Jozef Baruník : Citation Profile

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

19

H index

30

i10 index

2395

Citations

RESEARCH PRODUCTION:

55

Articles

84

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   17 years (2008 - 2025). See details.
   Cites by year: 140
   Journals where Jozef Baruník has often published
   Relations with other researchers
   Recent citing documents: 557.    Total self citations: 54 (2.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba685
   Updated: 2025-12-27    RAS profile: 2025-12-09    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Vacha, Lukas (3)

faff, robert (2)

Kurka, Josef (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:

Tiwari, Aviral (75)

Krištoufek, Ladislav (73)

Kočenda, Evžen (48)

Shahzad, Syed Jawad Hussain (45)

lucey, brian (29)

Hamori, Shigeyuki (27)

Maghyereh, Aktham (26)

Sensoy, Ahmet (24)

Lau, Chi Keung (24)

GUPTA, RANGAN (23)

Masih, Abul (23)

Cites to:

Diebold, Francis (107)

Bollerslev, Tim (96)

Andersen, Torben (70)

Vacha, Lukas (54)

Engle, Robert (51)

Yilmaz, Kamil (48)

Shephard, Neil (38)

Pesaran, Mohammad (35)

Giglio, Stefano (25)

Campbell, John (25)

Manganelli, Simone (23)

Main data

Where Jozef Baruník has published?

Journals with more than one article published# docs
Energy Economics5
Physica A: Statistical Mechanics and its Applications4
Czech Journal of Economics and Finance (Finance a uver)4
Journal of Financial Econometrics3
Journal of Economic Dynamics and Control3
Journal of Financial Markets3
Studies in Nonlinear Dynamics & Econometrics3
Economic Modelling2
Politická ekonomie2
European Journal of Operational Research2
Journal of Forecasting2
The Energy Journal2
Quantitative Finance2
International Review of Financial Analysis2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org46
FinMaP-Working Papers / Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents14
Working Papers IES / Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies14
CESifo Working Paper Series / CESifo3

Recent works citing Jozef Baruník (2025 and 2024)

YearTitle of citing document
2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343544.

Full description at Econpapers || Download paper

2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Chavas, Jean-Paul ; Li, Jian. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343544.

Full description at Econpapers || Download paper

2024Maximally Machine-Learnable Portfolios. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian. In: Papers. RePEc:arx:papers:2306.05568.

Full description at Econpapers || Download paper

2025Regressions under Adverse Conditions. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Multiscale risk spillovers and external driving factors: Evidence from the global futures and spot markets of staple foods. (2025). Zhou, Wei-Xing ; Nguyen, Duc Khuong ; Goutte, St'Ephane ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2501.15173.

Full description at Econpapers || Download paper

2025Forecasting Climate Policy Uncertainty: Evidence from the United States. (2025). Besher, Donia ; Gupta, Anirban Sen ; Chakraborty, Tanujit. In: Papers. RePEc:arx:papers:2507.12276.

Full description at Econpapers || Download paper

2025Equity Premium Prediction: Taking into Account the Role of Long, even Asymmetric, Swings in Stock Market Behavior. (2025). Ausloos, Marcel ; Un, Kuok Sin. In: Papers. RePEc:arx:papers:2509.10483.

Full description at Econpapers || Download paper

2025Moment connectedness and driving factors in the energy-food nexus: A time-frequency perspective. (2025). Nguyen, Duc Khuong ; Dai, Yun-Shi ; Goutte, St'Ephane ; Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:2510.24174.

Full description at Econpapers || Download paper

2025Generative Agents and Expectations: Do LLMs Align with Heterogeneous Agent Models?. (2025). Vicario, Eugenio ; Gusella, Filippo. In: Papers. RePEc:arx:papers:2511.08604.

Full description at Econpapers || Download paper

2024Transitory and permanent shock transmissions between real estate investment trusts and other assets: Evidence from time‐frequency decomposition and machine learning. (2024). Wang, Jinghua ; Ngene, Geoffrey M. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:539-573.

