15
H index
25
i10 index
1067
Citations
Univerzita Karlova v Praze (50% share) | 15 H index 25 i10 index 1067 Citations RESEARCH PRODUCTION: 44 Articles 72 Papers 1 Books 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jozef BarunÃk. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2021 | Information Diffusion and Spillover Dynamics in Renewable Energy Markets. (2021). Uddin, Gazi Salah ; Manera, Matteo ; Mahmoud, Alwan ; Cedic, Samir. In: FEEM Working Papers. RePEc:ags:feemwp:310361. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2020 | Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992. Full description at Econpapers || Download paper | |
2020 | Neural networks for option pricing and hedging: a literature review. (2019). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1911.05620. Full description at Econpapers || Download paper | |
2020 | Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723. Full description at Econpapers || Download paper | |
2020 | A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110. Full description at Econpapers || Download paper | |
2020 | Equilibrium Oil Market Share under the COVID-19 Pandemic. (2020). Wang, Xiaozhou ; Shi, Yun ; Chen, Xiaojun. In: Papers. RePEc:arx:papers:2007.15265. Full description at Econpapers || Download paper | |
2020 | Regularization Approach for Network Modeling of German Power Derivative Market. (2020). L'Opez, Brenda ; Hardle, Wolfgang Karl ; Chen, Shi. In: Papers. RePEc:arx:papers:2009.09739. Full description at Econpapers || Download paper | |
2020 | Are cryptocurrencies becoming more interconnected?. (2020). Perez-Laborda, Alejandro ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios. In: Papers. RePEc:arx:papers:2009.14561. Full description at Econpapers || Download paper | |
2020 | The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool. (2020). Brandi, Giuseppe ; Antoniades, Ioannis P ; di Matteo, T ; Magafas, L G. In: Papers. RePEc:arx:papers:2010.08890. Full description at Econpapers || Download paper | |
2021 | Multiscale characteristics of the emerging global cryptocurrency market. (2020). Zd, Stanislaw Dro ; Wkatorek, Marcin ; Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Kwapie, Jaroslaw. In: Papers. RePEc:arx:papers:2010.15403. Full description at Econpapers || Download paper | |
2021 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
2020 | Asset Allocation via Machine Learning and Applications to Equity Portfolio Management. (2020). Hong, Zhenning ; Yang, Qing ; Zhang, Liangliang ; Ye, Tingting ; Tian, Ruyan. In: Papers. RePEc:arx:papers:2011.00572. Full description at Econpapers || Download paper | |
2022 | Re-investigating the oil-food price co-movement using wavelet analysis. (2021). Mastroeni, Loretta ; Vellucci, Pierluigi ; Quaresima, Greta. In: Papers. RePEc:arx:papers:2104.11891. Full description at Econpapers || Download paper | |
2021 | Deep Kernel Gaussian Process Based Financial Market Predictions. (2021). Long, Wen ; Dai, Wei ; Shi, Yong ; Li, BO. In: Papers. RePEc:arx:papers:2105.12293. Full description at Econpapers || Download paper | |
2022 | Black-box Bayesian inference for economic agent-based models. (2022). Farmer, Doyne J ; Cannon, Patrick ; Dyer, Joel ; Schmon, Sebastian. In: Papers. RePEc:arx:papers:2202.00625. Full description at Econpapers || Download paper | |
2022 | Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848. Full description at Econpapers || Download paper | |
2020 | Public Health Interventions in the Face of Pandemics: Network Structure, Social Distancing, and Heterogeneity. (2020). Ghaderi, Mohammad. In: Working Papers. RePEc:bge:wpaper:1193. Full description at Econpapers || Download paper | |
2020 | Bitcoinââ¬âA hype or digital gold? Global evidence. (2020). Uddin, Md Akther ; Masih, Abul ; Ali, Md Hakim. In: Australian Economic Papers. RePEc:bla:ausecp:v:59:y:2020:i:3:p:215-231. Full description at Econpapers || Download paper | |
2020 | Interconnectedness in the Australian National Electricity Market: A Higher?Moment Analysis. (2020). Smyth, Russell ; Nepal, Rabindra ; Do, Hung. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:315:p:450-469. Full description at Econpapers || Download paper | |
2021 | WHERE DO WE STAND IN CRYPTOCURRENCIES ECONOMIC RESEARCH? A SURVEY BASED ON HYBRID ANALYSIS. (2021). Fernandez Bariviera, Aurelio ; Meredizsola, Ignasi. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:377-407. Full description at Econpapers || Download paper | |
2021 | The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models. (2021). BenSaïda, Ahmed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:2:p:540-570. Full description at Econpapers || Download paper | |
2021 | Dynamics of Money Market Interest Rates in Ghana: Time?Frequency Analysis of Volatility Spillovers. (2021). Schaling, Eric ; Alagidede, Imhotep Paul ; Akosah, Nana Kwame. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:4:p:555-589. Full description at Econpapers || Download paper | |
