Jozef Barunik

Available identifiers

Publication	Date of Publication	Type
Persistence in financial connectedness and systemic risk	2024-04-16	Paper
A semiparametric nonlinear quantile regression model for financial returns	2023-03-30	Paper
Estimation of long memory in volatility using wavelets	2023-03-30	Paper
Quantile coherency: A general measure for dependence between cyclical economic variables	2022-06-24	Paper
Modeling and forecasting persistent financial durations	2022-06-08	Paper
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise	2019-02-06	Paper
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model	2018-10-12	Paper
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility	2018-09-19	Paper
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment	2018-09-11	Paper
Estimation of financial agent-based models with simulated maximum likelihood	2018-08-09	Paper
Modeling and forecasting exchange rate volatility in time-frequency domain	2016-10-07	Paper
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables	2015-10-23	Paper
Can a stochastic cusp catastrophe model explain stock market crashes?	2009-12-07	Paper

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