Grant detail

PRIMUS/19/HUM/17 2019-2021 Behavioral finance and macroeconomics: New insights for the mainstream

Principal investigator: prof. PhDr. Ladislav Krištoufek Ph.D.
Collaborators: Periklis Brakatsoulas M.Sc.
RNDr. Michal Červinka Ph.D.
PhDr. Jiří Kukačka Ph.D.
Jaroslav Pavlíček M.A.
Mgr. Lukáš Petrásek
Mgr. Jan Šíla MSc.
Ing. Mgr. Barbora Štěpánková M.A., Ph.D.
Ing. Weizhi Sun
Description: XXX
Participation:
Work in grant:
Web link:
Finance:
End date: 31.12.2021
Publications:

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

Avdulaj, K. & Kristoufek, L.: On tail dependence and multifractality

Bank-sourced credit transition matrices: Estimation and characteristics

Bank-Sourced Transition Matrices: Are Banks’ InternalCredit Risk Estimates Markovian?

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

Consistency of Banks’ Internal Probability of Default Estimates: Empirical Evidence from the COVID-19 Crisis

Corporate social responsibility and stock prices after the financial crisis: The role of strategic CSR activities

Credit Rating Downgrade Risk on Equity Returns

Credit Rating Downgrade Risk on Equity Returns

Do 'complex' financial models really lead to complex dynamics? Agent-based models and multifractality

Does parameterization affect the complexity of agent-based models?

Estimation of heuristic switching in behavioral macroeconomic models

Estimation of heuristic switching in behavioral macroeconomic models

Ferreira, P. & Kristoufek, L. & Pereira, E.: DCCA and DMCA correlations of cryptocurrency markets

Fil, M. & Kristoufek, L.: Pairs Trading in Cryptocurrency Markets

Ji, Q. & Bouri, E. & Kristoufek, L. & Lucey, B.: Realised volatility connectedness among Bitcoin exchange markets

Ji, Q. & Bouri, E. & Roubaud, D. & Kristoufek, L.: Information interdependence among energy, cryptocurrencies and major commodity markets

Kristoufek, L.: Bitcoin and its mining on the equilibrium path

Kristoufek, L.: Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic

Kristoufek, L.: Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws

Kristoufek, L.: On the role of stablecoins in cryptoasset pricing dynamics

Kristoufek, L.: Tethered, or Untethered? On the interplay between stablecoins and major cryptoassets

Nash Q-learning agents in Hotelling's model: Reestablishing equilibrium

Notes on the Neglected Premisses of the Hodrick-Prescott Detrending and the Hamilton Regression Filter

Quantifying Endogeneity of Cryptocurrency Markets

Quantifying Endogeneity of Cryptocurrency Markets

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

Shahzad, S.J.H. & Bouri, E. & Roubaud, D. & Kristoufek, L. & Lucey, B.: Is Bitcoin a better safe-haven investment than gold and commodities?

Shahzad, S.J.H. & Bouri, E. & Roubaud, D. & Kristoufek, L.: Hedging assets for G7 stock markets: Gold versus Bitcoin

Simulated maximum likelihood estimation of agent-based models in economics and finance

WORK IN PROGRESS: On Suitable Smoothing Parameters for Hodrick-Prescott Detrending

WORK IN PROGRESS: Optimal moment-subset selection for the simulated method of moments using machine learning

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

Conferences:

13th Conference on Computational and Financial Econometrics (CFE 2019)

14th Conference on Computational and Financial Econometrics (CFE 2020)

1st DISEI Workshop on Heterogeneity, Evolution and Networks in Economics (not funded by IES)

31st Annual EAEPE Conference 2019

3rd International Conference on Econometrics and Statistics (EcoSta 2019)

46th Annual Conference of the Eastern Economic Association

7th International Conference on New Trends in Econometrics and Finance (not funded by IES)

8th International Conference on Social Responsibility, Ethics and Sustainable Business

CCS 2021

CEF 2019: 25th Computing in Economics and Finance

CFE 2019: 13th Conference on Computational and Financial Econometrics

CFE 2019: 13th Conference on Computational and Financial Econometrics

CFE 2019: 13th Conference on Computational and Financial Econometrics

CFE 2020: 14th International Conference on Computational and Financial Econometrics

CFE 2021: 15th International Conference on Computational and Financial Econometrics

EcoSta 2019: 3rd International Conference on Econometrics and Statistics

EcoSta 2021: 4th International Conference on Econometrics and Statistics (not funded by IES)

EcoSta 2021: International Conference on Econometrics and Statistics

First International Workshop on Agentization: Rendering Conventional Models with Agent-Based Computing

ISCEF 2020: 6th International Symposium in Computational Economics and Finance

Second Behavioral Macroeconomics Workshop: Heterogeneity and Expectations in Macroeconomics and Finance

WEHIA 2021: 24.5th Workshop on Economics with Heterogeneous Interacting Agents

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance