Jozef Baruník : Citation Profile


Are you Jozef Baruník?

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

17

H index

26

i10 index

1581

Citations

RESEARCH PRODUCTION:

45

Articles

76

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   15 years (2008 - 2023). See details.
   Cites by year: 105
   Journals where Jozef Baruník has often published
   Relations with other researchers
   Recent citing documents: 228.    Total self citations: 46 (2.83 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba685
   Updated: 2024-01-16    RAS profile: 2023-09-12    
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Relations with other researchers


Works with:

Anatolyev, Stanislav (2)

Nevrla, Matěj (2)

Kurka, Josef (2)

Cech, Frantisek (2)

Kočenda, Evžen (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 (67)

Tiwari, Aviral (50)

Shahzad, Syed Jawad Hussain (28)

Maghyereh, Aktham (24)

Masih, Abul (23)

Hamori, Shigeyuki (19)

Lau, Chi Keung (18)

Vo, Xuan Vinh (18)

lucey, brian (18)

Gözgör, Giray (17)

Sensoy, Ahmet (17)

Cites to:

Diebold, Francis (99)

Bollerslev, Tim (87)

Andersen, Torben (67)

Vacha, Lukas (50)

Yilmaz, Kamil (43)

Engle, Robert (38)

Shephard, Neil (34)

Pesaran, Mohammad (32)

Giglio, Stefano (25)

Campbell, John (25)

Manganelli, Simone (21)

Main data


Where Jozef Baruník has published?


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

Working Papers Series with more than one paper published# docs
Papers / arXiv.org42
Working Papers IES / Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies13
FinMaP-Working Papers / Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents12
CESifo Working Paper Series / CESifo3

Recent works citing Jozef Baruník (2024 and 2023)


YearTitle of citing document
2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

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2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2023Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2023). M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Papers. RePEc:arx:papers:2303.16149.

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2023Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568.

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2023Learning Probability Distributions of Day-Ahead Electricity Prices. (2023). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2310.02867.

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2023Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2023From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Klieber, Karin ; Frenette, Mikael ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2311.16333.

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2023.

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2023.

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2023Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27.

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2023Macroeconomics with a Thick Pen. (2023). Jin, Xin ; Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10430.

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2023Volatility Connectedness on the Central European Forex Markets. (2023). Kočenda, Evžen ; Albrecht, Peter ; Kocenda, Even ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10728.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023Energy Price and Stock Return: Evidence of Energy Sector Companies in Indonesia. (2023). Karyatun, Subur ; Ferranti, Putri Andari ; Minanari, Minanari ; Endri, Endri ; Rheynaldi, Pande Ketut. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-05-5.

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2023Precious Metals and Oil Price Dynamics. (2023). Ali, Idiris Sid ; Mohamed, Abdulrazak Nur. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-06-14.

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2023Skewed multifractal scaling of stock markets during the COVID-19 pandemic. (2023). Saadaoui, Foued. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:170:y:2023:i:c:s0960077923002734.

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2023Estimation of heuristic switching in behavioral macroeconomic models. (2023). Sacht, Stephen ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002883.

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2023Numerical Solution of Dynamic Quantile Models. (2023). Muchon, Andre ; Galvao, Antonio F ; de Castro, Luciano. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:148:y:2023:i:c:s0165188923000234.

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2023A practical multivariate approach to testing volatility spillover. (2023). Urga, Giovanni ; Leong, Soon Heng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001008.

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2023Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis. (2023). Vo, Xuan Vinh ; Kang, Sang Hoon ; Ko, Hee-Un ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:558-580.

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2023Understanding E10 markets in the U.S.: Evidence from spatial data. (2023). Tokgoz, Simla ; Traore, Fousseini. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1267-1281.

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2023Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario. (2023). Zhou, Xiangjing ; Zeng, Hongjun ; Xu, Wen ; Lu, Ran. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1465-1481.

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2023Quantile spillovers and connectedness analysis between oil and African stock markets. (2023). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:60-83.

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2023Asymmetric contagion of jump risk in the Chinese financial sector: Monetary policy transmission matters. (2023). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003443.

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2023Exchange rate spillover, carry trades, and the COVID-19 pandemic. (2023). Chen, Yu-Lun ; Yang, Jimmy J ; Mo, Wan-Shin. In: Economic Modelling. RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000342.

