Institute of Information Theory and Automation

Bibliography

Jozef Baruník

    Journal articles

    1. Vácha Lukáš, Baruník Jozef :  Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis , Energy Economics vol.34, 1 (2012), p. 241-247 (2012)
    2. Baruník Jozef, Vácha Lukáš, Krištoufek Ladislav :  Comovement 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
    3. 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
    4. Baruník Jozef, Vácha Lukáš :  Monte Carlo-based tail exponent estimator , Physica. A : Statistical Mechanics and its Applications vol.389, 21 (2010), p. 4863-4874 (2010) Download
    5. Baruník Jozef, Vácha Lukáš :  Monte Carlo-Based Tail Exponent Estimator , IES Working Paper vol.2010, 6 (2010), p. 1-26 (2010)
    6. Baruník Jozef, Krištoufek Ladislav :  On Hurst exponent estimation under heavy-tailed distributions , Physica. A : Statistical Mechanics and its Applications vol.389, 18 (2010), p. 3844-3855 (2010) Download
    7. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav :  Smart Agents and Sentiment in the Heterogeneous Agent Model , ERCIM News, 81 (2010), p. 39-40 (2010) Download
    8. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav :  Tail Behavior of the Central European Stock Markets during the Financial Crisis , IES Working Papers vol.2010, 4 (2010), p. 1-17 (2010) Download
    9. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav :  Tail Behavior of the Central European Stock Markets during the Financial Crisis , AUCO Czech Economic Review vol.4, 3 (2010), p. 282-294 (2010) Download
    10. 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)
    11. Baruník Jozef, Vošvrda Miloslav :  Can a stochastic cusp catastrophe model explain stock market crashes? , Journal of Economic Dynamics & Control vol.33, 10 (2009), p. 1824-1836 (2009)
    12. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav :  Smart Agents and Sentiment in the Heterogeneous Agent Model , Prague Economic Papers vol.18, 3 (2009), p. 209-219 (2009) Download
    13. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav :  Smart predictors in the heterogeneous agent model , Journal of Economic Interaction and Coordination vol.4, 2 (2009), p. 163-172 (2009)
    14. Baruník Jozef, Vácha Lukáš :  Wavelet Analysis of Central European Stock Market Behaviour During the Crisis , IES Working Papers vol.2009, 23 (2009), p. 1-14 (2009)
    15. Baruník Jozef :  How 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
    16. Vošvrda Miloslav, Baruník Jozef :  Modelování Krachů na kapitálových trzích: Aplikace teorie stochastických katastrof , Politická ekonomie vol.2008, 6 (2008), p. 759-771 (2008) Download

    Other publications

    1. Baruník Jozef, Vácha Lukáš, Krištoufek Ladislav :  Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data , 28th International Conference on Mathematical Methods in Economics 2010 , Eds: Houda Michal, Friebelová Jana, Mathematical Methods in Economics 2010, (České Budějovice, CZ, 08.09.2010-10.09.2010) (2010) Download
    2. Baruník Jozef :  L. E. Calvet & A. J. Fisher: Multifractal Volatility: Theory, Forecasting, and Pricing , AUCO Czech Economic Review vol.4, 3 (2010), p. 341-343 (2010) Download
    3. Baruník Jozef, Baruníková M. :  Neural Networks as Semiparametric Option Pricing Tool, ÚTIA AV ČR, (Praha 2009) Research Report 2266 (2009)
    4. Baruník Jozef, Krištoufek Ladislav :  On Hurst exponent estimation under heavy-tailed distributions, ÚTIA AV ČR, (Praha 2009) Research Report 2267 (2009)
    5. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav :  Power Law Behavior of the Central European Stock Markets During the Financial Crisis, ÚTIA AV ČR, (Praha 2009) Research Report 2268 (2009)
    6. Vácha Lukáš, Baruník Jozef :  What 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 , Eds: Brožová Helena, 27th International Conference Mathematical Methods in Economics 2009, (Kostelec nad Černými lesy, CZ, 09.09.2009-11.09.2009) (2009) Download
    7. Baruník Jozef, Vošvrda Miloslav :  Application of Cusp Catastrophe Theory to U.S. Stock Market Crashes , Quantitative Methods in Economics: Multiple Criteria Decision making XIV , Eds: Reiff Sladký, Quantitative Methods in Economics: Multiplie Criteria Decision Making XIV, (Tatranská Lomnica, SK, 05.07.2008-07.07.2008) (2008)
    8. Baruník Jozef, Vošvrda Miloslav :  Cusp Catastrophe Theory: Application to U.S. Stock , Proceedings of 26th International Conference Mathematical Methods in Economics 2008 , Eds: Řehořová Pavla, Maršíková Kateřina, Mathematical Methods in Economics 2008, (Liberec, CZ, 17.09.2008-19.09.2008) (2008) Download
    9. Baruník Jozef, Vácha Lukáš :  Neural Networks with Wavelet Based Denoising Layer: Application to Central European Stock Market Forecasting , Proceedings of 26th International Conference Mathematical Methods in Economics 2008 , Eds: Řehořová Pavla, Maršíková Kateřina, Mathematical Methods in Economics 2008, (Liberec, CZ, 17.09.2008-19.09.2008) (2008) Download
    10. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav :  Sentiment Patterns in the Heterogeneous Agent Model, ÚTIA AV ČR, (Praha 2008) Research Report 2224 (2008)
    11. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav :  Smart Predictors in the Heterogeneous Agent Model, ÚTIA AV ČR, (Praha 2008) Research Report 2222 (2008)
    12. Baruník Jozef, Vošvrda Miloslav :  Stochastic Cusp Catastrophe Application to Stock Market Crashes Modeling, ÚTIA AV ČR, (Praha 2008) Research Report 2223 (2008)
    13. Vácha Lukáš, Baruník Jozef :  Wavelet Neural Networks Prediction of Central European Stock Markets , Quantitative Methods in Economics: Multiple Criteria Decision making XIV , Eds: Reiff Sladký, Quantitative Methods in Economics: Multiplie Criteria Decision Making XIV, (Tatranská Lomnica, SK, 05.07.2008-07.07.2008) (2008)
    14. Vácha Lukáš, Baruník Jozef :  Wavelet Neural Networks Prediction of Central European Stock Markets, ÚTIA AV ČR, (Praha 2008) Research Report 2225 (2008)
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    Last modification: 11.03.2010
    Institute of Information Theory and Automation