Search results
- 1.0507521 - 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 - 2.0504930 - 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 - 3.0495171 - 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 - 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