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Bibliography

Ladislav Krištoufek

  1. Sun W., Krištoufek Ladislav :  Beyond GARCH in cryptocurrency volatility modelling: superiority of range-based estimators , Applied Economics Letters [2024] Download Download DOI: 10.1080/13504851.2024.2363295
  2. Queiroz R. G. S., Krištoufek Ladislav, David S. A. :  A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling , Physica. A : Statistical Mechanics and its Applications vol.652, [2024] Download DOI: 10.1016/j.physa.2024.130046
  3. Šíla Jan, Kočenda Evžen, Krištoufek Ladislav, Kukačka Jiří :  Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness , JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY vol.96, [2024] Download DOI: 10.1016/j.intfin.2024.102062
  4. Bouri E., Krištoufek Ladislav, Ahmad T., Shahzad S. J. H. :  Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies , Annals of Operations Research vol.334, p. 547-573 [2024] Download DOI: 10.1007/s10479-022-04568-9
  5. Bouri E., Shahzad S. J. H., Krištoufek Ladislav :  Editorial to special issue “Hidden market linkages between Bitcoin, cryptocurrencies and financial markets: Evidence from high-frequency data and higher-order moments” in financial innovation , Financial Innovation vol.9, [2023] Download Download DOI: 10.1186/s40854-023-00560-9
  6. Krištoufek Ladislav :  Will Bitcoin ever become less volatile? , Finance Research Letters vol.51, [2023] Download Download DOI: 10.1016/j.frl.2022.103353
  7. Krištoufek Ladislav, Bouri E. :  Exploring sources of statistical arbitrage opportunities among Bitcoin exchanges , Finance Research Letters vol.51, [2023] Download Download DOI: 10.1016/j.frl.2022.103332
  8. Nedvěd M., Krištoufek Ladislav :  Safe havens for Bitcoin , Finance Research Letters vol.51, [2023] Download Download DOI: 10.1016/j.frl.2022.103436
  9. Inacio Jr. C. M. C., Krištoufek Ladislav, David S. A. :  Assessing the impact of the Russia–Ukraine war on energy prices: A dynamic cross-correlation analysis , Physica. A : Statistical Mechanics and its Applications vol.626, [2023] Download Download DOI: 10.1016/j.physa.2023.129084
  10. Kukačka Jiří, Krištoufek Ladislav :  Fundamental and speculative components of the cryptocurrency pricing dynamics , Financial Innovation vol.9, [2023] Download Download DOI: 10.1186/s40854-023-00465-7
  11. Krištoufek Ladislav :  On the role of stablecoins in cryptoasset pricing dynamics , Financial Innovation vol.8, [2022] Download Download DOI: 10.1186/s40854-022-00343-8
  12. Kumar A., Iqbal N., Mitra S. K., Krištoufek Ladislav, Bouri E. :  Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak , JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY vol.71, [2022] Download Download DOI: 10.1016/j.intfin.2022.101523
  13. Tilfani O., Krištoufek Ladislav, Ferreira P., El Boukfaoui M. Y. :  Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression , Physica. A : Statistical Mechanics and its Applications vol.588, [2022] Download Download DOI: 10.1016/j.physa.2021.126530
  14. Assaf A., Krištoufek Ladislav, Demir E., Mitra S. M. :  Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures , JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY vol.71, [2021] Download Download DOI: 10.1016/j.intfin.2021.101312
  15. Krištoufek Ladislav :  Tethered, or Untethered? On the interplay between stablecoins and major cryptoassets , Finance Research Letters vol.43, [2021] Download Download DOI: 10.1016/j.frl.2021.101991
  16. Shahzad S. J. H., Bouri E., Krištoufek Ladislav, Saeed T. :  Impact of the COVID‐19 outbreak on the US equity sectors: Evidence from quantile return spillovers , Financial Innovation vol.7, [2021] Download Download DOI: 10.1186/s40854-021-00228-2
  17. Kukačka Jiří, Krištoufek Ladislav :  Does parameterization affect the complexity of agent-based models? , Journal of Economic Behavior & Organization vol.192, 1 (2021), p. 324-356 [2021] Download Download DOI: 10.1016/j.jebo.2021.10.007
