Jozef Baruník : Citation Profile

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

18

H index

27

i10 index

1994

Citations

RESEARCH PRODUCTION:

51

Articles

81

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   16 years (2008 - 2024). See details.
   Cites by year: 124
   Journals where Jozef Baruník has often published
   Relations with other researchers
   Recent citing documents: 568.    Total self citations: 51 (2.49 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba685
   Updated: 2025-01-10    RAS profile: 2024-09-05    
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Relations with other researchers

Works with:

Nevrla, Matěj (2)

Kočenda, Evžen (2)

faff, robert (2)

Anatolyev, Stanislav (2)

Vacha, Lukas (2)

Kurka, Josef (2)

Cech, Frantisek (2)

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

Is cited by:

Krištoufek, Ladislav (67)

Tiwari, Aviral (64)

Shahzad, Syed Jawad Hussain (45)

Kočenda, Evžen (27)

lucey, brian (27)

Sensoy, Ahmet (24)

Maghyereh, Aktham (24)

Hamori, Shigeyuki (23)

Masih, Abul (23)

Lau, Chi Keung (22)

Uddin, Gazi (21)

Cites to:

Diebold, Francis (101)

Bollerslev, Tim (91)

Andersen, Torben (67)

Vacha, Lukas (51)

Yilmaz, Kamil (44)

Engle, Robert (41)

Shephard, Neil (34)

Pesaran, Mohammad (33)

Campbell, John (25)

Giglio, Stefano (25)

Manganelli, Simone (22)

Main data

Where Jozef Baruník has published?

Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications4
Czech Journal of Economics and Finance (Finance a uver)4
Energy Economics4
Journal of Financial Econometrics3
Journal of Financial Markets3
Journal of Economic Dynamics and Control3
Studies in Nonlinear Dynamics & Econometrics3
Quantitative Finance2
Economic Modelling2
European Journal of Operational Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org45
Working Papers IES / Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies14
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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2024Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568.

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2024Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2024From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Frenette, Mikael ; Coulombe, Philippe Goulet ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333.

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2024On the Asymmetric Volatility Connectedness. (2024). Hatemi-J, Abdulnasser. In: Papers. RePEc:arx:papers:2404.12997.

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2024Complex network analysis of cryptocurrency market during crashes. (2024). Hens, Chittaranjan ; Majhi, Sushovan ; Nurujjaman, MD ; Luwang, SR ; Rai, Anish ; Mukhia, Kundan. In: Papers. RePEc:arx:papers:2405.05642.

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2023.

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2023.

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2024.

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2024Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan ; Zhuang, Zixi. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:163-199.

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2024Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets. (2024). Mateus, Irina ; Bagirov, Miramir. In: International Review of Finance. RePEc:bla:irvfin:v:24:y:2024:i:1:p:83-103.

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2023AGENT‐BASED MACROECONOMICS AND DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS: WHERE DO WE GO FROM HERE?. (2018). Levine, Paul ; Calvert Jump, Robert ; Dilaver, Ozge. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:4:p:1134-1159.

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2024On the connectedness of commodity markets: A critical and selective survey of empirical studies and bibliometric analysis. (2024). USMAN, OJONUGWA ; Ağan, Büşra ; Agan, Busra ; Balcilar, Mehmet. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:97-136.

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2023Ambiguity and risk factors in bank stocks. (2023). Viale, Ariel ; Garcafeijo, Luis. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:4:p:993-1019.

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2023Does environmental investment pay off?—portfolio analyses of the E in ESG during political conflicts and public health crises. (2023). Shen, Jiancheng ; Liu, Zheng ; Chen, Chen. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:s1:p:s107-s131.

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2024Dynamics of Money Market Interest Rates in Ghana: Time?Frequency Analysis of Volatility Spillovers. (2021). Schaling, Eric ; Alagidede, Imhotep Paul ; Akosah, Nana Kwame. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:4:p:555-589.

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2024The geopolitical risk spillovers across BRICS countries: A quantile frequency connectedness approach. (2024). Vo, Duc Hong ; Dang, Tam Hoangnhat. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:71:y:2024:i:1:p:132-143.

