PhDr. Jiří Kukačka Ph.D. - Publications

Articles in journals with impact factor

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

2019 Prospect Theory in the heterogeneous agent model, Journal of Economic Interaction and Coordination, 14(1), pp. 147-174, DOI.

2018 The impact of the Tobin tax in a heterogeneous agent model of the foreign exchange market, Computational Economics, 51 (4), pp. 865-892, DOI.

2017 Estimation of financial agent-based models with simulated maximum likelihood, Journal of Economic Dynamics and Control, 85, pp. 21-45, DOI.

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

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

Chapter in book

2019 Simulated maximum likelihood estimation of agent-based models in economics and finance, Springer, Network Theory and Agent-Based Modeling in Economics and Finance, DOI

IES Working Papers

2020 Credit Rating Downgrade Risk on Equity Returns, IES Working Papers 13/2020

2016 Estimation of financial agent-based models with simulated maximum likelihood, IES Working Papers 7/2016, published in JEDC

2016 Prospect Theory in the heterogeneous agent model, IES Working Papers 14/2016, published in JEIC

2015 The impact of the Tobin tax in a heterogeneous agent model of the foreign exchange market, IES Working Papers 26/2015, published in CompEcon

2013 Realizing stock market crashes: Stochastic cusp catastrophe model of returns under the time-varying volatility, IES Working Papers 19/2013, published in QF

Others

2020 WORK IN PROGRESS: A reconsideration of practical Hodrick-Prescott detrending and its premisses,

2020 WORK IN PROGRESS: Is the Hamilton regression filter really superior to Hodrick-Prescott detrending?,

2020 WORK IN PROGRESS: On the neglected premisses of Hodrick-Prescott detrending and the Hamilton regression filter,

2019 WORK IN PROGRESS: Stable liquidity traps and heterogeneous expectations in a behavioral new Keynesian model,

2018 On the estimation of behavioral macroeconomic models via simulated maximum likelihood, Kiel University Economics Working Paper No 2018-11, DOI

Submissions

2020 Credit Rating Downgrade Risk on Equity Returns, IES Working Papers 13/2020, DOI, under review in J EMPIR FINANC

2020 Does calibration affect the complexity of agent-based models? A multifractal grid analysis, SSRN Working Paper, DOI, under review in J ECON BEHAV ORGAN

2019 Corporate social responsibility and stock prices after the financial crisis: The role of primary strategic CSR activities, SSRN Working Paper, DOI, revise&resubmit in J BUS ETHICS

2019 Nash Q-learning agents in Hotelling's model: Reestablishing equilibrium, SSRN Working Paper, DOI, under review in COMMUN NONLINEAR SCI

2019 On the estimation of behavioral macroeconomic models via simulated maximum likelihood, Kiel University Economics Working Paper No 2018-11, DOI, reject&resubmit in J APPL ECONOM

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Sponsors

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