Full description at Econpapers || Download paper

2024Low‐ frequency versus high‐frequency housing price spillovers in China. (2024). Yang, Jian ; Li, Zheng ; Yu, Ziliang. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:4:p:3713-3749.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Heterogeneity, Jumps and Co-Movements in Transmission of Volatility Spillovers Among Cryptocurrencies. (2025). Maria, Tantoula ; Manolis, Tzagarakis ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:29:y:2025:i:5:p:621-649:n:1002.

Full description at Econpapers || Download paper

2024Frequency Volatility Connectedness and Portfolio Hedging of U.S. Energy Commodities. (2024). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10889.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Event-Driven Changes in Volatility Connectedness in Global Forex Markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11606.

Full description at Econpapers || Download paper

2025Event-Driven Changes in Return Connectedness Among Cryptocurrencies. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11658.

Full description at Econpapers || Download paper

2025Stock and Sovereign Returns Linkages: Time-Varying Causality and Extreme-Quantile Determinants. (2025). Afonso, Antonio ; Monteiro, Sofia ; Grabowski, Wojciech ; Alves, Jos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11667.

Full description at Econpapers || Download paper

2025Economic Interdependencies in the Great Lakes–St. Lawrence Region: A Dynamic Analysis of Manufacturing Connectedness. (2025). Warin, Thierry ; Trpanier, Martin ; Kader, Adam Abdel. In: CIRANO Working Papers. RePEc:cir:cirwor:2025s-25.

Full description at Econpapers || Download paper

2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

Full description at Econpapers || Download paper

2025A wavelet coherence approach to analyze contagion between equity markets during three major crises. (2025). Belhassine, Olfa ; Nivoix, Sophie ; Riahi, Montassar. In: Economics Bulletin. RePEc:ebl:ecbull:eb-24-00469.

Full description at Econpapers || Download paper

2024Time Frequency and Co-movements between Global Economic Policy Uncertainty, Precious Metals and Agricultural Prices: A Wavelet Coherence Analysis and Bootstrap Rolling Window Granger Causality. (2024). el Abed, Riadh ; ben Hamouda, Abderrazek. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-02-55.

Full description at Econpapers || Download paper

2024The 50-year-old Oil Crisis and its Impact on the Global Economy: A Bibliometric Analysis. (2024). Maniam, Balasundram ; Kathiravan, Chinnadurai ; Mim, Tahmina Akther. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-04-8.

Full description at Econpapers || Download paper

2024TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes. (2024). Ertugrul, Hasan ; Polat, Onur ; Erturul, Hasan Murat ; Sakarya, Burhan ; Akgul, Ali. In: Applied Energy. RePEc:eee:appene:v:357:y:2024:i:c:s0306261923018512.

Full description at Econpapers || Download paper

2025Bayesian hierarchical probabilistic forecasting of intraday electricity prices. (2025). Mller, Gernot ; Nickelsen, Daniel. In: Applied Energy. RePEc:eee:appene:v:380:y:2025:i:c:s0306261924023596.

Full description at Econpapers || Download paper

2024Riding the waves of investor sentiment: Cryptocurrency price and renewable energy volatility during the pandemic-war era. (2024). Ha, Le Thanh ; Bouteska, A ; Safa, Faisal M ; Hassan, Kabir M. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:44:y:2024:i:c:s2214635024001163.

Full description at Econpapers || Download paper

2025Assessing linkages between supply chain tokens and other assets: Evidence from a time-frequency quantile connectedness approach. (2025). Msolli, Badreddine ; Mbarek, Marouene. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:46:y:2025:i:c:s2214635025000103.

Full description at Econpapers || Download paper

2025Inter-industry risk spillovers in the Chinese stock market under epidemic outbreaks. (2025). Feng, Qianqian ; Sun, Xiaolei ; Li, Jianping ; Shen, Yiran. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:46:y:2025:i:c:s2214635025000358.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Bayesian estimation of large-scale simulation models with Gaussian process regression surrogates. (2024). Barde, Sylvain. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:196:y:2024:i:c:s0167947324000562.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Sentiment-driven speculation in financial markets with heterogeneous beliefs: A machine learning approach. (2025). Hommes, Cars ; di Francesco, Tommaso. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:175:y:2025:i:c:s0165188925000582.

