Jozef Baruník : Citation Profile


Are you Jozef Baruník?

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

12

H index

17

i10 index

640

Citations

RESEARCH PRODUCTION:

43

Articles

65

Papers

1

Books

RESEARCH ACTIVITY:

   12 years (2008 - 2020). See details.
   Cites by year: 53
   Journals where Jozef Baruník has often published
   Relations with other researchers
   Recent citing documents: 147.    Total self citations: 40 (5.88 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba685
   Updated: 2020-09-26    RAS profile: 2020-09-18    
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Relations with other researchers


Works with:

Vacha, Lukas (15)

Kočenda, Evžen (11)

Krehlik, Tomas (8)

Cech, Frantisek (4)

Kukacka, Jiri (4)

Avdulaj, Krenar (4)

Anatolyev, Stanislav (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 (52)

Masih, Abul (21)

Tiwari, Aviral (20)

Aguiar-Conraria, Luís (14)

Vošvrda, Miloslav (11)

Janda, Karel (10)

Baumohl, Eduard (10)

Kočenda, Evžen (9)

Kukacka, Jiri (9)

Hamori, Shigeyuki (9)

Roventini, Andrea (9)

Cites to:

Diebold, Francis (77)

Bollerslev, Tim (67)

Andersen, Torben (57)

Vacha, Lukas (51)

Yilmaz, Kamil (30)

Engle, Robert (26)

Barndorff-Nielsen, Ole (22)

Shephard, Neil (22)

Pesaran, M (18)

Nielsen, Morten (18)

Granger, Clive (17)

Main data


Where Jozef Baruník has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications4
Energy Economics4
Czech Journal of Economics and Finance (Finance a uver)4
Journal of Economic Dynamics and Control2
Economic Modelling2
Journal of Financial Markets2
Journal of Financial Econometrics2
Studies in Nonlinear Dynamics & Econometrics2
Politická ekonomie2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org35
FinMaP-Working Papers / Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents12
Working Papers IES / Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies12
CESifo Working Paper Series / CESifo3

Recent works citing Jozef Baruník (2020 and 2019)


YearTitle of citing document
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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2019Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017. (2019). Stanuszek, Marek ; O'Swicecimka, Pawel ; Zd, Stanislaw Dro ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:1812.08548.

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2019A Comparison of Economic Agent-Based Model Calibration Methods. (2019). Platt, Donovan. In: Papers. RePEc:arx:papers:1902.05938.

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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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2019Singularities and Catastrophes in Economics: Historical Perspectives and Future Directions. (2019). McCallum, Scott ; Harris, Adam . In: Papers. RePEc:arx:papers:1907.05582.

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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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2019The Generalisation of the DMCA Coefficient to Serve Distinguishing Between Hedge and Safe Haven Capabilities of the Gold. (2019). Ftiti, Zied ; Madani, Mohamed Arbi. In: Papers. RePEc:arx:papers:1912.12590.

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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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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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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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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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2019Rising to the Challenge: Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models. (2019). Grazzini, Jakob ; Delli Gatti, Domenico. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7894.

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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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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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2019Portfolio Diversification and Oil Price Shocks: A Sector Wide Analysis. (2019). Khan, Aftab Parvez ; Azmi, Wajahat ; Ali, Mohsin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-03-28.

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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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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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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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2019Revisiting global economic activity and crude oil prices: A wavelet analysis. (2019). Chu, Yin ; Gong, Qiang ; Chang, Chun-Ping ; Dong, Minyi. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:134-149.

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2019Volatility spillovers of unconventional monetary policy to emerging market economies. (2019). Beirne, John ; Apostolou, Apostolos . In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:118-129.

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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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2019Network-based asset allocation strategies. (2019). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan ; Vrost, Tomas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:516-536.

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2019Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses. (2019). SAITI, BURHAN ; Mat, Gairuzazmi Bin ; Rahman, Maya Puspa ; Bhuiyan, Rubaiyat Ahsan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:675-687.