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2024Financial Contagion in China, Real Estate Markets, and Regulatory Intervention. (2024). McNelis, Paul ; Lai, Jennifer ; Cao, Shiyun. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1083.

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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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2024Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach. (2024). Rault, Christophe ; Nouira, Ridha ; Zayati, Montassar ; ben Salem, Leila. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10989.

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2024Endogenous vs Exogenous Instability: An Out-of-Sample Comparison. (2024). Ricchiuti, Giorgio ; Delli Gatti, Domenico ; Gusella, Filippo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11082.

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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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2023Herd behavior and contagion effects of the COVID-19. (2023). Ferreira, Roberto T. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-01078.

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2023Energy Price and Stock Return: Evidence of Energy Sector Companies in Indonesia. (2023). Endri, Endri ; Rheynaldi, Pande Ketut ; Karyatun, Subur ; Ferranti, Putri Andari ; Minanari, Minanari. 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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2024TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes. (2024). Sakarya, Burhan ; Erturul, Hasan Murat ; Polat, Onur ; Akgul, Ali. In: Applied Energy. RePEc:eee:appene:v:357:y:2024:i:c:s0306261923018512.

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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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2024Segmented multifractal detrended fluctuation analysis for assessing inefficiency in North African stock markets. (2024). Saadaoui, Foued. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:181:y:2024:i:c:s0960077924002030.

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2024A multifractal approach to understanding Forbush Decrease events: Correlations with geomagnetic storms and space weather phenomena. (2024). Sierra-Porta, D. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:185:y:2024:i:c:s0960077924006416.

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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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2024Black-box Bayesian inference for agent-based models. (2024). Schmon, Sebastian M ; Farmer, Doyne J ; Cannon, Patrick ; Dyer, Joel. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:161:y:2024:i:c:s0165188924000198.

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2024Believe me when I say green! Heterogeneous expectations and climate policy uncertainty. (2024). Campiglio, Emanuele ; Terranova, Roberta ; Lamperti, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:165:y:2024:i:c:s0165188924000927.

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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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2023Exchange rate volatility predictability: A new insight from climate policy uncertainty. (2023). Umar, Muhammad ; Liang, Chao ; Pan, Zhigang ; Peng, Lijuan. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:688-700.

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2024Risk spillover within the carbon-energy system – New evidence considering Chinas national carbon market. (2024). Liu, Xiaoxing ; Yang, Guangyi ; Tang, Chun. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:1227-1240.

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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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2023Drivers of risk correlation among financial institutions: A study based on a textual risk disclosure perspective. (2023). Feng, Yuyao ; Li, Jingyu ; Jing, Zhongbo. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002808.

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2023Are benchmark stock indices, precious metals or cryptocurrencies efficient hedges against crises?. (2023). Tzeremes, Panayiotis ; Papadamou, Stephanos ; Kyriazis, Nikolaos A. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003140.

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2024Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach. (2024). Bosupeng, Mpho ; Naranpanawa, Athula. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004042.

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2024The determinants of systemic risk contagion. (2024). Erden, Lutfi ; Ozkan, Brahim ; Atasoy, Burak Sencer. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x.

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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 predictability between Saudi Arabia and global financial Markets: Evidence from G20 countries. (2023). Trabelsi, Nader. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:68:y:2023:i:c:s1062940823001225.

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2024Volatility spillovers across the spot and futures oil markets after news announcements. (2024). Gkillas, Konstantinos ; Floros, Christos ; Apostolakis, George N ; Wohar, Mark. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001250.

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2024Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596.

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2024Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan. (2024). Ruan, Jia ; Ni, Jianhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x.

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2024Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries. (2024). Li, Shuang ; Ye, Fangyu ; Huang, XI ; Zhu, Huiming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001857.

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2024Monetary policy spillovers among five systemic economies: Evidence from the time and frequency domains. (2024). Li, Youshu ; Zhang, Weiran ; Guo, Junjie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940824000019.

