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doc. PhDr. Jozef Baruník Ph.D.
Academic staff at Faculty of Social Sciences
1 study programme
6 classes
71 publications
Study programme
programme
Finance and Data Analytics
🇬🇧 NMgr. |
Faculty of Social Sciences
Classes
class
Advanced Financial Econometrics I
JED412 |
Faculty of Social Sciences
class
Advanced Financial Econometrics II
JED413 |
Faculty of Social Sciences
class
Advanced Econometrics
+1
JEM005 |
Faculty of Social Sciences
class
Financial Econometrics II
JEM061 |
Faculty of Social Sciences
class
An Introduction to the Econometrics of Networks
JEM210 |
Faculty of Social Sciences
Publications
publication
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices*
2023 |
Faculty of Mathematics and Physics, Faculty of Social Sciences
publication
Asymmetric Network Connectedness of Fears
2022 |
Publication without faculty affiliation
publication
Measurement of common risks in tails: A panel quantile regression model for financial returns
2021 |
Publication without faculty affiliation
publication
Panel quantile regressions for estimating and predicting the value-at-risk of commodities
2019 |
Faculty of Social Sciences
publication
Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets
2019 |
Faculty of Social Sciences
publication
Forecasting dynamic return distributions based on ordered binary choice
2019 |
Publication without faculty affiliation
publication
Quantile coherency: A general measure for dependence between cyclical economic variables
2019 |
Publication without faculty affiliation
publication
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk
2018 |
Faculty of Social Sciences
publication
Do co-jumps impact correlations in currency markets?
2018 |
Publication without faculty affiliation
publication
On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model
2017 |
Faculty of Social Sciences
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