Portfolio item number 1
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portfolio
Portfolio item number 2
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publications
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices
Published in Journal of Financial Econometrics, 2022
This article investigates how two important sources of risk—market tail risk (TR) and extreme market volatility risk—are priced into the cross-section of asset returns across various investment horizons.
Recommended citation: Barunik, J., Nevrla, M. (2022). "Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices" Journal of Financial Econometrics. Forthcoming. https://doi.org/10.1093/jjfinec/nbac017
Common Idiosyncratic Quantile Risk
Published in Revise & Resubmit in Review of Finance, 2023
We identify a new type of risk that is characterised by commonalities in the quantiles of the cross-sectional distribution of asset returns.
Recommended citation: Barunik, J., Nevrla, M. (2023). "Common Idiosyncratic Quantile Risk" Revise & Resubmit in Review of Finance. TBA. https://arxiv.org/abs/2208.14267
Common Idiosyncratic Quantile Risk
Published in Revise & Resubmit in Review of Finance, 2023
We identify a new type of risk that is characterised by commonalities in the quantiles of the cross-sectional distribution of asset returns.
Recommended citation: Barunik, J., Nevrla, M. (2023). "Common Idiosyncratic Quantile Risk" Revise & Resubmit in Review of Finance. TBA. https://arxiv.org/abs/2208.14267
talks
Talk 1 on Relevant Topic in Your Field
Published:
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Conference Proceeding talk 3 on Relevant Topic in Your Field
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teaching
Teaching experience 1
Undergraduate course, University 1, Department, 2014
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Teaching experience 2
Workshop, University 1, Department, 2015
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