Search results
- 1.0561032 - 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 - 2.0478480 - 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 - 3.0478479 - 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 - 4.0478478 - ÚTIA 2018 RIV NL eng J - Journal Article
Křehlík, Tomáš - Baruník, Jozef
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets.
Energy Economics. Roč. 65, č. 1 (2017), s. 208-218. ISSN 0140-9883. E-ISSN 1873-6181
R&D Projects: GA ČR(CZ) GA16-14179S
Institutional support: RVO:67985556
Keywords : Connectedness * Cycles * Spectral analysis
OECD category: Applied Economics, Econometrics
Impact factor: 3.910, year: 2017
http://library.utia.cas.cz/separaty/2017/E/barunik-0478478.pdf
Permanent Link: http://hdl.handle.net/11104/0274597 - 5.0478477 - ÚTIA 2018 RIV NL eng J - Journal Article
Baruník, Jozef - Kočenda, Evžen - Vácha, Lukáš
Asymmetric volatility connectedness on the forex market.
Journal of International Money and Finance. Roč. 77, č. 1 (2017), s. 39-56. ISSN 0261-5606. E-ISSN 1873-0639
R&D Projects: GA ČR(CZ) GA16-14179S
Institutional support: RVO:67985556
Keywords : volatility * connectedness * asymmetric effects
OECD category: Finance
Impact factor: 1.623, year: 2017
http://library.utia.cas.cz/separaty/2017/E/barunik-0478477.pdf
Permanent Link: http://hdl.handle.net/11104/0274598 - 6.0472346 - 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 - 7.0456186 - 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 - 8.0456185 - 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 - 9.0456184 - 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 - 10.0433525 - ÚTIA 2015 RIV GB eng J - Journal Article
Krištoufek, Ladislav - Janda, K. - Zilberman, D.
Price transmission between biofuels, fuels and food commodities.
Biofuels Bioproducts & Biorefining-Biofpr. Roč. 8, č. 3 (2014), s. 362-373. ISSN 1932-104X. E-ISSN 1932-1031
Grant - others:GA ČR(CZ) GAP402/11/0948
Program: GA
Institutional support: RVO:67985556
Keywords : biofuels * price transmission * non-linearity * elasticity
Subject RIV: AH - Economics
Impact factor: 4.214, year: 2014
http://library.utia.cas.cz/separaty/2014/E/kristoufek-0433525.pdf
Permanent Link: http://hdl.handle.net/11104/0237770