PhDr. Ladislav Krištoufek

Position: Ph.D. candidate
Field of interest: Financial econometrics, econophysics
Membership: Center for Doctoral Studies, Finance and Capital Markets, Internal, PhD Candidates

Contact

Office: 602
Email: kristoufek [AT] ies-prague [DOT] org
Phone: use e-mail please
Personal web pages: http://ideas.repec.org/e/pkr148.html
Available: upon request

More information

• Publications
• Conferences
• Grants
• News

Syllabi

Teacher

JEB109 - Econometrics I

Assistant

JEM005 - Advanced Econometrics
JEB109 - Econometrics I
JEB110 - Econometrics II

PhD study

Tutor: Mgr. Lukáš Vácha Ph.D.

Studying from: 2009
PhDr examination: 10/2009
Final exam: 01/2011
Dissertation Proposal defence:
Dissertation defence:

Current work:
Hurst exponent properties for heavy-tailed distributions
Bootstrapping the Hurst exponent
Hurst exponent and predictability
Local fractal properties and market crashes
Multi-fractal analysis
Wavelet transforms and coherence
Volatility return intervals

Dissertation topic:
Long-range cross-correlations: Tests, estimators and applications

Disertation abstract:

The motivation of this thesis is to provide a basic framework for treating long-range cross-correlated processes while keeping the methodology and as- sumptions as general as possible. Starting from the definition of long-range cross-correlated processes as jointly stationary processes with asymptotically power-law decaying cross-correlation function, we show that such definition implies a divergent at origin cross-power spectrum and power-law scaling of covariances of partial sums of the long-range cross-correlated processes. Chapter 2 describes these and other basic definitions and propositions together with necessary proofs. Chapter 3 then introduces several processes which posses long-range cross-correlated series properties. Apart from cases when the memory parameter of the bivariate memory is a simple average of the parameters of the separate processes, we also introduce a new kind of process, which we call the mixed-correlated ARFIMA, which allows to control for both the bivariate and univariate memory parameters. Chapter 4 deals with tests for a presence of long-range cross-correlations. We develop three new tests, and Monte-Carlo-simulation-based statistical power and size of the tests are compared. The newly introduced tests strongly surpass the already existing one. In Chapter 5, we cover the estimators of long-range cross-correlation parame- ter of choice - the bivariate Hurst exponent. The estimators are split into two groups based on their domain of operation - time and frequency. In addition to four already existing estimators, one of which has been introduced by the author of this thesis, we introduce two new estimators. As another novelty, we reconfigure the estimators so that the power law coherency can be estimated as well. Finite sample statistical properties (bias, variance and mean squared error) of the estimators are compared for various specifications. In Chapter 6, we analyze the leverage effect between financial returns and volatility from a perspective of the long-range cross-correlations. We then conclude and hint several challenges for further research.

Optional courses:

CV

Organisation Memberships

DYME - Dynamic Models in Economics - Excellence Project
Czech Econometric Society (ČES)
Czech Economic Society (ČSE)
Society for Computational Economics (SCE)

Education

2009+: PhD. - IES FSV UK
2009: PhDr. Economics - IES FSV UK
2007 - 2009: Mgr. (MSc. equivalent) Economics - IES FSV UK
2006-2007: Economics, Erasmus Exchange Program - London Metropolitan Business School, London Metropolitan University, UK
2004 - 2007: Bc. (BSc. equivalent) Economics - IES FSV UK

Job history

2011: research visit, University of California, Berkeley
2010-2012: IES FSV UK, Statistics seminars
2010-2012: MUP, Statistics in public sector (external lecturer)
2009+: IES FSV UK, Econometrics seminars
2009+: IES FSV UK, Econometrics A seminars

Extra activities

2012+: Head, Committee for Studies Affairs, AS FSV UK
2010+: senator, Pedagogic Chamber, AS FSV UK
2010-12: member, Economic and Studies Committee, AS FSV UK
2009+: Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Department of Econometrics; research fellow

Referee:
- American Journal of Agricultural Economics
- AUCO Czech Economic Review
- Bulletin of the Czech Econometric Society
- Czech Journal of Economics and Finance
- Emerging Markets Finance and Trade
- Economic Modelling
- Energy Economics
- IES Working Papers Series
- Iranian Journal of Fuzzy Systems
- Kybernetika
- Theologia vitae

Awards and prizes

2013: Top 100 Educators 2013 (IBC, Cambridge, England)
2012: Energy Economics Contest - winner (with K. Janda and D. Zilberman)
2011: Award for the best publication and application at IITA AS CR 2011, Award for young authors
2011+: Bibliographic reference in „Who’s Who in the World“ (Marquis, USA, Edition 2012 & 2013)
2011: Best paper award at The 12th Doctoral Conference of Faculty of Finance and Accounting University of Economics, Prague
2011: "The best courses taught at the IES" award for Advanced Econometrics (with M.Netuka, J. Barunik and P.Gapko)
2010: Best students paper in theoretical economics (3rd place)
2009: MSc. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good masters diploma thesis and final state exam

Topics for supervision

all/awarded: 6/4
Awarded: Bc Marek Janča, Bc. Branislav Albert, Bc. Lukáš Jílek, Bc. Pavel Dvořák

Downloadable

Dissertation_R_codes
Econometrics I - Midterm results
Econometrics I - S1
Econometrics I - S10
Econometrics I - S11
Econometrics I - S2
Econometrics I - S3
Econometrics I - S4
Econometrics I - S5
Econometrics I - S6
Econometrics I - S7
Econometrics I - S8
Econometrics I - S9
Evaluation_2010
Evaluation_2011
Evaluation_2012
Instructions - Thesis
ISP
ISP Update 2010
ISP Update 2011
ISP Update 2012