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

1483

Citations

RESEARCH PRODUCTION:

43

Articles

76

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   15 years (2008 - 2023). See details.
   Cites by year: 98
   Journals where Jozef Baruník has often published
   Relations with other researchers
   Recent citing documents: 345.    Total self citations: 46 (3.01 %)

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   Permalink: http://citec.repec.org/pba685
   Updated: 2023-11-04    RAS profile: 2023-09-12    
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Relations with other researchers

Works with:

Cech, Frantisek (2)

Kurka, Josef (2)

Vacha, Lukas (2)

Anatolyev, Stanislav (2)

Kočenda, Evžen (2)

Nevrla, Matěj (2)

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

Is cited by:

Krištoufek, Ladislav (67)

Tiwari, Aviral (43)

Shahzad, Syed Jawad Hussain (28)

Masih, Abul (23)

Maghyereh, Aktham (22)

Lau, Chi Keung (18)

Vo, Xuan Vinh (18)

Hamori, Shigeyuki (17)

Sensoy, Ahmet (17)

lucey, brian (16)

Gözgör, Giray (16)

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)

Campbell, John (25)

Giglio, Stefano (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
Journal of Economic Dynamics and Control2
Quantitative Finance2
Studies in Nonlinear Dynamics & Econometrics2
Economic Modelling2
The Journal of Financial 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 (2023 and 2022)

YearTitle of citing document
2022Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors. (2022). Raju, Raghavender G ; Guptha, Siva Kiran ; Poojari, Akash P. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(632):y:2022:i:3(632):p:61-80.

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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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2022.

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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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2022Re-investigating the oil-food price co-movement using wavelet analysis. (2021). Mastroeni, Loretta ; Vellucci, Pierluigi ; Quaresima, Greta. In: Papers. RePEc:arx:papers:2104.11891.

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2022Black-box Bayesian inference for economic agent-based models. (2022). Farmer, Doyne J ; Cannon, Patrick ; Dyer, Joel ; Schmon, Sebastian. In: Papers. RePEc:arx:papers:2202.00625.

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2022Multifractal cross-correlations of bitcoin and ether trading characteristics in the post-COVID-19 time. (2022). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2208.01445.

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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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2023.

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2022Tail price risk spillovers along the US beef and pork supply chains. (2022). Tzaferi, Dimitra ; Fousekis, Panos. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:2:p:383-399.

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2022.

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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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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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2022Quantifying information transfer between Commodities and Implied Volatilities in the Energy Markets: A Multi-frequency Approach. (2022). Adam, Anokye M ; Junior, Peterson Owusu ; Asafo-Adjei, Emmanuel ; Qabhobho, Thobekile. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-05-53.

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2022The determinants of CO2 prices in the EU emission trading system. (2022). Perez-Laborda, Alejandro ; Sikora, Iryna ; Lovcha, Yuliya. In: Applied Energy. RePEc:eee:appene:v:305:y:2022:i:c:s0306261921012162.

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2022Are Indian Subcontinent remittance markets connected to each other?. (2022). Genc, Ismail H. In: Journal of Asian Economics. RePEc:eee:asieco:v:80:y:2022:i:c:s1049007822000355.

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2022A closer look at Chinese housing market: Measuring intra-city submarket connectedness in Shanghai and Guangzhou. (2022). Nong, Huifu ; Li, Qiang. In: China Economic Review. RePEc:eee:chieco:v:74:y:2022:i:c:s1043951x2200061x.

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2022U.S. Politics from a multifractal perspective. (2022). Schadner, Wolfgang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921010316.

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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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2022Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic. (2022). Choi, Sun-Yong. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:179-193.

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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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2022Conditional tail price risk spillovers in coffee markets across quality, physical space, and time: Empirical analysis with penalized quantile regressions. (2022). Grigoriadis, Vasilis ; Fousekis, Panos. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002807.

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2022Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

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2022The relationship between green bonds and conventional financial markets: Evidence from quantile-on-quantile and quantile coherence approaches. (2022). Wang, Yujou ; Gao, Zhimin ; Jiang, Yonghong. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002759.

