doc. PhDr. Jozef Baruník, Ph.D.

doc. PhDr. Jozef Baruník, Ph.D.

Posts:

  • Department of Finance and Capital Markets

E-mail: jozef.barunik@fsv.cuni.cz

Telephone: +420 222 112 319

Website

Rooms: No. O507, Opletalova 26

ResearcherID: G-7617-2014

Scopus Author ID: 25639595000

ORCID ID: 0000-0001-5097-2607

CV

Fundamental and applied research in financial econometrics, statistical methods for economists, and econometrics. The main interest of research is in fields of asset pricing, high- frequency data, dynamic networks, machine learning, high-dimensional data sets.

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

2021 - 2023 external consultant, Market Intelligence division, Bank of England
2017 (April)+: Associate Professor, Charles University in Prague
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

Rok vydání

Monographs

Chapters in monographs

Articles

Contributions in the conference proceedings

My lectures and seminars consecutively rank among “Best courses taught at the IES” in years 2010 – 2023.

2015 “Energy Economics Contest Award” 1st place (joint work with B.Malinska)
2014 “Economic Research Award” (Czech National Bank)
2013 “Energy Economics Contest Award” 1st place (joint work with K.Avdulaj)
2012 “Otto Wichterle award by the Academy of Sciences of the Czech Republic” 2012 “ČEZ Corporate Chair holder (2012+) ”
2011 “Energy Economics Contest Award” 1st place (joint work with L.Vacha) 2011 “Czech Econometric Society Award” 1st place (Best Student Paper) 2010 “Czech Econometric Society Award” 3rd place (Best Student Paper)

JEM217 - Advanced Econometrics
JED412 - Advanced Financial Econometrics I
JED413 - Advanced Financial Econometrics II
JEM116 - Applied Econometrics
JEM059 - Financial Econometrics I
JEM061 - Financial Econometrics II

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).

2019-23 Czech Science Foundation (GA CR) EXPRO “Dynamic Models for the Digital Finance”, Principal Investigator
2016-18 Czech Science Foundation (GA CR) “New measures of dependence between economic variables”, Principal Investigator
2014-16 7th Framework Programme for EU research "Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents", Local Coordinator
2014-16 Czech Science Foundation (GA CR) "Dynamic correlations and financial market risk", Principal Investigator
2013-15 Czech Science Foundation (GA CR) "Multivariate spectral analysis of financial markets", Principal Investigator

Fundamental and applied research in financial econometrics, statistical methods for economists, and econometrics. The main interest of research is in fields of asset pricing, high- frequency data, dynamic networks, machine learning, high-dimensional data sets.