prof. PhDr. Ladislav Krištoufek Ph.D. - Publikace

Články v impaktovaných časopisech

2021 Assaf, A. & Kristoufek, L & Demir, E. & Mitra, S.K..: Market Efficiency in the Art Markets Using a Combination of Long Memory, Fractal Dimension, and Approximate Entropy Measures, Journal of International Financial Markets, Institutions & Money 71:101312 PDF

2021 Does parameterization affect the complexity of agent-based models?, forthcoming in the Journal of Economic Behavior & Organization, DOI

2021 Kristoufek, L.: Tethered, or Untethered? On the interplay between stablecoins and major cryptoassets, (accepted) Finance Research Letters PDF

2021 Shahzad, S.J.H. & Bouri, E. & Kristoufek, L. & Saeed, T.: Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers, Financial Innovation 7:14 PDF

2020 Avdulaj, K. & Kristoufek, L.: On tail dependence and multifractality, Mathematics 8(10):1767 PDF

2020 Bouri, E. & Shahzad, S.J.H. & Roubaud, D. & Kristoufek, L. & Lucey, B.: Bitcoin, gold, and commodities as safe-havens for stock indices: New insight through wavelet analysis, Quarterly Review of Economics and Finance 77, pp. 156-164 PDF

2020 Do 'complex' financial models really lead to complex dynamics? Agent-based models and multifractality, Journal of Economic Dynamics and Control, 113C, 103855, DOI

2020 Ferreira, P. & Kristoufek, L. & Pereira, E.: DCCA and DMCA correlations of cryptocurrency markets, Physica A: Statistical Mechanics and Its Applications 545:123803 PDF

2020 Ferreira, P. & Kristoufek, L.: Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union, Physica A: Statistical Mechanics and Its Applications 553:124257 PDF

2020 Fil, M. & Kristoufek, L.: Pairs Trading in Cryptocurrency Markets, IEEE Access 8, pp. 172644-172651 PDF

2020 Kristoufek, L.: Bitcoin and its mining on the equilibrium path, Energy Economics 85, art. 104588 PDF

2020 Kristoufek, L.: Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic, Frontiers in Physics 8:296 arXiv PDF

2020 Shahzad, S.J.H. & Bouri, E. & Kayani, G.M. & Nasir, R.M. & Kristoufek, L. Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour, Physica A: Statistical Mechanics and Its Applications 550:124519 PDF

2019 Filip, O. & Janda, K. & Kristoufek, L. & Zilberman, D.: Food versus fuel: An updated and expanded evidence, Energy Economics 82, pp. 152-166 PDF

2019 Janda, K. & Kristoufek, L.: The Relationship Between Fuel and Food Prices: Methods and Outcomes, Annual Review of Resource Economics 11, pp. 195-216 PDF

2019 Ji, Q. & Bouri, E. & Kristoufek, L. & Lucey, B.: Realised volatility connectedness among Bitcoin exchange markets, (accepted) Finance Research Letters PDF

2019 Ji, Q. & Bouri, E. & Roubaud, D. & Kristoufek, L.: Information interdependence among energy, cryptocurrencies and major commodity markets, Energy Economics 81, pp. 1042-1055 PDF

2019 Kristoufek, L. & Vosvrda, M.: Cryptocurrencies market efficiency ranking: Not so straightforward, Physica A: Statistical Mechanics and its Applications 531:120853 PDF

2019 Kristoufek, L.: Are the crude oil markets really becoming more efficient over time? Some new evidence, Energy Economics 82, pp. 253-263 PDF

2019 Kristoufek, L.: Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws, Physica A: Statistical Mechanics and Its Applications 536, art. 120873 PDF

2019 Shahzad, S.J.H. & Bouri, E. & Roubaud, D. & Kristoufek, L. & Lucey, B.: Is Bitcoin a better safe-haven investment than gold and commodities?, International Review of Financial Analysis 63, pp. 322-330 PDF

2019 Shahzad, S.J.H. & Bouri, E. & Roubaud, D. & Kristoufek, L.: Hedging assets for G7 stock markets: Gold versus Bitcoin, (forthcoming) Economic Modelling PDF

2019 Tejkalova, A.N. & Kristoufek, L.: Anything Can Happen in Women’s Tennis, or Can It? An Empirical Investigation into Bias in Sports Journalism, (forthcoming) Communication and Sport PDF

2018 Filip, O. & Janda, K. & Kristoufek, L.: Ceny biopaliv a souvisejících komodit: propojení ekonomie a teorie grafů, Politická ekonomie 66 (2), pp. 218-239