2020 | Frequency-domain information for active portfolio management. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_002. Full description at Econpapers || Download paper | |
2020 | Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006. Full description at Econpapers || Download paper | |
2020 | Connectedness Among Economic Policy Uncertainties: Evidence from the Time and Frequency Domain Perspectives. (2020). Huiwen, Zou ; Jinxin, Cui. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:5:p:401-433:n:2. Full description at Econpapers || Download paper | |
2020 | Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2007. Full description at Econpapers || Download paper | |
2021 | Are risk weights of banks in the Czech Republic procyclical? Evidence from wavelet analysis. (2021). Pfeifer, Luka ; Bro, Vaclav. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:10:y:2021:i:1:p:113-139. Full description at Econpapers || Download paper | |
2021 | Mortgage-Related Bank Penalties and Systemic Risk among U.S. Banks. (2021). KoÄenda, Evžen ; Kocenda, Even ; Bro, Vaclav. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9463. Full description at Econpapers || Download paper | |
2020 | Vulnerable growth: Bayesian GDP-at-Risk. (2020). Casta, Martin ; Komarkova, Zlatuse ; Szabo, Milan. In: Occasional Publications - Chapters in Edited Volumes. RePEc:cnb:ocpubc:tafs2020/2. Full description at Econpapers || Download paper | |
2020 | Growth-at-Risk: Bayesian Approach. (2020). Szabo, Milan. In: Working Papers. RePEc:cnb:wpaper:2020/3. Full description at Econpapers || Download paper | |
2020 | La interconexión en las instituciones de inversión colectiva no alternativas y el riesgo sistémico. (2020). Laborda, Ricardo ; Losada, Ramiro. In: CNMV Documentos de Trabajo. RePEc:cnv:docutr:dt_71es. Full description at Econpapers || Download paper | |
2020 | Non-alternative collective investment schemes, connectedness and systemic risk. (2020). Laborda, Ricardo ; Losada, Ramiro. In: CNMV Working Papers. RePEc:cnv:wpaper:dt_71en. Full description at Econpapers || Download paper | |
2021 | Monetary Policy and Business Cycle Synchronization in Europe. (2021). MESTRE, Roman ; Odry, Remi. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-19. Full description at Econpapers || Download paper | |
2022 | The determinants of CO2 prices in the EU emission trading system. (2022). Perez-Laborda, Alejandro ; Sikora, Iryna ; Lovcha, Yuliya. In: Applied Energy. RePEc:eee:appene:v:305:y:2022:i:c:s0306261921012162. Full description at Econpapers || Download paper | |
2021 | An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439. Full description at Econpapers || Download paper | |
2020 | Overconfidence and the 2D:4D ratio. (2020). Tabak, Benjamin ; Silva, Thiago ; Amancio, Diego Raphael ; Constantino, Michel ; da Silva, Eduardo Borges. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:25:y:2020:i:c:s2214635019302953. Full description at Econpapers || Download paper | |
2020 | A timeâfrequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets. (2020). Gubareva, Mariya ; Umar, Zaghum. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303312. Full description at Econpapers || Download paper | |
2021 | Does Bitcoin React to Trumpâs Tweets?. (2021). Duc, Toan Luu. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021000903. Full description at Econpapers || Download paper | |
2021 | Equity-linked securities option pricing by fractional Brownian motion. (2021). Tang, Weiwei ; Shao, Wei ; Chen, Wenbing ; Yan, Yan ; Wang, Jian. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s0960077921000692. Full description at Econpapers || Download paper | |
2021 | Detrended multifractal characterization of Indian rainfall records. (2021). Mali, Provash ; Sarker, Alivia. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:151:y:2021:i:c:s0960077921006512. Full description at Econpapers || Download paper | |
2022 | U.S. Politics from a multifractal perspective. (2022). Schadner, Wolfgang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921010316. Full description at Econpapers || Download paper | |
2020 | Emerging market corporate leverage and global financial conditions. (2020). Alter, Adrian ; Elekdag, Selim. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300341. Full description at Econpapers || Download paper | |
2021 | A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network. (2021). Sun, Ying ; Chen, Tianbo ; Li, Ta-Hsin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:154:y:2021:i:c:s0167947320301602. Full description at Econpapers || Download paper | |
2020 | Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion. (2020). Barde, Sylvain. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919301927. Full description at Econpapers || Download paper | |