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2019The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data. (2019). Huang, Chia-Hsing ; Meng, Xiangcai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:131-148.

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2019Spillovers and the determinants in Islamic equity markets. (2019). Balli, Faruk ; Hasan, Md Iftekhar ; de Bruin, Anne. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305023.

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2019Returns spillovers between tourism ETFs. (2019). Lee, Yun-Huan ; Chang, Shu-Lien. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305898.

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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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2019Price and volatility spillovers across the international steam coal market. (2019). , Marco ; Ciner, Cetin ; Brzeszczynski, Janusz ; Batten, Jonathan A ; Yarovaya, Larisa ; Lucey, Brian. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:119-138.

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2019Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model. (2019). Wang, Shixuan ; Gözgör, Giray ; Apergis, Nicholas ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:129-142.

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2019Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model. (2019). Xu, Jianjun ; Chen, Rongda. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:379-391.

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2019A seasonal copula mixture for hedging the clean spark spread with wind power futures. (2019). Hog, Esben ; Pircalabu, Anca ; Christensen, Troels Sonderby. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:64-80.

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2019Temporal and spectral dependence between crude oil and agricultural commodities: A wavelet-based copula approach. (2019). Oglend, Atle ; Yahya, Muhammad ; Dahl, Roy Endre. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:277-296.

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2019Time-varying energy and stock market integration in Asia. (2019). Wagner, Niklas ; Batten, Jonathan ; Szilagyi, Peter G ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:777-792.

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2019Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective. (2019). Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:995-1009.

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2019Are the crude oil markets really becoming more efficient over time? Some new evidence. (2019). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:253-263.

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2019Global connectedness of MSCI energy equity indices: A system-wide network approach. (2019). Singh, Vipul Kumar ; Nishant, Shreyank ; Kumar, Pawan. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302580.

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2019Dynamics of oil price, precious metal prices and the exchange rate in the long-run. (2019). Smyth, Russell ; Ivanovski, Kris ; Inekwe, John ; Churchill, Sefa Awaworyi. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s014098831930297x.

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2019Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility. (2019). Alam, Md Samsul ; Ferrer, Roman ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303020.

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2019The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models. (2019). Cagli, Efe Caglar ; Mandaci, Pinar Evrim ; Taskin, Dilvin. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303354.

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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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2019The time-varying linkages between global oil market and Chinas commodity sectors: Evidence from DCC-GJR-GARCH analyses. (2019). Jiang, Yonghong ; Mo, Bin ; Nie, HE. In: Energy. RePEc:eee:energy:v:166:y:2019:i:c:p:577-586.

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2019The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations. (2019). Abdoh, Hussein ; Awartani, Basel ; Maghyereh, Aktham I. In: Energy. RePEc:eee:energy:v:169:y:2019:i:c:p:895-913.

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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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2020Will energy transitions impact financial systems?. (2020). Xu, Yingying. In: Energy. RePEc:eee:energy:v:194:y:2020:i:c:s0360544220300177.

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2019Modeling intraday volatility of European bond markets: A data filtering application. (2019). Dufour, Alfonso ; Zhang, Hanyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:131-146.

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2019Identifying the multiscale financial contagion in precious metal markets. (2019). lucey, brian ; Wang, Xinya ; Huang, Shupei ; Liu, Huifang. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:209-219.

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2019Dynamic connectedness and integration in cryptocurrency markets. (2019). Roubaud, David ; Marco, Chi Keung ; Bouri, Elie ; Ji, Qiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:257-272.

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2020Three-level network analysis of the North American natural gas price: A multiscale perspective. (2020). Liu, Shuyu ; Sun, Qingru ; Feng, Sida ; Chi, Yuxi ; Huang, Shupei. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919302200.

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2019The asymmetric high-frequency volatility transmission across international stock markets. (2019). Wang, Shengquan ; Luo, Jiawen. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:104-109.

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2019Quantile coherency networks of international stock markets. (2019). Baumohl, Eduard ; Hussain, Syed Jawad. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:119-129.

