Articles in journals with impact factor
2022 Asymmetric Network Connectedness of Fears, The Review of Economics and Statistics 104(6): 1-13 preprint PDF
2022 Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices, Journal of Financial Econometrics (forthcoming) PDF
2021 Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns, Journal of Financial Markets 52, 100562, preprint PDF
2019 Forecasting dynamic return distributions based on ordered binary choice, International Journal of Forecasting, 35(3), pp.823-835, preprint PDF + replication code.
2019 Panel quantile regressions for estimating and predicting the value--at--risk of commodities, Journal of Futures Markets, 39(9), pp. 1167–1189.
2019 Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables, The Econometrics Journal, 22(2), pp. 131-152, preprint PDF + replication code.
2019 Total, asymmetric and frequency connectedness between oil and forex markets, The Energy Journal, vol 40, pp. 157 - 174, preprint PDF
2018 Do co-jumps impact correlations in currency markets?, Journal of Financial Markets, 37, pp.97-119, available here PDF.
2018 Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk, Journal of Financial Econometrics, 16 (2), pp. 271–296, available here PDF + available package in R
2017 Modeling and Forecasting Persistent Financial Durations, Econometric Reviews, 36:10, 1081-1110 available here PDF
2017 A semiparametric nonlinear quantile regression model for financial returns, Studies in Nonlinear Dynamics & Econometrics, 21(1), pp. 81–97
2017 Asymmetric volatility connectedness on forex markets, Journal of International Money and Finance, 77C, pp. 39-56, preprint available here PDF + available codes
2017 Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets, Energy Economics, 65, pp.208-218, preprint PDF + available package in R
2017 Estimation of financial agent-based models with simulated maximum likelihood, Journal of Economic Dynamics and Control, 85, pp. 21-45, DOI
2017 Estimation of Long Memory in Volatility Using Wavelets, Studies in Nonlinear Dynamics & Econometrics,21(3), preprint: PDF
2017 Good volatility, bad volatility: Which drives the asymmetric connectedness of Australian electricity markets?, Energy Economics, 66, pp.108- 115, + available codes
2017 On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model, Journal of Forecasting, 36, pp.181–206, preprint PDF
2016 Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?, Journal of Financial Markets, 27, 55-78. preprint available here PDF + + available codes
2016 Semi-parametric conditional quantile models for financial returns and realized volatility, Journal of Financial Econometrics, 14 (1), 185-226 preprint here PDF
2016 Combining high frequency data with non-linear models for forecasting energy market volatility, Expert Systems with Applications, 55, pp. 222-242 PDF
2016 Forecasting the term structure of crude oil futures prices with neural networks, Applied Energy 164, pp.366–379, preprint PDF
2016 Gold, Oil, and Stocks: Dynamic Correlations, International Review of Economics and Finance, 42, pp. 186–201, preprint available here PDF
2016 Modeling and forecasting exchange rate volatility in time-frequency domain, European Journal of Operational Research 251 (1), pp. 329–340, preprint here PDF
2016 Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression, Economic Modelling, 54, pp.503-514, preprint here PDF
2015 An Empirical Model Of Fractionally Cointegrated Daily High And Low Stock Market Prices, Economic Modelling, 45, pp. 193–206, download here: PDF
2015 Are benefits from oil - stocks diversification gone? A new evidence from a dynamic copulas and high frequency data, Energy Economics, 51, pp. 31-44: PDF
2015 Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, Quantitative Finance, 15 (8), pp. 1347-1364, preprint here PDF
2015 Realizing stock market crashes: Stochastic cusp catastrophe model of returns under the time-varying volatility, Quantitative Finance, 15 (6), pp. 959-973, DOI
2015 Volatility spillovers across petroleum markets, The Energy Journal, 36(3), 309-329; preprint PDF + + available codes
2014 Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests, International Journal of Central Banking, 10(1), 159-187 (featured on Hospodarske noviny and on ZET; received Czech National Bank's Economic Research Award)
2013 Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment, Physica A, 392 (23), pp. 5920-5938, DOI
2013 Can we still benefit from international diversification? The case of the Czech and German stock markets, Czech Journal of Economics and Finance, 63(5):425–442. PDF
2013 Contagion among Central and Eastern European stock markets during the financial crisis, Czech Journal of Economics and Finance, forthcoming, preprint PDF
2012 Barunik J., Aste T. Di Matteo T., Liu R. : Understanding the source of multifractality in financial markets, Physica A, 391 (17), pp. 4234-4251 PDF
2012 Vacha L. Barunik J. Vosvrda M.: How do skilled traders change the structure of the market, International Review of Financial Analysis 23, pp. 66-71 PDF
2012 Vacha, L. Barunik, J.: Comovement of energy commodities revisited: Evidence from wavelet coherence analysis, Energy Economics 34(1), pp. 241–247 PDF
2010 Barunik J., Sotak B.: Influence of Different Ownership Forms on Effectivity of Czech and Slovak Banks: Stochastic Frontier Approach, Politická Ekonomie 2, pp. 207-224 PDF
2010 Barunik J., Vacha L.: Monte Carlo-based tail exponent estimator, Physica A, 389 (21), pp.4863-4874 PDF
2010 Barunik, J. & Kristoufek, L.: On Hurst exponent estimation under heavy-tailed distributions, Physica A, 389 (18), pp. 3844-3855 PDF
