Research outputs
2026
Common Idiosyncratic Quantile Factors and Asset Prices
Baruník, J., & Nevrla, M. (2026). Common Idiosyncratic Quantile Factors and Asset Prices. Journal of Financial and Quantitative Analysis. doi:10.1017/S002210902610307X
2023
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices*
Barunik, J., & Nevrla, M. (2023). Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices*. JOURNAL OF FINANCIAL ECONOMETRICS, 21(5), 1590-1646. doi:10.1093/jjfinec/nbac017
2022
2020
Systemic risk in European financial and energy sectors: Dynamic factor copula approach
Nevrla, M. (2020). Systemic risk in European financial and energy sectors: Dynamic factor copula approach. ECONOMIC SYSTEMS, 44(4), 25 pages. doi:10.1016/j.ecosys.2020.100820
Investment Disputes and Abnormal Volatility of Stocks
Baruník, J., Drabek, Z., & Nevrla, M. (2020). Investment Disputes and Abnormal Volatility of Stocks. doi:10.2139/ssrn.3630279