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

Articles in journals with impact factor

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, (online) Portuguese Economic Journal 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.: Are the crude oil markets really becoming more efficient over time? Some new evidence, (accepted) Energy Economics 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 (submitted), 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 Filip, O. & Janda, K. & Kristoufek, L. & Zilberman, D.: Food versus fuel: An updated and expanded evidence, (accepted) Energy Economics 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

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

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

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

2018 Bouri, E. & Shahzad, S.J.H. & Roubaud, D. & Kristoufek, L.: Hedging assets for G7 stock markets: Gold versus Bitcoin, (revised and resubmitted) Journal of Banking & Finance

2018 Kristoufek, L: Power-law cross-correlations: Issues, solutions and future challenges, (submitted) arXiv

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

2017 Kristoufek, L.: Is appreciation of Bitcoin reasonable? Evidence from fundamental economic laws,

Partners

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McKinsey & Company
Moneta Money Bank

Sponsors

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