Search results
- 1.0495171 - 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 - 2.0478478 - 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 - 3.0456185 - 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 - 4.0456184 - 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