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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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2022How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis. (2022). Hau, Liya ; Yu, Dongwei ; Zhu, Huiming ; Chen, Qitong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001844.

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2022Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday. (2022). Choi, Sun-Yong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002102.

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2022Determining hedges and safe havens for stocks using interval analysis. (2022). Hsueh, Shao-Chieh ; Liu, Yilei ; Ju, Peijie ; Chang, Meng-Shiuh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000274.

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2022Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic. (2022). Jareño, Francisco ; Umar, Zaghum ; Jareo, Francisco ; Esparcia, Carlos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000328.

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2022COVID-19 related media sentiment and the yield curve of G-7 economies. (2022). Vo, Xuan Vinh ; Azman, Mukhriz Izraf ; Umar, Zaghum ; Aharon, David Y. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s106294082200033x.

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2022Is Bitcoin a better hedging and safe-haven investment than traditional assets against currencies? Evidence from the time-frequency domain approach. (2022). Gao, Wang ; Wang, Xinyi ; Yang, Cai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200095x.

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2022Impacts of COVID-19 on global stock sectors: Evidence from time-varying connectedness and asymmetric nexus analysis. (2022). Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang ; Dong, Zibing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001000.

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2022Multiscale features of extreme risk spillover networks among global stock markets. (2022). Zhu, Huiming ; You, Wanhai ; Zhao, Wanru ; Ren, Yinghua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001012.

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2022Multi-scale systemic risk and spillover networks of commodity markets in the bullish and bearish regimes. (2022). He, Qizhi ; Yang, Xian ; Zhang, XU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001115.

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2022Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA. (2022). Bellos, Sotirios K ; Gkasis, Pavlos ; Golitsis, Petros. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001255.

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2022Dynamic volatility connectedness between industrial metal markets. (2022). Zhou, Zicheng ; Liu, Tangyong ; Xu, Jun ; Gong, XU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001498.

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2022Looking for a safe haven against American stocks during COVID-19 pandemic. (2022). Kliber, Agata. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001607.

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2022Investor sentiment and energy futures predictability: Evidence from Feasible Quasi Generalized Least Squares. (2022). Oyewole, Oluwatomisin ; Adegboyega, Soliu ; Adekoya, Oluwasegun ; Fasanya, Ismail. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001656.

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2022Dynamic connectedness of China’s green bonds and asset classes. (2022). Zhang, Guofu ; Qi, Xiaohong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001772.

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2022Time-frequency transmission mechanism of EPU, investor sentiment and financial assets: A multiscale TVP-VAR connectedness analysis. (2022). Mao, Weifang ; Zhang, Zhongqingyang ; Zhu, Huiming ; Qiao, Xingzhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001784.

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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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2022Macroeconomic responses of emerging market economies to oil price shocks: An analysis by region and resource profile. (2022). Koenda, Even ; Togonidze, Sophio. In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:3:s0939362522000504.

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2022New evidence on market response to public announcements in the presence of microstructure noise. (2022). Irwin, Scott ; Garcia, Philip ; Serra, Teresa ; Bian, Siyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:785-800.

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2022Public health interventions in the face of pandemics: Network structure, social distancing, and heterogeneity. (2022). Ghaderi, Mohammad. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1016-1031.

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2022Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779.

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2022Dependence dynamics of stock markets during COVID-19. (2022). Vo, Xuan Vinh ; Hussain, Syed Jawad ; Ahmad, Nasir ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pb:s1566014122000115.

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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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2022Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence. (2022). Zhai, Pengxiang ; Liu, Zhen Hua ; Ma, Rufei. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000354.

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2022Extreme spillovers among fossil energy, clean energy, and metals markets: Evidence from a quantile-based analysis. (2022). Liu, Zhen Hua ; Ding, Qian ; Liang, Zhipeng ; Chen, Jinyu. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000627.

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2022Givers never lack: Nigerian oil & gas asymmetric network analyses. (2022). Lin, Boqiang ; Okorie, David. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000901.