2018 Kristoufek, L. & Ferreira, P.: Capital asset pricing model in Portugal: Evidence from fractal regressions, Portuguese Economic Journal 17 (3) pp. 173–183 PDF

2018 Kristoufek, L. & Vosvrda, M.: Herding, minority game, market clearing and efficient markets in a simple spin model framework, Communications in Nonlinear Science and Numerical Simulations 54, pp. 148-155 FinMaP WP PDF

2018 Kristoufek, L.: Does solar activity affect human happiness?, Physica A: Statistical Mechanics and Its Applications 493, pp. 47-53 PDF

2018 Kristoufek, L.: Fractality in market risk structure: Dow Jones Industrial components case, Chaos Solitons Fractals 110, pp. 69-75 PDF

2018 Kristoufek, L.: On Bitcoin markets (in)efficiency and its evolution, Physica A: Statistical Mechanics and Its Applications 503, pp. 257-262 PDF

2017 Ferreira, P. & Kristoufek, L.: What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions, Physica A: Statistical Mechanics and Its Applications 486, pp. 554-566 PDF

2017 Kristoufek, L.: Fractal approach towards power-law coherency to measure cross-correlations between time series, Communications in Nonlinear Science and Numerical Simulation 50, pp. 193-200 arXiv PDF

2017 Kristoufek, L.: Has global warming modified the relationship between sunspot numbers and global temperatures?, Physica A: Statistical Mechanics and Its Applications 468, pp. 351-358 arXiv PDF

2016 Filip, O. & Janda, K. & Kristoufek, L. & Zilberman, D.: Dynamics and evolution of the role of biofuels in global commodity and financial markets, Nature Energy 1:16169 PDF

2016 Kristoufek, L. & Janda, K. & Zilberman, D.: Co-movements of Ethanol Related Prices: Evidence from Brazil and the USA, GCB Bioenergy 8 (2), pp. 346-356 PDF

2016 Kristoufek, L. & Moat, H.S. & Preis, T.: Estimating suicide occurrence statistics using Google Trends, EPJ Data Science 5:32 PDF

2016 Kristoufek, L. & Vosvrda, M.: Gold, currencies and market efficiency, Physica A: Statistical Mechanics and Its Applications 449, pp. 27-34 arXiv PDF

2016 Kristoufek, L.: Power-law cross-correlations estimation under heavy tails, Communications in Nonlinear Science and Numerical Simulation 40, pp. 163-172 arXiv PDF

2016 Kristoufek, L.: Scaling of dependence between foreign exchange rates and stock markets in Central Europe, Acta Physica Polonica A 129(5), pp. 908-912 PDF

2015 Kristoufek, L. & Lunackova, P.: Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets, Energy Economics 49, pp. 1-8 arXiv PDF

2015 Kristoufek, L.: Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?, Physica A: Statistical Mechanics and Its Applications 431, pp. 124-127 arXiv PDF

2015 Kristoufek, L.: Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales, Physical Review E 91, art. 022802 arXiv PDF

2015 Kristoufek, L.: Finite sample properties of power-law cross-correlations estimators, Physica A: Statistical Mechanics and Its Applications 419, pp. 513-525 PDF arXiv

2015 Kristoufek, L.: On the interplay between short- and long-term memory in the power-law cross-correlations setting, Physica A: Statistical Mechanics and Its Applications 421, pp. 218-222 arXiv PDF

2015 Kristoufek, L.: 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 428, pp. 194-205 arXiv PDF

2015 Kristoufek, L.: What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis, PLoS ONE 10(4): e0123923 PDF

2015 Paulus, M. & Kristoufek, L.: Worldwide clustering of the corruption perception, Physica A: Statistical Mechanics and Its Applications 421, pp. 351-358 arXiv PDF

2015 Pavlicek, J. & Kristoufek, L.: Nowcasting unemployment rates with Google searches: Evidence from the Visegrad Group countries, PLoS ONE 10(5): e0127084 arXiv PDF

2015 Vakrman, T. & Kristoufek, L.: Underpricing, underperformance and overreaction in initial public offerings: Evidence from investor attention using online searches, SpringerPlus 4:84 PDF

2014 Blahova, P. & Janda, K. & Kristoufek, L.: The Perspectives for Genetically Modified Cellulosic Biofuels in the Central European Conditions, Agricultural Economics (Zemedelska Ekonomika) 60 (6), pp. 247-259 PDF

2014 Chrz, S. & Janda, K. & Kristoufek, L.: Provázanost trhu potravin, biopaliv a fosilních paliv, Politická ekonomie 62(1), pp. 117-140 MPRA PDF