2020 | Do ââ¬Ëcomplexââ¬â¢ financial models really lead to complex dynamics? Agent-based models and multifractality. (2020). Kukacka, Jiri ; KriÃ
¡toufek, Ladislav. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300257. Full description at Econpapers || Download paper | |
2020 | A comparison of economic agent-based model calibration methods. (2020). Platt, Donovan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300294. Full description at Econpapers || Download paper | |
2020 | Business fluctuations in a behavioral switching model: Gridlock effects and credit crunch phenomena in financial networks. (2020). Grilli, Ruggero ; Gallegati, Mauro ; Tedeschi, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188918303476. Full description at Econpapers || Download paper | |
2021 | Estimation of agent-based models using Bayesian deep learning approach of BayesFlow. (2021). Shiono, Takashi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000178. Full description at Econpapers || Download paper | |
2021 | Multi-agent-based VaR forecasting. (2021). Poddig, Thorsten ; Fieberg, Christian ; Tubbenhauer, Tobias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001664. Full description at Econpapers || Download paper | |
2020 | Macroeconomic transmission of Eurozone shocks to IndiaâA mean-adjusted Bayesian VAR approach. (2020). Swamy, Vighneswara. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:126-150. Full description at Econpapers || Download paper | |
2021 | Time-frequency connectedness between Asian electricity sectors. (2021). TAGHIZADEH-HESARY, Farhad ; Ngo, Thanh ; Naeem, Muhammad Abubakr ; Arif, Muhammad ; Hasan, Mudassar ; Taghizadehhesary, Farhad. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:208-224. Full description at Econpapers || Download paper | |
2021 | Policy uncertainty and sectoral stock market volatility in China. (2021). Ding, Hui ; Li, Xiao-Lin ; Zhao, Bing ; Si, Deng-Kui. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:557-573. Full description at Econpapers || Download paper | |
2021 | The limited role of stock market in financing new energy development in China: An investigation using firmsâ high-frequency data. (2021). Geng, Yong ; Yin, Haitao ; Zhang, Yuquan W ; Zheng, Biao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:651-667. Full description at Econpapers || Download paper | |
2021 | Volatility spillovers between food and fuel markets: Do administrative regulations affect the transmission?. (2021). Rude, James ; Qiu, Feng ; An, Henry. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001413. Full description at Econpapers || Download paper | |
2022 | Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881. Full description at Econpapers || Download paper | |
2020 | Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189. Full description at Econpapers || Download paper | |
2020 | Crude oil and BRICS stock markets under extreme shocks: New evidence. (2020). He, Chengting ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:54-68. Full description at Econpapers || Download paper | |
2020 | Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks. (2020). Shen, Yifan ; Yang, Mengying ; Zeng, Ting. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:209-220. Full description at Econpapers || Download paper | |
2020 | Chinas liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach. (2020). Li, Min ; Zhong, Rui ; Wang, Hao ; Ji, Hao. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:187-204. Full description at Econpapers || Download paper | |
2020 | Quantile spillovers and dependence between Bitcoin, equities and strategic commodities. (2020). Chevallier, Julien ; Guesmi, Khaled ; Abid, Ilyes ; Urom, Christian. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:230-258. Full description at Econpapers || Download paper | |
2021 | Returns and volume: Frequency connectedness in cryptocurrency markets. (2021). Tzaferi, Dimitra ; Fousekis, Panos. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:13-20. Full description at Econpapers || Download paper | |
2021 | Revisiting the roles of cryptocurrencies in stock markets: A quantile coherency perspective. (2021). Mu, Jinqi ; Wang, Jieru ; Lie, Jiayi ; Jiang, Yonghong. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:21-34. Full description at Econpapers || Download paper | |
2021 | Intraday return predictability in Chinaâs crude oil futures market: New evidence from a unique trading mechanism. (2021). Zhang, Yaojie ; Wang, Yudong ; Wen, Danyan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:209-219. Full description at Econpapers || Download paper | |
2020 | Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains. (2020). Li, Jianping ; Wang, Jun ; Chen, Xiuwen ; Sun, Xiaolei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302456. Full description at Econpapers || Download paper | |
