Short bio

I am a Ph.D. student at the Institute of Economic Studies, Charles University (IES FSV UK). I am completing my Ph.D. research under the supervision of doc. PhDr. Jozef Baruník, Ph.D. Simultaneously, I am a researcher at Institute of Information Theory and Automation at the Czech Academy of Sciences (ÚTIA).

I concentrate my research on the field of financial econometrics. Specifically, I am interested in asset pricing, effects of various sources of risks with heterogeneous persistence, connectedness on financial markets, and time-variability of asset pricing relationships. My other research interest is predicting the outcomes of sporting events.

Research Interests

• Asset pricing: heterogeneously persistent risks, time-varying predictability, higher moment risks
• Other interests: predicting sport outcomes, betting strategies, connectedness

News

• [November 2024] “Risks of heterogeneously persistent higher moments” (with J. Baruník) published in International Review of Financial Analysis

• [May 2024] Submitted revision of “Heterogeneously Persistent Higher Moments Risks” (with J. Baruník)

In progress

• Skewness Dispersion and the Expected Equity Premium (with M. Babiak and J. Baruník)

Publications

Conferences

Selected conferences

• 10/2023: · Statistics of Machine Learning (Stat of ML), Prague · “Heterogeneously Persistent Higher Moment Risks.”
• 08/2023: · 6th International Conference on Econometrics and Statistics (Ecosta), Tokyo · “Distributional asymmetries and currency returns.”
• 07/2023: · International Financial and Banking Society (IFABS), Oxford · “Distributional asymmetries and currency returns.”
• 06/2022: · 6th International Workshop on Financial Markets and Nonlinear Dynamics (FMND), Paris · “Persistence of the higher moments risks.”
• 10/2021: · Statistics of Machine Learning (Stat of ML), Prague · “Distributional asymmetries and currency risk.”
• 08/2020: · Statistics of Machine Learning (Stat of ML), Prague · “Horizon-specific risk, higher moments, and asset prices.”
• 12/2018: · 12th International Conference on Computational and Financial Econometrics (CFE), Pisa · “Horizon-specific risk, higher moments, and asset prices.”
• 08/2018: · 2nd International Conference on Econometrics and Statistics, Hong Kong · “Does Skewness and Kurtosis Predict Asset Returns in the Long Run?”
• 04/2018: · Fifth International Symposium in Computational Economics and Finance, Paris · “Does Skewness and Kurtosis Predict Asset Returns in the Long Run?”
• 12/2017: · 11th International Conference on Computational and Financial Econometrics (CFE), London · “Do Cryptocurrencies and Traditional Asset Classes Influence Each Other?”

Teaching

Courses

• Teaching Assistant (at IES FSV UK)
  • Financial Econometrics I (JEM059) · 2018-present
• Teaching Assistant (previously at IES FSV UK)
  • Advanced Econometrics (JEM005)·2017-2021
  • Quantitative Methods II · 2019
  • Advanced Financial Econometrics II · 2020

Services

Thesis supervision

• Ongoing: 1 bachelor, 1 master
• Defended: 3 bachelor

Refereeing

• International Review of Financial Analysis


• Financial Innovation


• Financial Markets and Portfolio Management
• North American Journal of Economics and Finance
• Journal of Multinational Financial Management
• Czech Journal of Economics and Finance

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