505 citations · 1k across the 23 of their papers we have counts for
6 papers · 1 filter
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…
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…