Position: Associate Professor
Field of interest: Financial Economics, Financial Econometrics
Membership: Finance and Capital Markets, Internal
Contact
Office: 503
Email: barunik [AT] fsv [DOT] cuni [DOT] cz
Phone: +420(776)259273
Personal web pages: https://barunik.github.io
Available: upon request
More information
Syllabi
Course supervisor
JEM217 - Advanced Econometrics
JED412 - Advanced Financial Econometrics I
JED413 - Advanced Financial Econometrics II
JEM210 - An Introduction to the Econometrics of Networks
JEM059 - Financial Econometrics I
JEM061 - Financial Econometrics II
Teacher
JEM217 - Advanced Econometrics
JED412 - Advanced Financial Econometrics I
JED413 - Advanced Financial Econometrics II
JEM116 - Applied Econometrics
JEM059 - Financial Econometrics I
JEM061 - Financial Econometrics II
CV
Organisation Memberships
European Finance Association (EFA), The Econometric Society, The Society for Financial Econometrics (SoFiE), The Czech Econometric Society
The Team
Education
2011 PhD in Economics, Charles University in Prague
2006 PhDr. in Economics, Charles University in Prague
2006 Mgr.(MSc. equivalent), in Economics, Charles University in Prague
2004 Bc. (BSc. equivalent) in Economics, Charles University in Prague
Job history
2021 - external consultant, Market Intelligence division, Bank of England
2019 - research visit Humboldt-Universität zu Berlin, School of Business and Economic (C.A.S.E.)
2018 - research visit Humboldt-Universität zu Berlin, School of Business and Economic (C.A.S.E.)
2017 - research visit Humboldt-Universität zu Berlin, School of Business and Economic (C.A.S.E.)
2017 (April)+: Associate Professor, Charles University in Prague
2015 - research visit Ruhr-Universitaet Bochum, Department of Mathematics, Institute of Statistics
2013+ lectures Advanced Econometrics
2013 - research visit ECARES - Solvay Brussels School of Economics and Management, Université libre de Bruxelles
2012 - research visit ECARES - Solvay Brussels School of Economics and Management, Université libre de Bruxelles
2011 (Oct.) - 2017 (March): Assistant Professor, Charles University in Prague
2013 + Research Fellow (Deputy Head of the Department from 2014), Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Department of Econometrics
2011-2012 PostDoc, Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Department of Econometrics
2011 - 2013 lectures Econometrics II
2009 - research visit CeNDEF, University of Amsterdam
2007+ lectures Applied Econometrics
2007+ lectures Quantitative Finance I and Quantitative Finance II
2007 - 2011 teaching assistant Econometrics A
2007-2011 Research Assistant, Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Department of Econometrics
Extra activities
2018+ President of the Czech Econometric Society
2018+ Editorial Board, Digital Finance
2016+ Editorial Board, Journal of Economic Interaction and Coordination
2014+ Editorial Board, Czech Journal of Economics and Finance
2015 Editor, Czech Economic Review
2013-2016 Grant Agency of the Czech Republic, Evaluation Committee. Member
2011-2016 Co-Editor, Bulletin of the Czech Econometric Society
Refereeing
(frequently for several journals). Selected list of journals: Energy Economics, International Journal of Forecasting, Journal of Econometrics, Journal of Business & Economic Statistics, Journal of Financial Econometrics, Journal of Economic Behavior & Organization, Journal of Economic Dynamics and Control, Journal of Financial Markets, Journal of International Money and Finance, Journal of Money, Credit and Banking, The Energy Journal
Currently supervising 6 PhD students and 8 M.A. theses at IES
Awards and prizes
2022 "The best courses taught at the IES" award for Advanced Econometrics
2022 "Golden course taught at the FSV" award for Advanced Econometrics
2021 "Golden course taught at the FSV" award for Applied Econometrics
2021 "Golden course taught at the FSV" award for Financial Econometrics I
2021 "The best courses taught at the IES" award for Advanced Econometrics, and Financial Econometrics I
2020 "The best courses taught at the IES" award for Applied Econometrics
2019 "The best courses taught at the IES" award for Applied Econometrics
2018 "The best courses taught at the IES" award for Applied Econometrics
2018 "Golden course taught at the FSV" award for Applied Econometrics
2018 "The best courses taught at the IES" award for Advanced Econometrics, and Quantitative Finance I
