Jozef Baruník

Charles University in Prague - Department of Economics

Associate Professor

Opletalova 26

Prague 1, 110 00

Czech Republic

http://ies.fsv.cuni.cz/en/staff/barunik

Institute of Information Theory and Automation, Prague

Research Fellow

Pod vodarenskou vezi 4

CZ-18208 Praha 8

Czech Republic

http://staff.utia.cas.cz/barunik/home.htm

SCHOLARLY PAPERS

35

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3,851

SSRN CITATIONS
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Top 13,771

in Total Papers Citations

49

CROSSREF CITATIONS

34

Scholarly Papers (35)

1.

Gold, Oil, and Stocks

Number of pages: 27 Posted: 02 Aug 2013 Last Revised: 10 May 2014
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 291 (124,699)
Citation 4

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financial markets, time-frequency dynamics, gold, oil, stocks, high-frequency data, dynamic correlation, financial crisis, wavelets

2.

Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables

Number of pages: 53 Posted: 24 Oct 2015 Last Revised: 30 Dec 2018
Jozef Baruník and Tobias Kley
Charles University in Prague - Department of Economics and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 229 (158,748)
Citation 10

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Cross-spectral analysis, Ranks, Copula, Stock market, Risk

3.

Asymmetric Connectedness of Stocks: How Does Bad and Good Volatility Spill over the U.S. Stock Market?

Journal of Financial Markets, Vol. 26, 2016
Number of pages: 36 Posted: 06 Aug 2013 Last Revised: 29 Oct 2018
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 188 (190,742)
Citation 4

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Volatility, Spillovers, Semivariance, Asymmetric effects, Financial markets

4.

Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility

Journal of Financial Econometrics, 2016, Vol. 14, No. 1, 185--226
Number of pages: 49 Posted: 20 Aug 2013 Last Revised: 15 Oct 2017
Filip Zikes and Jozef Baruník
Imperial College London and Charles University in Prague - Department of Economics
Downloads 179 (199,189)
Citation 5

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conditional quantiles, Value-at-Risk, quantile regression, realized measures

5.

Coupling High-Frequency Data with Nonlinear Models in Multiple-Step-Ahead Forecasting of Energy Markets' Volatility

Number of pages: 34 Posted: 27 Apr 2014
Jozef Baruník and Tomas Krehlik
Charles University in Prague - Department of Economics and Charles University in Prague
Downloads 169 (209,352)
Citation 3

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artificial neural networks, realized volatility, multiple-step-ahead forecasts, energy markets

6.

Dynamic Industry Uncertainty Networks and the Business Cycle

Number of pages: 57 Posted: 10 Mar 2021 Last Revised: 24 Mar 2021
Jozef Baruník, Mattia Bevilacqua and Robert W. Faff
Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and Bond University
Downloads 168 (213,503)

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Financial Uncertainty, Industry Network, Options Market, Business Cycle

7.

Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks

Number of pages: 26 Posted: 20 Apr 2015
Jozef Baruník and Barbora Malinská
Charles University in Prague - Department of Economics and Charles University in Prague - Faculty of Social Sciences
Downloads 166 (212,501)
Citation 2

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term structure, Nelson-Siegel model, dynamic neural networks, crude oil futures

8.

Volatility Spillovers Across Petroleum Markets

William Davidson Institute Working Paper No. 1093
Number of pages: 29 Posted: 29 Apr 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Charles University in Prague
Downloads 158 (221,536)
Citation 12

Abstract:

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volatility spillovers, asymmetry, petroleum markets

9.

Gold, Oil, and Stocks: Dynamic Correlations

CESifo Working Paper Series No. 5333
Number of pages: 28 Posted: 07 May 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 141 (243,155)
Citation 1

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financial markets, time-frequency dynamics, gold, oil, stocks, high-frequency data, dynamic correlation, financial crisis, wavelets

10.

Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers

CESifo Working Paper Series No. 5305
Number of pages: 30 Posted: 07 May 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 141 (243,155)
Citation 8

Abstract:

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volatility, spillovers, semivariance, asymmetric effects, financial markets

11.

Modeling and Forecasting Exchange Rate Volatility in Time-Frequency Domain

Number of pages: 33 Posted: 31 May 2012 Last Revised: 04 Feb 2015
Jozef Baruník, Tomas Krehlik and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 140 (244,560)
Citation 1

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wavelet decomposition, jumps, volatility forecasting, Realized GARCH

12.

Are Benefits from Oil - Stocks Diversification Gone? New Evidence from a Dynamic Copula and High Frequency Data

Number of pages: 35 Posted: 23 Jul 2013 Last Revised: 11 Feb 2015
Krenar Avdulaj and Jozef Baruník
Charles University in Prague - Department of Economics and Charles University in Prague - Department of Economics
Downloads 128 (262,143)
Citation 1

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portfolio diversification, dynamic correlations, high frequency data time-varying copulas, commodities

13.