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2023Total factor productivity in East Asia under ambiguity. (2023). Viale, Ariel M ; Lee, Velma. In: Economic Modelling. RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000445.

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2023Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669.

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2023Sequential Bayesian inference for agent-based models with application to the Chinese business cycle. (2023). Wang, Qianchao ; Li, Yong ; Zhang, Qiaosen. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323001931.

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2023Spillover effect of economic policy uncertainty on the stock market in the post-epidemic era. (2023). Chen, Hong ; Yuan, DI ; Li, Sufang ; Xiang, Shilei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001814.

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2023How does economic policy uncertainty drive time–frequency connectedness across commodity and financial markets?. (2023). Mao, Weifang ; Huang, Fei ; Zhu, Huiming ; Wu, Hao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002005.

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2023Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054.

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2023The risk spillover between China’s economic policy uncertainty and commodity markets: Evidence from frequency spillover and quantile connectedness approaches. (2023). Mo, Bin ; Ao, Zhiming ; Jiang, Yonghong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000281.

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2023Stablecoins as diversifiers, hedges and safe havens: A quantile coherency approach. (2023). Koodziejczyk, Hanna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000359.

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2023Research on the time-varying effects among green finance markets in China: A fresh evidence from multi-frequency scale perspective. (2023). Chen, Ling ; Fu, Yating ; Xia, Yufei ; Liu, Rongyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000372.

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2023Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method. (2023). Zhang, Shuguang ; Huang, Qian ; Wang, Xiangning. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000621.

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2023The effect of interconnectivity on stock returns during the Global Financial Crisis. (2023). Tabak, Benjamin ; Silva, Thiago ; Berri, Paulo Victor. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000633.

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2023Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis. (2023). Deng, XI ; Hau, Liya ; Zhu, Huiming ; Huang, Zishan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000682.

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2023Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network. (2023). Rehman, Mohd Ziaur ; Hammoudeh, Shawkat ; Khalfaoui, Rabeh. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014123000079.

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2023Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets. (2023). Mandaci, Pinar Evrim ; Cagli, Efe Caglar. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000249.

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2023Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953.

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2023Energy market reforms in China and the time-varying connectedness of domestic and international markets. (2023). Zhang, Dayong ; Ji, Qiang ; Wu, Fei ; Wang, Tiantian. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006247.

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2023Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy. (2023). Roubaud, David ; Tiwari, Aviral Kumar ; Roudari, Soheil ; Asadi, Mehrad. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006119.

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2023The connectedness of oil shocks, green bonds, sukuks and conventional bonds. (2023). Sokolova, Tatiana ; Hadhri, Sinda ; Abrar, Afsheen ; Umar, Zaghum. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000609.

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2023Co-movement between dirty and clean energy: A time-frequency perspective. (2023). Jamasb, Tooraj ; Nepal, Rabindra ; Naeem, Muhammad A ; Karim, Sitara ; Farid, Saqib. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000634.

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2023Do green and dirty investments hedge each other?. (2023). Hassan, M. Kabir ; Mariev, Oleg ; Bakhteyev, Stepan ; Sohag, Kazi. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000713.

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2023Interdependence of clean energy and green markets with cryptocurrencies. (2023). Karim, Sitara ; Mirza, Nawazish ; Boubaker, Sabri ; Naeem, Muhammad Abubakr ; Arfaoui, Nadia. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000828.

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2023Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach. (2023). Urom, Christian ; Benkraiem, Ramzi ; Masood, Amna ; Raza, Syed Ali. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000890.

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2023Information spillovers between carbon emissions trading prices and shipping markets: A time-frequency analysis. (2023). Fan, Lidong ; Kuang, Haibo ; Haralambides, Hercules ; Chen, Shuiyang ; Meng, Bin. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001020.

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2023Sustainable debt and gas markets: A new look using the time-varying wavelet-windowed cross-correlation approach. (2023). Abakah, Emmanuel ; Ghosh, Sudeshna ; Doan, Buhari ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001044.

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2023Modelling Australian electricity prices using indicator saturation. (2023). Apergis, Nicholas ; Wang, Shixuan ; Reade, James ; Pan, Wei-Fong. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001147.

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2023The role of the COVID-19 pandemic in time-frequency connectedness between oil market shocks and green bond markets: Evidence from the wavelet-based quantile approaches. (2023). Ren, Xiaohang ; Gözgör, Giray ; Gozgor, Giray ; Qi, Yinshu ; Wei, Ping. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s014098832300155x.

