.eswa.2016.02.008
  25. 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
  26. Baruník Jozef, Malinská B. :  Forecasting the term structure of crude oil futures prices with neural networks , Applied Energy vol.164, 1 (2016), p. 366-379 [2016] Download DOI: 10.1016/j.apenergy.2015.11.051
  27. Baruník Jozef, Kočenda Evžen, Vácha Lukáš :  Gold, oil, and stocks: Dynamic correlations , International Review of Economics & Finance vol.42, 1 (2016), p. 186-201 [2016] Download DOI: 10.1016/j.iref.2015.08.006
  28. 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
  29. 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
  30. Baruník Jozef, Kočenda Evžen, Vácha Lukáš :  Volatility Spillovers Across Petroleum Markets , Energy Journal vol.36, 3 (2015), p. 309-329 [2015] Download DOI: 10.5547/01956574.37.1.jbar
  31. Baruník Jozef, Dvořáková S. :  An Empirical Model Of Fractionally Cointegrated Daily High And Low Stock Market Prices , Economic Modelling vol.45, 1 (2015), p. 193-206 [2015] Download DOI: 10.1016/j.econmod.2014.11.024
  32. 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
  33. 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
  34. Franta M., Baruník Jozef, Horváth Roman, Šmídková K. :  Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests , International Journal of Central Banking vol.10, 1 (2014), p. 159-187 [2014]
  35. Avdulaj Krenar, Baruník Jozef :  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 vol.63, 5 (2013), p. 425-442 [2013] Download
  36. Baruník Jozef, Vácha Lukáš :  Contagion among Central and Eastern European stock markets during the financial crisis , Finance a úvěr-Czech Journal of Economics and Finance vol.63, 5 (2013), p. 443-453 [2013] Download
  37. Baruník Jozef :  Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? , ACTA VŠFS vol.7, 1 (2013), p. 6-30 [2013] Download
  38. Kukačka Jiří, Baruník Jozef :  Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment , Physica. A : Statistical Mechanics and its Applications vol.392, 23 (2013), p. 5920-5938 [2013] Download DOI: 10.1016/j.physa.2013.07.050
  39. Baruník Jozef, Aste T., Di Matteo T., Liu R. :  Understanding the source of multifractality in financial markets , Physica. A : Statistical Mechanics and its Applications vol.391, 17 (2012), p. 4234-4251 [2012] Download DOI: 10.1016/j.physa.2012.03.037
  40. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav :  How do skilled traders change the structure of the market , International Review of Financial Analysis vol.23, 1 (2012), p. 66-71 [2012] Download DOI: 10.1016/j.irfa.2011.06.011
  41. Vácha Lukáš, Baruník Jozef :  Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis , Energy Economics vol.34, 1 (2012), p. 241-247 [2012] DOI: 10.1016/j.eneco.2011.10.007
  42. Baruník Jozef, Baruníková M. :  Neural Networks as Semiparametric Option Pricing Tool , Bulletin of the Czech Econometric Society vol.18, 28 (2011), p. 66-83 [2011] Download
  43. Baruník Jozef, Vácha Lukáš, Krištoufek Ladislav :  Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data , IES Working Papers vol.2011, 22 (2011), p. 1-22 [2011] Download
  44. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav :  Tail Behavior of the Central European Stock Markets during the Financial Crisis , AUCO Czech Economic Review vol.4, 3 (2010), p. 282-294 [2010] Download
  45. Baruník Jozef, Vácha Lukáš :  Monte Carlo-based tail exponent estimator , Physica. A : Statistical Mechanics and its Applications vol.389, 21 (2010), p. 4863-4874 [2010] Download DOI: 10.1016/j.physa.2010.06.054
  46. Baruník Jozef, Krištoufek Ladislav :  On Hurst exponent estimation under heavy-tailed distributions , Physica. A : Statistical Mechanics and its Applications vol.389, 18 (2010), p. 3844-3855 [2010] Download DOI: 10.1016/j.physa.2010.05.025
  47. Baruník Jozef, Soták B. :  Vplyv rôznych foriem vlastníctva na efektivitu Českých a Slovenských bánk: Prístup analýzy stochastických hraníc , Politická ekonomie vol.58, 2 (2010), p. 207-224 [2010]
  48. Baruník Jozef, Vácha Lukáš :  Monte Carlo-Based Tail Exponent Estimator , IES Working Paper vol.2010, 6 (2010), p. 1-26 [2010] Download
  49. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav :  Smart Agents and Sentiment in the Heterogeneous Agent Model , ERCIM News, 81 (2010), p. 39-40 [2010] Download
  50. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav :  Tail Behavior of the Central European Stock Markets during the Financial Crisis , IES Working Papers vol.2010, 4 (2010), p. 1-17 [2010] Download
  51. Baruník Jozef, Vácha Lukáš :  Wavelet Analysis of Central European Stock Market Behaviour During the Crisis , IES Working Papers vol.2009, 23 (2009), p. 1-14 [2009]