2020 | A quantile-copula approach to dependence between financial assets. (2020). Jung, Hojin ; Tabacu, Lucia ; Kim, Jong-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300105. Full description at Econpapers || Download paper | |
2020 | Asymmetric risk spillovers between Shanghai and Hong Kong stock markets under Chinaââ¬â¢s capital account liberalization. (2020). He, Jianmin ; Li, Shouwei ; Wei, YU ; Yang, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302384. Full description at Econpapers || Download paper | |
2020 | Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market. (2020). Yin, Libo ; Wang, Ziwei ; He, Feng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303055. Full description at Econpapers || Download paper | |
2020 | Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis. (2020). Yang, Lu ; Xu, Mingli ; Zhu, Jingran ; Wu, Kai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300917. Full description at Econpapers || Download paper | |
2020 | Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301157. Full description at Econpapers || Download paper | |
2020 | Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S.. (2020). Zong, LU ; Wang, Peiwan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302864. Full description at Econpapers || Download paper | |
2020 | Spillovers and diversification potential of bank equity returns from developed and emerging America. (2020). Yoon, Seong-Min ; Hussain, Syed Jawad ; Kang, Sang Hoon ; Hernandez, Jose Arreola. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301169. Full description at Econpapers || Download paper | |
2020 | Spillover effects in oil-related CDS markets during and after the sub-prime crisis. (2020). Ozdemir, Zeynel ; Balcilar, Mehmet ; Wohar, Mark E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301467. Full description at Econpapers || Download paper | |
2020 | Volatility interdependence on foreign exchange markets: The contribution of cross-rates. (2020). Kinkyo, Takuji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301807. Full description at Econpapers || Download paper | |
2021 | Asymmetric volatility connectedness among U.S. stock sectors. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Suleman, Tahir ; Nekhili, Ramzi ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302126. Full description at Econpapers || Download paper | |
2021 | Timeâfrequency quantile dependence between Bitcoin and global equity markets. (2021). Abdoh, Hussein ; Maghyereh, Aktham. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302369. Full description at Econpapers || Download paper | |
2021 | Jump Interdependencies: Stochastic linkages among international stock markets. (2021). Prasanna, Krishna ; Kshatriya, Saranya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000528. Full description at Econpapers || Download paper | |
2021 | Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets: Evidence from rolling window analysis. (2021). Chen, Weiyan ; Zhu, Huiming ; Hau, Liya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000759. Full description at Econpapers || Download paper | |
2021 | COVID-19 and asymmetric volatility spillovers across global stock markets. (2021). Li, Wenqi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000954. Full description at Econpapers || Download paper | |
2021 | What drives dynamic connectedness of the U.S equity sectors during different business cycles?. (2021). Ngene, Geoffrey M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001133. Full description at Econpapers || Download paper | |
2021 | Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis. (2021). Wang, DA ; Liu, Lan ; Luo, Changqing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001303. Full description at Econpapers || Download paper | |
2021 | Region-wide connectedness of Asian equity and currency markets. (2021). Kinkyo, Takuji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001339. Full description at Econpapers || Download paper | |
2022 | How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis. (2022). Hau, Liya ; Yu, Dongwei ; Zhu, Huiming ; Chen, Qitong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001844. Full description at Econpapers || Download paper | |
2022 | Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday. (2022). Choi, Sun-Yong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002102. Full description at Econpapers || Download paper | |
2021 | A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation. (2021). Hong, Won-Tak ; Hwang, Eunju. In: Economics Letters. RePEc:eee:ecolet:v:203:y:2021:i:c:s0165176521001324. Full description at Econpapers || Download paper | |
2021 | The continuous-time limit of score-driven volatility models. (2021). Livieri, Giulia ; Flandoli, Franco ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:655-675. Full description at Econpapers || Download paper | |
