Jozef Baruník : Citation Profile

Are you Jozef Baruník?

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

9

H index

9

i10 index

455

Citations

RESEARCH PRODUCTION:

40

Articles

58

Papers

1

Books

RESEARCH ACTIVITY:

   10 years (2008 - 2018). See details.
   Cites by year: 45
   Journals where Jozef Baruník has often published
   Relations with other researchers
   Recent citing documents: 173.    Total self citations: 38 (7.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba685
   Updated: 2019-02-13    RAS profile: 2018-11-01    
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Relations with other researchers

Works with:

Vacha, Lukas (24)

Kočenda, Evžen (15)

Krehlik, Tomas (9)

Kukacka, Jiri (7)

Avdulaj, Krenar (6)

Cech, Frantisek (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 (47)

Masih, Abul (21)

Aguiar-Conraria, Luís (12)

Vošvrda, Miloslav (11)

Janda, Karel (10)

Tiwari, Aviral (9)

Roventini, Andrea (8)

Baumohl, Eduard (7)

Lyócsa, Štefan (7)

Sensoy, Ahmet (7)

Kočenda, Evžen (6)

Cites to:

Diebold, Francis (71)

Bollerslev, Tim (62)

Andersen, Torben (55)

Vacha, Lukas (48)

Yilmaz, Kamil (27)

Engle, Robert (25)

Shephard, Neil (22)

Barndorff-Nielsen, Ole (22)

Nielsen, Morten (18)

Granger, Clive (17)

Hommes, Cars (17)

Main data

Where Jozef Baruník has published?

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

Working Papers Series with more than one paper published# docs
Papers / arXiv.org29
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 / CESifo Group Munich2

Recent works citing Jozef Baruník (2019 and 2018)

YearTitle of citing document
2018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2018-17.

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2018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274731.

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

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2018Power-law cross-correlations: Issues, solutions and future challenges. (2018). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Papers. RePEc:arx:papers:1806.01616.

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2018Multifractal characteristics and return predictability in the Chinese stock markets. (2018). Fu, Xin-Lan ; Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shan, Zheng ; Gao, Xing-Lu. In: Papers. RePEc:arx:papers:1806.07604.

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2018Multi-agent Economics and the Emergence of Critical Markets. (2018). Harr, Michael S. In: Papers. RePEc:arx:papers:1809.01332.

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2018Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017. (2018). Wkatorek, Marcin ; Stanuszek, Marek ; O'Swicecimka, Pawel ; Zd, Stanislaw Dro. In: Papers. RePEc:arx:papers:1812.08548.

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2018Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias?. (2018). Malaquias, Rodrigo Fernandes ; de Abreu, Gleison. In: Brazilian Business Review. RePEc:bbz:fcpbbr:v:15:y:2018:i:4:p382-390.

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2018AGENT‐BASED MACROECONOMICS AND DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS: WHERE DO WE GO FROM HERE?. (2018). Levine, Paul ; Calvert Jump, Robert ; Dilaver, Ozge. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:4:p:1134-1159.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6396.

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2017Networks of Volatility Spillovers among Stock Markets. (2017). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard ; Vyrost, Tomas ; Lyocsa, Stefan . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6476.

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2018Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis. (2018). Kočenda, Evžen ; Moravcova, Michala. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7239.

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2018The Term Structure of Growth-at-Risk. (2018). Adrian, Tobias ; Malik, Sheherya ; Liang, Nellie ; Grinberg, Federico. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13349.

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118.

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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1647.

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2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

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2018Oil Price Dynamics Forecasting: An Indicator-Pivoted Paradigm. (2018). Puah, Chin-Hong ; Mansor, Shazali Abu ; Chong, Mei-Teing. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-03-37.

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2017Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-11.

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2017Do oil price asymmetric effects on the stock market persist in multiple time horizons?. (2017). Sun, Xiaoqi ; Gao, Xiangyun ; An, Haizhong ; Huang, Shupei. In: Applied Energy. RePEc:eee:appene:v:185:y:2017:i:p2:p:1799-1808.