  52. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav :  Smart predictors in the heterogeneous agent model , Journal of Economic Interaction and Coordination vol.4, 2 (2009), p. 163-172 [2009] DOI: 10.1007/s11403-009-0051-0
  53. Baruník Jozef, Vošvrda Miloslav :  Can a stochastic cusp catastrophe model explain stock market crashes? , Journal of Economic Dynamics & Control vol.33, 10 (2009), p. 1824-1836 [2009] DOI: 10.1016/j.jedc.2009.04.004
  54. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav :  Smart Agents and Sentiment in the Heterogeneous Agent Model , Prague Economic Papers vol.18, 3 (2009), p. 209-219 [2009] Download
  55. Vošvrda Miloslav, Baruník Jozef :  Modelování Krachů na kapitálových trzích: Aplikace teorie stochastických katastrof , Politická ekonomie vol.2008, 6 (2008), p. 759-771 [2008] Download
  56. Baruník Jozef :  How Do Neural Networks Enhance the Predictability of Central European Stock Returns? , Finance a úvěr-Czech Journal of Economics and Finance vol.58, p. 359-376 [2008] Download

  1. Baruník Jozef, Kočenda Evžen, Vácha Lukáš :  Asymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, (Kiel 2014) Research Report 13 [2014] Download
  2. Baruník Jozef, Vácha Lukáš :  Modeling multivariate volatility using wavelet-based realized covariance estimator , Mathematical Methods in Economics 2011, p. 29-34, Mathematical Methods in Economics 2011, (Janská Dolina, SK, 06.09.2011-09.09.2011) [2011]
  3. Baruník Jozef :  L. E. Calvet & A. J. Fisher: Multifractal Volatility: Theory, Forecasting, and Pricing , AUCO Czech Economic Review vol.4, 3 (2010), p. 341-343 [2010] Download
  4. Baruník Jozef, Vácha Lukáš, Krištoufek Ladislav :  Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data , 28th International Conference on Mathematical Methods in Economics 2010, p. 12-17 , Eds: Houda Michal, Friebelová Jana, Mathematical Methods in Economics 2010, (České Budějovice, CZ, 08.09.2010-10.09.2010) [2010] Download
  5. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav :  Power Law Behavior of the Central European Stock Markets During the Financial Crisis, ÚTIA AV ČR, (Praha 2009) Research Report 2268 [2009]
  6. Baruník Jozef, Krištoufek Ladislav :  On Hurst exponent estimation under heavy-tailed distributions, ÚTIA AV ČR, (Praha 2009) Research Report 2267 [2009]
  7. Baruník Jozef, Baruníková M. :  Neural Networks as Semiparametric Option Pricing Tool, ÚTIA AV ČR, (Praha 2009) Research Report 2266 [2009]
  8. Vácha Lukáš, Baruník Jozef :  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, p. 7-12 , Eds: Brožová Helena, 27th International Conference Mathematical Methods in Economics 2009, (Kostelec nad Černými lesy, CZ, 09.09.2009-11.09.2009) [2009] Download
  9. Baruník Jozef, Vošvrda Miloslav :  Cusp Catastrophe Theory: Application to U.S. Stock , Proceedings of 26th International Conference Mathematical Methods in Economics 2008, p. 12-25 , Eds: Řehořová Pavla, Maršíková Kateřina, Mathematical Methods in Economics 2008, (Liberec, CZ, 17.09.2008-19.09.2008) [2008] Download
  10. Baruník Jozef, Vácha Lukáš :  Neural Networks with Wavelet Based Denoising Layer: Application to Central European Stock Market Forecasting , Proceedings of 26th International Conference Mathematical Methods in Economics 2008, p. 1-6 , Eds: Řehořová Pavla, Maršíková Kateřina, Mathematical Methods in Economics 2008, (Liberec, CZ, 17.09.2008-19.09.2008) [2008] Download
  11. Baruník Jozef, Vošvrda Miloslav :  Stochastic Cusp Catastrophe Application to Stock Market Crashes Modeling, ÚTIA AV ČR, (Praha 2008) Research Report 2223 [2008]
  12. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav :  Smart Predictors in the Heterogeneous Agent Model, ÚTIA AV ČR, (Praha 2008) Research Report 2222 [2008]
  13. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav :  Sentiment Patterns in the Heterogeneous Agent Model, ÚTIA AV ČR, (Praha 2008) Research Report 2224 [2008]
  14. Vácha Lukáš, Baruník Jozef :  Wavelet Neural Networks Prediction of Central European Stock Markets, ÚTIA AV ČR, (Praha 2008) Research Report 2225 [2008]
  15. Baruník Jozef, Vošvrda Miloslav :  Application of Cusp Catastrophe Theory to U.S. Stock Market Crashes , Quantitative Methods in Economics: Multiple Criteria Decision making XIV, p. 19-27 , Eds: Reiff Sladký, Quantitative Methods in Economics: Multiplie Criteria Decision Making XIV, (Tatranská Lomnica, SK, 05.07.2008-07.07.2008) [2008]
  16. Vácha Lukáš, Baruník Jozef :  Wavelet Neural Networks Prediction of Central European Stock Markets , Quantitative Methods in Economics: Multiple Criteria Decision making XIV, p. 291-297 , Eds: Reiff Sladký, Quantitative Methods in Economics: Multiplie Criteria Decision Making XIV, (Tatranská Lomnica, SK, 05.07.2008-07.07.2008) [2008]