505 citations · 678 across the 11 of their papers we have counts for
8 papers · 1 filter
Do co-jumps impact correlations in currency markets?
Jozef Barunik, Lukas Vacha
We quantify how co-jumps impact correlations in currency markets. To disentangle the continuous part of quadratic covariation from co-jumps, and study the influence of co-jumps on…
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…
Contagion among Central and Eastern European stock markets during the financial crisis
Jozef Barunik, Lukas Vacha
This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in application of wavelet tools to high-frequency…
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…
Time-Frequency Dynamics of Biofuels-Fuels-Food System
Lukas Vacha, Karel Janda, Ladislav Kristoufek +1
For the first time, we apply the wavelet coherence methodology on biofuels (ethanol and biodiesel) and a wide range of related commodities (gasoline, diesel, crude oil, corn, wheat…
Modeling and forecasting exchange rate volatility in time-frequency domain
Jozef Barunik, Tomas Krehlik, Lukas Vacha
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-freq…
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
Jozef Barunik, Lukas Vacha
We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Discrete…
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
Lukas Vacha, Jozef Barunik
In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the applicati…