Jozef Barunik

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Co-jumping of treasury yield curve rates Studies in Nonlinear Dynamics & Econometrics	2024-11-28	Paper
Dynamic industry uncertainty networks and the business cycle Journal of Economic Dynamics and Control	2024-06-19	Paper
Persistence in financial connectedness and systemic risk European Journal of Operational Research	2024-04-16	Paper
Estimation of long memory in volatility using wavelets Studies in Nonlinear Dynamics & Econometrics	2023-03-30	Paper
A semiparametric nonlinear quantile regression model for financial returns Studies in Nonlinear Dynamics & Econometrics	2023-03-30	Paper
Quantile coherency: A general measure for dependence between cyclical economic variables Econometrics Journal	2022-06-24	Paper
Modeling and forecasting persistent financial durations Econometric Reviews	2022-06-08	Paper
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise Quantitative Finance	2019-02-06	Paper
On the modelling and forecasting of multivariate realized volatility: generalized heterogeneous autoregressive (GHAR) model Journal of Forecasting	2018-10-12	Paper
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility Quantitative Finance	2018-09-19	Paper
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment Physica A	2018-09-11	Paper
Estimation of financial agent-based models with simulated maximum likelihood Journal of Economic Dynamics and Control	2018-08-09	Paper
Modeling and forecasting exchange rate volatility in time-frequency domain European Journal of Operational Research	2016-10-07	Paper
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables (available as arXiv preprint)	2015-10-23	Paper
Can a stochastic cusp catastrophe model explain stock market crashes? Journal of Economic Dynamics and Control	2009-12-07	Paper

Research outcomes over time

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