← All authors Jozef Baruník Czech Academy of Sciences, Institute of Information Theory and Automation (per OpenAlex) · ORCID · OpenAlex
55 papers in scope · 55 published · 1 on the econ.EM arXiv · 3,119 citations · h-index 23 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Christis Katsouris Pentti Saikkonen Mika Meitz Alex Maynard Nina Kuriyama Fan Lin Peter W. Glynn Michael Ellington Chuan Goh Savi Virolainen Bas J. M. Werker Yannick Hoga Bo Zhou Jayeeta Bhattacharya Bernd Funovits Jean-Yves Pitarakis Iliyan Georgiev Marcelo C. Medeiros Giuseppe Cavaliere Tobias Fissler Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 55)
Common Idiosyncratic Quantile Factors and Asset Prices
published 2026 · Journal of Financial and Quantitative Analysis
with Matěj Nevrla
Learning the probability distributions of day-ahead electricity prices
published 2025 · Energy Economics · 4 citations · first circulated 2023
with Luboš Hanus
The Dynamic Persistence of Economic Shocks
published 2025 · The Review of Economics and Statistics · 3 citations · first circulated 2023
with Lukáš Vácha
Taming Data‐Driven Probability Distributions
published 2024 · Journal of Forecasting · 1 citations
with Luboš Hanus
Predicting the volatility of major energy commodity prices: The dynamic persistence model
published 2024 · Energy Economics · 7 citations
with Lukáš Vácha
Risks of heterogeneously persistent higher moments
published 2024 · International Review of Financial Analysis · first circulated 2021
with Josef Kurka
Fan charts in era of big data and learning
published 2024 · Finance research letters
with Luboš Hanus
Dynamic industry uncertainty networks and the business cycle
published 2023 · Journal of Economic Dynamics and Control · 9 citations · first circulated 2021
with Mattia Bevilacqua, Robert W. Faff
published 2023 · European Journal of Operational Research · 47 citations · first circulated 2020
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices
published 2022 · Journal of Financial Econometrics · 15 citations · first circulated 2018
with Matěj Nevrla, Matvej Nevrla
Asymmetric Network Connectedness of Fears
published 2020 · The Review of Economics and Statistics · 46 citations · first circulated 2018
Measurement of common risks in tails: A panel quantile regression model for financial returns
published 2020 · Journal of Financial Markets · 26 citations · first circulated 2017
with František Čech
Deep Learning, Predictability, and Optimal Portfolio Returns
published 2020 · Journal of Empirical Finance · 2 citations
with Mykola Babiak
Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets
published 2019 · The Energy Journal · 64 citations · first circulated 2018
with Evžen Kočenda
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities
published 2019 · Journal of Futures Markets · 4 citations · first circulated 2018
with František Čech, Frantivsek Čech
Forecasting dynamic return distributions based on ordered binary choice
published 2019 · International Journal of Forecasting · 11 citations · first circulated 2017
Quantile coherency: A general measure for dependence between cyclical economic variables
published 2019 · Econometrics Journal · 29 citations · first circulated 2015
with Tobias Kley
Co-Jumping of Treasury Yield Curve Rates
published 2019 · Studies in Nonlinear Dynamics and Econometrics · 1 citations
with Pavel Fišer
Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests
published 2018 · International journal of central banking · 11 citations
with Michal Franta, Roman Horváth, Kateřina Šmídková
no link
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*
published 2018 · Journal of Financial Econometrics · 466 citations · first circulated 2015
with Tomáš Křehlík
Do co-jumps impact correlations in currency markets?
published 2017 · Journal of Financial Markets · 4 citations · first circulated 2016
with Lukáš Vácha
Estimation of financial agent-based models with simulated maximum likelihood
published 2017 · Journal of Economic Dynamics and Control · 63 citations · first circulated 2016
with Jiří Kukačka
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?