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2022Oil shocks and BRIC markets: Evidence from extreme quantile approach. (2022). Karim, Sitara ; Senthilkumar, Arunachalam ; Pham, Linh ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001104.

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2022A robust hybrid method using dynamic network analysis and Weighted Mahalanobis distance for modeling systemic risk in the international energy market. (2022). Chen, Weidong ; Xiong, Shi. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s014098832200130x.

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2022Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle. (2022). Zhang, Xinhua ; Zhu, Haoyang ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001359.

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2022Oil and renewable energy stock markets: Unique role of extreme shocks. (2022). , Toan ; Lu, Xinjie ; Zeng, Qing. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001670.

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2022Geopolitical risk and dynamic connectedness between commodity markets. (2022). Xu, Jun ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001979.

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2022Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic. (2022). Gabauer, David ; de Gracia, Fernando Perez ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002195.

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2022A volatility spillover analysis with realized semi(co)variances in Australian electricity markets. (2022). Zarraga, Ainhoa ; Chanatasig-Niza, Evelyn ; Ciarreta, Aitor. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002407.

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2022Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China. (2022). Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002730.

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2022Energy security versus food security: An analysis of fuel ethanol- related markets using the spillover index and partial wavelet coherence approaches. (2022). Tanaka, Tetsuji ; Guo, Jin. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002985.

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2022Market integration in the Australian National Electricity Market: Fresh evidence from asymmetric time-frequency connectedness. (2022). Uddin, Gazi Salah ; Nepal, Rabindra ; Rabbani, Mustafa Raza ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322003000.

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2022Probability distribution forecasting of carbon allowance prices: A hybrid model considering multiple influencing factors. (2022). Liu, Huiling ; Xue, Minggao ; Lei, Heng. In: Energy Economics. RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003395.

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2022Marine fuel hedging under the sulfur cap regulations. (2022). Zitek, Michal ; Ech, Frantiek. In: Energy Economics. RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003528.

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2022Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment. (2022). Zhang, Xinhua ; Zhu, Junxin ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322003711.

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2022The power of investors’ optimism and pessimism in oil market forecasting. (2022). Mishra, Tapas ; Parhi, Mamata ; Maaitah, Ahmad ; Mustanen, Dmitri. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322004091.

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2022Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network. (2022). Zhang, Zeyi ; Wu, Shan ; Zhou, Yuqin. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322004480.

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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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2022Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments. (2022). Maghyereh, Aktham ; Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pb:s036054422101999x.

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2022Degree of connectedness and the transfer of news across the oil market and the European stocks. (2022). Kliber, Agata. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pc:s0360544221024191.

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2022Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis. (2022). Naeem, Muhammad Abubakr ; Farid, Saqib ; Umar, Muhammad. In: Energy. RePEc:eee:energy:v:240:y:2022:i:c:s0360544221029510.

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2022Long-memory and volatility spillovers across petroleum futures. (2022). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Energy. RePEc:eee:energy:v:243:y:2022:i:c:s0360544221031996.

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2022A systemic analysis of dynamic frequency spillovers among carbon emissions trading (CET), fossil energy and sectoral stock markets: Evidence from China. (2022). Wu, Ruirui ; Qin, Zhongfeng ; Liu, Bing-Yue. In: Energy. RePEc:eee:energy:v:254:y:2022:i:pa:s0360544222010799.

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2022Asymmetric effects of decomposed oil-price shocks on the EU carbon market dynamics. (2022). Qi, Yinshu ; Ren, Xiaohang ; Duan, Kun ; Li, Yiying. In: Energy. RePEc:eee:energy:v:254:y:2022:i:pb:s0360544222010751.

