Institute of Information Theory and Automation

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GJ17-12386Y

  1. Kukačka Jiří :  Simulated maximum likelihood estimation of agent-based models in economics and finance , Network Theory and Agent-Based Modeling in Economics and Finance, p. 203-226 , Eds: Chakrabarti A. S., Pichl L., Kaizoji T. [2019] DOI: 10.1007/978-981-13-8319-9_10

  1. Tilfani O., Krištoufek Ladislav, Ferreira P., El Boukfaoui M. Y. :  Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression , Physica. A : Statistical Mechanics and its Applications vol.588, 126530 [2022] Download Download DOI: 10.1016/j.physa.2021.126530
  2. Kukačka Jiří, Krištoufek Ladislav :  Does parameterization affect the complexity of agent-based models? , Journal of Economic Behavior & Organization vol.192, 1 (2021), p. 324-356 [2021] Download Download DOI: 10.1016/j.jebo.2021.10.007
  3. Shahzad S. J. H., Bouri E., Kayani G. M., Nasir R. M., Krištoufek Ladislav :  Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour , Physica. A : Statistical Mechanics and its Applications vol.550, 124519 [2020] Download Download DOI: 10.1016/j.physa.2020.124519
  4. Avdulaj Krenar, Krištoufek Ladislav :  On Tail Dependence and Multifractality , Mathematics vol.8, 1767 [2020] Download Download DOI: 10.3390/math8101767
  5. Ferreira P., Krištoufek Ladislav, Pereira E. J. D. A. L. :  DCCA and DMCA correlations of cryptocurrency markets , Physica. A : Statistical Mechanics and its Applications vol.545, 123803 [2020] Download Download DOI: 10.1016/j.physa.2019.123803
  6. Ferreira P., Krištoufek Ladislav :  Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union , Physica. A : Statistical Mechanics and its Applications vol.553, 124257 [2020] Download Download DOI: 10.1016/j.physa.2020.124257
  7. Kukačka Jiří, Krištoufek Ladislav :  Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality , Journal of Economic Dynamics & Control vol.113, 103855 [2020] Download Download DOI: 10.1016/j.jedc.2020.103855
  8. Shahzad S. J. H., Bouri E., Roubaud D., Krištoufek Ladislav, Lucey B. :  Is Bitcoin a better safe-haven investment than gold and commodities? , International Review of Financial Analysis vol.63, 1 (2019), p. 322-330 [2019] Download Download DOI: 10.1016/j.irfa.2019.01.002
  9. Krištoufek Ladislav, Vošvrda Miloslav :  Cryptocurrencies market efficiency ranking: Not so straightforward , Physica. A : Statistical Mechanics and its Applications vol.531, 120853 [2019] Download Download DOI: 10.1016/j.physa.2019.04.089
  10. Krištoufek Ladislav, Ferreira P. :  Capital asset pricing model in Portugal: Evidence from fractal regressions , Portuguese Economic Journal vol.17, 3 (2018), p. 173-183 [2018] Download DOI: 10.1007/s10258-018-0145-5
  11. Krištoufek Ladislav :  Fractality in market risk structure: Dow Jones Industrial components case , Chaos Solitons & Fractals vol.110, 1 (2018), p. 69-75 [2018] Download DOI: 10.1016/j.chaos.2018.02.028
2019-01-07 08:39
Institute of Information Theory and Automation