Doc. PhDr. Jozef Baruník, Ph.D.

head of the department

Jozef Baruník
barunik@utia.cas.cz 266052400 Personal web
Department: Department of Econometrics
Research interests: financial econometrics, high frequency data analysis, spectral analysis, measurement of connections in financial markets

Biography

Publication list

Jozef Baruník is head of the Econometrics Department at the Czech Academy of Sciences. He is also an Associate Professor at the Institute of Economic Studies, Charles University in Prague, where he is the Director of the Master in Finance and Data Analytics (MFDA) programme. In his research he develops mathematical models for understanding financial problems (such as the measurement and management of financial risk), develops statistical methods and analyses financial data. He is particularly interested in asset pricing, high-frequency data, financial econometrics, machine learning, high-dimensional financial datasets (big data), and frequency domain econometrics (cyclical properties and behaviour of economic variables).

In addition to his academic roles, Jozef has contributed to the practical application of his research, and often takes on a variety of roles such as panel member for ERC consolidator, an external consultant for the Market Intelligence division of the Bank of England or other funding agencies and professional bodies.

Jozef’s research has appeared in the Review of Economics and Statistics, Econometrics Journal, Journal of Financial Econometrics, Journal of Financial Markets, Econometric Reviews, Journal of Economic Dynamics and Control, The Energy Journal, he is an associate editor of the Digital Finance, Journal of Economic Interaction and Coordination, and Kybernetika.

Books and chapters

  1. Baruník Jozef, Kočenda Evžen, Vácha Lukáš: Wavelet-Based Correlation Analysis of the Key Traded Assets, Wavelet Applications in Economics and Finance, p. 157-183 Download DOI: 10.1007/978-3-319-07061-2_8 [2014]

