Jozef Baruník : Citation Profile


Are you Jozef Baruník?

Univerzita Karlova v Praze (50% share)
Akademie věd České Republiky (50% share)

15

H index

23

i10 index

971

Citations

RESEARCH PRODUCTION:

44

Articles

72

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   13 years (2008 - 2021). See details.
   Cites by year: 74
   Journals where Jozef Baruník has often published
   Relations with other researchers
   Recent citing documents: 321.    Total self citations: 43 (4.24 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba685
   Updated: 2022-01-15    RAS profile: 2021-04-16    
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Relations with other researchers


Works with:

Vacha, Lukas (9)

Krehlik, Tomas (7)

Kočenda, Evžen (7)

Cech, Frantisek (5)

Kukacka, Jiri (3)

Anatolyev, Stanislav (2)

Nevrla, Matěj (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jozef Baruník.

Is cited by:

Krištoufek, Ladislav (60)

Tiwari, Aviral (29)

Shahzad, Syed Jawad Hussain (25)

Masih, Abul (21)

Sensoy, Ahmet (17)

Aguiar-Conraria, Luís (14)

Vo, Xuan Vinh (13)

Bouri, Elie (12)

Wohar, Mark (12)

Hamori, Shigeyuki (12)

Aloui, Chaker (11)

Cites to:

Diebold, Francis (86)

Bollerslev, Tim (75)

Andersen, Torben (61)

Vacha, Lukas (50)

Yilmaz, Kamil (34)

Engle, Robert (27)

Barndorff-Nielsen, Ole (25)

Shephard, Neil (24)

Pesaran, M (21)

Manganelli, Simone (19)

Nielsen, Morten (17)

Main data


Where Jozef Baruník has published?


Journals with more than one article published# docs
Czech Journal of Economics and Finance (Finance a uver)4
Physica A: Statistical Mechanics and its Applications4
Energy Economics4
Journal of Financial Markets3
Quantitative Finance2
Journal of Financial Econometrics2
Politická ekonomie2
Journal of Economic Dynamics and Control2
Studies in Nonlinear Dynamics & Econometrics2
Economic Modelling2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org38
Working Papers IES / Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies13
FinMaP-Working Papers / Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents12
CESifo Working Paper Series / CESifo3

Recent works citing Jozef Baruník (2021 and 2020)


YearTitle of citing document
2021Information 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.

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2020Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992.

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2020Neural networks for option pricing and hedging: a literature review. (2019). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1911.05620.

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2020Where 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.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2020Equilibrium Oil Market Share under the COVID-19 Pandemic. (2020). Wang, Xiaozhou ; Shi, Yun ; Chen, Xiaojun. In: Papers. RePEc:arx:papers:2007.15265.

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2020Regularization 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.

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2020Are cryptocurrencies becoming more interconnected?. (2020). Perez-Laborda, Alejandro ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios. In: Papers. RePEc:arx:papers:2009.14561.

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2020The 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.

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2021Multiscale 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.

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2021Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2020Asset 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.

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2021Re-investigating the oil-food price co-movement using wavelet analysis. (2021). Mastroeni, Loretta ; Vellucci, Pierluigi ; Quaresima, Greta. In: Papers. RePEc:arx:papers:2104.11891.

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2021Deep Kernel Gaussian Process Based Financial Market Predictions. (2021). Long, Wen ; Dai, Wei ; Shi, Yong ; Li, BO. In: Papers. RePEc:arx:papers:2105.12293.

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2020Public Health Interventions in the Face of Pandemics: Network Structure, Social Distancing, and Heterogeneity. (2020). Ghaderi, Mohammad. In: Working Papers. RePEc:bge:wpaper:1193.

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2020Bitcoin—A 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.

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2020Frequency-domain information for active portfolio management. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_002.

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2020Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006.

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2020Connectedness 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.

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2020Electricity 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.

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2021Are 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.

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2021Mortgage-Related Bank Penalties and Systemic Risk among U.S. Banks. (2021). Kočenda, Evžen ; Kocenda, Even ; Bro, Vaclav. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9463.

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2020Vulnerable growth: Bayesian GDP-at-Risk. (2020). Casta, Martin ; Komarkova, Zlatuse ; Szabo, Milan. In: Occasional Publications - Chapters in Edited Volumes. RePEc:cnb:ocpubc:tafs2020/2.

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2020Growth-at-Risk: Bayesian Approach. (2020). Szabo, Milan. In: Working Papers. RePEc:cnb:wpaper:2020/3.

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2020La 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.

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2020Non-alternative collective investment schemes, connectedness and systemic risk. (2020). Laborda, Ricardo ; Losada, Ramiro. In: CNMV Working Papers. RePEc:cnv:wpaper:dt_71en.