2014 Kristoufek, L. & Janda, K. & Zilberman, D.: Price transmission between biofuels, fuels and food commodities, Biofuels Bioproducts & Biorefining 8 (3), pp. 362-373 PDF

2014 Kristoufek, L. & Vosvrda, M.: Commodity futures and market efficiency, Energy Economics 42, pp. 50-57 arXiv PDF

2014 Kristoufek, L. & Vosvrda, M.: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy, European Physical Journal B 87, art. 162 PDF arXiv

2014 Kristoufek, L.: Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series, Physica A: Statistical Mechanics and Its Applications 406, pp. 169-175 PDF arXiv

2014 Kristoufek, L.: Leverage effect in energy futures, Energy Economics 45, pp. 1-9 arXiv PDF

2014 Kristoufek, L.: Measuring correlations between non-stationary series with DCCA coefficient, Physica A: Statistical Mechanics and Its Applications 402, pp. 291-298 PDF arXiv

2014 Kristoufek, L.: Spectrum-based estimators of the bivariate Hurst exponent, Physical Review E 90, art. 062802 arXiv PDF

2013 Kristoufek, L. & Janda, K. & Zilberman, D.: Regime-dependent topological properties of biofuels networks, European Physical Journal B 86, art. 40 PDF

2013 Kristoufek, L. & Lunackova, P.: Long-term memory in electricity prices: Czech market evidence, Czech Journal of Economics and Finance 63(5), pp. 407-424 arXiv PDF

2013 Kristoufek, L. & Vosvrda, M.: Measuring capital market efficiency: Global and local correlations structure, Physica A: Statistical Mechanics and its Applications 392(1), pp. 184-193 arXiv PDF

2013 Kristoufek, L.: BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era, Scientific Reports 3:3415 PDF

2013 Kristoufek, L.: Can Google Trends search queries contribute to risk diversification?, Scientific Reports 3:2713 PDF

2013 Kristoufek, L.: Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence, Scientific Reports 3:2857 PDF

2013 Kristoufek, L.: Mixed-correlated ARFIMA processes for power-law cross-correlations, Physica A: Statistical Mechanics and its Applications 392(24), pp. 6484-6493 arXiv PDF

2013 Kristoufek, L.: Testing power-law cross-correlations: Rescaled covariance test, European Physical Journal B 86, art. 418 arXiv PDF

2013 Vacha, L. & Janda, K. & Kristoufek, L. & Zilberman, D.: Time-Frequency Dynamics of Biofuels-Fuels-Food System, Energy Economics 40, pp. 233-241 arXiv PDF

2012 Kristoufek, L. & Janda, K. & Zilberman, D.: Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective, Energy Economics 34(5), pp. 1380-1391 PDF

2012 Kristoufek, L. & Skuhrovec, J.: Exponential and power laws in public procurement markets, EPL (Europhysics Letters) 99, art. 28005 arXiv PDF

2012 Kristoufek, L. & Vosvrda, M.: Efektivita kapitálových trhů: Fraktální dimenze, Hurstův exponent a entropie, Politicka ekonomie 16(2), pp.208-221

2012 Kristoufek, L.: Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity, Advances in Complex Systems 15(6), 1250065 arXiv PDF

2012 Kristoufek, L.: How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study, Physica A: Statistical Mechanics and its Applications 391, pp. 4252-4260 arXiv PDF

2011 Kristoufek, L.: Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations, EPL (Europhysics Letters) 95, 68001 arXiv PDF

2010 Barunik, J. & Kristoufek, L.: On Hurst exponent estimation under heavy-tailed distributions, Physica A, 389 (18), pp. 3844-3855 PDF

2010 Kristoufek, L.: Dlouhá pamět a její vývoj ve výnosech burzovního indexu PX v letech 1997 - 2009, Politická ekonomie 58(4), pp. 471-487 PDF

2010 Kristoufek, L.: Local Scaling Properties and Market Turning Points at Prague Stock Exchange, Acta Physica Polonica B, Vol. 41, No. 6 (June) PDF

2010 Kristoufek, L.: On Spurious Anti-Persistence in the US Stock Indices, Chaos, Solitons & Fractals 43, pp. 68-78 PDF

Články v recenzovaných časopisech

2013 Kristoufek, L.: Non-stationary volatility with highly anti-persistent increments: Evidence from range-based volatility, Hyperion International Journal of Econophysics & New Economy 6(1), pp. 21-38 PDF

2012 Janda, K. & Kristoufek, L. & Zilberman, D.: Biofuels: Impacts and Policies, Agricultural Economics (Zemedelska Ekonomika) 58 (8), pp. 372-386 PDF