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2024Time and frequency spillovers and drivers between rare earth and energy, metals, green, and agricultural markets. (2024). Liu, Xiaoyi ; Gao, Yang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000536.

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2024Green bonds and traditional and emerging investments: Understanding connectedness during crises. (2024). Corbet, Shaen ; Hu, Yang ; Xu, Danyang ; Oxley, Les ; Hou, Yang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000676.

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2024Examining the nexus between oil shocks and sovereign credit risk: Multidimensional insights from major oil exporters. (2024). Naifar, Nader. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400130x.

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2024Risk spillover mechanism among commercial banks and FinTech institutions throughout public health emergencies. (2024). Zhu, Jing ; Zhao, Jingsong ; Sun, Jiaojiao ; Zhang, Chen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001402.

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2024Dynamic impact of the US yield curve on green bonds: Navigating through recent crises. (2024). Umar, Zaghum ; Teplova, Tamara ; Iqbal, Najaf ; Tan, Duojiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001487.

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2024Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies. (2024). Liu, Zixin ; He, Zhipeng ; Zhang, Shuguang ; Hu, Jun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001748.

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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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2024Does time-varying risk aversion sentiment matter in the connectedness among Sub-Saharan African bond markets?. (2024). Umar, Zaghum ; Teplova, Tamara ; Marfo-Yiadom, Edward ; Bossman, Ahmed. In: Emerging Markets Review. RePEc:eee:ememar:v:61:y:2024:i:c:s1566014124000554.

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2023Forecasting realized volatility with wavelet decomposition. (2023). Vivian, Andrew ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000993.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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

Works by Jozef Baruník:

YearTitleTypeCited
2015Volatility Spillovers Across Petroleum Markets In: The Energy Journal.
[Full Text][Citation analysis]		article80
2014How does bad and good volatility spill over across petroleum markets?.(2014) In: Papers.
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.() In: .
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2015Volatility spillovers across petroleum markets.(2015) In: William Davidson Institute Working Papers Series.
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This paper has nother version. Agregated cites: 80		paper
2012Understanding the source of multifractality in financial markets In: Papers.
[Full Text][Citation analysis]		paper68
2012Understanding the source of multifractality in financial markets.(2012) In: Physica A: Statistical Mechanics and its Applications.
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This paper has nother version. Agregated cites: 68		article
2012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis In: Papers.
[Full Text][Citation analysis]		paper242
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: 242		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.
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This paper has nother version. Agregated cites: 0		article
2010Monte Carlo-Based Tail Exponent Estimator.(2010) In: Working Papers IES.
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This paper has nother version. Agregated cites: 0		paper
2012On Hurst exponent estimation under heavy-tailed distributions In: Papers.
[Full Text][Citation analysis]		paper121
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: 121		article
2013Realized wavelet-based estimation of integrated variance and jumps in the presence of noise In: Papers.
[Full Text][Citation analysis]		paper19
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 nother version. Agregated cites: 19		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 nother version. Agregated cites: 19		paper
2015Modeling and forecasting exchange rate volatility in time-frequency domain In: Papers.
[Full Text][Citation analysis]		paper44
2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: European Journal of Operational Research.
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This paper has nother version. Agregated cites: 44		article
2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
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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This paper has nother version. Agregated cites: 8		article
2015Modeling and forecasting persistent financial durations.(2015) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		paper45
2015Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data.(2015) In: Energy Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		article
2015Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data.(2015) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		paper
2014Gold, Oil, and Stocks In: Papers.
[Full Text][Citation analysis]		paper90
2015Gold, Oil, and Stocks: Dynamic Correlations.(2015) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 90		paper
2016Gold, oil, and stocks: Dynamic correlations.(2016) In: International Review of Economics & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 90		article
2014Gold, Oil, and Stocks.(2014) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 90		paper
2014Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? In: Papers.
[Full Text][Citation analysis]		paper191
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 nother version. Agregated cites: 191		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 nother version. Agregated cites: 191		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 nother version. Agregated cites: 191		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: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother 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 nother 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).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
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).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2015Forecasting the term structure of crude oil futures prices with neural networks In: Papers.
[Full Text][Citation analysis]		paper19
2016Forecasting the term structure of crude oil futures prices with neural networks.(2016) In: Applied Energy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2015Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks.(2015) In: Working Papers IES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2017Measuring the frequency dynamics of financial connectedness and systemic risk In: Papers.
[Full Text][Citation analysis]		paper415
2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk.(2018) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 415		article
2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables In: Papers.
[Full Text][Citation analysis]		paper102
2019Quantile coherency: A general measure for dependence between cyclical economic variables.(2019) In: The Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102		article
2017Do co-jumps impact correlations in currency markets? In: Papers.
[Full Text][Citation analysis]		paper11
2018Do co-jumps impact correlations in currency markets?.(2018) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets In: Papers.
[Full Text][Citation analysis]		paper21
2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets.(2017) In: Energy Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		article
2016Asymmetric volatility connectedness on forex markets In: Papers.
[Full Text][Citation analysis]		paper128
2017Asymmetric volatility connectedness on the forex market.(2017) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 128		article
2017Asymmetric volatility connectedness on the forex market.(2017) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 128		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2019Forecasting dynamic return distributions based on ordered binary choice In: Papers.
[Full Text][Citation analysis]		paper2
2019Forecasting dynamic return distributions based on ordered binary choice.(2019) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 2		article
2019Total, asymmetric and frequency connectedness between oil and forex markets In: Papers.
[Full Text][Citation analysis]		paper43
2019Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets.(2019) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 43		paper
.() In: .
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This paper has nother version. Agregated cites: 43		article
2021Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices In: Papers.
[Full Text][Citation analysis]		paper0
2023Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices*.(2023) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 0		article
2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities In: Papers.
[Full Text][Citation analysis]		paper3
2019Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities.(2019) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2020Asymmetric Network Connectedness of Fears In: Papers.
[Full Text][Citation analysis]		paper17
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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This paper has nother version. Agregated cites: 17		article