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2023Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective. (2023). Xiong, Xiong ; Jia, Kai-Wen ; Wu, Zhuo-Cheng ; Zhao, Min ; Gong, Xiao-Li. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001767.

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2023Effect of weather and environmental attentions on financial system risks: Evidence from Chinese high- and low-carbon assets. (2023). Yoon, Seong-Min ; Dong, Xiyong. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001780.

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2023Dynamic time-frequency connectedness between European emissions trading system and sustainability markets. (2023). Kang, Sang Hoon ; Sheikh, Umaid A ; Ur, Mobeen ; Suleman, Muhammad Tahir. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323002244.

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2023Diversification effects of Chinas carbon neutral bond on renewable energy stock markets: A minimum connectedness portfolio approach. (2023). lucey, brian ; Wang, Yizhi ; Zhang, Jiahao ; Wei, YU ; Bai, Lan. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323002256.

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2023Impacts of weather conditions on the US commodity markets systemic interdependence across multi-timescales. (2023). Marco, Chi Keung ; Wang, Qunwei ; Dai, Xingyu ; Zhang, Dongna. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s014098832300230x.

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2023Price risk transmissions in the water-energy-food nexus: Impacts of climate risks and portfolio implications. (2023). Do, Hung X ; Pham, Linh ; Le, Trung H. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002852.

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2023Exploring the dynamic behaviour of commodity market tail risk connectedness during the negative WTI pricing event. (2023). Corbet, Shaen ; Oxley, Les ; Hou, Yang ; Lang, Chunlin ; Hu, Yang. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003274.

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2023Network connectedness between Chinas crude oil futures and sector stock indices. (2023). Fan, Ying ; Liu, Bing-Yue ; Wang, Zi-Xin. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003468.

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2023Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets. (2023). Uddin, Gazi ; Yahya, Muhammad ; Okhrin, Yarema. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003511.

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2023Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic. (2023). Ye, Zhitao ; Mo, Jianlei ; Huang, Nan ; Lu, Xunfa. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003584.

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2023Market failure or politics? Understanding the motives behind regulatory actions to address surging electricity prices. (2023). Zhang, Alex Hongliang ; Erten, Ibrahim Etem ; Camadan, Ercument ; Sirin, Selahattin Murat. In: Energy Policy. RePEc:eee:enepol:v:180:y:2023:i:c:s030142152300232x.

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2023Connectedness and spillovers in the innovation network of green transportation. (2023). Tzeremes, Panayiotis ; Nel, J ; Dogan, Eyup ; Inglesi-Lotz, R. In: Energy Policy. RePEc:eee:enepol:v:180:y:2023:i:c:s0301421523002719.

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2023Forecasting crude oil price returns: Can nonlinearity help?. (2023). Wang, Yudong ; Wen, Danyan ; He, Mengxi ; Zhang, Yaojie. In: Energy. RePEc:eee:energy:v:262:y:2023:i:pb:s0360544222024756.

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2023Connectedness in implied higher-order moments of precious metals and energy markets. (2023). Zhang, Hongwei ; Xu, Yahua ; Lei, Xiaojie ; Bouri, Elie. In: Energy. RePEc:eee:energy:v:263:y:2023:i:pb:s0360544222024744.

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2023The impact of geopolitical risk on the behavior of oil prices and freight rates. (2023). Gil-Alana, Luis ; Romero, Maria Fatima ; Monge, Manuel. In: Energy. RePEc:eee:energy:v:269:y:2023:i:c:s0360544223001731.

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2023The spillover effects among the traditional energy markets, metal markets and sub-sector clean energy markets. (2023). Li, Yuxin ; Zhang, Hua. In: Energy. RePEc:eee:energy:v:275:y:2023:i:c:s0360544223007788.

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2023How does COVID-19 affect the spillover effects of green finance, carbon markets, and renewable/non-renewable energy markets? Evidence from China. (2023). Liu, Xinyi ; Dong, Lingfei ; Jiang, Wei. In: Energy. RePEc:eee:energy:v:281:y:2023:i:c:s0360544223017450.

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2023Foreign exchange market return spillovers and connectedness among African countries. (2023). Osei, Kofi Acheampong ; Kang, Sang Hoon ; Mensah, Lord Kwaku ; Boakye, Robert Owusu. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000212.

