505 citations · 1k across the 23 of their papers we have counts for
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q-fin.GN2018
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…
q-fin.GN2018
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…