2019Co-jumping of Treasury Yield Curve Rates In: Papers.
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2024Co-Jumping of Treasury Yield Curve Rates.(2024) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has nother version. Agregated cites: 2		article
2019Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists In: Papers.
[Full Text][Citation analysis]		paper0
2020Dynamic Network Risk In: Papers.
[Full Text][Citation analysis]		paper1
2020Investment Disputes and Abnormal Volatility of Stocks In: Papers.
[Full Text][Citation analysis]		paper1
2023Persistence in Financial Connectedness and Systemic Risk In: Papers.
[Full Text][Citation analysis]		paper1
2024Persistence in financial connectedness and systemic risk.(2024) In: European Journal of Operational Research.
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This paper has nother version. Agregated cites: 1		article
2021Deep Learning, Predictability, and Optimal Portfolio Returns In: Papers.
[Full Text][Citation analysis]		paper6
2020Deep Learning, Predictability, and Optimal Portfolio Returns.(2020) In: CERGE-EI Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2021Dynamic industry uncertainty networks and the business cycle In: Papers.
[Full Text][Citation analysis]		paper3
2024Dynamic industry uncertainty networks and the business cycle.(2024) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2021Currency Network Risk In: Papers.
[Full Text][Citation analysis]		paper0
2024Risks of heterogeneously persistent higher moments In: Papers.
[Full Text][Citation analysis]		paper0
2022Learning Probability Distributions in Macroeconomics and Finance In: Papers.
[Full Text][Citation analysis]		paper2
2024Common Idiosyncratic Quantile Risk In: Papers.
[Full Text][Citation analysis]		paper0
2023The Dynamic Persistence of Economic Shocks In: Papers.
[Full Text][Citation analysis]		paper0
2023Common Firm-level Investor Fears: Evidence from Equity Options In: Papers.
[Full Text][Citation analysis]		paper0
2023Learning Probability Distributions of Day-Ahead Electricity Prices In: Papers.
[Full Text][Citation analysis]		paper0
2024Predicting the volatility of major energy commodity prices: the dynamic persistence model In: Papers.
[Full Text][Citation analysis]		paper0
2024Predicting the distributions of stock returns around the globe in the era of big data and learning In: Papers.
[Full Text][Citation analysis]		paper0
2024Moderation or indulgence? Effects of bank distribution restrictions during stress In: Bank of England working papers.
[Full Text][Citation analysis]		paper0
2017A semiparametric nonlinear quantile regression model for financial returns In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article3
2017Estimation of long memory in volatility using wavelets In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2014Estimation of Long Memory in Volatility Using Wavelets.(2014) In: Working Papers IES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2015Estimation of long memory in volatility using wavelets.(2015) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has nother 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.
[Full Text][Citation analysis]		paper5
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.
[Full Text][Citation analysis]		article64
2016Estimation of financial agent-based models with simulated maximum likelihood.(2016) In: FinMaP-Working Papers.
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This paper has nother version. Agregated cites: 64		paper
2015An empirical model of fractionally cointegrated daily high and low stock market prices In: Economic Modelling.
[Full Text][Citation analysis]		article13
2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression In: Economic Modelling.
[Full Text][Citation analysis]		article4
2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? In: Energy Economics.
[Full Text][Citation analysis]		article54
2012How do skilled traders change the structure of the market In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article1
2024Fan charts in era of big data and learning In: Finance Research Letters.
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2021Measurement of common risks in tails: A panel quantile regression model for financial returns In: Journal of Financial Markets.
[Full Text][Citation analysis]		article9
2010Tail Behavior of the Central European Stock Markets during the Financial Crisis In: Czech Economic Review.
[Full Text][Citation analysis]		article1
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).
[Full Text][Citation analysis]		article1
2013Editorial to the Special Issue on Financial Markets in Central Europe In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]		article0
2009Wavelet Analysis of Central European Stock Market Behaviour During the Crisis In: Working Papers IES.
[Full Text][Citation analysis]		paper1
2011Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data In: Working Papers IES.
[Full Text][Citation analysis]		paper15
2014On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model In: Working Papers IES.
[Full Text][Citation analysis]		paper18
2017On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model.(2017) In: Journal of Forecasting.
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This paper has nother version. Agregated cites: 18		article
2014Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets volatility In: Working Papers IES.
[Full Text][Citation analysis]		paper0
2016Simulated ML Estimation of Financial Agent-Based Models In: Working Papers IES.
[Full Text][Citation analysis]		paper5
2017Common Cycles in Volatility and Cross Section of Stock Returns In: Working Papers IES.
[Full Text][Citation analysis]		paper0
2018Volatility Term Structure Modeling Using Nelson-Siegel Model In: Working Papers IES.
[Full Text][Citation analysis]		paper0
2021Frequency-Dependent Higher Moment Risks In: Working Papers IES.
[Full Text][Citation analysis]		paper0
2024Quantile Preferences in Portfolio Choice: A Q-DRL Approach to Dynamic Diversification In: Working Papers IES.
[Full Text][Citation analysis]		paper0
2014Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests In: International Journal of Central Banking.
[Full Text][Citation analysis]		article27
2013Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? In: ACTA VSFS.
[Full Text][Citation analysis]		article0
2009Smart Agents and Sentiment in the Heterogeneous Agent Model In: Prague Economic Papers.
[Full Text][Citation analysis]		article0
2010Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc In: Politická ekonomie.
[Full Text][Citation analysis]		article2
2014Wavelet-Based Correlation Analysis of the Key Traded Assets In: Dynamic Modeling and Econometrics in Economics and Finance.
[Citation analysis]		chapter0
2009Smart predictors in the heterogeneous agent model In: Journal of Economic Interaction and Coordination.
[Full Text][Citation analysis]		article3
2015Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression In: FinMaP-Working Papers.
[Full Text][Citation analysis]		paper0
2016Measuring the frequency dynamics of financial and macroeconomic connectedness In: FinMaP-Working Papers.
[Full Text][Citation analysis]		paper17

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