Journal articles

  1. Baruník Jozef, Hanus Luboš: Taming data-driven probability distributions, Journal of Forecasting 44 2 (2025), p. 676-691 Download Download DOI: 10.1002/for.3208 [2025]
  2. Baruník Jozef, Vácha Lukáš: Predicting the volatility of major energy commodity prices: the dynamic persistence model, Energy Economics 140 Download Download DOI: 10.1016/j.eneco.2024.107982 [2024]
  3. Baruník Jozef, Kurka Josef: Risks of heterogeneously persistent higher moments, International Review of Financial Analysis 96 Download Download DOI: 10.1016/j.irfa.2024.103573 [2024]
  4. Baruník Jozef, Fišer Pavel: Co-Jumping of Treasury Yield Curve Rates, Studies in Nonlinear Dynamics and Econometrics 28 3 (2024), p. 481-506 Download Download DOI: 10.1515/snde-2022-0091 [2024]
  5. Baruník Jozef, Ellington M.: Persistence in financial connectedness and systemic risk, European Journal of Operational Research 314 1 (2024), p. 393-407 Download Download DOI: 10.1016/j.ejor.2023.11.023 [2024]
  6. Baruník Jozef, Hanus Luboš: Fan charts in era of big data and learning, Finance Research Letters 61 Download Download DOI: 10.1016/j.frl.2024.105003 [2024]
  7. Baruník Jozef, Bevilacqua M., Faff R.: Dynamic industry uncertainty networks and the business cycle, Journal of Economic Dynamics & Control 159 Download Download DOI: 10.1016/j.jedc.2023.104793 [2024]
  8. Baruník Jozef, Nevrla Matěj: Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices, Journal of Financial Econometrics 21 5 (2023), p. 1590-1646 Download Download DOI: 10.1093/jjfinec/nbac017 [2023]
  9. Baruník Jozef, Bevilacqua M., Tunaru R.: Asymmetric Network Connectedness of Fears, Review of Economics and Statistics 104 6 (2022), p. 1304-1316 Download Download DOI: 10.1162/rest_a_01003 [2022]
  10. Baruník Jozef, Čech František: Measurement of common risks in tails: A panel quantile regression model for financial returns, Journal of Financial Markets 52 Download Download DOI: 10.1016/j.finmar.2020.100562 [2021]
  11. Baruník Jozef, Kočenda E.: Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets, Energy Journal 40, p. 157-174 Download Download DOI: 10.5547/01956574.40.SI2.jbar [2019]
  12. Čech František, Baruník Jozef: Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities, Journal of Futures Markets 39 9 (2019), p. 1167-1189 Download Download DOI: 10.1002/fut.22017 [2019]
  13. Baruník Jozef, Kley T.: Quantile coherency: A general measure for dependence between cyclical economic variables, Econometrics Journal 22 2 (2019), p. 131-152 Download Download DOI: 10.1093/ectj/utz002 [2019]
  14. Anatolyev Stanislav, Baruník Jozef: Forecasting dynamic return distributions based on ordered binary choice, International Journal of Forecasting 35 3 (2019), p. 823-835 Download DOI: 10.1016/j.ijforecast.2019.01.005 [2019]
  15. Baruník Jozef, Křehlík Tomáš: Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk, Journal of Financial Econometrics 16 2 (2018), p. 271-296 Download DOI: 10.1093/jjfinec/nby001 [2018]
  16. Kukačka Jiří, Baruník Jozef: Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood, Journal of Economic Dynamics & Control 85 1 (2017), p. 21-45 Download DOI: 10.1016/j.jedc.2017.09.006 [2017]
  17. Kraicová Lucie, Baruník Jozef: Estimation of long memory in volatility using wavelets, Studies in Nonlinear Dynamics and Econometrics 21 Download DOI: 10.1515/snde-2016-0101 [2017]
  18. Čech František, Baruník Jozef: On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model, Journal of Forecasting 36 1 (2017), p. 181-206 Download DOI: 10.1002/for.2423 [2017]
  19. Křehlík Tomáš, Baruník Jozef: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets, Energy Economics 65 1 (2017), p. 208-218 Download DOI: 10.1016/j.eneco.2017.05.003 [2017]
  20. Baruník Jozef, Kočenda Evžen, Vácha Lukáš: Asymmetric volatility connectedness on the forex market, Journal of International Money and Finance 77 1 (2017), p. 39-56 Download DOI: 10.1016/j.jimonfin.2017.06.003 [2017]
  21. Avdulaj Krenar, Baruník Jozef: Semiparametric nonlinear quantile regression model for financial returns, Studies in Nonlinear Dynamics and Econometrics 21 1 (2017), p. 81-97 Download DOI: 10.1515/snde-2016-0044 [2017]
  22. Žikeš F., Baruník Jozef, Shenai N.: Modeling and Forecasting Persistent Financial Durations, Econometric Reviews 36 10 (2017), p. 1081-1110 Download DOI: 10.1080/07474938.2014.977057 [2017]
  23. Baruník Jozef, Hlínková M.: Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression, Economic Modelling 54 1 (2016), p. 503-514 Download DOI: 10.1016/j.econmod.2016.01.014 [2016]
  24. Baruník Jozef, Křehlík Tomáš: Combining high frequency data with non-linear models for forecasting energy market volatility, Expert Systems With Applications 55 1 (2016), p. 222-242 Download DOI: 10.1016/j.eswa.2016.02.008 [2016]
  25. Baruník Jozef, Křehlík Tomáš, Vácha Lukáš: Modeling and forecasting exchange rate volatility in time-frequency domain, European Journal of Operational Research 251 1 (2016), p. 329-340 Download DOI: 10.1016/j.ejor.2015.12.010 [2016]
  26. Baruník Jozef, Malinská B.: Forecasting the term structure of crude oil futures prices with neural networks, Applied Energy 164 1 (2016), p. 366-379 Download DOI: 10.1016/j.apenergy.2015.11.051 [2016]
  27. Baruník Jozef, Kočenda Evžen, Vácha Lukáš: Gold, oil, and stocks: Dynamic correlations, International Review of Economics & Finance 42 1 (2016), p. 186-201 Download DOI: 10.1016/j.iref.2015.08.006 [2016]