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2017Detecting method for crude oil price fluctuation mechanism under different periodic time series. (2017). Gao, Xiangyun ; Wang, Yue ; Fang, Wei. In: Applied Energy. RePEc:eee:appene:v:192:y:2017:i:c:p:201-212.

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2017The multiscale impact of exchange rates on the oil-stock nexus: Evidence from China and Russia. (2017). Huang, Shupei ; Hao, Xiaoqing ; Wen, Shaobo ; Gao, Xiangyun. In: Applied Energy. RePEc:eee:appene:v:194:y:2017:i:c:p:667-678.

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2018Financial risk network architecture of energy firms. (2018). Uribe, Jorge ; Manotas, Diego ; Restrepo, Natalia . In: Applied Energy. RePEc:eee:appene:v:215:y:2018:i:c:p:630-642.

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2018Co-movement of coherence between oil prices and the stock market from the joint time-frequency perspective. (2018). Huang, Shupei ; Jia, Xiaoliang . In: Applied Energy. RePEc:eee:appene:v:221:y:2018:i:c:p:122-130.

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2018Do all sectors respond to oil price shocks simultaneously?. (2018). Huang, Shupei ; Wang, Yue. In: Applied Energy. RePEc:eee:appene:v:227:y:2018:i:c:p:393-402.

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2018Predictive analytics of crude oil prices by utilizing the intelligent model search engine. (2018). Bekiroglu, Korkut ; Lagoa, Constantino ; Su, Rong ; GULAY, Emrah ; Duru, Okan. In: Applied Energy. RePEc:eee:appene:v:228:y:2018:i:c:p:2387-2397.

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2018Agent-based model calibration using machine learning surrogates. (2018). Roventini, Andrea ; Sani, Amir ; Lamperti, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:366-389.

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2017Can energy commodity futures add to the value of carbon assets?. (2017). Roubaud, David ; Bouri, Elie ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:194-206.

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2017Catching the curl: Wavelet thresholding improves forward curve modelling. (2017). Vedenov, Dmitry ; Turvey, Calum ; Eaves, James ; Power, Gabriel J. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:312-321.

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2017Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests. (2017). Jiang, Yonghong ; Monginsidi, Joe Yohanes ; Nie, HE. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:384-398.

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2017Generalized Method of Moment estimation of multivariate multifractal models. (2017). Liu, Ruipeng ; Lux, Thomas. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:136-148.

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2018The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors. (2018). McNevin, Bruce D ; Nix, Joan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:570-585.

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2018Time-varying efficiency in food and energy markets: Evidence and implications. (2018). Roubaud, David ; Jebabli, Ikram . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:97-114.

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2018Risk aversion connectedness in five European countries. (2018). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:68-79.

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2018Are business and credit cycles synchronised internally or externally?. (2018). Kurowski, Ukasz ; Rogowicz, Karol. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:124-141.

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2017Measuring systemic risk of the US banking sector in time-frequency domain. (2017). Teply, Petr ; Kvapilikova, Ivana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:461-472.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2018Are generalized spillover indices overstating connectedness?. (2018). Beaumont, Paul ; Srivastava, Anuj ; Norrbin, Stefan C ; Thomas, . In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:131-134.

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2018An information theoretic criterion for empirical validation of simulation models. (2018). Lamperti, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:83-106.

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2018International spillovers in global asset markets. (2018). Belke, Ansgar ; Dubova, Irina. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:1:p:3-17.

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2018Intraday effect of news on emerging European forex markets: An event study analysis. (2018). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:4:p:597-615.

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2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Zeitun, Rami ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

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2017Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies”. (2017). Yılmaz, Erdal ; Ozmen, Utku ; Yilmaz, Erdal. In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:173-188.

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2018Extreme dependence and risk spillovers between oil and Islamic stock markets. (2018). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Al-Yahyaee, Khamis H ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:42-63.

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2018Which is the safe haven for emerging stock markets, gold or the US dollar?. (2018). Wen, Xiaoqian ; Cheng, Hua. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:69-90.