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2021Monetary Policy and Business Cycle Synchronization in Europe. (2021). MESTRE, Roman ; Odry, Remi. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-19.

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2021An 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.

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2020Overconfidence 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.

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2020A time–frequency 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.

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2021Does Bitcoin React to Trump’s Tweets?. (2021). Duc, Toan Luu. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021000903.

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2021Equity-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.

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2021Detrended 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.

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2020Emerging 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.

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2021A 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.

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2020Macroeconomic 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.

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2020Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality. (2020). Kukacka, Jiri ; Krištoufek, Ladislav. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300257.

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2020A 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.

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2020Business 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.

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2021Estimation 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.

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2021Multi-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.

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2020Macroeconomic transmission of Eurozone shocks to India—A 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.

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2021Time-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.

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2021Policy 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.

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2021Volatility 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.

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2022Asymmetric 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.

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2020Dynamic 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.

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2020Crude 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.

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2020Fancy 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.

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2020Chinas 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.

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2020Quantile 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.

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2021Returns 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.

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2021Revisiting 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.

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2021Intraday return predictability in China’s 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.

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2020Multi-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.

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2020A 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.

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2020Asymmetric risk spillovers between Shanghai and Hong Kong stock markets under China’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.

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2020Asymmetric 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.

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2020Can 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.

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2020Dynamic 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.

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2020Contagion 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.

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2020Spillovers 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.

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2020Spillover 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.

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2020Volatility 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.

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2021Asymmetric 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.

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2021Time–frequency 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.

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2021Jump 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.

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2021Time-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.

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2021COVID-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.

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2021What 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.

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2021Multiscale 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.

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2021Region-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.

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2021A 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.

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2021The 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.

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2021Model 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.

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2020Dynamic 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.

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2021Option 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.

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2021Inflation 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.

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2021Forecasting 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.

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2021Interdependence 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.

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2021Volatility 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.

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2020Time-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.

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2020Measuring 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.

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2020Fuel 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.

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2020Analyzing time-varying volatility spillovers between the crude oil markets using a new method. (2020). Gong, XU ; Liu, Tangyong. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300505.

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2020Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model. (2020). Tiwari, Aviral ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Aye, Goodness C. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300876.

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2020Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967.

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2020Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach. (2020). Zhou, Dequn ; Zha, Donglan ; Wang, Qunwei ; Dai, Xingyu. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301146.

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2020Volatility spillovers in Australian electricity markets. (2020). Trueck, Stefan ; Truck, Stefan ; Kordzakhia, Nino ; Han, Lin. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301225.

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2020Dependence structure in the Australian electricity markets: New evidence from regular vine copulae. (2020). Gözgör, Giray ; Apergis, Nicholas ; Wang, Shixuan ; Marco, Chi Keung ; Gozgor, Giray . In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301742.

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2020A multi-granularity heterogeneous combination approach to crude oil price forecasting. (2020). Zhou, Hao ; Wang, Jue ; Li, Xiang ; Hong, Tao. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320301304.

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2020Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate. (2020). Wang, Xunxiao. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302401.

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2020Multiscale lead-lag relationships in oil and refined product return dynamics: A symbolic wavelet transfer entropy approach. (2020). Singh, Abhay Kumar ; de Mello, Lurion ; DeMello, Lurion ; Storhas, Dominik P. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s014098832030267x.

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2020Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302875.

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2021The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications. (2021). Kang, Sang Hoon ; Guhathakurta, Kousik ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304011.

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2021Neural network prediction of crude oil futures using B-splines. (2021). Shang, Han Lin ; Miao, Hong ; Kokoszka, Piotr ; Butler, Sunil. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304205.

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2021Network connectedness between natural gas markets, uncertainty and stock markets. (2021). Ji, Qiang ; Liu, Bing-Yue ; Chen, Fu-Rui ; Geng, Jiang-Bo. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320303418.

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2021Investor attention and oil market volatility: Does economic policy uncertainty matter?. (2021). Wang, Yudong ; Xiao, Jihong. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000852.

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2021Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; al Rababa, Abdel Razzaq ; Mensi, Walid. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001675.

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2021Oil price shocks and the return and volatility spillover between industrial and precious metals. (2021). Escribano, Ana ; Jareo, Francisco ; Umar, Zaghum. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001961.

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2020Multifractional Brownian motion and quantum-behaved particle swarm optimization for short term power load forecasting: An integrated approach. (2020). Chi, Chi-Hung ; Cattani, Carlo ; Song, Wanqing. In: Energy. RePEc:eee:energy:v:194:y:2020:i:c:s0360544219325423.

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More than 100 citations found, this list is not complete...

