S
Zodix
Study
Academic Library
Search
Shelves
Open access
Sign in
Search or jump to…
⌘K
Jozef Baruník · Study
Home
/
Author
Jozef Baruník
25 works
· latest 2023
· 2 institutions
cluster: provisional
ORCID 0000-0001-5097-2607
Follow
Suggest an ORCID correction
h-index
25
i10
25
Citations
4,730
Works here
25
10
11
12
13
14
15
16
17
18
19
20
23
Most cited in this library
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*
2018 · 1,790 citations
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
2011 · 498 citations
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
2015 · 459 citations
Asymmetric volatility connectedness on the forex market
2017 · 278 citations
On Hurst exponent estimation under heavy-tailed distributions
2010 · 276 citations
Works
25 shown
Persistence in financial connectedness and systemic risk
European Journal of Operational Research
·
2023
·
2 authors
·
Open access
49
citations
Asymmetric Network Connectedness of Fears
The Review of Economics and Statistics
·
2020
·
3 authors
·
Open access
45
citations
Dynamic Networks in Large Financial and Economic Systems
SSRN Electronic Journal
·
2020
·
2 authors
·
preprint
·
Open access
52
citations
Quantile coherency: A general measure for dependence between cyclical economic variables
Econometrics Journal
·
2019
·
2 authors
·
Open access
28
citations
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*
Journal of Financial Econometrics
·
2018
·
2 authors
·
Open access
1,790
citations
Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?
Energy Economics
·
2017
·
3 authors
·
Open access
77
citations
Asymmetric volatility connectedness on the forex market
Journal of International Money and Finance
·
2017
·
3 authors
·
Open access
278
citations
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model
Journal of Forecasting
·
2016
·
2 authors
·
Open access
33
citations
Combining high frequency data with non-linear models for forecasting energy market volatility
Expert Systems with Applications
·
2016
·
2 authors
·
Open access
43
citations
Forecasting the term structure of crude oil futures prices with neural networks
Applied Energy
·
2015
·
2 authors
·
Open access
87
citations
Modeling and forecasting exchange rate volatility in time-frequency domain
European Journal of Operational Research
·
2015
·
3 authors
·
Open access
108
citations
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
Journal of Financial Markets
·
2015
·
3 authors
·
Open access
459
citations
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data
Energy Economics
·
2015
·
2 authors
·
Open access
78
citations
Volatility Spillovers Across Petroleum Markets
The Energy Journal
·
2015
·
3 authors
119
citations
Gold, Oil, and Stocks: Dynamic Correlations
International Review of Economics & Finance
·
2015
·
3 authors
·
Open access
139
citations
Measuring the frequency dynamics of financial connectedness and systemic risk
SSRN Electronic Journal
·
2015
·
2 authors
·
preprint
·
Open access
32
citations
An empirical model of fractionally cointegrated daily high and low stock market prices
Economic Modelling
·
2014
·
2 authors
37
citations
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility
Journal of Financial Econometrics
·
2014
·
2 authors
·
Open access
38
citations
Contagion among Central and Eastern European stock markets during the financial crisis
ASEP
·
2013
·
2 authors
·
Open access
43
citations
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
SSRN Electronic Journal
·
2013
·
2 authors
·
preprint
·
Open access
43
citations
Understanding the source of multifractality in financial markets
Physica A Statistical Mechanics and its Applications
·
2012
·
4 authors
·
Open access
131
citations
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
Energy Economics
·
2011
·
2 authors
·
Open access
498
citations
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
ASEP
·
2011
·
3 authors
·
other
·
Open access
28
citations
On Hurst exponent estimation under heavy-tailed distributions
Physica A Statistical Mechanics and its Applications
·
2010
·
2 authors
·
Open access
276
citations
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables
RePEc: Research Papers in Economics
·
2 authors
·
preprint
219
citations