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2023Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict. (2023). Maghyereh, Aktham ; Cui, Jinxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000364.

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2023Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. (2023). Lee, Seungho ; Durand, Robert B ; Gronwald, Marc ; Wadud, Sania. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000844.

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2023Geopolitical risk, climate risk and energy markets: A dynamic spillover analysis. (2023). Zhang, Dayong ; Bu, Lin ; Zhao, Hang ; Jin, YI. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001138.

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2023Does the connectedness among fossil energy returns matter for renewable energy stock returns? Fresh insights from the Cross-Quantilogram analysis. (2023). Bai, Lan ; Wei, YU ; Chen, Xiaodan ; Zhang, Jiahao. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001758.

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2023Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin. (2023). Hong, Yongmiao ; Wang, Shouyang ; Duan, Hongbo ; Sun, Yuying ; Zhang, Dingxuan. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002168.

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2023Time-varying linkages between energy and stock markets: Dynamic spillovers and driving factors. (2023). Guo, NA ; Zhang, Jun ; Feng, Huiqun. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002302.

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2023The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments. (2023). Hamori, Shigeyuki ; He, Xie ; Zhang, Wenting. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300251x.

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2023Portfolio capital flows and the US dollar exchange rate: Viewed from the lens of time and frequency dynamics of connectedness. (2023). Pontines, Victor ; Mohammed, Yassier ; Goswami, Mangal. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002703.

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2023Understanding interconnections among steel, coal, iron ore, and financial assets in the US and China using an advanced methodology. (2023). Tiwari, Aviral ; Roubaud, David ; Ghasemi, Hamid Reza ; Gholami, Samad ; Asadi, Mehrad. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003058.

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2023Not a short-run noise! The low-frequency volatility of energy inflation. (2023). Giri, Federico ; Andreani, Michele. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006535.

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2023Impact of Russia-Ukraine war attention on cryptocurrency: Evidence from quantile dependence analysis. (2023). Gözgör, Giray ; Goodell, John W ; Khalfaoui, Rabeh. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005426.

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2023Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach. (2023). Xia, Xiao-Hua ; Xu, Yushi ; Chen, Baifan ; Huang, Jionghao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000089.

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2023Time-frequency correlations and extreme spillover effects between carbon markets and NFTs: The roles of EPU and COVID-19. (2023). Liu, Jiatong. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000648.

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2023Spillover connectedness between oil and Chinas industry stock markets: A perspective of carbon emissions. (2023). Xu, Shaojun ; Zhang, Yingying. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001095.

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2023Model-free connectedness measures. (2023). Stenfors, Alexis ; Chatziantoniou, Ioannis ; Gabauer, David. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001770.

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2023Dynamic co-movement in major commodity markets during crisis periods: A wavelet local multiple correlation analysis. (2023). Todorova, Neda ; Nekhili, Ramzi ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003689.

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2023Asymmetric and time-frequency based networks of currency markets. (2023). Caporin, Massimiliano ; Hasan, Mudassar ; Hussain, Syed Jawad. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003690.

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2023Sectoral spillovers and systemic risks: Evidence from China. (2023). Liu, Xutang ; Yue, Dianmin ; Goodell, John W ; Chen, Shoudong. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003902.

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2023Climate risks and realized volatility of major commodity currency exchange rates. (2023). GUPTA, RANGAN ; Pierdzioch, Christian ; Cepni, Oguzhan ; Bonato, Matteo. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000519.

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2023What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037.

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2023Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?. (2023). Vo, Xuan Vinh ; Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000189.

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2023What do we know about the price spillover between green bonds and Islamic stocks and stock market indices?. (2023). Hammoudeh, Shawkat ; Adekoya, Oluwasegun B ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000965.

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2023Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis1. (2023). Elsayed, Ahmed ; Balcilar, Mehmet ; Hammoudeh, Shawkat. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001287.

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2023European stock market volatility connectedness: The role of country and sector membership. (2023). Uribe, Jorge ; Guillen, Montserrat ; Vidal-Llana, Xenxo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001688.

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2023Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality. (2023). Sha, Yezhou ; Yin, Shiqi ; Zhang, Ping. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000513.

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2023Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic. (2023). Elsayed, Ahmed ; Helmi, Mohamad Husam ; Ahmed, Habib. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000525.

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2023The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate. (2023). Chang, Kuang-Liang. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000402.