Full description at Econpapers || Download paper

2025Expectation formation in financial markets: Heterogeneity and sentiment. (2025). Frijns, Bart ; Huynh, Thanh. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925000995.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Would really long-only climate-transition strategies in commodities bring lower market risk for sustainable markets in the long run? The Islamic sustainable market versus the global sustainability leaders. (2024). Isfahani, Mohammad Nasr ; Asl, Mahdi Ghaemi ; Vasa, Laszlo ; Xiang, Diling. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:1271-1295.

Full description at Econpapers || Download paper

2024Volatility interconnectedness among financial and geopolitical markets: Evidence from COVID-19 and Ukraine-Russia crises. (2024). Sahabuddin, Mohammad ; Hoque, Mohammad Enamul ; Bilgili, Faik. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:303-320.

Full description at Econpapers || Download paper

2024Financial shock transmission in Chinas banking and housing sectors: A network analysis. (2024). Yu, Ziliang ; Li, Yang ; Nong, Huifu. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:701-723.

Full description at Econpapers || Download paper

2024Risk spillover effect of the new energy market and its hedging effectiveness: New evidence from industry chain. (2024). Zhang, Yilan ; Ye, Rendao ; Xiao, Jian. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:83:y:2024:i:c:p:1061-1079.

Full description at Econpapers || Download paper

2024Extreme time-frequency connectedness between energy sector markets and financial markets. (2024). Belghouthi, Houssem Eddine ; Alomari, Mohammed ; Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:84:y:2024:i:c:p:847-877.

Full description at Econpapers || Download paper

2025Optimal portfolio selection of Chinas green bond and stock markets: Evidence from the multi-frequency extreme risk connectedness. (2025). Dai, Jing ; Huang, Wei-Qiang. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:208-237.

Full description at Econpapers || Download paper

2025Dynamic spillovers between Shanghai crude oil futures and Chinas green markets: Evidence from quantile-on-quantile connectedness approach. (2025). Liu, Hongfei ; Ping, Weiying. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:78-93.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Detecting statistically significant changes in connectedness: A bootstrap-based technique. (2024). Nguyen, Viet Hoang ; Kočenda, Evžen ; Greenwood-Nimmo, Matthew ; Koenda, Even. In: Economic Modelling. RePEc:eee:ecmode:v:140:y:2024:i:c:s0264999324002001.

Full description at Econpapers || Download paper

2024Understanding dynamic return connectedness and portfolio strategies among international sustainable exchange-traded funds. (2024). Corbet, Shaen ; Hu, Yang ; Lang, Chunlin ; Xu, Danyang. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002219.

Full description at Econpapers || Download paper

2025Adaptive local VAR for dynamic economic policy uncertainty spillover. (2025). Gillmann, Niels ; Okhrin, Ostap. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000744.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Cross-category connectedness between Shanghai crude oil futures and Chinese stock markets related to the Belt and Road Initiative. (2024). Wang, Yuqi ; Qi, Xiaohong ; Chai, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824000901.

Full description at Econpapers || Download paper

2024Connectedness among Chinese climate policy uncertainty, exchange rate, Chinese and international crude oil markets: Insights from time and frequency domain analyses of high order moments. (2024). Cheung, Adrian (Wai-Kong) ; Yan, Wan-Lin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001001.

Full description at Econpapers || Download paper

2024Evaluation of volatility spillovers for asymmetric realized covariance. (2024). Maki, Daiki. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001025.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Frequency domain cross-quantile coherency and connectedness network of exchange rates: Evidence from ASEAN+3 countries. (2025). Zeng, Tian ; Zhu, Huiming ; Xia, Xiling ; Wang, Xinghui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001840.

Full description at Econpapers || Download paper

2025Dynamic connectedness of climate risks, oil shocks, and China’s energy futures market: Time-frequency evidence from Quantile-on-Quantile regression. (2025). Wang, Nairong ; Zhu, Huiming ; Ren, Yinghua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001888.

Full description at Econpapers || Download paper

2025Risk spillovers between Chinese new energy futures and carbon-intensive assets: Asymmetric effect, time–frequency dynamics, and portfolio strategies. (2025). Zhao, Yachao ; Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002006.

Full description at Econpapers || Download paper

2025Green bonds and clean energy stocks: Safe havens against global uncertainties? A wavelet quantile-based examination. (2025). Yildirim, Ramazan ; ben Hamida, Hela ; Mejri, Sami ; Aloui, Chaker. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002353.

