Search Results - "Baruník, Jozef"

Volatility Spillovers Across Petroleum Markets by Barunk, Jozef, Kočenda, Evzen, Váchaa, Lukáš

“…By using our newly defined measure, we detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating…”
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Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk by Baruník, Jozef, Křehlík, Tomáš

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Quantile coherency: A general measure for dependence between cyclical economic variables by Baruník, Jozef, Kley, Tobias

“…Summary In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and…”
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Persistence in financial connectedness and systemic risk by Baruník, Jozef, Ellington, Michael

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Asymmetric volatility connectedness on the forex market by Baruník, Jozef, Kočenda, Evžen, Vácha, Lukáš

“…•The forex market exhibits asymmetric volatility connectedness.•We use high-frequency data of the most actively traded currencies over 2007–2015.•We document…”
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Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers by Baruník, Jozef, Kočenda, Evžen, Vácha, Lukáš

“…In this paper, we examine how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S…”
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Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets by Křehlík, Tomáš, Baruník, Jozef

“…Oil markets profoundly influence world economies through determination of prices of energy and transports. Using novel methodology devised in frequency domain,…”
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Forecasting the term structure of crude oil futures prices with neural networks by Baruník, Jozef, Malinská, Barbora

“…•We analyse term structure of crude oil markets.•New model for forecasting based on neural networks is proposed.•We show that even basic architecture of neural…”
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Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets by Barunik, Jozef, Kocenda, Evzen

“…We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007–2017. By…”
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Risks of heterogeneously persistent higher moments by Baruník, Jozef, Kurka, Josef

“…Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average…”
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Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data by Avdulaj, Krenar, Barunik, Jozef

“…Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines…”
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Dynamic industry uncertainty networks and the business cycle by Baruník, Jozef, Bevilacqua, Mattia, Faff, Robert

“…This paper identifies smoothly varying industry uncertainty networks from option prices that contain valuable information about business cycles, especially in…”
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Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? by Apergis, Nicholas, Baruník, Jozef, Lau, Marco Chi Keung

“…Efficient delivery of network services and the electricity infrastructure to meet the long-term consumer's interests are the main objectives and the strategies…”
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Predicting the volatility of major energy commodity prices: The dynamic persistence model by Baruník, Jozef, Vácha, Lukáš

“…Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose…”
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Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices by Baruník, Jozef, Nevrla, Matěj

“…Abstract This article investigates how two important sources of risk—market tail risk (TR) and extreme market volatility risk—are priced into the cross-section…”
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Forecasting dynamic return distributions based on ordered binary choice by Anatolyev, Stanislav, Baruník, Jozef

“…We present a simple approach to the forecasting of conditional probability distributions of asset returns. We work with a parsimonious specification of ordered…”
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Combining high frequency data with non-linear models for forecasting energy market volatility by Barunik, Jozef, Krehlika, Tomas

“…•High-frequency data are coupled with nonlinear models to predict volatility.•Comprehensive evaluation of multiple-step ahead volatility forecasts is…”
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Measurement of common risks in tails: A panel quantile regression model for financial returns by Baruník, Jozef, Čech, František

“…We investigate how to measure common risks in the tails of return distributions using the recently proposed panel quantile regression model for financial…”
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Gold, oil, and stocks: Dynamic correlations by Baruník, Jozef, Kocenda, Evzen, Vácha, Luká

“…We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering…”
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Taming Data‐Driven Probability Distributions by Baruník, Jozef, Hanus, Luboš

“…ABSTRACT We propose a deep learning approach to probabilistic forecasting of macroeconomic and financial time series. By allowing complex time series patterns…”
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