PhDr. Jiří Kukačka Ph.D. - Publikace

Články v impaktovaných časopisech

2017 Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood, Journal of Economic Dynamics and Control (forthcoming), available here

2017 The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market, Computational Economics, forthcoming (first online), available here

2015 Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility, Quantitative Finance, 15 (6), pp. 959-973, available here

2013 Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment, Physica A, 392 (23), pp. 5920–5938, available here

IES Working Papers

2016 Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood, IES Working Papers 7/2016

2016 Prospect Theory in the Heterogeneous Agent Model, IES Working Papers 14/2016

2015 The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market, IES Working Papers 26/2015, published online in Computational Economics (see above)

2013 Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility, IES Working Papers 19/2013, published in Quantitative Finance (see above)

Ostatní

2016 WORK-IN-PROGRESS: On the Estimation of Behavioral Macroeconomic Models via Simulated Maximum Likelihood,

2016 WORK-IN-PROGRESS: Stable Liquidity Traps and Heterogeneous Expectations,

Submissions

2016 Prospect Theory in the Heterogeneous Agent Model, under revision for the Journal of Economic Interaction and Coordination, available here

Partneři

ČSOB
Deloitte
McKinsey & Company

Sponzoři

CRIF
EY