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2019Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis. (2019). Sensoy, Ahmet ; Yoon, Seong-Min ; Al-Yahyaee, Khamis Hamed ; Lee, Yun-Jung ; Mensi, Walid. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:19-25.

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2019Do cryptocurrencies and traditional asset classes influence each other?. (2019). Kurka, Josef. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:38-46.

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2020The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country. (2020). Gözgör, Giray ; Marco, Chi Keung ; Semeyutin, Artur ; Li, Haiping. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319301424.

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2019Good and bad volatility spillovers: An asymmetric connectedness. (2019). Bensaida, Ahmed. In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95.

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2019Exchange rate comovements, hedging and volatility spillovers on new EU forex markets. (2019). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:42-64.

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2019Financial stress dynamics in the MENA region: Evidence from the Arab Spring. (2019). Yarovaya, Larisa ; Elsayed, Ahmed H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:20-34.

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2020Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures. (2020). Wang, Chao ; Gerlach, Richard. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:489-506.

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2020A functional time series analysis of forward curves derived from commodity futures. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:646-665.

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2019The asymmetric effect of equity volatility on credit default swap spreads. (2019). Lee, Hwang Hee ; Hyun, Jung-Soon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:125-136.

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2019An approach to identifying micro behavior: How banks’ strategies influence financial cycles. (2019). Recchioni, Maria Cristina ; Tedeschi, Gabriele ; Berardi, Simone. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:329-346.

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2019The determinants of the model-free positive and negative volatilities. (2019). Tunaru, Radu ; Morelli, David ; Bevilacqua, Mattia. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:92:y:2019:i:c:p:1-24.

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2019Economic policy uncertainty and dollar-pound exchange rate return volatility. (2019). Bartsch, Zachary. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:98:y:2019:i:c:1.

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2019Characteristics of petroleum product prices: A survey. (2019). Linn, Scott ; Ederington, Louis H ; Lee, Thomas K ; Hoelscher, Seth A ; Fernando, Chitru S. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:14:y:2019:i:c:p:1-15.

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2020Spillovers, integration and causality in LME non-ferrous metal markets. (2020). lucey, brian ; Yarovaya, Larisa ; Ciner, Cetin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:17:y:2020:i:c:s240585131730243x.

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2019Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria. (2019). Awodumi, Olabanji B ; Adewuyi, Adeolu O ; Abodunde, Temitope T. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:348-362.

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2019Time-frequency co-movements between the largest nonferrous metal futures markets. (2019). Yoon, Seong-Min ; Albulescu, Claudiu ; Tiwari, Aviral Kumar ; Kang, Sanghoon . In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:393-398.

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2019Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis. (2019). Wong, Wing-Keung ; Zhu, Zhenzhen ; Hoang, Thi-Hong-Van, ; el Khamlichi, Abdelbari. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:617-626.

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2019Exploring the time and frequency domain connectedness of oil prices and metal prices. (2019). Tiwari, Aviral ; solarin, sakiru ; Nasreen, Samia ; Umar, Zaghum. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420718304458.

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2019Heterogeneous interconnections between precious metals: Evidence from asymmetric and frequency-domain spillover analysis. (2019). lucey, brian ; Hernandez, Jose Areola ; Boako, Gideon ; Hussain, Syed Jawad ; Uddin, Gazi Salah. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s030142071930426x.

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2019The analysis of factors affecting global gold price. (2019). Zhang, BO ; Ralescu, Dan A ; Qian, Yao. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420719304337.

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2020Volatility connectedness in global foreign exchange markets. (2020). Wang, Gang-Jin ; Wen, Tiange. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:54:y:2020:i:c:s1042444x20300062.

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2019Connectedness and hedging between gold and Islamic securities: A new evidence from time-frequency domain approaches. (2019). Awartani, Basel ; Abdoh, Hussein ; Maghyereh, Aktham I. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:13-28.

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2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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2019Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets. (2019). Brooks, Robert ; Dash, Saumya Ranjan ; Maitra, Debasish ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x18305912.

