Search results
- 1.0478480 - ÚTIA 2018 RIV US eng J - Journal Article
Kraicová, Lucie - Baruník, Jozef
Estimation of long memory in volatility using wavelets.
Studies in Nonlinear Dynamics and Econometrics. Roč. 21, č. 3 (2017), č. článku 20160101. ISSN 1081-1826. E-ISSN 1558-3708
R&D Projects: GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : long memory * wavelets * whittle
OECD category: Applied Economics, Econometrics
Impact factor: 0.855, year: 2017
http://library.utia.cas.cz/separaty/2017/E/barunik-0478480.pdf
Permanent Link: http://hdl.handle.net/11104/0274595 - 2.0478479 - ÚTIA 2018 RIV US eng J - Journal Article
Čech, František - Baruník, Jozef
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model.
Journal of Forecasting. Roč. 36, č. 1 (2017), s. 181-206. ISSN 0277-6693. E-ISSN 1099-131X
R&D Projects: GA ČR GA13-32263S
Institutional support: RVO:67985556
Keywords : Multivariate volatility * realized covariance * portfolio optimisation
OECD category: Economic Theory
Impact factor: 0.934, year: 2017
http://library.utia.cas.cz/separaty/2017/E/barunik-0478479.pdf
Permanent Link: http://hdl.handle.net/11104/0274596 - 3.0456184 - ÚTIA 2017 RIV NL eng J - Journal Article
Baruník, Jozef - Křehlík, Tomáš - Vácha, Lukáš
Modeling and forecasting exchange rate volatility in time-frequency domain.
European Journal of Operational Research. Roč. 251, č. 1 (2016), s. 329-340. ISSN 0377-2217. E-ISSN 1872-6860
R&D Projects: GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Realized GARCH * Wavelet decomposition * Jumps * Multi-period-ahead volatility forecasting
Subject RIV: AH - Economics
Impact factor: 3.297, year: 2016
http://library.utia.cas.cz/separaty/2016/E/barunik-0456184.pdf
Permanent Link: http://hdl.handle.net/11104/0260444 - 4.0449080 - ÚTIA 2016 RIV NL eng J - Journal Article
Avdulaj, Krenar - Baruník, Jozef
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data.
Energy Economics. Roč. 51, č. 1 (2015), s. 31-44. ISSN 0140-9883. E-ISSN 1873-6181
R&D Projects: GA ČR(CZ) GA13-24313S; GA ČR GA13-32263S
Institutional support: RVO:67985556
Keywords : Portfolio diversification * Dynamic correlations * High frequency data * Time-varying copulas * Commodities
Subject RIV: AH - Economics
Impact factor: 2.862, year: 2015
http://library.utia.cas.cz/separaty/2015/E/barunik-0449080.pdf
Permanent Link: http://hdl.handle.net/11104/0250755 - 5.0434203 - ÚTIA 2016 RIV GB eng J - Journal Article
Baruník, Jozef - Vácha, Lukáš
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.
Quantitative Finance. Roč. 15, č. 8 (2015), s. 1347-1364. ISSN 1469-7688. E-ISSN 1469-7696
R&D Projects: GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Grant - others:GA ČR(CZ) GA13-24313S
Institutional support: RVO:67985556
Keywords : quadratic variation * realized variance * jumps * market microstructure noise * wavelets
Subject RIV: AH - Economics
Impact factor: 0.794, year: 2015
http://library.utia.cas.cz/separaty/2014/E/barunik-0434203.pdf
Permanent Link: http://hdl.handle.net/11104/0238359 - 6.0434202 - 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 - 7.0434201 - 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 - 8.0434200 - ÚTIA 2017 RIV GB eng J - Journal Article
Žikeš, F. - Baruník, Jozef
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility.
Journal of Financial Econometrics. Roč. 14, č. 1 (2016), s. 185-226. ISSN 1479-8409. E-ISSN 1479-8417
R&D Projects: GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : conditional quantiles * quantile regression * realized measures * value-at-risk
Subject RIV: AH - Economics
Impact factor: 1.800, year: 2016
http://library.utia.cas.cz/separaty/2014/E/barunik-0434200.pdf
Permanent Link: http://hdl.handle.net/11104/0238364