505 citations · 1k across the 23 of their papers we have counts for
13 papers · 1 filter
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…
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…
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…
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…
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…
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…
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
Jiri Kukacka, Jozef Barunik
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. Behavioural pat…