Search results
- 1.0581659 - ÚTIA 2025 RIV NL eng J - Journal Article
Baruník, Jozef - Hanus, Luboš
Fan charts in era of big data and learning.
Finance Research Letters. Roč. 61, č. 1 (2024), č. článku 105003. ISSN 1544-6123. E-ISSN 1544-6131
R&D Projects: GA ČR(CZ) GX19-28231X
Institutional support: RVO:67985556
Keywords : Fan charts * Probabilistic forecasting * Machine learning
OECD category: Applied Economics, Econometrics
Impact factor: 10.4, year: 2022
Method of publishing: Limited access
https://www.sciencedirect.com/science/article/pii/S1544612324000333?dgcid=author http://library.utia.cas.cz/separaty/2023/E/barunik-0581659.pdf
Permanent Link: https://hdl.handle.net/11104/0349774 - 2.0578729 - ÚTIA 2025 RIV NL eng J - Journal Article
Baruník, Jozef - Bevilacqua, M. - Faff, R.
Dynamic industry uncertainty networks and the business cycle.
Journal of Economic Dynamics & Control. Roč. 159, č. 1 (2024), č. článku 104793. ISSN 0165-1889. E-ISSN 1879-1743
R&D Projects: GA ČR(CZ) GX19-28231X
Institutional support: RVO:67985556
Keywords : Financial uncertainty * Industry network * Options market * Business cycle
OECD category: Applied Economics, Econometrics
Impact factor: 1.9, year: 2022
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2023/E/barunik-0578729.pdf https://www.sciencedirect.com/science/article/pii/S0165188923001999?via%3Dihub
Permanent Link: https://hdl.handle.net/11104/0347796 - 3.0561032 - ÚTIA 2024 RIV GB eng J - Journal Article
Baruník, Jozef - Nevrla, Matěj
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices.
Journal of Financial Econometrics. Roč. 21, č. 5 (2023), s. 1590-1646. ISSN 1479-8409. E-ISSN 1479-8417
R&D Projects: GA ČR(CZ) GX19-28231X
Institutional support: RVO:67985556
Keywords : cross-sectional return variation * downside risk * frequency * investment horizons * spectral risk * tail risk
OECD category: Finance
Impact factor: 2.5, year: 2022
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2023/E/barunik-0561032.pdf https://academic.oup.com/jfec/article-abstract/21/5/1590/6605770?redirectedFrom=fulltext&login=true
Permanent Link: https://hdl.handle.net/11104/0347210 - 4.0533568 - ÚTIA 2023 RIV US eng J - Journal Article
Baruník, Jozef - Bevilacqua, M. - Tunaru, R.
Asymmetric Network Connectedness of Fears.
Review of Economics and Statistics. Roč. 104, č. 6 (2022), s. 1304-1316. ISSN 0034-6535. E-ISSN 1530-9142
R&D Projects: GA ČR(CZ) GX19-28231X
Institutional support: RVO:67985556
Keywords : Implied Volatility * Asymmetric Connectedness * U.S. Financial Sector
OECD category: Applied Economics, Econometrics
Impact factor: 8, year: 2022
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2020/E/barunik-0533568.pdf https://direct.mit.edu/rest/article-abstract/104/6/1304/97705/Asymmetric-Network-Connectedness-of-Fears?redirectedFrom=fulltext
Permanent Link: http://hdl.handle.net/11104/0311937 - 5.0533565 - ÚTIA 2022 RIV NL eng J - Journal Article
Baruník, Jozef - Čech, František
Measurement of common risks in tails: A panel quantile regression model for financial returns.
Journal of Financial Markets. Roč. 52, č. 1 (2021), č. článku 100562. ISSN 1386-4181. E-ISSN 1878-576X
R&D Projects: GA ČR(CZ) GX19-28231X
Institutional support: RVO:67985556
Keywords : Panel quantile regression * Realized measures * Value-at-risk
OECD category: Applied Economics, Econometrics
Impact factor: 3.095, year: 2021
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2020/E/barunik-0533565.pdf https://www.sciencedirect.com/science/article/pii/S1386418120300318
Permanent Link: http://hdl.handle.net/11104/0311940 - 6.0517561 - ÚTIA 2020 RIV US eng J - Journal Article
Baruník, Jozef - Kočenda, E.
Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets.
Energy Journal. Roč. 40, Special Issue 2 (2019), s. 157-174, č. článku 3233. ISSN 0195-6574. E-ISSN 1944-9089
Grant - others:GA ČR(CZ) GA19-15650S
Institutional support: RVO:67985556
Keywords : Crude oil * Forex market * Volatility * Connectedness * Spillovers * Semivariance * Asymmetric effects * Frequency connectedness
OECD category: Applied Economics, Econometrics
Impact factor: 2.394, year: 2019
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/E/barunik-0517561.pdf https://www.iaee.org/energyjournal/article/3233
Permanent Link: http://hdl.handle.net/11104/0302891 - 7.0507522 - 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 - 8.0507521 - ÚTIA 2020 RIV GB eng J - Journal Article
Baruník, Jozef - Kley, T.
Quantile coherency: A general measure for dependence between cyclical economic variables.
Econometrics Journal. Roč. 22, č. 2 (2019), s. 131-152. ISSN 1368-4221. E-ISSN 1368-423X
R&D Projects: GA ČR(CZ) GA16-14179S
Institutional support: RVO:67985556
Keywords : cross-spectral analysis * ranks * copula * stock market * risk
OECD category: Economic Theory
Impact factor: 2.139, year: 2019
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/E/barunik-0507521.pdf https://academic.oup.com/ectj/article-abstract/22/2/131/5303852
Permanent Link: http://hdl.handle.net/11104/0298675 - 9.0504930 - NHÚ 2020 RIV NL eng J - Journal Article
Anatolyev, Stanislav - Baruník, Jozef
Forecasting dynamic return distributions based on ordered binary choice.
International Journal of Forecasting. Roč. 35, č. 3 (2019), s. 823-835. ISSN 0169-2070. E-ISSN 1872-8200
R&D Projects: GA ČR(CZ) GA16-14179S
Institutional support: RVO:67985998 ; RVO:67985556
Keywords : asset returns * predictive distribution * conditional probability
OECD category: Applied Economics, Econometrics
Impact factor: 2.825, year: 2019
Method of publishing: Limited access
http://dx.doi.org/10.1016/j.ijforecast.2019.01.005
Permanent Link: http://hdl.handle.net/11104/0296463 - 10.0495171 - ÚTIA 2019 RIV GB eng J - Journal Article
Baruník, Jozef - Křehlík, Tomáš
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk.
Journal of Financial Econometrics. Roč. 16, č. 2 (2018), s. 271-296. ISSN 1479-8409. E-ISSN 1479-8417
R&D Projects: GA ČR(CZ) GA16-14179S
Institutional support: RVO:67985556
Keywords : connectedness * frequency * spectral analysis * systemic risk
OECD category: Applied Economics, Econometrics
Impact factor: 1.902, year: 2018
http://library.utia.cas.cz/separaty/2018/E/barunik-0495171.pdf
Permanent Link: http://hdl.handle.net/11104/0288956