1 citations · 1 across the 3 of their papers we have counts for
4 papers
Total, asymmetric and frequency connectedness between oil and forex markets
Jozef Baruník, Evžen Kočenda
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 -- 2017. By employing variance deco…
Asymmetric volatility connectedness on forex markets
Jozef Barunik, Evzen Kocenda, Lukas Vacha
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra…
How does bad and good volatility spill over across petroleum markets?
Jozef Barunik, Evzen Kocenda, Lukas Vacha
We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 p…
Gold, Oil, and Stocks
Jozef Barunik, Evzen Kocenda, Lukas Vacha
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987…