3 papers
q-fin.GN2026
Skewness Dispersion and Stock Market Returns
Mykola Babiak, Jozef Barunik, Josef Kurka
Cross-sectional dispersion in firm-level realized skewness is significantly and negatively related to future stock market returns. The predictive power of skewness dispersion is ro…
q-fin.GN2026
Common Idiosyncratic Quantile Factors and Asset Prices
Jozef Barunik, Matej Nevrla
We investigate whether the tails of firm-level idiosyncratic return distributions are driven by common shocks. We use quantile factor analysis to extract such common idiosyncratic…
q-fin.GN2025
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…