Deep Learning, Predictability, and Optimal Portfolio Returns

Number of pages: 42 Posted: 27 Oct 2020 Last Revised: 21 Nov 2020
Mykola Babiak and Jozef Baruník
Lancaster University Management School and Charles University in Prague - Department of Economics
Downloads 127 (263,727)
Citation 1

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Return Predictability, Portfolio Allocation, Machine Learning, Neural Networks, Empirical Asset Pricing

14.

Do co-jumps impact correlations in currency markets?

Journal of Financial Markets, Forthcoming
Number of pages: 44 Posted: 18 Feb 2016 Last Revised: 15 Oct 2017
Jozef Baruník and Lukas Vacha
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 127 (263,727)

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co-jumps, currency markets, realized covariance, wavelets, bootstrap

15.

Modeling and Forecasting Persistent Financial Durations

Econometric Reviews, 36:10, 1081-1110, 2017
Number of pages: 49 Posted: 15 Jul 2012 Last Revised: 15 Oct 2017
Filip Zikes, Jozef Baruník and Nikhil Shenai
Imperial College London, Charles University in Prague - Department of Economics and Imperial College London
Downloads 124 (268,489)
Citation 3

Abstract:

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price durations, long memory, multifractal models, realized volatility, Whittle estimation

16.

Asymmetric Volatility Connectedness on Forex Markets

Journal of International Money and Finance, Vol. 77C, 2017
Number of pages: 39 Posted: 28 Jul 2016 Last Revised: 15 Oct 2017
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 118 (278,443)
Citation 3

Abstract:

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volatility, connectedness, spillovers, semivariance, asymmetric effects, forex markets

17.

Asymmetric Network Connectedness of Fears

Review of Economics and Statistics, Forthcoming
Number of pages: 30 Posted: 20 Nov 2018 Last Revised: 27 Oct 2020
Jozef Baruník, Mattia Bevilacqua and Radu Tunaru
Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and University of Sussex
Downloads 98 (316,218)
Citation 1

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Implied Volatility, Asymmetric Network Connectedness, U.S. Financial Sector.

18.

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

This is a pre-print of an article published in the Journal of Economic Dynamics and Control (2017). The final authenticated version is available online at DOI: 10.1016/j.jedc.2017.09.006
Number of pages: 38 Posted: 26 May 2016 Last Revised: 29 Oct 2018
Jiri Kukacka and Jozef Baruník
Charles University - Institute of Economic Studies and Charles University in Prague - Department of Economics
Downloads 97 (318,367)
Citation 7

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heterogeneous agent model, simulated maximum likelihood, estimation, intensity of choice, switching

19.

Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns

Number of pages: 37 Posted: 30 Aug 2017
Frantisek Cech and Jozef Baruník
Charles University in Prague - Institute of Economic Studies and Charles University in Prague - Department of Economics
Downloads 94 (324,857)

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Panel Quantile Regression, Realized Measures, Value–at–Risk

20.

Dynamic Networks in Large Financial and Economic Systems

Number of pages: 54 Posted: 27 Jul 2020 Last Revised: 24 Feb 2021
Michael Ellington and Jozef Baruník
University of Liverpool and Charles University in Prague - Department of Economics
Downloads 90 (333,906)

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Dynamic networks, Network connections, Time-varying parameter VAR, Realized Volatility, Connectedness, Spillovers.

21.

Realized Wavelet-Based Estimation of Integrated Variance and Jumps in the Presence of Noise

Quantitative Finance (2015) Vol. 15, No. 8, 1347-1364
Number of pages: 28 Posted: 08 Apr 2012 Last Revised: 15 Oct 2017
Jozef Baruník and Lukas Vacha
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 88 (338,618)
Citation 9

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quadratic variation, realized variance, jumps, market microstructure noise, wavelets

22.

Dynamic Network Risk

Number of pages: 62 Posted: 07 Jul 2020
Michael Ellington and Jozef Baruník
University of Liverpool and Charles University in Prague - Department of Economics
Downloads 86 (343,506)

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Network Risk, Firm Volatility, Cross Section Of Stock Returns

23.

Uncertainty Network Risk and Currency Returns

Number of pages: 53 Posted: 18 Feb 2021 Last Revised: 22 Feb 2021
Mykola Babiak and Jozef Baruník
Lancaster University Management School and Charles University in Prague - Department of Economics
Downloads 82 (355,919)

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Foreign exchange rates, network risk, currency variance, predictability, term structure

24.

Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists

Number of pages: 29 Posted: 13 Jun 2019
Jozef Baruník, Cathy Yi‐Hsuan Chen and Jan Vecer
Charles University in Prague - Department of Economics, University of Glasgow, Adam Smith Business School and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 75 (372,056)

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High frequency text, Sentiment, Stochastic volatility, Continuous time models

25.

Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets

CESifo Working Paper No. 7756
Number of pages: 38 Posted: 30 Jul 2019
Jozef Baruník and Evžen Kočenda
Charles University in Prague - Department of Economics and Charles University in Prague - Institute of Economic Studies
Downloads 74 (374,887)

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crude oil, forex market, volatility, connectedness, spillovers, semivariance, asymmetric effects, frequency connectedness

26.

Tail Risks, Investment Horizons, and Asset Prices

Number of pages: 53 Posted: 30 Jun 2018 Last Revised: 21 Dec 2020
Jozef Baruník and Matěj Nevrla
Charles University in Prague - Department of Economics and Academy of Sciences of the Czech Republic - Department of Econometrics
Downloads 70 (386,490)

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Cross-sectional return variation, downside risk, tail risk, frequency, spectral risk, investment horizons

27.

How Does Bad and Good Volatility Spill Over Across Petroleum Markets?

The Energy Journal, 36(3), 309-329, 2015
Number of pages: 22 Posted: 12 May 2014 Last Revised: 15 Oct 2017
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 66 (398,778)

Abstract:

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volatility spillovers, asymmetry, petroleum markets

28.

Realizing Stock Market Crashes: Stochastic Cusp Catastrophe Model of Returns under the Time-Varying Volatility

This is a pre-print of an article published in Quantitative Finance (2015). The final authenticated version is available online at DOI: 10.1080/14697688.2014.950319
Number of pages: 23 Posted: 28 Feb 2013 Last Revised: 16 Mar 2018
Jozef Baruník and Jiri Kukacka
Charles University in Prague - Department of Economics and Charles University - Institute of Economic Studies
Downloads 62 (411,833)
Citation 2

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stochastic cusp catastrophe model, realized volatility, bifurcations, stock market crash

29.

Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Number of pages: 32 Posted: 24 Aug 2012 Last Revised: 18 Feb 2013
Jozef Baruník and Michaela Barunikova
Charles University in Prague - Department of Economics and Academy of Sciences of the Czech Republic
Downloads 59 (421,965)
Citation 1

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wavelet band spectrum regression, corridor implied volatility, realized volatility, fractional cointegration

30.

Co-jumping of Treasury Yield Curve Rates

Number of pages: 37 Posted: 10 Jun 2019
Jozef Baruník and Pavel Fiser
Charles University in Prague - Department of Economics and Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies, Students
Downloads 52 (447,116)

Abstract:

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Co-jumps, Yield curve, Wavelets, High frequency data

31.

Forecasting Dynamic Return Distributions Based on Ordered Binary Choice

Number of pages: 30 Posted: 17 Nov 2017 Last Revised: 09 Jan 2019
Stanislav Anatolyev and Jozef Baruník
New Economic School and Charles University in Prague - Department of Economics
Downloads 50 (454,790)

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asset returns, predictive distribution, conditional probability, probability forecasting, ordered binary choice

32.

Cyclical Properties of Supply-Side and Demand-Side Shocks in Oil-Based Commodity Markets

Energy Economics, Vol. 65, 2017
Number of pages: 22 Posted: 23 Mar 2016 Last Revised: 15 Oct 2017
Tomas Krehlik and Jozef Baruník
Charles University in Prague and Charles University in Prague - Department of Economics
Downloads 48 (462,695)
Citation 2

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33.

Measuring the frequency dynamics of financial connectedness and systemic risk

Journal of Financial Econometrics, Volume 16, Issue 2, 2018
Number of pages: 31 Posted: 08 Jul 2015 Last Revised: 27 Oct 2020
Jozef Baruník and Tomas Krehlik
Charles University in Prague - Department of Economics and Charles University in Prague
Downloads 31 (541,413)
Citation 9

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Connectedness, frequency, spectral analysis, systemic risk

34.

Investment Disputes and Abnormal Volatility of Stocks

Number of pages: 23 Posted: 10 Jul 2020
Jozef Baruník, Zdenek Drabek and Matěj Nevrla
Charles University in Prague - Department of Economics, World Trade Organization (WTO) and Academy of Sciences of the Czech Republic - Department of Econometrics
Downloads 27 (564,042)

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35.

Frequency-Dependent Higher Moment Risks

Number of pages: 56 Posted: 12 Apr 2021
Jozef Baruník and Josef Kurka
Charles University in Prague - Department of Economics and Charles University in Prague - Institute of Economic Studies
Downloads 8 (694,895)

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Higher Moments, frequency, Spectral Analysis, Cross-sectional