505 citations · 1k across the 23 of their papers we have counts for
36 papers
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…
Learning Probability Distributions in Macroeconomics and Finance
Jozef Barunik, Lubos Hanus
We propose a deep learning approach to probabilistic forecasting of macroeconomic and financial time series. Being able to learn complex patterns from a data rich environment, our…
Risks of heterogeneously persistent higher moments
Jozef Barunik, Josef Kurka
Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, sk…
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…
Dynamic industry uncertainty networks and the business cycle
Jozef Barunik, Mattia Bevilacqua, Robert Faff
We argue that uncertainty network structures extracted from option prices contain valuable information for business cycles. Classifying U.S. industries according to their contribut…
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…
Dynamic Network Risk
Jozef Barunik, Michael Ellington
This paper examines the pricing of short-term and long-term dynamic network risk in the cross-section of stock returns. Stocks with high sensitivities to dynamic network risk earn…
Investment Disputes and Abnormal Volatility of Stocks
Jozef Barunik, Zdenek Drabek, Matej Nevrla
Dramatic growth of investment disputes between foreign investors and host states rises serious questions about the impact of those disputes on investors. This paper is the first to…
Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists
Jozef Barunik, Cathy Yi-Hsuan Chen, Jan Vecer
We propose how to quantify high-frequency market sentiment using high-frequency news from NASDAQ news platform and support vector machine classifiers. News arrive at markets random…
Co-jumping of Treasury Yield Curve Rates
Jozef Barunik, Pavel Fiser
We study the role of co-jumps in the interest rate futures markets. To disentangle continuous part of quadratic covariation from co-jumps, we localize the co-jumps precisely throug…
Asymmetric Network Connectedness of Fears
Jozef Barunik, Mattia Bevilacqua, Radu Tunaru
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about u…
Total, asymmetric and frequency connectedness between oil and forex markets
Jozef Baruník, Evžen Kočenda
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 -- 2017. By employing variance deco…
Forecasting dynamic return distributions based on ordered binary choice
Stanislav Anatolyev, Jozef Barunik
We present a simple approach to forecasting conditional probability distributions of asset returns. We work with a parsimonious specification of ordered binary choice regression th…
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns
Frantisek Cech, Jozef Barunik
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses al…
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…
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets
Tomas Krehlik, Jozef Barunik
Oil markets profoundly influence world economies through determination of prices of energy and transports. Using novel methodology devised in frequency domain, we study the informa…
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…
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables
Jozef Baruník, Tobias Kley
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of depen…
Measuring the frequency dynamics of financial connectedness and systemic risk
Jozef Barunik, Tomas Krehlik
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-…
Forecasting the term structure of crude oil futures prices with neural networks
Jozef Barunik, Barbora Malinska
The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and prop…
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…
Can we still benefit from international diversification? The case of the Czech and German stock markets
Krenar Avdulaj, Jozef Barunik
One of the findings of the recent literature is that the 2008 financial crisis caused reduction in international diversification benefits. To fully understand the possible potentia…
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
Filip Zikes, Jozef Barunik
This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well a…