4 papers
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…
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…
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…