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2023Business cycle synchronization and African monetary union: A wavelet analysis. (2023). Fouda, Lucien Cedric ; Gandjon, Gislain Stephane. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:77:y:2023:i:c:s0164070423000277.

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2023Tail dependence, dynamic linkages, and extreme spillover between the stock and Chinas commodity markets. (2023). Wang, Suhui. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851323000028.

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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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article63
2014How does bad and good volatility spill over across petroleum markets?.(2014) In: Papers.
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paper
2015Volatility spillovers across petroleum markets.(2015) In: William Davidson Institute Working Papers Series.
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paper
2012Understanding the source of multifractality in financial markets In: Papers.
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paper67
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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paper222
2012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis.(2012) In: Energy Economics.
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This paper has nother version. Agregated cites: 222
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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paper
2012On Hurst exponent estimation under heavy-tailed distributions In: Papers.
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paper118
2010On Hurst exponent estimation under heavy-tailed distributions.(2010) In: Physica A: Statistical Mechanics and its Applications.
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This paper has nother version. Agregated cites: 118
article
2013Realized wavelet-based estimation of integrated variance and jumps in the presence of noise In: Papers.
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paper18
2015Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2015) In: Quantitative Finance.
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article
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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paper38
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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This paper has nother version. Agregated cites: 38
paper
2013Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment In: Papers.
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paper12
2013Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment.(2013) In: Physica A: Statistical Mechanics and its Applications.
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article
2013Modeling and Forecasting Persistent Financial Durations In: Papers.
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paper8
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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paper
2013Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression In: Papers.
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paper2
2013Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility In: Papers.
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paper9
2015Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility.(2015) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 9
article
2014Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility.(2014) In: FinMaP-Working Papers.
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This paper has nother version. Agregated cites: 9
paper
2015Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data In: Papers.
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paper43
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 nother version. Agregated cites: 43
article
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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paper
2014Gold, Oil, and Stocks In: Papers.
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paper84
2015Gold, Oil, and Stocks: Dynamic Correlations.(2015) In: CESifo Working Paper Series.
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paper
2016Gold, oil, and stocks: Dynamic correlations.(2016) In: International Review of Economics & Finance.
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This paper has nother version. Agregated cites: 84
article
2014Gold, Oil, and Stocks.(2014) In: FinMaP-Working Papers.
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paper
2014Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? In: Papers.
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paper147
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 nother version. Agregated cites: 147
paper
2016Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers.(2016) In: Journal of Financial Markets.
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This paper has nother version. Agregated cites: 147
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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This paper has nother version. Agregated cites: 147
paper
2013Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility In: Papers.
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paper13
2016Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility.(2016) In: The 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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paper5
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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paper17
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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paper16
2016Forecasting the term structure of crude oil futures prices with neural networks.(2016) In: Applied Energy.
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article
2015Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks.(2015) In: Working Papers IES.
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paper
2017Measuring the frequency dynamics of financial connectedness and systemic risk In: Papers.
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paper218
2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk.(2018) In: The 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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paper73
2019Quantile coherency: A general measure for dependence between cyclical economic variables.(2019) In: The Econometrics Journal.
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article
2017Do co-jumps impact correlations in currency markets? In: Papers.
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paper8
2018Do co-jumps impact correlations in currency markets?.(2018) In: Journal of Financial Markets.
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article
2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets In: Papers.
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paper19
2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets.(2017) In: Energy Economics.
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This paper has nother version. Agregated cites: 19
article
2016Asymmetric volatility connectedness on forex markets In: Papers.
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paper96
2017Asymmetric volatility connectedness on the forex market.(2017) In: Journal of International Money and Finance.
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This paper has nother version. Agregated cites: 96
article
2017Asymmetric volatility connectedness on the forex market.(2017) In: KIER Working Papers.
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This paper has nother version. Agregated cites: 96
paper
2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns In: Papers.
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paper2
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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paper3
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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paper33
