doc. PhDr. Jozef Baruník Ph.D.

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Position: Associate Professor
Field of interest: Financial Economics, Financial Econometrics
Membership: Internal, Macroeconomics and Econometrics

Contact

Office: 503
Email: barunik [AT] fsv [DOT] cuni [DOT] cz
Phone: +420(776)259273
Personal web pages: https://barunik.github.io
Available: upon request

More information

Syllabi

Course supervisor

JEM005 - Advanced Econometrics
JED412 - Advanced Financial Econometrics I
JED413 - Advanced Financial Econometrics II
JEM210 - An Introduction to the Econometrics of Networks
JEM059 - Financial Econometrics I
JEM061 - Financial Econometrics II

Teacher

JEM005 - Advanced Econometrics
JED412 - Advanced Financial Econometrics I
JED413 - Advanced Financial Econometrics II
JEM116 - Applied Econometrics
JEM059 - Financial Econometrics I
JEM061 - Financial Econometrics II

CV

Organisation Memberships

The Econometric Society, The Society for Financial Econometrics (SoFiE), The Czech Econometric Society

The Team

Education

2011 PhD in Economics, Charles University in Prague
2006 PhDr. in Economics, Charles University in Prague
2006 Mgr.(MSc. equivalent), in Economics, Charles University in Prague
2004 Bc. (BSc. equivalent) in Economics, Charles University in Prague

Job history

2019 - research visit Humboldt-Universität zu Berlin, School of Business and Economic (C.A.S.E.)
2018 - research visit Humboldt-Universität zu Berlin, School of Business and Economic (C.A.S.E.)
2017 - research visit Humboldt-Universität zu Berlin, School of Business and Economic (C.A.S.E.)
2017 (April)+: Associate Professor, Charles University in Prague
2015 - research visit Ruhr-Universitaet Bochum, Department of Mathematics, Institute of Statistics
2013+ lectures Advanced Econometrics
2013 - research visit ECARES - Solvay Brussels School of Economics and Management, Université libre de Bruxelles
2012 - research visit ECARES - Solvay Brussels School of Economics and Management, Université libre de Bruxelles
2011 (Oct.) - 2017 (March): Assistant Professor, Charles University in Prague
2013 + Research Fellow (Deputy Head of the Department from 2014), Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Department of Econometrics
2011-2012 PostDoc, Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Department of Econometrics
2011 - 2013 lectures Econometrics II
2009 - research visit CeNDEF, University of Amsterdam
2007+ lectures Applied Econometrics
2007+ lectures Quantitative Finance I and Quantitative Finance II
2007 - 2011 teaching assistant Econometrics A
2007-2011 Research Assistant, Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Department of Econometrics

Extra activities

2018+ President of the Czech Econometric Society
2018+ Editorial Board, Digital Finance
2016+ Editorial Board, Journal of Economic Interaction and Coordination
2014+ Editorial Board, Czech Journal of Economics and Finance
2015 Editor, Czech Economic Review
2013-2016 Grant Agency of the Czech Republic, Evaluation Committee. Member
2011-2016 Co-Editor, Bulletin of the Czech Econometric Society

Refereeing
(frequently for several journals). Selected list of journals: Energy Economics, International Journal of Forecasting, Journal of Econometrics, Journal of Business & Economic Statistics, Journal of Financial Econometrics, Journal of Economic Behavior & Organization, Journal of Economic Dynamics and Control, Journal of Financial Markets, Journal of International Money and Finance, The Energy Journal