2010 Kristoufek, L.: Long-range dependence in returns and volatility of Central European Stock Indices, Bulletin of the Czech Econometric Society, Vol. 17, No. 27, pp. 50-67 PDF

2010 Kristoufek, L.: Rescaled range analysis and detrended fluctuation analysis: finite sample properties and confidence intervals, AUCO Czech Economic Review 4 (3), pp. 315-329 PDF

Kapitoly v knize

2021 Kristoufek, L: Power-law cross-correlations: Issues, solutions and future challenges, Simplicity of Complexity in Economic and Social Systems, pp. 43-54 arXiv PDF

2010 "Efficiency, persistence and predictability of Central European Stock Markets" In: Banking and Financial Markets in Central and Eastern Europe after 20 years of transition, Palgrave Macmillan Ltd. Contents

IES Working Papers

2021 Diversification Among Cryptoassets: Bitcoin Maximalism, Active Portfolio Management, and Survival Bias, IES Working Papers 31/2021

2019 Modeling UK Mortgage Demand Using Online Searches, IES Working Papers 18/2019

2018 Are the Crude Oil Markets Really Becoming More Efficient over Time? Some New Evidence, IES Working Papers 07/2018

2018 The Relationship Between Fuel, Biofuel and Food Prices: Methods and Outcomes, IES Working Papers 34/2018

2017 Food versus Fuel: An Updated and Expanded Evidence, IES Working Papers 26/2017

2017 Prices of Biofuels and Related Commodities: An Example of Combined Economics and Graph Theory Approach, IES Working Papers 07/2017

2016 Foods, Fuels or Finances: Which Prices Matter for Biofuels?, IES Working Papers 16/2016

2015 Rockets and Feathers Meet Joseph: Reinvestigating the Oil-gasoline Asymmetry on the International Markets, IES Working Papers 2/2015

2014 Price elasticity of household water demand in the Czech Republic, IES Working Papers 38/2014

2014 The Perspectives for Genetically Modified Cellulosic Ethanol in the Czech Republic, IES Working Papers 02/2014

2013 Kristoufek, L. & Janda, K. & Zilberman, D.: Non-linear price transmission between biofuels, fuels and food commodities, IES Working Papers 16/2013

2012 Kristoufek, L. & Janda, K. & Zilberman, D.: Correlations between biofuels and related commodities: A taxonomy perspective, IES Working Papers 15/2012

2011 Barunik, J. & Vacha, L. & Kristoufek, L.: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data, IES Working Papers 22/2011

2011 Janda, K. & Kristoufek, L. & Zilberman, D.: Modeling the Environmental and Socio-Economic Impacts of Biofuels, IES Working Papers 33/2011

2010 Kristoufek, L.: Long-range dependence in returns and volatility of Central European Stock Indices, IES Working Papers 3/2010 PDF

2009 Kristoufek, L.: Classical and modified rescaled range analysis: Sampling properties under heavy tails, IES Working Papers 26/2009 PDF

Články ve sborníku

2013 Kristoufek, L. & Vosvrda, M.: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy, Proceedings to 31st International Conference on Mathematical Methods in Economics 2013, pp. 470-475 PDF (whole conference proceedings)

2013 Kristoufek, L.: Mixed-correlated ARFIMA processes for power-law cross-correlations, Proceedings to 31st International Conference on Mathematical Methods in Economics 2013, pp. 464-469 PDF (whole conference proceedings)

2013 Public Policies on Biofuels in the Context of Energy Security,

2012 Kristoufek, L. & Vosvrda, M.: Measuring capital market efficiency with tools of statistical physics, Mathematical Methods in Economics 2012 Proceedings, pp. 496-501

2012 Kristoufek, L. & Vosvrda, M.: Measuring capital market efficiency with tools of statistical physics, Proceedings to The International Conference on Econophysics, New Economy & Complexity 2012 PDF

2012 Kristoufek, L.: Non-stationary volatility with highly anti-persistent increments: An alternative paradigm in volatility modeling?, Mathematical Methods in Economics 2012 Proceedings, pp. 490-495

2012 Kristoufek, L.: Non-stationary volatility with highly anti-persistent increments: Evidence from range-based volatility, Proceedings to The International Conference on Econophysics, New Economy & Complexity 2012 PDF

2011 Ivanková, K. & Krištoufek, L. & Vošvrda, M.: Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent, Mathematical Methods in Economics Proceedings (1), pp. 300-305

2011 Kristoufek, L.: Multifractal Height Cross-Correlation Analysis, Mathematical Methods in Economics 2011 Proceedings (2), pp. 407-412