Full description at Econpapers || Download paper

2025Does the VIX act as the main transmitter of mispricing in index futures markets? Insights from European and American regions. (2025). Jayakumar, Manju ; Tripathy, Sasikanta ; Pradhan, Rudra P ; Samarakoon, S. M. R. K., . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002663.

Full description at Econpapers || Download paper

2025Identifying risk transmission in carbon, energy and metal markets: Evidence from a novel quantile frequency connectedness approach. (2025). Huang, Yuan ; Wu, Hao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002791.

Full description at Econpapers || Download paper

2025Explosiveness in the renewable energy equity sector: International evidence. (2025). Ferrer, Romn ; Ariza, Juan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082500018x.

Full description at Econpapers || Download paper

2025Comparison of the interdependence relationship between crude oil futures and spot in China and international crude oil markets − evidence from time-frequency and quantile perspectives. (2025). Shi, Fengyuan ; Deng, Yiwen ; Guo, Yaoqi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000300.

Full description at Econpapers || Download paper

2025Connectedness of China’s green bond and green stock markets at the low- and high-order moments: The role of economic and climate policy uncertainty. (2025). Wang, Bin ; Yan, Wan-Lin ; Kong, Adrian Wai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000506.

Full description at Econpapers || Download paper

2025The link between energy prices and stock markets in European Union countries. (2025). Grecu, Robert Adrian ; Lessmann, Stefan ; Pele, Daniel Traian ; Cramer, Alexandru Adrian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000609.

Full description at Econpapers || Download paper

2025Do US sectoral contagion and news-based economic policy uncertainty cause fear or greed behavior in Bitcoin investors?. (2025). Suleman, Muhammad Tahir ; Sheikh, Umaid A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000695.

Full description at Econpapers || Download paper

2025Cryptocurrencies as safe havens for geopolitical risk? A quantile analysis approach. (2025). Mo, Bin ; Zeng, Zichun ; Shi, Qinling ; Chen, Jiaru. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000798.

Full description at Econpapers || Download paper

2025From collapse to contagion: How bank failures influence stock markets. (2025). Tepl, Petr ; Bro, Vclav. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000841.

Full description at Econpapers || Download paper

2025Risk transmission between oil price shocks and major equity indices across bull and bear markets over various time horizons. (2025). Gubareva, Mariya ; Teplova, Tamara ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000993.

Full description at Econpapers || Download paper

2025Tail risk spillover and systemic importance among fossil energy markets: Evidence from china. (2025). Zheng, Huike ; Gao, Chiyuan ; Deng, Jing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825001019.

Full description at Econpapers || Download paper

2024Volatility connectedness and its determinants of global energy stock markets. (2024). Wang, XU ; Cong, Xiaoping ; Xie, Qichang ; Luo, Chao. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:2:s0939362524000153.

Full description at Econpapers || Download paper

2025The impact of Russia’s Geopolitical Risk on stock markets’ high-moment risk. (2025). Azimli, Asil ; Kalmaz, Demet Beton. In: Economic Systems. RePEc:eee:ecosys:v:49:y:2025:i:1:s0939362524000645.

Full description at Econpapers || Download paper

2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Nonlinear network connectedness: Assessing financial risk transmission in MENA and influence of external financial conditions. (2024). USMAN, OJONUGWA ; Duman, Gazi Murat ; Balcilar, Mehmet. In: Emerging Markets Review. RePEc:eee:ememar:v:62:y:2024:i:c:s1566014124000815.

Full description at Econpapers || Download paper

2025Are Latin American stock markets connected? Exploring spillovers and the impact of risk factors. (2025). Demir, Ender ; Assaf, Ata ; Al-Shboul, Mohammad ; Mokni, Khaled. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014125000020.

Full description at Econpapers || Download paper

2025Investigation of emerging market stress under various frequency bands: Evidence from FX market uncertainty and liquidity. (2025). Dömötör, Barbara ; Vg, Attila Andrs ; Dmtr, Barbara ; Gunay, Samet. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014125000111.

