Jozef Barunik

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Lukas VachaUTIA, Czech Academy of Sciences, Department of EconometricsVerified email at utia.cas.cz
Evzen KocendaProfessor of Economics, Charles UniversityVerified email at fsv.cuni.cz
Tomas KrehlikInstitute of Economic Studies, Charles University in PragueVerified email at utia.cas.cz
Filip ZikesEconomist, Federal Reserve BoardVerified email at frb.gov
Ladislav KristoufekCharles University; Czech Academy of SciencesVerified email at fsv.cuni.cz
Mike EllingtonSenior Lecturer, University of Liverpool Management SchoolVerified email at liverpool.ac.uk
Jiri KukackaAssistant Professor, Charles University & Czech Academy of SciencesVerified email at fsv.cuni.cz
Frantisek CechInstitute of Economic Studies, Charles University; UTIA - the Czech Academy of SciencesVerified email at fsv.cuni.cz
Krenar AvdulajIES FSV Charles University and UTIA AV CR v.v.i. Academy of Sciences of the CRVerified email at utia.cas.cz
Roman HorvathCharles University, PragueVerified email at fsv.cuni.cz
Tomaso AsteProfessor of Complexity Science - University College LondonVerified email at ucl.ac.uk
Ruipeng LiuDepartment of Finance, Deakin Business School, Deakin UniversityVerified email at deakin.edu.au
Tiziana Di MatteoProfessor of Econophysics - King's College LondonVerified email at kcl.ac.uk
Katerina SmidkovaDirector of Economic Research Department, Czech National Bank and Professor, Charles UniversityVerified email at cnb.cz
Radu TunaruProfessor of Finance and Risk ManagementVerified email at sussex.ac.uk
marco lau chi keungTeesside UniversityVerified email at tees.ac.uk
Nicholas ApergisUniversity of PiraeusVerified email at unipi.gr
Luboš HanusCharles University, Faculty of Social Sciences, Institute of Economic StudiesVerified email at fsv.cuni.cz
Stanislav AnatolyevCERGE-EI and New Economic SchoolVerified email at cerge-ei.cz
Cathy Yi-Hsuan ChenAdam Smith Business School, University of GlasgowVerified email at glasgow.ac.uk

Jozef Barunik

Charles University and Czech Academy of Sciences

Verified email at fsv.cuni.cz - Homepage

Econometrics Machine Learning Reinforcement Learning Dynamic Networks Asset Pricing


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Measuring the frequency dynamics of financial connectedness and systemic risk J Baruník, T Křehlík Journal of Financial Econometrics 16 (2), 271-296, 2018	1025	2018
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis L Vacha, J Barunik Energy Economics 34 (1), 241-247, 2012	489	2012
Asymmetric connectedness on the US stock market: Bad and good volatility spillovers J Baruník, E Kočenda, L Vácha Journal of Financial Markets 27, 55-78, 2016	394	2016
On Hurst exponent estimation under heavy-tailed distributions J Barunik, L Kristoufek Physica A: statistical mechanics and its applications 389 (18), 3844-3855, 2010	308	2010
Asymmetric volatility connectedness on the forex market J Baruník, E Kočenda, L Vácha Journal of International Money and Finance 77, 39-56, 2017	244	2017
Understanding the source of multifractality in financial markets J Barunik, T Aste, T Di Matteo, R Liu Physica A: Statistical Mechanics and its Applications 391 (17), 4234-4251, 2012	177	2012
Gold, oil, and stocks: Dynamic correlations J Baruník, E Kočenda, L Vácha International Review of Economics & Finance 42, 186-201, 2016	171	2016
Quantile coherency: A general measure for dependence between cyclical economic variables J Baruník, T Kley The Econometrics Journal 22 (2), 131-152, 2019	167	2019
Volatility spillovers across petroleum markets J Barunk, E Kocendah, L Vachaa The Energy Journal 36 (3), 309-330, 2015	130	2015
Modeling and forecasting exchange rate volatility in time-frequency domain J Barunik, T Krehlik, L Vacha European Journal of Operational Research 251 (1), 329-340, 2016	115	2016
Forecasting the term structure of crude oil futures prices with neural networks J Baruník, B Malinska Applied energy 164, 366-379, 2016	111	2016
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data K Avdulaj, J Barunik Energy Economics 51, 31-44, 2015	97	2015
Can a stochastic cusp catastrophe model explain stock market crashes? J Baruník, M Vosvrda Journal of Economic Dynamics and Control 33 (10), 1824-1836, 2009	93	2009
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? N Apergis, J Baruník, MCK Lau Energy Economics 66, 108-115, 2017	82	2017
Semi-parametric conditional quantile models for financial returns and realized volatility F Žikeš, J Baruník Journal of Financial Econometrics 14 (1), 185-226, 2015	78	2015
Estimation of financial agent-based models with simulated maximum likelihood J Kukacka, J Barunik Journal of Economic Dynamics and Control 85, 21-45, 2017	77	2017
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment J Kukacka, J Barunik Physica A: Statistical Mechanics and its Applications 392 (23), 5920-5938, 2013	75	2013
Total, asymmetric and frequency connectedness between oil and forex markets J Baruník, E Kočenda The Energy Journal 40 (2_suppl), 157-174, 2019	73	2019
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets T Křehlík, J Baruník Energy Economics 65, 208-218, 2017	63	2017
Contagion among Central and Eastern European stock markets during the financial crisis J Barunik, L Vacha arXiv preprint arXiv:1309.0491, 2013	63	2013

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