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2018Asymmetric linkages among the fear index and emerging market volatility indices. (2018). Badshah, Ihsan ; Uddin, Gazi Salah ; Lucey, Brian M ; Bekiros, Stelios. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:17-31.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2017The impact of crude oil prices on financial market indicators: copula approach. (2017). KÜÇÜKÖZMEN, CUMHUR ; Selcuk-Kestel, Sevtap A ; Kuukozmen, Cokun C ; Kayalar, Derya Ezgi . In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:162-173.

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2017Wavelet-based test of co-movement and causality between oil and renewable energy stock prices. (2017). Ugolini, Andrea ; Reboredo, Juan ; Rivera-Castro, Miguel A. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:241-252.

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2017Joint price and volumetric risk in wind power trading: A copula approach. (2017). Pircalabu, A ; Hog, E ; Jung, J ; Hvolby, T. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:139-154.

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2017Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis. (2017). Andriosopoulos, Kostas ; Spyrou, Spyros ; Galariotis, Emilios. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:217-227.

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2017Can stock market investors hedge energy risk? Evidence from Asia. (2017). Wagner, Niklas ; Szilagyi, Peter ; Batten, Jonathan ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:559-570.

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2017A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets. (2017). Pircalabu, A ; Benth, F E. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:283-302.

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2018Oil prices and news-based uncertainty: Novel evidence. (2018). Yin, Libo ; Su, Zhi ; Lu, Man. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:331-340.

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2018Consumer electricity and gas prices across Australian capital cities: Structural breaks, effects of policy reforms and interstate differences. (2018). Valadkhani, Abbas ; Smyth, Russell ; Nguyen, Jeremy. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:365-375.

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2018Sectoral energy consumption by source and output in the U.S.: New evidence from wavelet-based approach. (2018). Ben Salha, Ousama ; Aloui, Chaker ; Hkiri, Besma ; Ben-Salha, Ousama. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:75-96.

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2018The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method. (2018). Li, Xiafei ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:565-581.

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2018Asymmetric volatility spillovers between crude oil and international financial markets. (2018). Wang, Xunxiao ; Wu, Chongfeng. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:592-604.

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2018Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices. (2018). Ferrer, Roman ; Jareo, Francisco ; Lopez, Raquel ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:1-20.

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2018High-frequency volatility connectedness between the US crude oil market and Chinas agricultural commodity markets. (2018). Luo, Jiawen ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:424-438.

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2017Revisiting driving factors of oil price shocks across time scales. (2017). An, Feng ; Huang, Shupei ; Wen, Shaobo. In: Energy. RePEc:eee:energy:v:139:y:2017:i:c:p:617-629.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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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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2017Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. (2017). Filis, George ; Antonakakis, Nikolaos ; Chatziantoniou, Ioannis. In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:1-26.

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2017Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest. (2017). Tsouknidis, Dimitris ; Magkonis, Georgios. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:104-118.

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2017Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity. (2017). Wang, Shixuan ; Yarovaya, Larisa ; Vigne, Samuel A ; Keung, Marco Chi. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:316-332.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2018Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks. (2018). Uddin, Gazi ; Shahzad, Syed Jawad Hussain ; Yoon, Seong-Min ; Hussain, Syed Jawad ; Hernandez, Jose Areola. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:167-180.

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2018Asymmetric semi-volatility spillover effects in EMU stock markets. (2018). cipollini, andrea ; Muzzioli, Silvia ; Caloia, Francesco Giuseppe. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:221-230.

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2018The effects of uncertainty measures on the price of gold. (2018). Gözgör, Giray ; Bilgin, Mehmet ; Sheng, Xin ; Marco, Chi Keung ; Gozgor, Giray . In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:1-7.

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2018Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?. (2018). Yi, Shuyue ; Wang, Gang-Jin ; Xu, Zishuang. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:98-114.

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2017In search of hedges and safe havens: Revisiting the relations between gold and oil in the rolling regression framework. (2017). Papież, Monika ; Śmiech, Sławomir. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:238-244.