2021 | Model calibration and validation via confidence sets. (2021). Centorrino, Samuele ; Secchi, Davide ; Martinoli, Mario ; Seri, Raffaello. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:62-86. Full description at Econpapers || Download paper | |
2020 | Dynamic interactions between Central European currencies and the euro. (2020). Orlowski, Lucjan ; Gorman, Michael ; Roessler, Matthew H. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:3:s0939362520300881. Full description at Econpapers || Download paper | |
2021 | Option pricing with conditional GARCH models. (2021). Stentoft, Lars ; Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Rastegari, Javad. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:350-363. Full description at Econpapers || Download paper | |
2022 | New evidence on market response to public announcements in the presence of microstructure noise. (2022). Irwin, Scott ; Garcia, Philip ; Serra, Teresa ; Bian, Siyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:785-800. Full description at Econpapers || Download paper | |
2022 | Public health interventions in the face of pandemics: Network structure, social distancing, and heterogeneity. (2022). Ghaderi, Mohammad. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1016-1031. Full description at Econpapers || Download paper | |
2022 | Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779. Full description at Econpapers || Download paper | |
2021 | Inflation synchronization among the G7and China: The important role of oil inflation. (2021). Sousa, Ricardo ; Elsayed, Ahmed H ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002383. Full description at Econpapers || Download paper | |
2021 | Forecasting WTI crude oil futures returns: Does the term structure help?. (2021). O'Sullivan, Conall ; Bredin, Don ; Spencer, Simon. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002565. Full description at Econpapers || Download paper | |
2021 | Interdependence and lead-lag relationships between the oil price and metal markets: Fresh insights from the wavelet and quantile coherency approaches. (2021). Tiwari, Aviral ; Kablan, Akassi ; Hammoudeh, Shawkat ; Khalfaoui, Rabeh. In: Energy Economics. RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321003157. Full description at Econpapers || Download paper | |
2021 | Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis. (2021). karamti, chiraz ; Belhassine, Olfa. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003959. Full description at Econpapers || Download paper | |
2021 | Relationship between green investments, energy markets, and stock markets in the aftermath of the global financial crisis. (2021). Tiwari, Aviral ; Shahbaz, Muhammad ; Jiao, Zhilun ; Aikins, Emmanuel Joel ; Trabelsi, Nader. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005120. Full description at Econpapers || Download paper | |
2021 | Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets. (2021). Gözgör, Giray ; Xu, Bing ; Marco, Chi Keung ; Gozgor, Giray ; Semeyutin, Artur. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s014098832100517x. Full description at Econpapers || Download paper | |
2020 | Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals. (2020). Tiwari, Aviral ; Shahbaz, Muhammad ; Nasreen, Samia ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930324x. Full description at Econpapers || Download paper | |
2020 | Measuring the Brazilian ethanol and gasoline market efficiency using DFA-Hurst and fractal dimension. (2020). Inacio, C. M. C., ; David, S A ; Machado, J. A. T., ; Quintino, D D. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319304098. Full description at Econpapers || Download paper | |
2020 | Fuel poverty and subjective wellbeing. (2020). Smyth, Russell ; Churchill, Sefa Awaworyi ; Farrell, Lisa. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304475. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2015 | Volatility Spillovers Across Petroleum Markets In: The Energy Journal. [Full Text][Citation analysis] | article | 42 |
2014 | How does bad and good volatility spill over across petroleum markets?.(2014) In: Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
2015 | Volatility spillovers across petroleum markets.(2015) In: William Davidson Institute Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
2012 | Understanding the source of multifractality in financial markets In: Papers. [Full Text][Citation analysis] | paper | 59 |
2012 | Understanding the source of multifractality in financial markets.(2012) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has another version. Agregated cites: 59 | article | |
2012 | Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis In: Papers. [Full Text][Citation analysis] | paper | 185 |
