Institute of Information Theory and Automation

Bibliography

Jozef Baruník


Books and chapters

  1. Baruník Jozef, Kočenda Evžen, Vácha LukášWavelet-Based Correlation Analysis of the Key Traded Assets , Wavelet Applications in Economics and Finance, p. 157-183 [2014] Download

Journal articles

  1. Žikeš F., Baruník Jozef, Shenai N.Modeling and forecasting persistent financial durations , Econometric Reviews vol.36, 10 (2017), p. 1081-1110 [2017] Download
  2. Kukačka Jiří, Baruník JozefEstimation of Financial Agent-Based Models with Simulated Maximum Likelihood , Journal of Economic Dynamics & Control vol.85, 1 (2017), p. 21-45 [2017] Download
  3. Kraicová Lucie, Baruník JozefEstimation of long memory in volatility using wavelets , Studies in Nonlinear Dynamics and Econometrics vol.21, [2017] Download
  4. Čech František, Baruník JozefOn the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model , Journal of Forecasting vol.36, 1 (2017), p. 181-206 [2017] Download
  5. Křehlík Tomáš, Baruník JozefCyclical properties of supply-side and demand-side shocks in oil-based commodity markets , Energy Economics vol.65, 1 (2017), p. 208-218 [2017] Download
  6. Baruník Jozef, Kočenda Evžen, Vácha LukášAsymmetric volatility connectedness on the forex market , Journal of International Money and Finance vol.77, 1 (2017), p. 39-56 [2017] Download
  7. Avdulaj Krenar, Baruník JozefSemiparametric nonlinear quantile regression model for financial returns , Studies in Nonlinear Dynamics and Econometrics vol.21, 1 (2017), p. 81-97 [2017] Download
  8. Žikeš F., Baruník Jozef, Shenai N.Modeling and Forecasting Persistent Financial Durations , Econometric Reviews vol.36, 10 (2017), p. 1081-1110 [2017] Download
  9. Baruník Jozef, Hlínková M.Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression , Economic Modelling vol.54, 1 (2016), p. 503-514 [2016] Download
  10. Baruník Jozef, Křehlík TomášCombining high frequency data with non-linear models for forecasting energy market volatility , Expert Systems With Applications vol.55, 1 (2016), p. 222-242 [2016] Download
  11. Baruník Jozef, Křehlík Tomáš, Vácha LukášModeling and forecasting exchange rate volatility in time-frequency domain , European Journal of Operational Research vol.251, 1 (2016), p. 329-340 [2016] Download
  12. Baruník Jozef, Malinská B.Forecasting the term structure of crude oil futures prices with neural networks , Applied Energy vol.164, 1 (2016), p. 366-379 [2016] Download
  13. Baruník Jozef, Kočenda Evžen, Vácha LukášGold, oil, and stocks: Dynamic correlations , International Review of Economics & Finance vol.42, 1 (2016), p. 186-201 [2016] Download
  14. Žikeš F., Baruník JozefSemi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility , Journal of Financial Econometrics vol.14, 1 (2016), p. 185-226 [2016] Download
  15. Avdulaj Krenar, Baruník JozefAre benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data , Energy Economics vol.51, 1 (2015), p. 31-44 [2015] Download
  16. Baruník Jozef, Kočenda Evžen, Vácha LukášVolatility Spillovers Across Petroleum Markets , Energy Journal vol.36, 3 (2015), p. 309-329 [2015] Download
  17. Baruník Jozef, Dvořáková S.An Empirical Model Of Fractionally Cointegrated Daily High And Low Stock Market Prices , Economic Modelling vol.45, 1 (2015), p. 193-206 [2015] Download
  18. Baruník Jozef, Vácha LukášRealized wavelet-based estimation of integrated variance and jumps in the presence of noise , Quantitative Finance vol.15, 8 (2015), p. 1347-1364 [2015] Download
  19. Baruník Jozef, Kukačka JiříRealizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility , Quantitative Finance vol.15, 6 (2015), p. 959-973 [2015] Download
  20. Franta M., Baruník Jozef, Horváth Roman, Šmídková K.Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests , International Journal of Central Banking vol.10, 1 (2014), p. 159-187 [2014]