  18. Shahzad S. J. H., Bouri E., Kayani G. M., Nasir R. M., Krištoufek Ladislav :  Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour , Physica. A : Statistical Mechanics and its Applications vol.550, [2020] Download Download DOI: 10.1016/j.physa.2020.124519
  19. Krištoufek Ladislav :  Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic , Frontiers in Physics vol.8, [2020] Download Download DOI: 10.3389/fphy.2020.00296
  20. Avdulaj Krenar, Krištoufek Ladislav :  On Tail Dependence and Multifractality , Mathematics vol.8, [2020] Download Download DOI: 10.3390/math8101767
  21. Ferreira P., Krištoufek Ladislav, Pereira E. J. D. A. L. :  DCCA and DMCA correlations of cryptocurrency markets , Physica. A : Statistical Mechanics and its Applications vol.545, [2020] Download Download DOI: 10.1016/j.physa.2019.123803
  22. Ferreira P., Krištoufek Ladislav :  Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union , Physica. A : Statistical Mechanics and its Applications vol.553, [2020] Download Download DOI: 10.1016/j.physa.2020.124257
  23. Kukačka Jiří, Krištoufek Ladislav :  Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality , Journal of Economic Dynamics & Control vol.113, [2020] Download Download DOI: 10.1016/j.jedc.2020.103855
  24. Shahzad S. J. H., Bouri E., Roubaud D., Krištoufek Ladislav, Lucey B. :  Is Bitcoin a better safe-haven investment than gold and commodities? , International Review of Financial Analysis vol.63, 1 (2019), p. 322-330 [2019] Download Download DOI: 10.1016/j.irfa.2019.01.002
  25. Krištoufek Ladislav, Vošvrda Miloslav :  Cryptocurrencies market efficiency ranking: Not so straightforward , Physica. A : Statistical Mechanics and its Applications vol.531, [2019] Download Download DOI: 10.1016/j.physa.2019.04.089
  26. Krištoufek Ladislav, Vošvrda Miloslav :  Herding, minority game, market clearing and efficient markets in a simple spin model framework , Communications in Nonlinear Science and Numerical Simulation vol.54, 1 (2018), p. 148-155 [2018] Download Download DOI: 10.1016/j.cnsns.2017.05.025
  27. Krištoufek Ladislav, Ferreira P. :  Capital asset pricing model in Portugal: Evidence from fractal regressions , Portuguese Economic Journal vol.17, 3 (2018), p. 173-183 [2018] Download DOI: 10.1007/s10258-018-0145-5
  28. Krištoufek Ladislav :  Fractality in market risk structure: Dow Jones Industrial components case , Chaos Solitons & Fractals vol.110, 1 (2018), p. 69-75 [2018] Download DOI: 10.1016/j.chaos.2018.02.028
  29. Krištoufek Ladislav, Vošvrda Miloslav :  Herding, minority game, market clearing and efficient markets in a simple spin model framework , Communications in Nonlinear Science and Numerical Simulation vol.54, 1 (2018), p. 148-155 [2018] Download DOI: 10.1016/j.cnsns.2017.05.025
  30. Krištoufek Ladislav, Ferreira P. :  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 vol.486, 1 (2017), p. 554-566 [2017] Download DOI: 10.1016/j.physa.2017.05.085
  31. Krištoufek Ladislav :  Fractal approach towards power-law coherency to measure cross-correlations between time series , Communications in Nonlinear Science and Numerical Simulation vol.50, 1 (2017), p. 193-200 [2017] Download DOI: 10.1016/j.cnsns.2017.02.018
  32. Krištoufek Ladislav, Vošvrda Miloslav :  Gold, currencies and market efficiency , Physica. A : Statistical Mechanics and its Applications vol.449, 1 (2016), p. 27-34 [2016] Download Download DOI: 10.1016/j.physa.2015.12.075
  33. Krištoufek Ladislav :  Power-law cross-correlations estimation under heavy tails , Communications in Nonlinear Science and Numerical Simulation vol.40, 1 (2016), p. 163-172 [2016] Download DOI: 10.1016/j.cnsns.2016.04.010
  34. Krištoufek Ladislav, Vošvrda Miloslav :  Gold, currencies and market efficiency , Physica. A : Statistical Mechanics and its Applications vol.449, 1 (2016), p. 27-34 [2016] Download DOI: 10.1016/j.physa.2015.12.075