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2018Time-varying long-term memory in Bitcoin market. (2018). Jiang, Yonghong ; Ruan, Weihua ; Nie, HE. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:280-284.

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2017Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis. (2017). Hamori, Shigeyuki ; Yuan, Nannan ; Tian, Shuairu ; Cai, Xiaojing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:206-223.

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2018Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?. (2018). Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhao, Longfeng ; Xie, Chi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:205-230.

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2018Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index. (2018). Horta, Eduardo ; Ziegelmann, Flavio. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:75-88.

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2018Crude oil price forecasting based on internet concern using an extreme learning machine. (2018). Wang, Jue ; Hyndman, Rob J ; Athanasopoulos, George. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:665-677.

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2018Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

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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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2017Are supply shocks important for real exchange rates? A fresh view from the frequency-domain. (2017). Yao, Fang ; Gehrke, Britta. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:99-114.

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2018Currency downside risk, liquidity, and financial stability. (2018). Chulia, Helena ; Uribe, Jorge M ; Fernandez, Julian. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:89:y:2018:i:c:p:83-102.

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2017Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach. (2017). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Awe, Olushina. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:117-124.

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2017Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods. (2017). Hkiri, Besma ; Yarovaya, Larisa ; Aloui, Chaker ; Hammoudeh, Shawkat. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:43:y:2017:i:c:p:124-150.

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2017Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Kumar, Ronald ; Hussain, Syed Jawad ; Nor, Safwan Mohd. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:310-324.

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2017Understanding the multifractality in portfolio excess returns. (2017). Chen, Cheng ; Wang, Yudong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:346-355.

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2017Co-movement of Africa’s equity markets: Regional and global analysis in the frequency–time domains. (2017). ALAGIDEDE, PAUL ; Boako, Gideon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:359-380.

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2017On fractality and chaos in Moroccan family business stock returns and volatility. (2017). Lahmiri, Salim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:29-39.

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2017Multifractal methodology. (2017). Salat, Hadrien ; Murcio, Roberto ; Arcaute, Elsa . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:467-487.

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2017Can economic policy uncertainty help to forecast the volatility: A multifractal perspective. (2017). Liu, Zhicao ; Ma, Feng ; Ye, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:181-188.

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2017What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions. (2017). Krištoufek, Ladislav ; Ferreira, Paulo ; Kristoufek, Ladislav. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:554-566.

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2017Introducing Hurst exponent in pair trading. (2017). Ramos-Requena, J P ; Sanchez-Granero, M A ; Trinidad-Segovia, J E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:488:y:2017:i:c:p:39-45.

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2018Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes. (2018). Kaffel, Bilel ; Abid, Fathi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1028-1045.

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2018Networks of volatility spillovers among stock markets. (2018). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard ; Vrost, Toma ; Koenda, Even ; Lyocsa, Tefan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1555-1574.

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2018Generalized Hurst exponent estimates differentiate EEG signals of healthy and epileptic patients. (2018). Lahmiri, Salim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:378-385.

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2018Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders. (2018). Zhong, Li-Xin ; He, Yun-Xing ; Ren, Fei ; Qiu, Tian ; Chen, Rong-Da ; Xu, Wen-Juan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:301-310.

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2018Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis. (2018). Loganathan, Nanthakumar ; Jammazi, Rania ; Sharif, Arshian ; Afshan, Sahar. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:225-244.

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2018Testing for multifractality of Islamic stock markets. (2018). Saadaoui, Foued. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:263-273.

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2018Network features of sector indexes spillover effects in China: A multi-scale view. (2018). Feng, Sida ; Wen, Shaobo ; Sun, Qingru ; Liu, Xueyong ; Qi, Yabin ; Huang, Shupei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:461-473.

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2018On Bitcoin markets (in)efficiency and its evolution. (2018). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:257-262.

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2018Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program. (2018). Zhang, Guofu ; Li, Jingjing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:611-622.

