Zobrazeno 1 - 10
of 305
pro vyhledávání: '"Baruník, Jozef"'
This paper presents a method for accurately predicting the full distribution of stock returns, given a comprehensive set of 194 stock characteristics and market variables. Such distributions, learned from rich data using a machine learning algorithm,
Externí odkaz:
http://arxiv.org/abs/2408.07497
Autor:
Barunik, Jozef, Vacha, Lukas
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary smoothly over t
Externí odkaz:
http://arxiv.org/abs/2402.01354
Autor:
Barunik, Jozef, Hanus, Lubos
We propose a novel machine learning approach to probabilistic forecasting of hourly day-ahead electricity prices. In contrast to recent advances in data-rich probabilistic forecasting that approximate the distributions with some features such as mome
Externí odkaz:
http://arxiv.org/abs/2310.02867
We identify a new type of risk, common firm-level investor fears, from commonalities within the cross-sectional distribution of individual stock options. We define firm-level fears that link with upward price movements as good fears, and those relati
Externí odkaz:
http://arxiv.org/abs/2309.03968
Autor:
Barunik, Jozef, Vacha, Lukas
This paper presents a model for smoothly varying heterogeneous persistence of economic data. We argue that such dynamics arise naturally from the dynamic nature of economic shocks with various degree of persistence. The identification of such dynamic
Externí odkaz:
http://arxiv.org/abs/2306.01511
Autor:
Barunik, Jozef, Nevrla, Matej
We identify a new type of risk that is characterised by commonalities in the quantiles of the cross-sectional distribution of asset returns. Our newly proposed quantile risk factors are associated with a quantile-specific risk premia and provide new
Externí odkaz:
http://arxiv.org/abs/2208.14267
Autor:
Barunik, Jozef, Hanus, Lubos
We propose a deep learning approach to probabilistic forecasting of macroeconomic and financial time series. Being able to learn complex patterns from a data rich environment, our approach is useful for a decision making that depends on uncertainty o
Externí odkaz:
http://arxiv.org/abs/2204.06848
Autor:
Baruník, Jozef, Kurka, Josef
Publikováno v:
In International Review of Financial Analysis November 2024 96 Part A
Autor:
Barunik, Jozef, Kurka, Josef
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, skewness and kurtosis are differentially priced in the cross-section of
Externí odkaz:
http://arxiv.org/abs/2104.04264
Autor:
Babiak, Mykola, Barunik, Jozef
This paper identifies new currency risk stemming from a network of idiosyncratic option-based currency volatilities and shows how such network risk is priced in the cross-section of currency returns. A portfolio that buys net-receivers and sells net-
Externí odkaz:
http://arxiv.org/abs/2101.09738