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

Works by Jozef Baruník:

YearTitleTypeCited
2015Volatility Spillovers Across Petroleum Markets In: The Energy Journal.
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2014How does bad and good volatility spill over across petroleum markets?.(2014) In: Papers.
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2015Volatility spillovers across petroleum markets.(2015) In: William Davidson Institute Working Papers Series.
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2012Understanding the source of multifractality in financial markets In: Papers.
[Full Text][Citation analysis]		paper67
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]		paper215
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: 215		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.
[Full Text][Citation analysis]
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2012On Hurst exponent estimation under heavy-tailed distributions In: Papers.
[Full Text][Citation analysis]		paper118
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: 118		article
2013Realized wavelet-based estimation of integrated variance and jumps in the presence of noise In: Papers.
[Full Text][Citation analysis]		paper18
2015Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2015) In: Quantitative Finance.
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This paper has another version. Agregated cites: 18		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: 18		paper
2015Modeling and forecasting exchange rate volatility in time-frequency domain In: Papers.
[Full Text][Citation analysis]		paper37
2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: European Journal of Operational Research.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37		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: 37		paper
2013Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment In: Papers.
[Full Text][Citation analysis]		paper12
2013Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment.(2013) In: Physica A: Statistical Mechanics and its Applications.
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2013Modeling and Forecasting Persistent Financial Durations In: Papers.
[Full Text][Citation analysis]		paper8
2017Modeling and forecasting persistent financial durations.(2017) In: Econometric Reviews.
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2015Modeling and forecasting persistent financial durations.(2015) In: FinMaP-Working Papers.
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2013Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression In: Papers.
[Full Text][Citation analysis]		paper2
2013Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility In: Papers.
[Full Text][Citation analysis]		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 another 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 another version. Agregated cites: 9		paper
2015Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data In: Papers.
[Full Text][Citation analysis]		paper41
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: 41		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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2014Gold, Oil, and Stocks In: Papers.
[Full Text][Citation analysis]		paper80
2015Gold, Oil, and Stocks: Dynamic Correlations.(2015) In: CESifo Working Paper Series.
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This paper has another version. Agregated cites: 80		paper
2016Gold, oil, and stocks: Dynamic correlations.(2016) In: International Review of Economics & Finance.
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This paper has another version. Agregated cites: 80		article
2014Gold, Oil, and Stocks.(2014) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 80		paper
2014Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? In: Papers.
[Full Text][Citation analysis]		paper141
2015Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover.(2015) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141		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: 141		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: 141		paper
2013Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility In: Papers.
[Full Text][Citation analysis]		paper13
2016Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility.(2016) In: The Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 13		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: 13		paper
2013Can we still benefit from international diversification? The case of the Czech and German stock markets In: Papers.
[Full Text][Citation analysis]		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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2013Contagion among Central and Eastern European stock markets during the financial crisis In: Papers.
[Full Text][Citation analysis]		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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2015Forecasting the term structure of crude oil futures prices with neural networks In: Papers.
[Full Text][Citation analysis]		paper16
2016Forecasting the term structure of crude oil futures prices with neural networks.(2016) In: Applied Energy.
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2015Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks.(2015) In: Working Papers IES.
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This paper has another version. Agregated cites: 16		paper
2017Measuring the frequency dynamics of financial connectedness and systemic risk In: Papers.
[Full Text][Citation analysis]		paper172
2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk.(2018) In: The 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]		paper67
2019Quantile coherency: A general measure for dependence between cyclical economic variables.(2019) In: The Econometrics Journal.
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2017Do co-jumps impact correlations in currency markets? In: Papers.
[Full Text][Citation analysis]		paper8
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]		paper17
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 another version. Agregated cites: 17		article
2016Asymmetric volatility connectedness on forex markets In: Papers.
[Full Text][Citation analysis]		paper92
2017Asymmetric volatility connectedness on the forex market.(2017) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92		article
2017Asymmetric volatility connectedness on the forex market.(2017) In: KIER Working Papers.
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This paper has another version. Agregated cites: 92		paper
2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns In: Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper31
2019Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets.(2019) In: CESifo Working Paper Series.
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This paper has another version. Agregated cites: 31		paper
2021Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices In: Papers.