  21. Avdulaj Krenar, Baruník JozefCan We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets , Finance a úvěr-Czech Journal of Economics and Finance vol.63, 5 (2013), p. 425-442 [2013] Download
  22. Baruník Jozef, Vácha LukášContagion among Central and Eastern European stock markets during the financial crisis , Finance a úvěr-Czech Journal of Economics and Finance vol.63, 5 (2013), p. 443-453 [2013] Download
  23. Kukačka Jiří, Baruník JozefBehavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment , Physica. A : Statistical Mechanics and its Applications vol.392, 23 (2013), p. 5920-5938 [2013] Download
  24. Baruník Jozef, Aste T., Di Matteo T., Liu R.Understanding the source of multifractality in financial markets , Physica. A : Statistical Mechanics and its Applications vol.391, 17 (2012), p. 4234-4251 [2012] Download
  25. Vácha Lukáš, Baruník Jozef, Vošvrda MiloslavHow do skilled traders change the structure of the market , International Review of Financial Analysis vol.23, 1 (2012), p. 66-71 [2012] Download
  26. Vácha Lukáš, Baruník JozefCo-movement of energy commodities revisited: Evidence from wavelet coherence analysis , Energy Economics vol.34, 1 (2012), p. 241-247 [2012]
  27. Baruník Jozef, Baruníková M.Neural Networks as Semiparametric Option Pricing Tool , Bulletin of the Czech Econometric Society vol.18, 28 (2011), p. 66-83 [2011] Download
  28. Baruník Jozef, Vácha Lukáš, Krištoufek LadislavComovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data , IES Working Papers vol.2011, 22 (2011), p. 1-22 [2011] Download
  29. Baruník Jozef, Vácha Lukáš, Vošvrda MiloslavTail Behavior of the Central European Stock Markets during the Financial Crisis , AUCO Czech Economic Review vol.4, 3 (2010), p. 282-294 [2010] Download
  30. Baruník Jozef, Vácha LukášMonte Carlo-based tail exponent estimator , Physica. A : Statistical Mechanics and its Applications vol.389, 21 (2010), p. 4863-4874 [2010] Download
  31. Baruník Jozef, Krištoufek LadislavOn Hurst exponent estimation under heavy-tailed distributions , Physica. A : Statistical Mechanics and its Applications vol.389, 18 (2010), p. 3844-3855 [2010] Download
  32. Baruník Jozef, Soták B.Vplyv rôznych foriem vlastníctva na efektivitu Českých a Slovenských bánk: Prístup analýzy stochastických hraníc , Politická ekonomie vol.58, 2 (2010), p. 207-224 [2010]
  33. Baruník Jozef, Vácha LukášMonte Carlo-Based Tail Exponent Estimator , IES Working Paper vol.2010, 6 (2010), p. 1-26 [2010] Download
  34. Vácha Lukáš, Baruník Jozef, Vošvrda MiloslavSmart Agents and Sentiment in the Heterogeneous Agent Model , ERCIM News, 81 (2010), p. 39-40 [2010] Download
  35. Baruník Jozef, Vácha Lukáš, Vošvrda MiloslavTail Behavior of the Central European Stock Markets during the Financial Crisis , IES Working Papers vol.2010, 4 (2010), p. 1-17 [2010] Download
  36. Baruník Jozef, Vácha LukášWavelet Analysis of Central European Stock Market Behaviour During the Crisis , IES Working Papers vol.2009, 23 (2009), p. 1-14 [2009]
  37. Baruník Jozef, Vácha Lukáš, Vošvrda MiloslavSmart predictors in the heterogeneous agent model , Journal of Economic Interaction and Coordination vol.4, 2 (2009), p. 163-172 [2009]
  38. Baruník Jozef, Vošvrda MiloslavCan a stochastic cusp catastrophe model explain stock market crashes? , Journal of Economic Dynamics & Control vol.33, 10 (2009), p. 1824-1836 [2009]
  39. Vácha Lukáš, Baruník Jozef, Vošvrda MiloslavSmart Agents and Sentiment in the Heterogeneous Agent Model , Prague Economic Papers vol.18, 3 (2009), p. 209-219 [2009] Download
  40. Vošvrda Miloslav, Baruník JozefModelování Krachů na kapitálových trzích: Aplikace teorie stochastických katastrof , Politická ekonomie vol.2008, 6 (2008), p. 759-771 [2008] Download
  41. Baruník JozefHow Do Neural Networks Enhance the Predictability of Central European Stock Returns? , Finance a úvěr-Czech Journal of Economics and Finance vol.58, p. 359-376 [2008] Download

