PhDr. Jozef Baruník Ph.D., ČEZ Chair

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Position: Assistant Professor, Researcher, Lecturer
Field of interest: Financial economics, econometrics
Membership: Internal, Macroeconomics and Econometrics

Contact

Office: 503
Email: barunik [AT] fsv [DOT] cuni [DOT] cz
Phone: +420(776)259273
Personal web pages: http://staff.utia.cas.cz/barunik/
Available: upon request

More information

Syllabi

Course supervisor

JEM005 - Advanced Econometrics
JEM059 - Quantitative Finance I
JEM061 - Quantitative Finance II
JED414 - Quantitative Methods I
JED415 - Quantitative Methods II

Teacher

JEM005 - Advanced Econometrics
JEM116 - Applied Econometrics
JEM059 - Quantitative Finance I
JEM061 - Quantitative Finance II
JED414 - Quantitative Methods I

CV

Organisation Memberships

Czech Econometric Society

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

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.) + 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

2014+ Editorial Board, Czech Journal of Economics and Finance
2013+ Grant Agency of the Czech Republic, Evaluation Committee. Member
2011+ Co-Editor, Bulletin of the Czech Econometric Society

Refereeing
(approximately 60 times). Selected list of journals: Annals of Finance, Computational Statistics & Data Analysis, Emerging Markets Finance and Trade, Energy Economics, International Journal of Forecasting, Journal of Econometrics, Journal of Economic Behavior & Organization, Journal of Economic Dynamics and Control, Journal of International Money and Finance, Neural Network World, Physica A, Quantitative Finance, Studies in Nonlinear Dynamics & Econometrics

Currently supervising 7 PhD students and 10 M.A. theses at IES

Awards and prizes

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 Econometrics of Financial Markets. Any of following topics are welcomed for supervision, as well as those suggested by students in the field of Applied Financial Econometrics.

Time Series Econometrics of Financial Markets
High-Frequency Data in Finance
Heterogeneous Agents modeling
Nonparametric Data Analysis
Neural Networks in Finance (Economics)
Wavelet Neural Networks in Finance (Economics)

Supervised Bachelor theses

all/awarded: 1/0
Awarded:

Supervised Master Theses

all/awarded: 23/16
Awarded: Mgr. Daniel Benčík, Mgr. Diana Burdová, Mgr. Eva Brabcová, Mgr. František Čech, Mgr. Jana Mašková, Mgr. Jiří Kukačka, Mgr. Ladislav Krištoufek, Mgr. Lucie Kraicová, Mgr. Martin Žofka , Mgr. Ondřej Šindelka, Mgr. Robert Verner, Mgr. Štefan Lipták, Mgr. Sylvie Dvořáková, Mgr. Tomáš Křehlík, Mgr. Tomáš Kroutil, Mgr. Veronika Dovhunová

Current Ph.D. students

number: 8
Mgr. Krenar Avdulaj , Bc. et Mgr. Daniel Benčík , PhDr. František Čech , Mgr. Lucie Kraicová , Mgr. Tomáš Křehlík , PhDr. Ihor Kruchynenko , PhDr. Jiří Kukačka , Radovan Parrák MSc.

Downloadable

Academic CV 2014