published 2017 · Energy Economics · 76 citations
with Nicholas Apergis, Chi Keung Marco Lau
Asymmetric volatility connectedness on the forex market
published 2017 · Journal of International Money and Finance · 278 citations · first circulated 2016
with Evžen Kočenda, Lukáš Vácha
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
published 2017 · Energy Economics · 3 citations · first circulated 2016
with Tomáš Křehlík
Estimation of long memory in volatility using wavelets
published 2017 · Studies in Nonlinear Dynamics and Econometrics · 3 citations · first circulated 2014
with Lucie Kraicová
A semiparametric nonlinear quantile regression model for financial returns
published 2016 · Studies in Nonlinear Dynamics and Econometrics · 3 citations
with Krenar Avdulaj
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model
published 2016 · Journal of Forecasting · 39 citations · first circulated 2014
with František Čech
Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression
published 2016 · Economic Modelling · 11 citations
with Michaela Hlínková
Combining high frequency data with non-linear models for forecasting energy market volatility
published 2016 · Expert Systems with Applications · 46 citations
with Tomáš Křehlík
Forecasting the term structure of crude oil futures prices with neural networks
published 2015 · Applied Energy · 8 citations
with Barbora Malinská, Barbora Malinskk
Modeling and forecasting exchange rate volatility in time-frequency domain
published 2015 · European Journal of Operational Research · 108 citations · first circulated 2012
with Tomáš Křehlík, Lukáš Vácha
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
published 2015 · Journal of Financial Markets · 459 citations
with Evžen Kočenda, Lukáš Vácha
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data
published 2015 · Energy Economics · 8 citations · first circulated 2013
with Krenar Avdulaj
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
published 2015 · Quantitative Finance · 24 citations · first circulated 2012
with Lukáš Vácha
Gold, Oil, and Stocks: Dynamic Correlations
published 2015 · International Review of Economics & Finance · 8 citations
with Evžen Kočenda, Lukáš Vácha
Volatility Spillovers Across Petroleum Markets
published 2014 · The Energy Journal · 40 citations
with a Evžen Kočenda b, Lukáš Vácha, Evžen Kočenda
An empirical model of fractionally cointegrated daily high and low stock market prices
published 2014 · Economic Modelling · 37 citations
with Sylvie Dvořáková
Modeling and forecasting persistent financial durations
published 2014 · Econometric Reviews · 13 citations · first circulated 2012
with Filip Žikeš, Nikhil Shenai
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility
published 2014 · Journal of Financial Econometrics · 45 citations · first circulated 2013
with Filip Žikeš
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
published 2014 · Quantitative Finance · 23 citations · first circulated 2013
with Jiří Kukačka
Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment
published 2013 · Physica A Statistical Mechanics and its Applications · 55 citations · first circulated 2012
with Jiří Kukačka
Editorial to the Special Issue on Financial Markets in Central Europe
published 2013 · Czech Journal of Economics and Finance
with Roman Horváth
no link
Understanding the source of multifractality in financial markets
published 2012 · Physica A Statistical Mechanics and its Applications · 132 citations
with Tomaso Aste, Tiziana Di Matteo, Ruipeng Liu
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
published 2011 · Energy Economics · 493 citations
with Lukáš Vácha
How do skilled traders change the structure of the market
published 2011 · International Review of Financial Analysis · 11 citations
with Lukáš Vácha, Miloslav Vošvrda
Neural Networks as Semiparametric Option Pricing Tool
published 2011 · Bulletin of the Czech Econometric Society · 2 citations
with Michaela Barunikova
no link
Monte Carlo-based tail exponent estimator
published 2010 · Physica A Statistical Mechanics and its Applications · 5 citations
with Lukáš Vácha
On Hurst exponent estimation under heavy-tailed distributions
published 2010 · Physica A Statistical Mechanics and its Applications · 275 citations
with Ladislav Krištoufek
Vplyv rôznych foriem vlastníctva na efektivitu českých a slovenských bánk: prístup analýzy stochastických hraníc [Influence of Different Ownership Forms on Efficiency of Czech and Slovak Banks: Stochastic Frontier Approach]
published 2010 · Politická ekonomie
with Branislav Soták
no link
Can a stochastic cusp catastrophe model explain stock market crashes?
published 2009 · Journal of Economic Dynamics and Control · 72 citations
with Miloslav Vošvrda
Smart predictors in the heterogeneous agent model
published 2009 · Journal of Economic Interaction and Coordination · 14 citations
with Lukáš Vácha, Miloslav Vošvrda
Smart Agents and Sentiment in the Heterogeneous Agent Model
published 2009 · Prague Economic Papers · 7 citations
with Lukáš Vácha, Miloslav Vošvrda
Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof [Stock market crashes modeling: stochastic cusp catastrophe application]
published 2008 · Politická ekonomie · 4 citations
with Miloslav Vošvrda
How Do Neural Networks Enhance the Predictability of Central European Stock Returns
published 2008 · Czech Journal of Economics and Finance · 4 citations
no link
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).