2009 Barunik J., Vacha L., Vosvrda M.: Smart Predictions in the Heterogeneous Agent Model, Journal of Economic Interaction and Coordination, vol. 4(2), pp. 163-172 PDF
2009 Barunik J., Vosvrda M.: Can a stochastic cusp catastrophe model explain stock market crashes?, Journal of Economic Dynamics and Control 33, pp. 1824-1836 PDF
2009 Vacha L., Barunik J. Vosvrda M.: Sentiment Patterns in the Heterogeneous Agent Model, Prague Economic Papers 3, pp. 209-219 PDF
2008 Baruník J.: How Does Neural Networks Enhance the Predictability of Central European Stock Returns?, Finance a úvěr-Czech Journal of Economics and Finance, 7-8 (58), pp.359-376 PDF
2008 Vosvrda M., Baruník J.: Modelování krachů na kapitálových trzích: Aplikace teorie stochastických katastrof, Politická Ekonomie 6, pp. 759-771 PDF
Articles in refereed journals
2011 Barunikova, M. Barunik, J.: Neural Networks as Semiparametric Option Pricing Tool, Bulletin of the Czech Econometric Society, Czech Econometric Society, 18(28), pp. 66-83 PDF
2010 Barunik J., Vacha L., Vosvrda M.: Tail Behavior of the Central European Stock Markets During the Financial Crisis, AUCO Czech Economic Review 4(3) pp. 281-294 PDF
2010 Barunik J.: Book Review: L.E. Calvet & A.J. Fisher (2008): Multifractal Volatility: Theory, Forecasting, and Pricing, AUCO Czech Economic Review 4 (3), pp. 341-343 PDF
2010 Vacha L., Barunik J., Vosvrda M.: Smart Agents and Sentiment in the Heterogeneous Agent Model, ERCIM News, No. 81, pp. 39-40 PDF
Chapter in book
2019 Volatility spillovers on oil and forex markets, Eds. Uğur Soytaş and Ramazan Sarı, Routledge Handbook of Energy Economics, Taylor & Francis, 2019, Chapter 28, pp. 405-420.
2014 Wavelet-Based Correlation Analysis of the Key Traded Assets, Springer International Publishing PDF
2014 Wavelet-Based Correlation Analysis of the Key Traded Assets, Springer
IES Working Papers
2021 Frequency-Dependent Higher Moment Risks, IES Working Papers 11/2021
2019 Tail Risks, Asset Prices, and Investment Horizons, IES Working Papers 10/2019
2017 Common Cycles in Volatility and Cross Section of Stock Returns, IES Working Papers 19/2017
2017 Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns, IES Working Papers 20/2017
2016 Estimation of financial agent-based models with simulated maximum likelihood, IES Working Papers 7/2016, published in J ECON DYN CONTROL
2015 Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks, IES Working Papers 25/2015
2014 Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility, IES Working Papers 30/2014
2014 Estimation of Long Memory in Volatility Using Wavelets, IES Working Papers 33/2014
2014 On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model, IES Working Papers 23/2014
2013 Realizing stock market crashes: Stochastic cusp catastrophe model of returns under the time-varying volatility, IES Working Papers 19/2013, published in QUANT FINANC
2011 Barunik, J. & Vacha, L. & Kristoufek, L.: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data, IES Working Papers 22/2011
2010 Monte Carlo-Based Tail Exponent Estimator, IES Working Papers 6/2010
2010 Tail Behavior of the Central European Stock Markets during the Financial Crisis, IES Working Papers 4/2010
2009 Wavelet Analysis of Central European Stock Market Behaviour During the Crisis, IES Working Papers 23/2009
Article in collection
2011 Barunik, J. Vacha, L.: Modeling multivariate volatility using wavelet-based realized covariance estimator, Mathematical Methods in Economics Proceedings
2010 Barunik, J. & Vacha, L. & Kristoufek L.: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data, Mathematical Methods in Economics Proceedings (1), pp. 12-17
2009 Vacha L., Barunik J.: What does the wavelet analysis tell us about the Central European stock markets behavior during the crisis?, Mathematical Methods in Economics Proceedings
2008 Baruník J., Vácha L.: Neural Networks with Wavelet Based Denoising Layer: Application to Central European Stock Market Forecasting, Mathematical Methods in Economics Proceedings
2008 Baruník J., Vosvrda M.: Application of Cusp Catastrophe Theory to U.S. Stock Market Crashes, Quantitative Methods in Economics proceedings
2008 Baruník J., Vošvrda M.: Cusp Catastrophe Theory: Application to U.S. Stock, Mathematical Methods in Economics Proceedings
2008 Vacha L., Barunik J.: Wavelet Neural Networks Prediction of Central European Stock Markets, Quantitative Methods in Economics proceedings
Others
2016 Financial Crisis, Speculative Bubbles and Functioning of Financial Markets, European Policy Brief D2.7, FinMaP EU project
2012 Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests, Czech National Bank Research Bulletin 1/2012
2011 Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting and Financial Stability Stress Tests, Czech National Bank working paper series No. 10-2011
Submissions
2023 The Dynamic Persistence of Economic Shocks, preprint PDF
2022 Co-jumping of Treasury Yield Curve Rates, preprint PDF
2022 Common Idiosyncratic Quantile Risk, preprint PDF
2022 Heterogeneously Persistent Higher Moments Risks, Journal of Banking and Finance
2022 Learning Probability Distributions in Macroeconomics and Finance, submitted, preprint PDF
2021 Currency Network Risk, preprint PDF
2021 Deep Learning, Predictability, and Optimal Portfolio Returns, preprint PDF
2021 Dynamic industry uncertainty networks and the business cycle, preprint PDF
2021 Persistence in Economic Networks, preprint PDF and replication codes
2020 Dynamic Network Risk, preprint PDF and replication codes
2020 Investment Disputes and Abnormal Volatility of Stocks, preprint PDF
2019 Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists, preprint PDF
