doc. PhDr. Ladislav Krištoufek Ph.D. - Publications

Articles in journals with impact factor

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

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.: Interconnections within Food, Biofuel, and Fossil Fuel Markets, 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.: Capital markets efficiency: Fractal dimension, Hurst exponent and entropy, 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.: Local Scaling Properties and Market Turning Points at Prague Stock Exchange, Acta Physica Polonica B, Vol. 41, No. 6 (June) PDF

2010 Kristoufek, L.: Long-term memory and its evolution in returns of stock index PX between 1997 and 2009 , Politická ekonomie 58(4), pp. 471-487 PDF

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

Articles in refereed journals

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

Chapter in book

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

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

Article in collection

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

Others

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

2017 Ferreira, P. & Kristoufek, L.: Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union,

2017 Filip, O. & Janda, K. & Kristoufek, L. & Zilberman, D.: Food versus fuel: An updated and expanded evidence, (revised and resubmitted) Energy Economics

2017 Filip, O. & Janda, K. & Kristoufek, L.: Ceny biopaliv a souvisejících komodit: propojení ekonomie a teorie grafů, (revise and resubmit) Politická ekonomie

2017 Kristoufek, L.: Are the crude oil markets really becoming more efficient over time? Some new evidence (submitted),

2017 Kristoufek, L.: Does solar activity affect human happiness?, (revised and resubmitted) Physica A

2017 Kristoufek, L.: Fractality in market risk structure: Dow Jones Industrial components case (submitted),

Partners

ČSOB
Deloitte
McKinsey & Company

Sponsors

CRIF