2012 | Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis.(2012) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 185 | article | |
2012 | Monte Carlo-based tail exponent estimator In: Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Monte Carlo-based tail exponent estimator.(2010) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2010 | Monte Carlo-Based Tail Exponent Estimator.(2010) In: Working Papers IES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2012 | On Hurst exponent estimation under heavy-tailed distributions In: Papers. [Full Text][Citation analysis] | paper | 109 |
2010 | On Hurst exponent estimation under heavy-tailed distributions.(2010) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | article | |
2013 | Realized wavelet-based estimation of integrated variance and jumps in the presence of noise In: Papers. [Full Text][Citation analysis] | paper | 12 |
2015 | Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2015) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2014 | Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2014) In: FinMaP-Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2015 | Modeling and forecasting exchange rate volatility in time-frequency domain In: Papers. [Full Text][Citation analysis] | paper | 29 |
2016 | Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | article | |
2016 | Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: FinMaP-Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
2013 | Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment In: Papers. [Full Text][Citation analysis] | paper | 13 |
2013 | Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment.(2013) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2013 | Modeling and Forecasting Persistent Financial Durations In: Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | Modeling and forecasting persistent financial durations.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2015 | Modeling and forecasting persistent financial durations.(2015) In: FinMaP-Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2013 | Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression In: Papers. [Full Text][Citation analysis] | paper | 2 |
2013 | Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility In: Papers. [Full Text][Citation analysis] | paper | 8 |
2015 | Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility.(2015) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2014 | Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility.(2014) In: FinMaP-Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2015 | Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data In: Papers. [Full Text][Citation analysis] | paper | 32 |
2015 | Are benefits from oilâstocks diversification gone? New evidence from a dynamic copula and high frequency data.(2015) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | article | |
2015 | Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data.(2015) In: FinMaP-Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2014 | Gold, Oil, and Stocks In: Papers. [Full Text][Citation analysis] | paper | 63 |
2015 | Gold, Oil, and Stocks: Dynamic Correlations.(2015) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
2016 | Gold, oil, and stocks: Dynamic correlations.(2016) In: International Review of Economics & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | article | |
2014 | Gold, Oil, and Stocks.(2014) In: FinMaP-Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
2014 | Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? In: Papers. [Full Text][Citation analysis] | paper | 86 |
2015 | Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover.(2015) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 86 | paper | |
2016 | Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers.(2016) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 86 | article | |
2014 | Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?.(2014) In: FinMaP-Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 86 | paper | |
2013 | Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility In: Papers. [Full Text][Citation analysis] | paper | 12 |
2016 | Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility.(2016) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2014 | Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility.(2014) In: FinMaP-Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2013 | Can we still benefit from international diversification? The case of the Czech and German stock markets In: Papers. [Full Text][Citation analysis] | paper | 5 |
2013 | Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets.(2013) In: Czech Journal of Economics and Finance (Finance a uver). [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2013 | Contagion among Central and Eastern European stock markets during the financial crisis In: Papers. [Full Text][Citation analysis] | paper | 14 |
2013 | Contagion among Central and Eastern European Stock Markets during the Financial Crisis.(2013) In: Czech Journal of Economics and Finance (Finance a uver). [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2015 | Forecasting the term structure of crude oil futures prices with neural networks In: Papers. [Full Text][Citation analysis] | paper | 13 |
2016 | Forecasting the term structure of crude oil futures prices with neural networks.(2016) In: Applied Energy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2015 | Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks.(2015) In: Working Papers IES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2017 | Measuring the frequency dynamics of financial connectedness and systemic risk In: Papers. [Full Text][Citation analysis] | paper | 58 |
2018 | Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk.(2018) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | article | |
2018 | Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables In: Papers. [Full Text][Citation analysis] | paper | 34 |
2019 | Quantile coherency: A general measure for dependence between cyclical economic variables.(2019) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | article | |
2017 | Do co-jumps impact correlations in currency markets? In: Papers. [Full Text][Citation analysis] | paper | 7 |
2018 | Do co-jumps impact correlations in currency markets?.(2018) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2017 | Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets In: Papers. [Full Text][Citation analysis] | paper | 10 |
2017 | Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets.(2017) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2016 | Asymmetric volatility connectedness on forex markets In: Papers. [Full Text][Citation analysis] | paper | 62 |
2017 | Asymmetric volatility connectedness on the forex market.(2017) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | article | |
2017 | Asymmetric volatility connectedness on the forex market.(2017) In: KIER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | paper | |
2017 | Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns In: Papers. [Full Text][Citation analysis] | paper | 2 |
2017 | Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns.(2017) In: Working Papers IES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2019 | Forecasting dynamic return distributions based on ordered binary choice In: Papers. [Full Text][Citation analysis] | paper | 2 |
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2019 | Total, asymmetric and frequency connectedness between oil and forex markets In: Papers. [Full Text][Citation analysis] | paper | 19 |
2019 | Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets.(2019) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
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2018 | Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities In: Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Panel quantile regressions for estimating and predicting the value?at?risk of commodities.(2019) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2020 | Asymmetric Network Connectedness of Fears In: Papers. [Full Text][Citation analysis] | paper | 3 |
2020 | Asymmetric network connectedness of fears.(2020) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2019 | Co-jumping of Treasury Yield Curve Rates In: Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Dynamic Network Risk In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Investment Disputes and Abnormal Volatility of Stocks In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Persistence in Economic Networks In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Deep Learning, Predictability, and Optimal Portfolio Returns In: Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | Deep Learning, Predictability, and Optimal Portfolio Returns.(2020) In: CERGE-EI Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2021 | Dynamic industry uncertainty networks and the business cycle In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Currency Network Risk In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Frequency-Dependent Higher Moment Risks In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Frequency-Dependent Higher Moment Risks.(2021) In: Working Papers IES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2017 | A semiparametric nonlinear quantile regression model for financial returns In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 3 |
2017 | Estimation of long memory in volatility using wavelets In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