2010 Barunik, J. & Vacha, L. & Kristoufek, L.: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data, Mathematical Methods in Economics Proceedings (1), pp. 12-17

2010 Kristoufek, L.: Local Scaling Properties and Market Turning Points at Prague Stock Exchange, The 11th Annual Doctoral Conference of FFU, VSE, Prague - Collection of Papers

2010 Kristoufek, L.: Multifractal Height Cross-Correlation Analysis, Proceedings to 47th EWGFM meeting

Ostatní

2021 WORK IN PROGRESS: What are the empirical factors influencing cryptocurrency prices?,

2016 Foods, fuels or finances: Which prices matter for biofuels?, CAMA Working Paper 63/2016

2015 Kristoufek, L. & Janda, K. & Zilberman, D.: Co-movements of Ethanol Related Prices: Evidence from Brazil and the USA, CAMA Working Paper 11/2015 PDF

2015 Pavlicek, J. & Kristoufek, L.: Nowcasting unemployment rates with Google searches: Evidence from the Visegrad Group countries, FinMap Working Papers 34 PDF

2015 Vakrman, T. & Kristoufek, L.: Underpricing, underperformance and overreaction in initial public offerings: Evidence from investor attention using online searches, FinMaP Working Papers 35 PDF

2014 Kristoufek, L. & Vosvrda, M.: Measuring capital market efficiency: Long- term memory, fractal dimension and approximate entropy, FinMaP Working Papers 18 PDF

2014 Kristoufek, L.: Leverage effect in energy futures, FinMaP Working Paper 17 PDF

2014 Kristoufek, L.: What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis, FinMaP Working Paper 23 PDF

2013 Kristoufek, L. & Janda, K. & Zilberman, D.: Non-linear price transmission between biofuels, fuels and food commodities, CERGE-EI Working Paper 481 PDF

2013 Time-Frequency Dynamics of Biofuels-Fuels-Food System, CAMAWorking Paper Series No. 27/2013, Australian National University

2012 Kristoufek, L. & Janda, K. & Zilberman, D.: Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective, Energy and Environmental Economics WP Series - 030 PDF

2012 Kristoufek, L. & Janda, K. & Zilberman, D.: Correlations between biofuels and related commodities: A taxonomy perspective, CAMA Working Paper Series 29/2012 PDF

2012 Kristoufek, L. & Janda, K. and Zilberman, D.: Mutual Responsiveness of Biofuels, Fuels and Food Prices, CAMA Working Paper Series 38/2012 PDF

2012 Regime-dependent Topological Properties of Biofuels Networks, CAMA Working Paper Series No. 49/2012, Australian National University,

2012 Vacha, L. & Janda, K. & Kristoufek, L., Zilberman, D.: Time-Frequency Dynamics of Biofuels-Fuels-Food System, Ithaca : Cornell University

2011 Janda, K.& Kristoufek, L. & Zilberman, D.: Biofuels: Review of Policies and Impacts, CUDARE Working Papers 1119/2011

2010 Kristoufek, L.: Multifractal Height Cross-Correlation Analysis, UTIA AV CR Research Report

Submissions

2021 Bouri, E. & Kristoufek, L. & Ahmad, T. & Shahzad, S.J.H.: Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies,

2021 Janda, K. & Kristoufek, L. & Schererova, B. & Zilberman, D.: Price Transmission in Biofuels-Related Global Networks: Minimum Spanning Trees Approach, (submitted)

2021 Kumar, A. & Kumar Mitra, S. & Bouri, E. & Kristoufek, L.: Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak, (revise and resubmit) Journal of International Financial Markets, Institutions & Money

2021 Sun, W. & Kristoufek, L.: Diversification among cryptoassets: Bitcoin maximalism, active portfolio management, and survival bias, (submitted)

2021 Zitek, J. & Kristoufek, L.: Capturing the effects of renewable resources on electricity prices: Evidence from the Czech Republic, (revise and resubmit) Energy Economics

2020 Kristoufek, L.: On the role of stablecoins in cryptoasset pricing dynamics, (revised and resubmitted) Financial Innovation SSRN

2020 Pavlicek, J. & Kristoufek, L.: Online searches as a leading indicator of new mortgages in the UK, (revised and resubmitted) Journal of Housing Economics

2020 Tilfani, O. & Kristoufek, L. & Ferreira, P. & El Boukfaoui, M.Y.: Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression,

2019 Arjasakusuma, S. & Yamaguchi, Y. & Kristoufek, L.: Quantifying Impacts from Warm ENSO Events in 1982–2016 to the Vegetation Ecosystem in Southeast Asia Determined using Multi-sensors Remote Sensing Data, (submitted)

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance