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q-fin.GN2024
Predicting the volatility of major energy commodity prices: the dynamic persistence model
Jozef Barunik, Lukas Vacha
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach tha…
q-fin.GN2023
The Dynamic Persistence of Economic Shocks
Jozef Barunik, Lukas Vacha
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized re…
q-fin.GN2016
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…