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2019Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics. (2019). Jia, Linlu ; Wang, Jun ; Ke, Jinchuan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:370-383.

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2019The stability of Chinese stock network and its mechanism. (2019). Zhang, Weiping ; Zhuang, Xintian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:748-761.

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2019Evolutionary support vector machine for RMB exchange rate forecasting. (2019). Li, Hongtao ; Sun, Shaolong ; Fu, Sibao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:521:y:2019:i:c:p:692-704.

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2019Dynamic asymmetric spillovers and volatility interdependence on China’s stock market. (2019). Qu, Fang ; Li, Wenqi ; Chen, Yufeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:825-838.

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2019Comovement between commodity sectors. (2019). Chen, Ziyue ; Zhang, Hao ; Cai, Guixin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:1247-1258.

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2019Economic risk contagion among major economies: New evidence from EPU spillover analysis in time and frequency domains. (2019). Wang, Qian ; Liu, Yuntong ; Zhang, Xuhui ; Bai, Lan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313998.

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2019Information dominance among hedging assets: Evidence from return and volatility directional spillovers in time and frequency domains. (2019). Shang, Yue ; Wei, QI ; Li, Xiafei ; Liu, Xinchun ; Zeng, Sheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119314633.

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2020Nonlinear analysis of Casablanca Stock Exchange, Dow Jones and S&P500 industrial sectors with a comparison. (2020). Bekiros, Stelios ; Lahmiri, Salim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316577.

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2020Hedging effectiveness of precious metals across frequencies: Evidence from Wavelet based Dynamic Conditional Correlation analysis. (2020). Kumar, Surya Bhushan ; Das, Debojyoti ; Bhatia, Vaneet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119320242.

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2020Investigation of multifractal cross-correlation surfaces of Hurst exponents for some atmospheric pollutants. (2020). Marmureanu, Luminita ; Stan, Cristina ; Cristescu, Constantin P ; Marin, Cristina. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119321144.

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2019The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks. (2019). Park, Jin Suk ; Newaz, Mohammad Khaleq. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:79-94.

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2020Dynamics and determinants of spillovers across the option-implied volatilities of US equities. (2020). lucey, brian ; Bouri, Elie ; Roubaud, David. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:257-264.

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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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article23
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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article
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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paper0
2010Monte Carlo-based tail exponent estimator.(2010) In: Physica A: Statistical Mechanics and its Applications.
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article
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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paper88
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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paper9
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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paper
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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article
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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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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article
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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article
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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paper3
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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article
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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paper42
2015Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover.(2015) In: CESifo Working Paper Series.
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paper
2016Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers.(2016) In: Journal of Financial Markets.
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article
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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paper
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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article
2014Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility.(2014) In: FinMaP-Working Papers.
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paper
2013Can we still benefit from international diversification? The case of the Czech and German stock markets In: Papers.
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paper4
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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article
2013Contagion among Central and Eastern European stock markets during the financial crisis In: Papers.
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paper10
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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article
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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article
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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paper0
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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paper24
2017Asymmetric volatility connectedness on the forex market.(2017) In: Journal of International Money and Finance.
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article
2017Asymmetric volatility connectedness on the forex market.(2017) In: KIER Working Papers.
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paper
2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns In: Papers.
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paper1
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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2019Quantile 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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2018Asymmetric Connectedness of Fears in the U.S. Financial Sector In: Papers.
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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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2020Dynamic Networks in Large Financial and Economic Systems In: Papers.
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2020Deep Learning, Predictability, and Optimal Portfolio Returns In: Papers.
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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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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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paper5
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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article27
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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article2
2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? In: Energy Economics.
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article12
2012How do skilled traders change the structure of the market In: International Review of Financial Analysis.
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article1
2010Tail Behavior of the Central European Stock Markets during the Financial Crisis In: Czech Economic Review.
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article0
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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article1
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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paper11
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 krachů na kapitálových trzích: aplikace teorie stochastických katastrof In: Politická ekonomie.
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2010Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc In: Politická ekonomie.
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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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