[Full Text][Citation analysis]		paper0
2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities In: Papers.
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2019Panel quantile regressions for estimating and predicting the value?at?risk of commodities.(2019) In: Journal of Futures Markets.
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2020Asymmetric Network Connectedness of Fears In: Papers.
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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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2019Co-jumping of Treasury Yield Curve Rates In: Papers.
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2019Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists In: Papers.
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2020Dynamic Network Risk In: Papers.
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2020Investment Disputes and Abnormal Volatility of Stocks In: Papers.
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2021Persistence in Economic Networks In: Papers.
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2021Deep Learning, Predictability, and Optimal Portfolio Returns In: Papers.
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2020Deep Learning, Predictability, and Optimal Portfolio Returns.(2020) In: CERGE-EI Working Papers.
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2021Dynamic industry uncertainty networks and the business cycle In: Papers.
[Full Text][Citation analysis]		paper1
2021Currency Network Risk In: Papers.
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2021Frequency-Dependent Higher Moment Risks In: Papers.
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2021Frequency-Dependent Higher Moment Risks.(2021) In: Working Papers IES.
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2022Learning Probability Distributions in Macroeconomics and Finance In: Papers.
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2023Common Idiosyncratic Quantile Risk In: Papers.
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2023The Dynamic Persistence of Economic Shocks In: Papers.
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2023Common Firm-level Investor Fears: Evidence from Equity Options In: Papers.
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2017A semiparametric nonlinear quantile regression model for financial returns In: Studies in Nonlinear Dynamics & Econometrics.
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2017Estimation of long memory in volatility using wavelets In: Studies in Nonlinear Dynamics & Econometrics.
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2014Estimation of Long Memory in Volatility Using Wavelets.(2014) In: Working Papers IES.
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2015Estimation of long memory in volatility using wavelets.(2015) In: FinMaP-Working Papers.
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This paper has another version. Agregated cites: 1		paper
2021Uncertainty Network Risk and Currency Returns In: CERGE-EI Working Papers.
[Full Text][Citation analysis]		paper0
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.
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2011Neural Networks as Semiparametric Option Pricing Tool In: Bulletin of the Czech Econometric Society.
[Full Text][Citation analysis]		article2
2009Can a stochastic cusp catastrophe model explain stock market crashes? In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article3
2017Estimation of financial agent-based models with simulated maximum likelihood In: Journal of Economic Dynamics and Control.
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2016Estimation of financial agent-based models with simulated maximum likelihood.(2016) In: FinMaP-Working Papers.
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2015An empirical model of fractionally cointegrated daily high and low stock market prices In: Economic Modelling.
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2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression In: Economic Modelling.
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2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? In: Energy Economics.
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2012How do skilled traders change the structure of the market In: International Review of Financial Analysis.
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2021Measurement of common risks in tails: A panel quantile regression model for financial returns In: Journal of Financial Markets.
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2010Tail Behavior of the Central European Stock Markets during the Financial Crisis In: Czech Economic Review.
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2010Tail Behavior of the Central European Stock Markets during the Financial Crisis.(2010) In: Working Papers IES.
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2008How Do Neural Networks Enhance the Predictability of Central European Stock Returns? In: Czech Journal of Economics and Finance (Finance a uver).
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2013Editorial to the Special Issue on Financial Markets in Central Europe In: Czech Journal of Economics and Finance (Finance a uver).
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2009Wavelet Analysis of Central European Stock Market Behaviour During the Crisis In: Working Papers IES.
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2011Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data In: Working Papers IES.
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2014On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model In: Working Papers IES.
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2017On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model.(2017) In: Journal of Forecasting.
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2014Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets volatility In: Working Papers IES.
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2016Simulated ML Estimation of Financial Agent-Based Models In: Working Papers IES.
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2017Common Cycles in Volatility and Cross Section of Stock Returns In: Working Papers IES.
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2018Volatility Term Structure Modeling Using Nelson-Siegel Model In: Working Papers IES.
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2014Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests In: International Journal of Central Banking.
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2013Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? In: ACTA VSFS.
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2009Smart Agents and Sentiment in the Heterogeneous Agent Model In: Prague Economic Papers.
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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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