1 citations · 2 across the 7 of their papers we have counts for
12 papers
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…
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…
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…