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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.
[Full Text][Citation analysis]		article11
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.
[Full Text][Citation analysis]		paper39
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.
[Full Text][Citation analysis]		paper106
2012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis.(2012) In: Energy Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 106		article
2012Monte Carlo-based tail exponent estimator In: Papers.
[Full Text][Citation analysis]		paper0
2010Monte Carlo-based tail exponent estimator.(2010) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2010Monte Carlo-Based Tail Exponent Estimator.(2010) In: Working Papers IES.
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This paper has another version. Agregated cites: 0		paper
2012On Hurst exponent estimation under heavy-tailed distributions In: Papers.
[Full Text][Citation analysis]		paper85
2010On Hurst exponent estimation under heavy-tailed distributions.(2010) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 85		article
2013Realized wavelet-based estimation of integrated variance and jumps in the presence of noise In: Papers.
[Full Text][Citation analysis]		paper7
2015Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2014Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2014) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2015Modeling and forecasting exchange rate volatility in time-frequency domain In: Papers.
[Full Text][Citation analysis]		paper9
2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: European Journal of Operational Research.
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This paper has another version. Agregated cites: 9		article
2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2013Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment In: Papers.
[Full Text][Citation analysis]		paper7
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.
[Full Text][Citation analysis]		paper3
2017Modeling and forecasting persistent financial durations.(2017) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2015Modeling and forecasting persistent financial durations.(2015) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2013Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression In: Papers.
[Full Text][Citation analysis]		paper3
2013Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility In: Papers.
[Full Text][Citation analysis]		paper0
2015Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data In: Papers.
[Full Text][Citation analysis]		paper15
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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This paper has another version. Agregated cites: 15		article
2015Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data.(2015) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
2014Gold, Oil, and Stocks In: Papers.
[Full Text][Citation analysis]		paper32
2015Gold, Oil, and Stocks: Dynamic Correlations.(2015) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32		paper
2016Gold, oil, and stocks: Dynamic correlations.(2016) In: International Review of Economics & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32		article
2014Gold, Oil, and Stocks.(2014) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32		paper
2014Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? In: Papers.
[Full Text][Citation analysis]		paper24
2015Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover.(2015) In: CESifo Working Paper Series.
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This paper has another version. Agregated cites: 24		paper
2016Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers.(2016) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		article
2014Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?.(2014) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2013Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility In: Papers.
[Full Text][Citation analysis]		paper4
2016Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility.(2016) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2014Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility.(2014) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2013Can we still benefit from international diversification? The case of the Czech and German stock markets In: Papers.
[Full Text][Citation analysis]		paper3
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).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2013Contagion among Central and Eastern European stock markets during the financial crisis In: Papers.
[Full Text][Citation analysis]		paper8
2013Contagion among Central and Eastern European Stock Markets during the Financial Crisis.(2013) In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2015Forecasting the term structure of crude oil futures prices with neural networks In: Papers.
[Full Text][Citation analysis]		paper7
2015Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks.(2015) In: Working Papers IES.
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2016Forecasting the term structure of crude oil futures prices with neural networks.(2016) In: Applied Energy.
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2017Measuring the frequency dynamics of financial connectedness and systemic risk In: Papers.
[Full Text][Citation analysis]		paper5
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.
[Full Text][Citation analysis]		paper2
2017Do co-jumps impact correlations in currency markets? In: Papers.
[Full Text][Citation analysis]		paper0
2018Do co-jumps impact correlations in currency markets?.(2018) In: Journal of Financial Markets.
[Full Text][Citation analysis]
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2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets In: Papers.
[Full Text][Citation analysis]		paper2
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.
[Full Text][Citation analysis]		paper7