2014 | Estimation of Long Memory in Volatility Using Wavelets.(2014) In: Working Papers IES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2015 | Estimation of long memory in volatility using wavelets.(2015) In: FinMaP-Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2021 | Uncertainty Network Risk and Currency Returns In: CERGE-EI Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Macroeconomic Forecasting: Methods, Accuracy and Coordination In: Occasional Publications - Edited Volumes. [Full Text][Citation analysis] | book | 0 |
2011 | Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2011 | Neural Networks as Semiparametric Option Pricing Tool In: Bulletin of the Czech Econometric Society. [Full Text][Citation analysis] | article | 2 |
2009 | Can a stochastic cusp catastrophe model explain stock market crashes? In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 3 |
2017 | Estimation of financial agent-based models with simulated maximum likelihood In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 46 |
2016 | Estimation of financial agent-based models with simulated maximum likelihood.(2016) In: FinMaP-Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
2015 | An empirical model of fractionally cointegrated daily high and low stock market prices In: Economic Modelling. [Full Text][Citation analysis] | article | 10 |
2016 | Revisiting the long memory dynamics of the impliedârealized volatility relationship: New evidence from the wavelet regression In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
2017 | Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? In: Energy Economics. [Full Text][Citation analysis] | article | 27 |
2012 | How do skilled traders change the structure of the market In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
2021 | Measurement of common risks in tails: A panel quantile regression model for financial returns In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 0 |
2010 | Tail Behavior of the Central European Stock Markets during the Financial Crisis In: Czech Economic Review. [Full Text][Citation analysis] | article | 1 |
2010 | Tail Behavior of the Central European Stock Markets during the Financial Crisis.(2010) In: Working Papers IES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2008 | How Do Neural Networks Enhance the Predictability of Central European Stock Returns? In: Czech Journal of Economics and Finance (Finance a uver). [Full Text][Citation analysis] | article | 1 |
2013 | Editorial to the Special Issue on Financial Markets in Central Europe In: Czech Journal of Economics and Finance (Finance a uver). [Full Text][Citation analysis] | article | 0 |
2009 | Wavelet Analysis of Central European Stock Market Behaviour During the Crisis In: Working Papers IES. [Full Text][Citation analysis] | paper | 1 |
2011 | Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data In: Working Papers IES. [Full Text][Citation analysis] | paper | 14 |
2014 | On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model In: Working Papers IES. [Full Text][Citation analysis] | paper | 14 |
2017 | On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model.(2017) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2014 | Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets volatility In: Working Papers IES. [Full Text][Citation analysis] | paper | 0 |
2016 | Simulated ML Estimation of Financial Agent-Based Models In: Working Papers IES. [Full Text][Citation analysis] | paper | 5 |
2017 | Common Cycles in Volatility and Cross Section of Stock Returns In: Working Papers IES. [Full Text][Citation analysis] | paper | 0 |
2018 | Volatility Term Structure Modeling Using Nelson-Siegel Model In: Working Papers IES. [Full Text][Citation analysis] | paper | 0 |
2014 | Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 24 |
2013 | Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? In: ACTA VSFS. [Full Text][Citation analysis] | article | 0 |
2009 | Smart Agents and Sentiment in the Heterogeneous Agent Model In: Prague Economic Papers. [Full Text][Citation analysis] | article | 0 |
2008 | Modelovánà krach? na kapitálových trzÃch: aplikace teorie stochastických katastrof In: Politická ekonomie. [Full Text][Citation analysis] | article | 0 |
2010 | Vplyv rôznych foriem vlastnÃctva na efektivitu ?eských a slovenských bánk: prÃstup analýzy stochastických hranÃc In: Politická ekonomie. [Full Text][Citation analysis] | article | 2 |
2014 | Wavelet-Based Correlation Analysis of the Key Traded Assets In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2009 | Smart predictors in the heterogeneous agent model In: Journal of Economic Interaction and Coordination. [Full Text][Citation analysis] | article | 3 |
2015 | Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression In: FinMaP-Working Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Measuring the frequency dynamics of financial and macroeconomic connectedness In: FinMaP-Working Papers. [Full Text][Citation analysis] | paper | 15 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team