Other publications

  1. Baruník Jozef, Kočenda Evžen, Vácha LukášAsymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, (Kiel 2014) Research Report 13 [2014] Download
  2. Baruník Jozef, Kočenda Evžen, Vácha LukášAsymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, (Kiel 2014) Research Report 13 [2014] Download
  3. Baruník Jozef, Vácha LukášModeling multivariate volatility using wavelet-based realized covariance estimator , Mathematical Methods in Economics 2011, p. 29-34, Mathematical Methods in Economics 2011, (Janská Dolina, SK, 06.09.2011-09.09.2011) [2011]
  4. Baruník JozefL. E. Calvet & A. J. Fisher: Multifractal Volatility: Theory, Forecasting, and Pricing , AUCO Czech Economic Review vol.4, 3 (2010), p. 341-343 [2010] Download
  5. Baruník Jozef, Vácha Lukáš, Krištoufek LadislavComovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data , 28th International Conference on Mathematical Methods in Economics 2010, p. 12-17 , Eds: Houda Michal, Friebelová Jana, Mathematical Methods in Economics 2010, (České Budějovice, CZ, 08.09.2010-10.09.2010) [2010] Download
  6. Baruník Jozef, Vácha Lukáš, Vošvrda MiloslavPower Law Behavior of the Central European Stock Markets During the Financial Crisis, ÚTIA AV ČR, (Praha 2009) Research Report 2268 [2009]
  7. Baruník Jozef, Krištoufek LadislavOn Hurst exponent estimation under heavy-tailed distributions, ÚTIA AV ČR, (Praha 2009) Research Report 2267 [2009]
  8. Baruník Jozef, Baruníková M.Neural Networks as Semiparametric Option Pricing Tool, ÚTIA AV ČR, (Praha 2009) Research Report 2266 [2009]
  9. Vácha Lukáš, Baruník JozefWhat does the wavelet analysis tell us about the Central European stock markets behavior during the crisis? , Proceedings of 27th International Conference Mathematical Methods in Economics 2009, p. 7-12 , Eds: Brožová Helena, 27th International Conference Mathematical Methods in Economics 2009, (Kostelec nad Černými lesy, CZ, 09.09.2009-11.09.2009) [2009] Download
  10. Baruník Jozef, Vošvrda MiloslavCusp Catastrophe Theory: Application to U.S. Stock , Proceedings of 26th International Conference Mathematical Methods in Economics 2008, p. 12-25 , Eds: Řehořová Pavla, Maršíková Kateřina, Mathematical Methods in Economics 2008, (Liberec, CZ, 17.09.2008-19.09.2008) [2008] Download
  11. Baruník Jozef, Vácha LukášNeural Networks with Wavelet Based Denoising Layer: Application to Central European Stock Market Forecasting , Proceedings of 26th International Conference Mathematical Methods in Economics 2008, p. 1-6 , Eds: Řehořová Pavla, Maršíková Kateřina, Mathematical Methods in Economics 2008, (Liberec, CZ, 17.09.2008-19.09.2008) [2008] Download
  12. Baruník Jozef, Vošvrda MiloslavStochastic Cusp Catastrophe Application to Stock Market Crashes Modeling, ÚTIA AV ČR, (Praha 2008) Research Report 2223 [2008]
  13. Vácha Lukáš, Baruník Jozef, Vošvrda MiloslavSmart Predictors in the Heterogeneous Agent Model, ÚTIA AV ČR, (Praha 2008) Research Report 2222 [2008]
  14. Vácha Lukáš, Baruník Jozef, Vošvrda MiloslavSentiment Patterns in the Heterogeneous Agent Model, ÚTIA AV ČR, (Praha 2008) Research Report 2224 [2008]
  15. Vácha Lukáš, Baruník JozefWavelet Neural Networks Prediction of Central European Stock Markets, ÚTIA AV ČR, (Praha 2008) Research Report 2225 [2008]
  16. Baruník Jozef, Vošvrda MiloslavApplication of Cusp Catastrophe Theory to U.S. Stock Market Crashes , Quantitative Methods in Economics: Multiple Criteria Decision making XIV, p. 19-27 , Eds: Reiff Sladký, Quantitative Methods in Economics: Multiplie Criteria Decision Making XIV, (Tatranská Lomnica, SK, 05.07.2008-07.07.2008) [2008]
  17. Vácha Lukáš, Baruník JozefWavelet Neural Networks Prediction of Central European Stock Markets , Quantitative Methods in Economics: Multiple Criteria Decision making XIV, p. 291-297 , Eds: Reiff Sladký, Quantitative Methods in Economics: Multiplie Criteria Decision Making XIV, (Tatranská Lomnica, SK, 05.07.2008-07.07.2008) [2008]
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Last modification: 12.01.2015
Institute of Information Theory and Automation