2017 "Golden course taught at the FSV" award for Quantitative Finance I
2016 "The best courses taught at the IES" award for Quantitative Finance I
2016 "Golden course taught at the FSV" award for Quantitative Finance I
2016 Principal investigator, Grant Agency of the Czech Republic, research grant on "New measures of dependence between economic variables" (2016-2018)
2015 1st place in the Energy Economics Contest (with B.Malinska)
2015 "Golden course taught at the FSV" award for Quantitative Finance I
2015 "The best courses taught at the IES" award for Advanced Econometrics and Quantitative Finance I
2014 "The best courses taught at the IES" award for Applied Econometrics (with R.Horvath and M.Baxa) and Quantitative Finance II (with L.Vacha)
2014 "The best courses taught at the IES" award for Advanced Econometrics
2014 Czech National Bank Economic Research Award 2014 for best working paper
2014 Local coordinator of the collaborative project under the 7th Framework Programme for EU research: "Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents" (2014 - 2016)
2014 Principal investigator (joint with E.Kočenda from CERGE-EI), Grant Agency of the Czech Republic, research grant on "Dynamic correlations and financial market risk" (2014-2016)
2013 1st place in the Energy Economics Contest (with K.Avdulaj)
2013 "The best courses taught at the IES" award for Quantitative Finance 1 (with L.Vacha)
2013 Principal investigator, Grant Agency of the Czech Republic, research grant on "Multivariate spectral analysis of financial markets" (2013-2015)
2012 Otto Wichterle award by the Academy of Sciences of the Czech Republic
2012 "Golden course taught at the FSV" award for Applied Econometrics
2012 ČEZ Corporate Chair holder (2012+)
2012 "The best courses taught at the IES" award for Quantitative Finance 1 (with L.Vacha)
2011 1st place in the Energy Economics Contest (with L.Vacha)
2011 1st place in the Competition for the Best Student Paper in Theoretical Economics awarded by the Czech Econometric Society
2011 "The best courses taught at the IES" award for Quantitative Finance 1 (with L.Vacha) and Advanced Econometrics (with M.Netuka, L.Kristoufek and P.Gapko)
2010 "The best courses taught at the IES" award for Quantitative Finance 1 (with L.Vacha) and Applied Econometrics (with R.Horvath and M.Baxa)
2010 Czech Econometric Society Award - 3rd place in the Competition for the Best Student Paper in Theoretical Economics
2009 Biographical profile published in the 2010 edition of „Who’s Who in the World “ (Marquis, USA)
2006 M.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good masters diploma thesis.
Topics for supervision
Bachelor theses
I welcome any topic in the field of Applied Financial Econometrics. The decision on the topic will be made after the discussion with the student.
Master theses
My research interest is in the development of mathematical models for understanding financial problems (such as measuring and managing financial risk), statistical methods and analyzis of financial data. Especially, topics in
Asset pricing
High-Frequency Data in Finance
Financial econometrics
Time Series Econometrics of Financial Markets
Machine learning, Artificial Intelligence, Neural Networks
Quantile Models
Nonparametric Data Analysis
High-dimensional financial data sets (big data)
Frequency domain econometrics (cyclical properties and behavior of economic variables).
Supervised Bachelor theses
all/awarded: 5/1
Awarded:
Bc. Štěpán Havel
Supervised Master Theses
all/awarded: 71/24
Awarded:
Bc. Dominik Benk, Mgr. Adam Nedvěd, Mgr. Daniel Benčík, Mgr. Diana Burdová, Mgr. Eva Brabcová, Mgr. František Čech, Mgr. Jan Malecha, Mgr. Jana Mašková, Mgr. Jiří Kukačka, Mgr. Jiří Poláček , Mgr. Ladislav Krištoufek, Mgr. Lucie Kraicová, Mgr. Lukáš Janásek, Mgr. Marek Lipán, Mgr. Martin Žofka , Mgr. Norbert Skákala, Mgr. Ondřej Šindelka, Mgr. Robert Verner, Mgr. Štefan Lipták, Mgr. Sylvie Dvořáková, Mgr. Tereza Malířová, Mgr. Tomáš Křehlík, Mgr. Tomáš Kroutil, Mgr. Veronika Dovhunová
Supervised Ph.D. Theses
number: 5
Barbora Gregor (12.10.2022), Jiří Kukačka (27.4.2016), Krenar Avdulaj (24.2.2016), PhDr. František Čech (4.6.2019), Tomáš Křehlík (27.9.2017)
Current Ph.D. students
number: 5
Mgr. Martin Hronec , Mgr. Lukáš Janásek , Mgr. Josef Kurka , Mgr. Lenka Nechvátalová , Mgr. Ing. Matěj Nevrla