2017Asymmetric volatility connectedness on the forex market.(2017) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
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2017Asymmetric volatility connectedness on the forex market.(2017) In: KIER Working Papers.
[Full Text][Citation analysis]
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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns In: Papers.
[Full Text][Citation analysis]		paper1
2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns.(2017) In: Working Papers IES.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2019Forecasting dynamic return distributions based on ordered binary choice In: Papers.
[Full Text][Citation analysis]		paper0
2018Total, asymmetric and frequency connectedness between oil and forex markets In: Papers.
[Full Text][Citation analysis]		paper0
2018Tail Risks, Asset prices, and Investment Horizons In: Papers.
[Full Text][Citation analysis]		paper0
2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities In: Papers.
[Full Text][Citation analysis]		paper0
2018Asymmetric Connectedness of Fears in the U.S. Financial Sector In: Papers.
[Full Text][Citation analysis]		paper0
2017A semiparametric nonlinear quantile regression model for financial returns In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2017Estimation of long memory in volatility using wavelets In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2014Estimation of Long Memory in Volatility Using Wavelets.(2014) In: Working Papers IES.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2015Estimation of long memory in volatility using wavelets.(2015) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2012Macroeconomic Forecasting: Methods, Accuracy and Coordination In: Occasional Publications - Edited Volumes.
[Full Text][Citation analysis]		book0
2011Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests In: Working Papers.
[Full Text][Citation analysis]		paper5
2011Neural Networks as Semiparametric Option Pricing Tool In: Bulletin of the Czech Econometric Society.
[Full Text][Citation analysis]		article0
2009Can a stochastic cusp catastrophe model explain stock market crashes? In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article4
2017Estimation of financial agent-based models with simulated maximum likelihood In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article11
2016Estimation of financial agent-based models with simulated maximum likelihood.(2016) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2015An empirical model of fractionally cointegrated daily high and low stock market prices In: Economic Modelling.
[Full Text][Citation analysis]		article6
2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression In: Economic Modelling.
[Full Text][Citation analysis]		article1
2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? In: Energy Economics.
[Full Text][Citation analysis]		article4
2012How do skilled traders change the structure of the market In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article0
2010Tail Behavior of the Central European Stock Markets during the Financial Crisis In: Czech Economic Review.
[Full Text][Citation analysis]		article0
2010Tail Behavior of the Central European Stock Markets during the Financial Crisis.(2010) In: Working Papers IES.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2008How Do Neural Networks Enhance the Predictability of Central European Stock Returns? In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]		article1
2013Editorial to the Special Issue on Financial Markets in Central Europe In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]		article0
2009Wavelet Analysis of Central European Stock Market Behaviour During the Crisis In: Working Papers IES.
[Full Text][Citation analysis]		paper0
2011Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data In: Working Papers IES.
[Full Text][Citation analysis]		paper9
2014On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model In: Working Papers IES.
[Full Text][Citation analysis]		paper3
2014Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets volatility In: Working Papers IES.
[Full Text][Citation analysis]		paper0
2016Simulated ML Estimation of Financial Agent-Based Models In: Working Papers IES.
[Full Text][Citation analysis]		paper4
2017Common Cycles in Volatility and Cross Section of Stock Returns In: Working Papers IES.
[Full Text][Citation analysis]		paper0
2018Volatility Term Structure Modeling Using Nelson-Siegel Model In: Working Papers IES.
[Full Text][Citation analysis]		paper0
2014Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests In: International Journal of Central Banking.
[Full Text][Citation analysis]		article17
2013Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? In: ACTA VSFS.
[Full Text][Citation analysis]		article0
2009Smart Agents and Sentiment in the Heterogeneous Agent Model In: Prague Economic Papers.
[Full Text][Citation analysis]		article0
2008Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof In: Politická ekonomie.
[Full Text][Citation analysis]		article0
2010Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc In: Politická ekonomie.
[Full Text][Citation analysis]		article2
2009Smart predictors in the heterogeneous agent model In: Journal of Economic Interaction and Coordination.
[Full Text][Citation analysis]		article1
2015Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility In: Quantitative Finance.
[Full Text][Citation analysis]		article3
2014Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility.(2014) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2017On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model In: Journal of Forecasting.
[Full Text][Citation analysis]		article2
2015Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression In: FinMaP-Working Papers.
[Full Text][Citation analysis]		paper0
2016Measuring the frequency dynamics of financial and macroeconomic connectedness In: FinMaP-Working Papers.
[Full Text][Citation analysis]		paper2

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