Full description at Econpapers || Download paper

2025Commodity dependence: Providing information on emerging market CDS spreads when economic indicators are absent. (2025). Zyildirim, Sheyla ; Ordu-Akkaya, Beyza Mina. In: Emerging Markets Review. RePEc:eee:ememar:v:67:y:2025:i:c:s1566014125000482.

Full description at Econpapers || Download paper

2025From the core to the European periphery: Spillover effects of financial cycles. (2025). Jursa, Luk ; Jank, Jan. In: Emerging Markets Review. RePEc:eee:ememar:v:68:y:2025:i:c:s1566014125000548.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy. (2024). Sensoy, Ahmet ; Goodell, John W ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007223.

Full description at Econpapers || Download paper

2024Assessing the linkage of energy cryptocurrency with clean and dirty energy markets. (2024). Karim, Sitara ; Naeem, Muhammad Abubakr ; Bossman, Ahmed ; Husain, Afzol. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323007776.

Full description at Econpapers || Download paper

2024Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Guan, Bo ; Mazouz, Khelifa. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136.

Full description at Econpapers || Download paper

2024Measuring world oil market integration with a Thick Pen. (2024). Jin, Xin ; Gronwald, Marc. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000239.

Full description at Econpapers || Download paper

2024Time-varying causalities from the COVID-19 media coverage to the dynamic spillovers among the cryptocurrency, the clean energy, and the crude oil. (2024). Lu, Xunfa ; Huang, Nan ; Mo, Jianlei. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001506.

Full description at Econpapers || Download paper

2024The propagation effect of climate risks on global stock markets: Evidence from the time and space domains. (2024). Yin, Libo ; Cao, Hong. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001531.

