3 papers
q-fin.GN2026
Volatility Shocks and Currency Returns
Mykola Babiak, Jozef Barunik
This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connection…
q-fin.GN2026
Deep Learning, Predictability, and Optimal Portfolio Returns
Mykola Babiak, Jozef Barunik
We study the dynamic portfolio selection of an investor who uses deep learning methods to forecast stock market excess returns. In a two-asset allocation problem, deep neural netwo…
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…