Search results
- 1.0507522 - ÚTIA 2020 RIV US eng J - Journal Article
Čech, František - Baruník, Jozef
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities.
Journal of Futures Markets. Roč. 39, č. 9 (2019), s. 1167-1189. ISSN 0270-7314. E-ISSN 1096-9934
Institutional support: RVO:67985556
Keywords : implied volatility * panel quantile regression * realized volatility * value‐at‐risk
OECD category: Finance
Impact factor: 1.359, year: 2019
Method of publishing: Open access
http://library.utia.cas.cz/separaty/2019/E/barunik-0507522.pdf https://onlinelibrary.wiley.com/doi/full/10.1002/fut.22017?af=R
Permanent Link: http://hdl.handle.net/11104/0298673 - 2.0472346 - ÚTIA 2018 RIV US eng J - Journal Article
Avdulaj, Krenar - Baruník, Jozef
Semiparametric nonlinear quantile regression model for financial returns.
Studies in Nonlinear Dynamics and Econometrics. Roč. 21, č. 1 (2017), s. 81-97. ISSN 1081-1826. E-ISSN 1558-3708
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : copula quantile regression * realized volatility * value-at-risk
OECD category: Applied Economics, Econometrics
Impact factor: 0.855, year: 2017
http://library.utia.cas.cz/separaty/2017/E/avdulaj-0472346.pdf
Permanent Link: http://hdl.handle.net/11104/0271353 - 3.0456186 - ÚTIA 2017 RIV NL eng J - Journal Article
Baruník, Jozef - Hlínková, M.
Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression.
Economic Modelling. Roč. 54, č. 1 (2016), s. 503-514. ISSN 0264-9993. E-ISSN 1873-6122
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : wavelet band spectrum regression * corridor implied volatility * realized volatility * fractional cointegration
Subject RIV: AH - Economics
Impact factor: 1.463, year: 2016
http://library.utia.cas.cz/separaty/2016/E/barunik-0456186.pdf
Permanent Link: http://hdl.handle.net/11104/0260443 - 4.0456185 - ÚTIA 2017 RIV NL eng J - Journal Article
Baruník, Jozef - Křehlík, Tomáš
Combining high frequency data with non-linear models for forecasting energy market volatility.
Expert Systems With Applications. Roč. 55, č. 1 (2016), s. 222-242. ISSN 0957-4174. E-ISSN 1873-6793
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : artificial neural networks * realized volatility * multiple-step-ahead forecasts * energy markets
Subject RIV: AH - Economics
Impact factor: 3.928, year: 2016
http://library.utia.cas.cz/separaty/2016/E/barunik-0456185.pdf
Permanent Link: http://hdl.handle.net/11104/0260445 - 5.0434202 - ÚTIA 2016 RIV GB eng J - Journal Article
Baruník, Jozef - Kukačka, Jiří
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility.
Quantitative Finance. Roč. 15, č. 6 (2015), s. 959-973. ISSN 1469-7688. E-ISSN 1469-7696
R&D Projects: GA ČR GA402/09/0965; GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Stochastic cusp catastrophe model * Realized volatility * Bifurcations * Stock market crash
Subject RIV: AH - Economics
Impact factor: 0.794, year: 2015
http://library.utia.cas.cz/separaty/2014/E/barunik-0434202.pdf
Permanent Link: http://hdl.handle.net/11104/0238360 - 6.0434201 - ÚTIA 2018 RIV US eng J - Journal Article
Žikeš, F. - Baruník, Jozef - Shenai, N.
Modeling and Forecasting Persistent Financial Durations.
Econometric Reviews. Roč. 36, č. 10 (2017), s. 1081-1110. ISSN 0747-4938. E-ISSN 1532-4168
R&D Projects: GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : price durations * long memory * multifractal models * realized volatility * Whittle estimation
OECD category: Applied Economics, Econometrics
Impact factor: 1.218, year: 2017
http://library.utia.cas.cz/separaty/2014/E/barunik-0434201.pdf
Permanent Link: http://hdl.handle.net/11104/0238358 - 7.0396003 - ÚTIA 2014 RIV CZ eng J - Journal Article
Baruník, Jozef
Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?
ACTA VŠFS. Roč. 7, č. 1 (2013), s. 6-30. ISSN 1802-792X
Institutional support: RVO:67985556
Keywords : multivariate realized volatility * covariation * wavelets
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2013/E/barunik-0396003.pdf
Permanent Link: http://hdl.handle.net/11104/0224121 - 8.0368270 - ÚTIA 2013 RIV CZ eng C - Conference Paper (international conference)
Baruník, Jozef - Vácha, Lukáš
Modeling multivariate volatility using wavelet-based realized covariance estimator.
Mathematical Methods in Economics 2011. Prague: Proffesional publishing, 2011, s. 29-34. ISBN 978-80-7431-058-4.
[Mathematical Methods in Economics 2011. Janská Dolina (SK), 06.09.2011-09.09.2011]
R&D Projects: GA ČR GAP402/10/1610; GA ČR GA402/09/0965; GA ČR GD402/09/H045
Institutional research plan: CEZ:AV0Z10750506
Keywords : multivariate realized volatility * covariation * jumps * wavelets
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0202661