4 papers
Managing Portfolios Across the Return Distribution
Jozef Barunik, Lukas Janasek, Attila Sarkany
We develop a dynamic portfolio-choice framework in which investors target the region of the payoff distribution that the portfolio is designed to improve. Out of sample, the estima…
When David becomes Goliath: Repo dealer-driven bond mispricing
Carlos Canon, Eddie Gerba, Jozef Barunik
This paper studies the impact of funding market frictions on bond prices and market-wide liquidity. Using proprietary transaction-level data on all gilt-backed repo and reverse-rep…
Forecasting stock return distributions around the globe with quantile neural networks
Jozef Barunik, Martin Hronec, Ondrej Tobek
We propose a novel machine learning approach for forecasting the distribution of stock returns using a rich set of firm-level and market predictors. Our method combines a two-stage…
Learning the Probability Distributions of Day-Ahead Electricity Prices
Jozef Barunik, Lubos Hanus
We propose a novel machine learning approach for probabilistic forecasting of hourly day-ahead electricity prices. In contrast with the recent advances in data-rich probabilistic f…