505 citations · 1k across the 23 of their papers we have counts for
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q-fin.GN2021
Risks of heterogeneously persistent higher moments
Jozef Barunik, Josef Kurka
Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, sk…
q-fin.GN2021
Volatility Shocks and Currency Returns
Mykola Babiak, Jozef Barunik
This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connection…
econ.GN2021
Dynamic industry uncertainty networks and the business cycle
Jozef Barunik, Mattia Bevilacqua, Robert Faff
We argue that uncertainty network structures extracted from option prices contain valuable information for business cycles. Classifying U.S. industries according to their contribut…