Works by Jozef Baruník:


YearTitleTypeCited
2015Volatility Spillovers Across Petroleum Markets In: The Energy Journal.
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2014How does bad and good volatility spill over across petroleum markets?.(2014) In: Papers.
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2015Volatility spillovers across petroleum markets.(2015) In: William Davidson Institute Working Papers Series.
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2012Understanding the source of multifractality in financial markets In: Papers.
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2012Understanding the source of multifractality in financial markets.(2012) In: Physica A: Statistical Mechanics and its Applications.
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2012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis In: Papers.
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2012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis.(2012) In: Energy Economics.
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article
2012Monte Carlo-based tail exponent estimator In: Papers.
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2010Monte Carlo-based tail exponent estimator.(2010) In: Physica A: Statistical Mechanics and its Applications.
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2010Monte Carlo-Based Tail Exponent Estimator.(2010) In: Working Papers IES.
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2012On Hurst exponent estimation under heavy-tailed distributions In: Papers.
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2010On Hurst exponent estimation under heavy-tailed distributions.(2010) In: Physica A: Statistical Mechanics and its Applications.
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article
2013Realized wavelet-based estimation of integrated variance and jumps in the presence of noise In: Papers.
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2015Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2015) In: Quantitative Finance.
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2014Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2014) In: FinMaP-Working Papers.
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2015Modeling and forecasting exchange rate volatility in time-frequency domain In: Papers.
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2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: European Journal of Operational Research.
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2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: FinMaP-Working Papers.
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2013Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment In: Papers.
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paper12
2013Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment.(2013) In: Physica A: Statistical Mechanics and its Applications.
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2013Modeling and Forecasting Persistent Financial Durations In: Papers.
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2017Modeling and forecasting persistent financial durations.(2017) In: Econometric Reviews.
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2015Modeling and forecasting persistent financial durations.(2015) In: FinMaP-Working Papers.
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2013Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression In: Papers.
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2013Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility In: Papers.
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2015Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility.(2015) In: Quantitative Finance.
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2014Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility.(2014) In: FinMaP-Working Papers.
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2015Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data In: Papers.
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2015Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data.(2015) In: Energy Economics.
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2015Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data.(2015) In: FinMaP-Working Papers.
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2014Gold, Oil, and Stocks In: Papers.
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2015Gold, Oil, and Stocks: Dynamic Correlations.(2015) In: CESifo Working Paper Series.
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2016Gold, oil, and stocks: Dynamic correlations.(2016) In: International Review of Economics & Finance.
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2014Gold, Oil, and Stocks.(2014) In: FinMaP-Working Papers.
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2014Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? In: Papers.
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2015Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover.(2015) In: CESifo Working Paper Series.
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2016Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers.(2016) In: Journal of Financial Markets.
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2014Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?.(2014) In: FinMaP-Working Papers.
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2013Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility In: Papers.
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2016Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility.(2016) In: Journal of Financial Econometrics.
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2014Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility.(2014) In: FinMaP-Working Papers.
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2013Can we still benefit from international diversification? The case of the Czech and German stock markets In: Papers.
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2013Can 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).
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2013Contagion among Central and Eastern European stock markets during the financial crisis In: Papers.
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2013Contagion among Central and Eastern European Stock Markets during the Financial Crisis.(2013) In: Czech Journal of Economics and Finance (Finance a uver).
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2015Forecasting the term structure of crude oil futures prices with neural networks In: Papers.
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2016Forecasting the term structure of crude oil futures prices with neural networks.(2016) In: Applied Energy.
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2015Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks.(2015) In: Working Papers IES.
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2017Measuring the frequency dynamics of financial connectedness and systemic risk In: Papers.
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2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk.(2018) In: Journal of Financial Econometrics.
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2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables In: Papers.
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2019Quantile coherency: A general measure for dependence between cyclical economic variables.(2019) In: Econometrics Journal.
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2017Do co-jumps impact correlations in currency markets? In: Papers.
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2018Do co-jumps impact correlations in currency markets?.(2018) In: Journal of Financial Markets.
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2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets In: Papers.
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2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets.(2017) In: Energy Economics.
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2016Asymmetric volatility connectedness on forex markets In: Papers.
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2017Asymmetric volatility connectedness on the forex market.(2017) In: Journal of International Money and Finance.
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2017Asymmetric volatility connectedness on the forex market.(2017) In: KIER Working Papers.
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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns In: Papers.