  28. Žikeš F., Baruník Jozef: Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility, Journal of Financial Econometrics 14 1 (2016), p. 185-226 Download DOI: 10.1093/jjfinec/nbu029 [2016]
  29. Avdulaj Krenar, Baruník Jozef: Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data, Energy Economics 51 1 (2015), p. 31-44 Download DOI: 10.1016/j.eneco.2015.05.018 [2015]
  30. Baruník Jozef, Kočenda Evžen, Vácha Lukáš: Volatility Spillovers Across Petroleum Markets, Energy Journal 36 3 (2015), p. 309-329 Download DOI: 10.5547/01956574.37.1.jbar [2015]
  31. Baruník Jozef, Dvořáková S.: An Empirical Model Of Fractionally Cointegrated Daily High And Low Stock Market Prices, Economic Modelling 45 1 (2015), p. 193-206 Download DOI: 10.1016/j.econmod.2014.11.024 [2015]
  32. Baruník Jozef, Vácha Lukáš: Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, Quantitative Finance 15 8 (2015), p. 1347-1364 Download DOI: 10.1080/14697688.2014.950319 [2015]
  33. Baruník Jozef, Kukačka Jiří: Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility, Quantitative Finance 15 6 (2015), p. 959-973 Download DOI: 10.1080/14697688.2014.950319 [2015]
  34. Franta M., Baruník Jozef, Horváth Roman, Šmídková K.: Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests, International Journal of Central Banking 10 1 (2014), p. 159-187 [2014]
  35. Avdulaj Krenar, Baruník Jozef: Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets, Finance a úvěr-Czech Journal of Economics and Finance 63 5 (2013), p. 425-442 Download [2013]
  36. Baruník Jozef, Vácha Lukáš: Contagion among Central and Eastern European stock markets during the financial crisis, Finance a úvěr-Czech Journal of Economics and Finance 63 5 (2013), p. 443-453 Download [2013]
  37. Baruník Jozef: Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?, ACTA VŠFS 7 1 (2013), p. 6-30 Download [2013]
  38. Kukačka Jiří, Baruník Jozef: Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment, Physica. A : Statistical Mechanics and its Applications 392 23 (2013), p. 5920-5938 Download DOI: 10.1016/j.physa.2013.07.050 [2013]
  39. Baruník Jozef, Aste T., Di Matteo T., Liu R.: Understanding the source of multifractality in financial markets, Physica. A : Statistical Mechanics and its Applications 391 17 (2012), p. 4234-4251 Download DOI: 10.1016/j.physa.2012.03.037 [2012]
  40. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav: How do skilled traders change the structure of the market, International Review of Financial Analysis 23 1 (2012), p. 66-71 Download DOI: 10.1016/j.irfa.2011.06.011 [2012]
  41. Vácha Lukáš, Baruník Jozef: Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis, Energy Economics 34 1 (2012), p. 241-247 DOI: 10.1016/j.eneco.2011.10.007 [2012]
  42. Baruník Jozef, Baruníková M.: Neural Networks as Semiparametric Option Pricing Tool, Bulletin of the Czech Econometric Society 18 28 (2011), p. 66-83 Download [2011]
  43. Baruník Jozef, Vácha Lukáš, Krištoufek Ladislav: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data, IES Working Papers 2011 22 (2011), p. 1-22 Download [2011]
  44. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav: Tail Behavior of the Central European Stock Markets during the Financial Crisis, AUCO Czech Economic Review 4 3 (2010), p. 282-294 Download [2010]
  45. Baruník Jozef, Vácha Lukáš: Monte Carlo-based tail exponent estimator, Physica. A : Statistical Mechanics and its Applications 389 21 (2010), p. 4863-4874 Download DOI: 10.1016/j.physa.2010.06.054 [2010]
  46. Baruník Jozef, Krištoufek Ladislav: On Hurst exponent estimation under heavy-tailed distributions, Physica. A : Statistical Mechanics and its Applications 389 18 (2010), p. 3844-3855 Download DOI: 10.1016/j.physa.2010.05.025 [2010]
  47. Baruník Jozef, Soták B.: Vplyv rôznych foriem vlastníctva na efektivitu Českých a Slovenských bánk: Prístup analýzy stochastických hraníc, Politická ekonomie 58 2 (2010), p. 207-224 [2010]
  48. Baruník Jozef, Vácha Lukáš: Monte Carlo-Based Tail Exponent Estimator, IES Working Paper 2010 6 (2010), p. 1-26 Download [2010]
  49. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav: Smart Agents and Sentiment in the Heterogeneous Agent Model, ERCIM News 81 (2010), p. 39-40 Download [2010]
  50. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav: Tail Behavior of the Central European Stock Markets during the Financial Crisis, IES Working Papers 2010 4 (2010), p. 1-17 Download [2010]
  51. Baruník Jozef, Vácha Lukáš: Wavelet Analysis of Central European Stock Market Behaviour During the Crisis, IES Working Papers 2009 23 (2009), p. 1-14 [2009]
  52. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav: Smart predictors in the heterogeneous agent model, Journal of Economic Interaction and Coordination 4 2 (2009), p. 163-172 DOI: 10.1007/s11403-009-0051-0 [2009]
  53. Baruník Jozef, Vošvrda Miloslav: Can a stochastic cusp catastrophe model explain stock market crashes?, Journal of Economic Dynamics & Control 33 10 (2009), p. 1824-1836 DOI: 10.1016/j.jedc.2009.04.004 [2009]
  54. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav: Smart Agents and Sentiment in the Heterogeneous Agent Model, Prague Economic Papers 18 3 (2009), p. 209-219 Download [2009]
  55. Vošvrda Miloslav, Baruník Jozef: Modelování Krachů na kapitálových trzích: Aplikace teorie stochastických katastrof, Politická ekonomie 2008 6 (2008), p. 759-771 Download [2008]
  56. Baruník Jozef: How Do Neural Networks Enhance the Predictability of Central European Stock Returns?, Finance a úvěr-Czech Journal of Economics and Finance 58, p. 359-376 Download [2008]

