PhDr. Jiří Kukačka Ph.D. - Publikace

Články v impaktovaných časopisech

2021 Corporate social responsibility and stock prices after the financial crisis: The role of strategic CSR activities, Journal of Business Ethics, DOI

2021 Does parameterization affect the complexity of agent-based models?, Journal of Economic Behavior & Organization, DOI

2021 Nash Q-learning agents in Hotelling's model: Reestablishing equilibrium, Communications in Nonlinear Science and Numerical Simulation, 99, 105805, DOI

2020 Do 'complex' financial models really lead to complex dynamics? Agent-based models and multifractality, Journal of Economic Dynamics and Control, 113C, 103855, 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

Kapitoly v knize

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 J ECON DYN CONTROL

2016 Prospect Theory in the heterogeneous agent model, IES Working Papers 14/2016, published in J ECON INTERACT COOR

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

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

Ostatní

2022 WORK IN PROGRESS: Is the Hamilton Regression Filter Really Superior to HP-Detrending?,

2021 Estimation of heuristic switching in behavioral macroeconomic models, Kiel University Economics Working Paper No 2021-01, DOI

2020 Notes on the Neglected Premisses of the Hodrick-Prescott Detrending and the Hamilton Regression Filter, SSRN Working Paper, DOI

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

Submissions

2022 Fundamental and speculative components of the cryptocurrency pricing dynamics, SSRN Working Paper, DOI

2022 Optimal moment set selection for the SMM using machine learning, SSRN Working Paper, DOI

2022 Reconsidering Hodrick-Prescott Detrending and Its Smoothing Parameter, SSRN Working Paper, DOI

2021 Credit Rating Downgrade Risk on Equity Returns, IES Working Papers 13/2020, DOI

2021 Estimation of heuristic switching in behavioral macroeconomic models, Kiel University Economics Working Paper No 2021-01, DOI

Srpen 2022
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Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance
Česká Spořitelna
EY