505 citations · 1k across the 23 of their papers we have counts for
16 papers · 1 filter
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…
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…
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…
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…
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…
Gold, Oil, and Stocks
Jozef Barunik, Evzen Kocenda, Lukas Vacha
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987…
Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data
Krenar Avdulaj, Jozef Barunik
Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressi…
Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility
Jozef Barunik, Jiri Kukacka
This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crash…
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression
Jozef Barunik, Michaela Barunikova
This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied vola…
Modeling and Forecasting Persistent Financial Durations
Filip Zikes, Jozef Barunik, Nikhil Shenai
This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility model of Calvet and Fisher (2004) to the duration setting. A…
Modeling and forecasting exchange rate volatility in time-frequency domain
Jozef Barunik, Tomas Krehlik, Lukas Vacha
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-freq…
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
Jozef Barunik, Lukas Vacha
We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Discrete…
On Hurst exponent estimation under heavy-tailed distributions
Jozef Barunik, Ladislav Kristoufek
In this paper, we show how the sampling properties of the Hurst exponent methods of estimation change with the presence of heavy tails. We run extensive Monte Carlo simulations to…
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
Lukas Vacha, Jozef Barunik
In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the applicati…
Understanding the source of multifractality in financial markets
Jozef Barunik, Tomaso Aste, Tiziana Di Matteo +1
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powe…