Currently supervising 6 PhD students and 8 M.A. theses at IES

Awards and prizes

2019 "The best courses taught at the IES" award for Applied Econometrics
2018 "The best courses taught at the IES" award for Applied Econometrics
2018 "Golden course taught at the FSV" award for Applied Econometrics
2018 "The best courses taught at the IES" award for Advanced Econometrics, and Quantitative Finance I
2017 "Golden course taught at the FSV" award for Quantitative Finance I
2016 "The best courses taught at the IES" award for Quantitative Finance I
2016 "Golden course taught at the FSV" award for Quantitative Finance I
2016 Principal investigator, Grant Agency of the Czech Republic, research grant on "New measures of dependence between economic variables" (2016-2018)
2015 1st place in the Energy Economics Contest (with B.Malinska)
2015 "Golden course taught at the FSV" award for Quantitative Finance I
2015 "The best courses taught at the IES" award for Advanced Econometrics and Quantitative Finance I
2014 "The best courses taught at the IES" award for Applied Econometrics (with R.Horvath and M.Baxa) and Quantitative Finance II (with L.Vacha)
2014 "The best courses taught at the IES" award for Advanced Econometrics
2014 Czech National Bank Economic Research Award 2014 for best working paper
2014 Local coordinator of the collaborative project under the 7th Framework Programme for EU research: "Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents" (2014 - 2016)
2014 Principal investigator (joint with E.Kočenda from CERGE-EI), Grant Agency of the Czech Republic, research grant on "Dynamic correlations and financial market risk" (2014-2016)
2013 1st place in the Energy Economics Contest (with K.Avdulaj)
2013 "The best courses taught at the IES" award for Quantitative Finance 1 (with L.Vacha)
2013 Principal investigator, Grant Agency of the Czech Republic, research grant on "Multivariate spectral analysis of financial markets" (2013-2015)
2012 Otto Wichterle award by the Academy of Sciences of the Czech Republic
2012 "Golden course taught at the FSV" award for Applied Econometrics
2012 ČEZ Corporate Chair holder (2012+)
2012 "The best courses taught at the IES" award for Quantitative Finance 1 (with L.Vacha)
2011 1st place in the Energy Economics Contest (with L.Vacha)
2011 1st place in the Competition for the Best Student Paper in Theoretical Economics awarded by the Czech Econometric Society
2011 "The best courses taught at the IES" award for Quantitative Finance 1 (with L.Vacha) and Advanced Econometrics (with M.Netuka, L.Kristoufek and P.Gapko)
2010 "The best courses taught at the IES" award for Quantitative Finance 1 (with L.Vacha) and Applied Econometrics (with R.Horvath and M.Baxa)
2010 Czech Econometric Society Award - 3rd place in the Competition for the Best Student Paper in Theoretical Economics
2009 Biographical profile published in the 2010 edition of „Who’s Who in the World “ (Marquis, USA)
2006 M.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good masters diploma thesis.

Topics for supervision

Bachelor theses

I welcome any topic in the field of Applied Financial Econometrics. The decision on the topic will be made after the discussion with the student.

Master theses

My research interest is in the development of mathematical models for understanding financial problems (such as measuring and managing financial risk), statistical methods and analyzis of financial data. Especially, topics in

Asset pricing
High-Frequency Data in Finance
Financial econometrics
Time Series Econometrics of Financial Markets
Machine learning, Artificial Intelligence, Neural Networks
Quantile Models
Nonparametric Data Analysis
High-dimensional financial data sets (big data)
Frequency domain econometrics (cyclical properties and behavior of economic variables).

Supervised Bachelor theses

all/awarded: 4/0
Awarded:

Supervised Master Theses

all/awarded: 58/20
Awarded: Mgr. Adam Nedvěd, Mgr. Daniel Benčík, Mgr. Diana Burdová, Mgr. Eva Brabcová, Mgr. František Čech, Mgr. Jana Mašková, Mgr. Jiří Kukačka, Mgr. Jiří Poláček , Mgr. Ladislav Krištoufek, Mgr. Lucie Kraicová, Mgr. Marek Lipán, Mgr. Martin Žofka , Mgr. Ondřej Šindelka, Mgr. Robert Verner, Mgr. Štefan Lipták, Mgr. Sylvie Dvořáková, Mgr. Tereza Malířová, Mgr. Tomáš Křehlík, Mgr. Tomáš Kroutil, Mgr. Veronika Dovhunová

Supervised Ph.D. Theses

number: 4
Jiří Kukačka (27.4.2016), Krenar Avdulaj (24.2.2016), PhDr. František Čech (4.6.2019), Tomáš Křehlík (27.9.2017)

Current Ph.D. students

number: 5
Mgr. Martin Hronec , Mgr. Lucie Kraicová , Mgr. Josef Kurka , Mgr. Barbora Malinská , Mgr. Ing. Matěj Nevrla

Downloadable

Academic CV (Apr 2019)

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Partners

Deloitte
McKinsey & Company
Moneta Money Bank

Sponsors

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