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GP14-11402P

  1. Krištoufek Ladislav :  Fractal approach towards power-law coherency to measure cross-correlations between time series , Communications in Nonlinear Science and Numerical Simulation vol.50, 1 (2017), p. 193-200 [2017] Download DOI: 10.1016/j.cnsns.2017.02.018
  2. Krištoufek Ladislav :  Power-law cross-correlations estimation under heavy tails , Communications in Nonlinear Science and Numerical Simulation vol.40, 1 (2016), p. 163-172 [2016] Download DOI: 10.1016/j.cnsns.2016.04.010
  3. Krištoufek Ladislav :  Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components , Physica. A : Statistical Mechanics and its Applications vol.428, 1 (2015), p. 194-205 [2015] Download DOI: 10.1016/j.physa.2015.02.057
  4. Krištoufek Ladislav :  On the interplay between short and long term memory in the power-law cross-correlations setting , Physica. A : Statistical Mechanics and its Applications vol.421, 1 (2015), p. 218-222 [2015] Download DOI: 10.1016/j.physa.2014.11.040
  5. Krištoufek Ladislav :  Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales , Physical Review E vol.91, 1 (2015) [2015] Download DOI: 10.1103/PhysRevE.91.022802
  6. Krištoufek Ladislav :  Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents? , Physica. A : Statistical Mechanics and its Applications vol.431, 1 (2015), p. 124-127 [2015] Download DOI: 10.1016/j.physa.2015.02.086
  7. Krištoufek Ladislav, Luňáčková P. :  Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets , Energy Economics vol.49, 1 (2015), p. 1-8 [2015] Download DOI: 10.1016/j.eneco.2015.01.013
  8. Krištoufek Ladislav :  Finite sample properties of power-law cross-correlations estimators , Physica. A : Statistical Mechanics and its Applications vol.419, 1 (2015), p. 513-525 [2015] Download DOI: 10.1016/j.physa.2014.10.068
  9. Krištoufek Ladislav :  Spectrum-based estimators of the bivariate Hurst exponent , Physical Review E vol.90, 6 (2014) [2014] Download DOI: 10.1103/PhysRevE.90.062802
  10. Krištoufek Ladislav :  Measuring correlations between non-stationary series with DCCA coefficient , Physica. A : Statistical Mechanics and its Applications vol.402, 1 (2014), p. 291-298 [2014] Download DOI: 10.1016/j.physa.2014.01.058
  11. Krištoufek Ladislav :  Leverage effect in energy futures , Energy Economics vol.45, 1 (2014), p. 1-9 [2014] Download DOI: 10.1016/j.eneco.2014.06.009
  12. Krištoufek Ladislav :  Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series , Physica. A : Statistical Mechanics and its Applications vol.406, 1 (2014), p. 169-175 [2014] Download DOI: 10.1016/j.physa.2014.03.015

  1. Krištoufek Ladislav :  Scaling of dependence between foreign exchange rates and stock markets in Central Europe , Acta Physica Polonica A. Vol 129, n. 5 (2016) - Proceedings of the 8th Polish Symposium of Physics in Economy and Social Sciences FENS, p. 908-912, Polish Symposium of Physics in Economy and Social Sciences FENS (2016) /8./, (Rzeszów, PL, 20151104) [2016] Download DOI: 10.12693/APhysPolA.129.908