505 citations · 1k across the 23 of their papers we have counts for
9 papers · 1 filter
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…
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…
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…
Monte Carlo-based tail exponent estimator
Jozef Barunik, Lukas Vacha
In this paper we propose a new approach to estimation of the tail exponent in financial stock markets. We begin the study with the finite sample behavior of the Hill estimator unde…
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…