Other publications

  1. Baruník Jozef, Kočenda Evžen, Vácha Lukáš: Asymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (Kiel, 2014) Download [2014]
  2. Baruník Jozef, Vácha Lukáš: Modeling multivariate volatility using wavelet-based realized covariance estimator, Mathematical Methods in Economics 2011, p. 29-34 [2011]
  3. Baruník Jozef: L. E. Calvet & A. J. Fisher: Multifractal Volatility: Theory, Forecasting, and Pricing, AUCO Czech Economic Review 4 3 (2010), p. 341-343 Download [2010]
  4. Baruník Jozef, Vácha Lukáš, Krištoufek Ladislav: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data, 28th International Conference on Mathematical Methods in Economics 2010, p. 12-17, Eds: Houda Michal, Friebelová Jana Download [2010]
  5. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav: Power Law Behavior of the Central European Stock Markets During the Financial Crisis, ÚTIA AV ČR (Praha, 2009) [2009]
  6. Baruník Jozef, Krištoufek Ladislav: On Hurst exponent estimation under heavy-tailed distributions, ÚTIA AV ČR (Praha, 2009) [2009]
  7. Baruník Jozef, Baruníková M.: Neural Networks as Semiparametric Option Pricing Tool, ÚTIA AV ČR (Praha, 2009) [2009]
  8. Vácha Lukáš, Baruník Jozef: What does the wavelet analysis tell us about the Central European stock markets behavior during the crisis?, Proceedings of 27th International Conference Mathematical Methods in Economics 2009, p. 7-12 Download [2009]
  9. Baruník Jozef, Vošvrda Miloslav: Cusp Catastrophe Theory: Application to U.S. Stock, Proceedings of 26th International Conference Mathematical Methods in Economics 2008, p. 12-25, Eds: Řehořová Pavla, Maršíková Kateřina Download [2008]
  10. Baruník Jozef, Vácha Lukáš: Neural Networks with Wavelet Based Denoising Layer: Application to Central European Stock Market Forecasting, Proceedings of 26th International Conference Mathematical Methods in Economics 2008, p. 1-6, Eds: Řehořová Pavla, Maršíková Kateřina Download [2008]
  11. Baruník Jozef, Vošvrda Miloslav: Stochastic Cusp Catastrophe Application to Stock Market Crashes Modeling, ÚTIA AV ČR (Praha, 2008) [2008]
  12. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav: Smart Predictors in the Heterogeneous Agent Model, ÚTIA AV ČR (Praha, 2008) [2008]
  13. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav: Sentiment Patterns in the Heterogeneous Agent Model, ÚTIA AV ČR (Praha, 2008) [2008]
  14. Vácha Lukáš, Baruník Jozef: Wavelet Neural Networks Prediction of Central European Stock Markets, ÚTIA AV ČR (Praha, 2008) [2008]
  15. Baruník Jozef, Vošvrda Miloslav: Application of Cusp Catastrophe Theory to U.S. Stock Market Crashes, Quantitative Methods in Economics: Multiple Criteria Decision making XIV, p. 19-27 [2008]
  16. Vácha Lukáš, Baruník Jozef: Wavelet Neural Networks Prediction of Central European Stock Markets, Quantitative Methods in Economics: Multiple Criteria Decision making XIV, p. 291-297 [2008]
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