Full description at Econpapers || Download paper

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]		article91
2014How does bad and good volatility spill over across petroleum markets?.(2014) In: Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 91		paper
2016Volatility Spillovers Across Petroleum Markets.(2016) In: The Energy Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 91		article
2015Volatility spillovers across petroleum markets.(2015) In: William Davidson Institute Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 91		paper
2012Understanding the source of multifractality in financial markets In: Papers.
[Full Text][Citation analysis]		paper71
2012Understanding the source of multifractality in financial markets.(2012) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 71		article
2012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis In: Papers.
[Full Text][Citation analysis]		paper253
2012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis.(2012) In: Energy Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 253		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 nother version. Agregated cites: 0		article
2010Monte Carlo-Based Tail Exponent Estimator.(2010) In: Working Papers IES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2012On Hurst exponent estimation under heavy-tailed distributions In: Papers.
[Full Text][Citation analysis]		paper126
2010On Hurst exponent estimation under heavy-tailed distributions.(2010) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 126		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.
[Full Text][Citation analysis]
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]		paper49
2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: European Journal of Operational Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		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: 49		paper
2013Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment In: Papers.
[Full Text][Citation analysis]		paper13
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: 13		article
2013Modeling and Forecasting Persistent Financial Durations In: Papers.
[Full Text][Citation analysis]		paper8
2017Modeling and forecasting persistent financial durations.(2017) In: Econometric Reviews.
[Full Text][Citation analysis]
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]		paper46
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: 46		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: 46		paper
2014Gold, Oil, and Stocks In: Papers.
[Full Text][Citation analysis]		paper13
2014Gold, Oil, and Stocks.(2014) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2014Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? In: Papers.
[Full Text][Citation analysis]		paper7
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: 7		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]		paper22
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: 22		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: 22		paper
2017Measuring the frequency dynamics of financial connectedness and systemic risk In: Papers.
[Full Text][Citation analysis]		paper616
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: 616		article
2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables In: Papers.
[Full Text][Citation analysis]		paper129
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: 129		article
2017Do co-jumps impact correlations in currency markets? In: Papers.
[Full Text][Citation analysis]		paper13
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: 13		article
2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets In: Papers.
[Full Text][Citation analysis]		paper28
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: 28		article
2016Asymmetric volatility connectedness on forex markets In: Papers.
[Full Text][Citation analysis]		paper164
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: 164		article
2017Asymmetric volatility connectedness on the forex market.(2017) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 164		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]		paper3
2019Forecasting dynamic return distributions based on ordered binary choice.(2019) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2019Total, asymmetric and frequency connectedness between oil and forex markets In: Papers.
[Full Text][Citation analysis]		paper52
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: 52		paper
2019Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets.(2019) In: The Energy Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		article
2021Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices In: Papers.
[Full Text][Citation analysis]		paper1
2023Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices*.(2023) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		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]		paper23
2022Asymmetric network connectedness of fears.(2022) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2022Asymmetric Network Connectedness of Fears.(2022) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		article
2019Co-jumping of Treasury Yield Curve Rates In: Papers.
[Full Text][Citation analysis]		paper2
2024Co-Jumping of Treasury Yield Curve Rates.(2024) In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
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]		paper2
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]		paper11
2024Persistence in financial connectedness and systemic risk.(2024) In: European Journal of Operational Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		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]		paper5
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: 5		article
2021Currency Network Risk In: Papers.
[Full Text][Citation analysis]		paper0
2024Risks of heterogeneously persistent higher moments In: Papers.
[Full Text][Citation analysis]		paper0
2024Risks of heterogeneously persistent higher moments.(2024) In: International Review of Financial Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2022Learning Probability Distributions in Macroeconomics and Finance In: Papers.
[Full Text][Citation analysis]		paper2
2025Beyond Volatility: Common Factors in Idiosyncratic Quantile Risks In: Papers.
[Full Text][Citation analysis]		paper0
2025The 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
2025Learning the Probability Distributions of Day-Ahead Electricity Prices In: Papers.
[Full Text][Citation analysis]		paper3
2024Predicting the volatility of major energy commodity prices: the dynamic persistence model In: Papers.
[Full Text][Citation analysis]		paper1
2024Predicting the volatility of major energy commodity prices: The dynamic persistence model.(2024) In: Energy Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2025Forecasting stock return distributions around the globe with quantile neural networks In: Papers.
[Full Text][Citation analysis]		paper0
2025Tailoring Portfolio Choice via Quantile-Targeted Policies 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
2015Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper218
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: 218		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: 218		paper
2015Gold, Oil, and Stocks: Dynamic Correlations In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper82
2016Gold, oil, and stocks: Dynamic correlations.(2016) In: International Review of Economics & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 82		article
2014Gold, Oil, and Stocks.(2014) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 82		paper
2012Macroeconomic Forecasting: Methods, Accuracy and Coordination In: Occasional Publications - Edited Volumes.
[Full Text][Citation analysis]		book0
2011Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests In: Working Papers.
[Full Text][Citation analysis]		paper5
2011Neural Networks as Semiparametric Option Pricing Tool In: Bulletin of the Czech Econometric Society.
[Full Text][Citation analysis]		article3
2009Can a stochastic cusp catastrophe model explain stock market crashes? In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article4
2017Estimation of financial agent-based models with simulated maximum likelihood In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article68
2016Estimation of financial agent-based models with simulated maximum likelihood.(2016) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 68		paper
2015An empirical model of fractionally cointegrated daily high and low stock market prices In: Economic Modelling.
[Full Text][Citation analysis]		article14
2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression In: Economic Modelling.
[Full Text][Citation analysis]		article5
2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? In: Energy Economics.
[Full Text][Citation analysis]		article61
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.
[Full Text][Citation analysis]		article0
2021Measurement of common risks in tails: A panel quantile regression model for financial returns In: Journal of Financial Markets.
[Full Text][Citation analysis]		article10
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2008How Do Neural Networks Enhance the Predictability of Central European Stock Returns? In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]		article1
2013Editorial to the Special Issue on Financial Markets in Central Europe In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]		article0
2009Wavelet Analysis of Central European Stock Market Behaviour During the Crisis In: Working Papers IES.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]
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]		article26
2013Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition? In: ACTA VSFS.
[Full Text][Citation analysis]		article0
2009Smart Agents and Sentiment in the Heterogeneous Agent Model In: Prague Economic Papers.
[Full Text][Citation analysis]		article0
2008Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof In: Politická ekonomie.
[Full Text][Citation analysis]		article0
2010Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc In: Politická ekonomie.
[Full Text][Citation analysis]		article2
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
2025Taming Data‐Driven Probability Distributions In: Journal of Forecasting.
[Full Text][Citation analysis]		article0
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

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team