2019Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets.(2019) In: CESifo Working Paper Series.
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paper
2021Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices In: Papers.
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2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities In: Papers.
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paper3
2019Panel quantile regressions for estimating and predicting the value?at?risk of commodities.(2019) In: Journal of Futures Markets.
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2020Asymmetric Network Connectedness of Fears In: Papers.
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2022Asymmetric network connectedness of fears.(2022) In: LSE Research Online Documents on Economics.
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2022Asymmetric Network Connectedness of Fears.(2022) In: The Review of Economics and Statistics.
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article
2019Co-jumping of Treasury Yield Curve Rates In: Papers.
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paper2
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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paper1
2020Investment Disputes and Abnormal Volatility of Stocks In: Papers.
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paper1
2023Persistence in Financial Connectedness and Systemic Risk In: Papers.
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paper0
2021Deep Learning, Predictability, and Optimal Portfolio Returns In: Papers.
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paper3
2020Deep Learning, Predictability, and Optimal Portfolio Returns.(2020) In: CERGE-EI Working Papers.
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2021Dynamic industry uncertainty networks and the business cycle In: Papers.
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paper1
2021Currency Network Risk In: Papers.
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paper0
2021Frequency-Dependent Higher Moment Risks In: Papers.
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paper0
2021Frequency-Dependent Higher Moment Risks.(2021) In: Working Papers IES.
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paper
2022Learning Probability Distributions in Macroeconomics and Finance In: Papers.
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paper2
2023Common Idiosyncratic Quantile Risk In: Papers.
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paper0
2023The Dynamic Persistence of Economic Shocks In: Papers.
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paper0
2023Common Firm-level Investor Fears: Evidence from Equity Options In: Papers.
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paper0
2017A semiparametric nonlinear quantile regression model for financial returns In: Studies in Nonlinear Dynamics & Econometrics.
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article3
2017Estimation of long memory in volatility using wavelets In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2014Estimation of Long Memory in Volatility Using Wavelets.(2014) In: Working Papers IES.
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paper
2015Estimation of long memory in volatility using wavelets.(2015) In: FinMaP-Working Papers.
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paper
2021Uncertainty Network Risk and Currency Returns In: CERGE-EI Working Papers.
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paper0
2012Macroeconomic Forecasting: Methods, Accuracy and Coordination In: Occasional Publications - Edited Volumes.
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book0
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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article56
2016Estimation of financial agent-based models with simulated maximum likelihood.(2016) In: FinMaP-Working Papers.
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2015An empirical model of fractionally cointegrated daily high and low stock market prices In: Economic Modelling.
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2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression In: Economic Modelling.
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2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? In: Energy Economics.
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2012How do skilled traders change the structure of the market In: International Review of Financial Analysis.
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2021Measurement of common risks in tails: A panel quantile regression model for financial returns In: Journal of Financial Markets.
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2010Tail Behavior of the Central European Stock Markets during the Financial Crisis In: Czech Economic Review.
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2010Tail Behavior of the Central European Stock Markets during the Financial Crisis.(2010) In: Working Papers IES.
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2008How Do Neural Networks Enhance the Predictability of Central European Stock Returns? In: Czech Journal of Economics and Finance (Finance a uver).
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2013Editorial to the Special Issue on Financial Markets in Central Europe In: Czech Journal of Economics and Finance (Finance a uver).
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2009Wavelet Analysis of Central European Stock Market Behaviour During the Crisis In: Working Papers IES.
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2011Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data In: Working Papers IES.
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2014On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model In: Working Papers IES.
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2017On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model.(2017) In: Journal of Forecasting.
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2014Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets volatility In: Working Papers IES.
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2016Simulated ML Estimation of Financial Agent-Based Models In: Working Papers IES.
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2017Common Cycles in Volatility and Cross Section of Stock Returns In: Working Papers IES.
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2018Volatility Term Structure Modeling Using Nelson-Siegel Model In: Working Papers IES.
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2014Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests In: International Journal of Central Banking.
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2013Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? In: ACTA VSFS.
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2009Smart Agents and Sentiment in the Heterogeneous Agent Model In: Prague Economic Papers.
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2008Modelování krach? na kapitálových trzích: aplikace teorie stochastických katastrof In: Politická ekonomie.
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2010Vplyv rôznych foriem vlastníctva na efektivitu ?eských a slovenských bánk: prístup analýzy stochastických hraníc In: Politická ekonomie.
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article2
2014Wavelet-Based Correlation Analysis of the Key Traded Assets In: Dynamic Modeling and Econometrics in Economics and Finance.
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2009Smart predictors in the heterogeneous agent model In: Journal of Economic Interaction and Coordination.
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2015Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression In: FinMaP-Working Papers.
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2016Measuring the frequency dynamics of financial and macroeconomic connectedness In: FinMaP-Working Papers.
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