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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns.(2017) In: Working Papers IES.
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2019Forecasting dynamic return distributions based on ordered binary choice In: Papers.
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2019Forecasting dynamic return distributions based on ordered binary choice.(2019) In: International Journal of Forecasting.
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2019Total, asymmetric and frequency connectedness between oil and forex markets In: Papers.
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2019Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets.(2019) In: CESifo Working Paper Series.
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2021Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices In: Papers.
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2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities In: Papers.
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2019Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities.(2019) In: Journal of Futures Markets.
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2020Asymmetric Network Connectedness of Fears In: Papers.
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2020Asymmetric network connectedness of fears.(2020) In: LSE Research Online Documents on Economics.
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2019Co-jumping of Treasury Yield Curve Rates In: Papers.
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2019Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists In: Papers.
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2020Dynamic Network Risk In: Papers.
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2020Investment Disputes and Abnormal Volatility of Stocks In: Papers.
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2021Persistence in Economic Networks In: Papers.
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2021Deep Learning, Predictability, and Optimal Portfolio Returns In: Papers.
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2020Deep Learning, Predictability, and Optimal Portfolio Returns.(2020) In: CERGE-EI Working Papers.
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2021Dynamic industry uncertainty networks and the business cycle In: Papers.
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2021Currency Network Risk In: Papers.
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2021Frequency-Dependent Higher Moment Risks In: Papers.
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2021Frequency-Dependent Higher Moment Risks.(2021) In: Working Papers IES.
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2017A semiparametric nonlinear quantile regression model for financial returns In: Studies in Nonlinear Dynamics & Econometrics.
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2017Estimation of long memory in volatility using wavelets In: Studies in Nonlinear Dynamics & Econometrics.
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2014Estimation of Long Memory in Volatility Using Wavelets.(2014) In: Working Papers IES.
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2015Estimation of long memory in volatility using wavelets.(2015) In: FinMaP-Working Papers.
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2021Uncertainty Network Risk and Currency Returns In: CERGE-EI Working Papers.
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2012Macroeconomic Forecasting: Methods, Accuracy and Coordination In: Occasional Publications - Edited Volumes.
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2011Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests In: Working Papers.
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2011Neural Networks as Semiparametric Option Pricing Tool In: Bulletin of the Czech Econometric Society.
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article2
2009Can a stochastic cusp catastrophe model explain stock market crashes? In: Journal of Economic Dynamics and Control.
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article3
2017Estimation of financial agent-based models with simulated maximum likelihood In: Journal of Economic Dynamics and Control.
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2016Estimation of financial agent-based models with simulated maximum likelihood.(2016) In: FinMaP-Working Papers.
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2015An empirical model of fractionally cointegrated daily high and low stock market prices In: Economic Modelling.
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2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression In: Economic Modelling.
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2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? In: Energy Economics.
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2012How do skilled traders change the structure of the market In: International Review of Financial Analysis.
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2021Measurement of common risks in tails: A panel quantile regression model for financial returns In: Journal of Financial Markets.
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2010Tail Behavior of the Central European Stock Markets during the Financial Crisis In: Czech Economic Review.
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2010Tail Behavior of the Central European Stock Markets during the Financial Crisis.(2010) In: Working Papers IES.
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2008How Do Neural Networks Enhance the Predictability of Central European Stock Returns? In: Czech Journal of Economics and Finance (Finance a uver).
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2013Editorial to the Special Issue on Financial Markets in Central Europe In: Czech Journal of Economics and Finance (Finance a uver).
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2009Wavelet Analysis of Central European Stock Market Behaviour During the Crisis In: Working Papers IES.
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2011Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data In: Working Papers IES.
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2014On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model In: Working Papers IES.
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2017On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model.(2017) In: Journal of Forecasting.
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2014Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets volatility In: Working Papers IES.
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2016Simulated ML Estimation of Financial Agent-Based Models In: Working Papers IES.
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2017Common Cycles in Volatility and Cross Section of Stock Returns In: Working Papers IES.
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2018Volatility Term Structure Modeling Using Nelson-Siegel Model In: Working Papers IES.
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2014Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests In: International Journal of Central Banking.
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2013Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? In: ACTA VSFS.
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2009Smart Agents and Sentiment in the Heterogeneous Agent Model In: Prague Economic Papers.
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2008Modelování krach? na kapitálových trzích: aplikace teorie stochastických katastrof In: Politická ekonomie.
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2010Vplyv rôznych foriem vlastníctva na efektivitu ?eských a slovenských bánk: prístup analýzy stochastických hraníc In: Politická ekonomie.
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2014Wavelet-Based Correlation Analysis of the Key Traded Assets In: Dynamic Modeling and Econometrics in Economics and Finance.
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2009Smart predictors in the heterogeneous agent model In: Journal of Economic Interaction and Coordination.
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2015Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression In: FinMaP-Working Papers.
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2016Measuring the frequency dynamics of financial and macroeconomic connectedness In: FinMaP-Working Papers.
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