505 citations · 1k across the 23 of their papers we have counts for
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math.ST2015
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables
Jozef Baruník, Tobias Kley
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of depen…
stat.ME2015
Measuring the frequency dynamics of financial connectedness and systemic risk
Jozef Barunik, Tomas Krehlik
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-…
q-fin.GN2015★ 1 cited
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…