  35. Vakrman T., Krištoufek Ladislav :  Underpricing, underperformance and overreaction in initial public offerings: Evidence from investor attention using online searches , SpringerPlus vol.4, [2015] Download DOI: 10.1186/s40064-015-0839-4
  36. Pavlíček J., Krištoufek Ladislav :  Nowcasting Unemployment Rates with Google Searches: Evidence from the Visegrad Group Countries , PLoS ONE vol.10, [2015] Download DOI: 10.1371/journal.pone.0127084
  37. Krištoufek Ladislav :  What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis , PLoS ONE vol.10, [2015] Download DOI: 10.1371/journal.pone.0123923
  38. Krištoufek Ladislav :  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 vol.428, 1 (2015), p. 194-205 [2015] Download DOI: 10.1016/j.physa.2015.02.057
  39. Krištoufek Ladislav :  On the interplay between short and long term memory in the power-law cross-correlations setting , Physica. A : Statistical Mechanics and its Applications vol.421, 1 (2015), p. 218-222 [2015] Download DOI: 10.1016/j.physa.2014.11.040
  40. Krištoufek Ladislav :  Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales , Physical Review E vol.91, 1 (2015) [2015] Download DOI: 10.1103/PhysRevE.91.022802
  41. Krištoufek Ladislav :  Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents? , Physica. A : Statistical Mechanics and its Applications vol.431, 1 (2015), p. 124-127 [2015] Download DOI: 10.1016/j.physa.2015.02.086
  42. Krištoufek Ladislav, Luňáčková P. :  Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets , Energy Economics vol.49, 1 (2015), p. 1-8 [2015] Download DOI: 10.1016/j.eneco.2015.01.013
  43. Krištoufek Ladislav :  Finite sample properties of power-law cross-correlations estimators , Physica. A : Statistical Mechanics and its Applications vol.419, 1 (2015), p. 513-525 [2015] Download DOI: 10.1016/j.physa.2014.10.068
  44. Krištoufek Ladislav, Vošvrda Miloslav :  Commodity futures and market efficiency , Energy Economics vol.42, 1 (2014), p. 50-57 [2014] Download DOI: 10.1016/j.eneco.2013.12.001
  45. Chrz Š., Janda K., Krištoufek Ladislav :  Provázanost trhu potravin, biopaliv a fosilních paliv , Politická ekonomie vol.62, 1 (2014), p. 117-140 [2014] Download DOI: 10.18267/j.polek.940
  46. Krištoufek Ladislav :  Spectrum-based estimators of the bivariate Hurst exponent , Physical Review E vol.90, 6 (2014) [2014] Download DOI: 10.1103/PhysRevE.90.062802
  47. Krištoufek Ladislav :  Measuring correlations between non-stationary series with DCCA coefficient , Physica. A : Statistical Mechanics and its Applications vol.402, 1 (2014), p. 291-298 [2014] Download DOI: 10.1016/j.physa.2014.01.058
  48. Krištoufek Ladislav :  Leverage effect in energy futures , Energy Economics vol.45, 1 (2014), p. 1-9 [2014] Download DOI: 10.1016/j.eneco.2014.06.009
  49. Krištoufek Ladislav :  Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series , Physica. A : Statistical Mechanics and its Applications vol.406, 1 (2014), p. 169-175 [2014] Download DOI: 10.1016/j.physa.2014.03.015
  50. Krištoufek Ladislav, Janda K., Zilberman D. :  Price transmission between biofuels, fuels and food commodities , Biofuels Bioproducts & Biorefining-Biofpr vol.8, 3 (2014), p. 362-373 [2014] Download DOI: 10.1002/bbb.1464
  51. Bláhová P., Janda K., Krištoufek Ladislav :  The perspectives for genetically modified cellulosic biofuels in the Central European conditions , Agricultural Economics = Zemědělská ekonomika vol.60, 6 (2014), p. 247-259 [2014] Download
  52. Krištoufek Ladislav, Vošvrda Miloslav :  Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy , European Physical Journal B vol.87, 7 (2014) [2014] Download DOI: 10.1140/epjb/e2014-50113-6
  53. Krištoufek Ladislav, Vošvrda Miloslav :  Commodity futures and market efficiency , Energy Economics vol.42, 1 (2014), p. 50-57 [2014] Download DOI: 10.1016/j.eneco.2013.12.001
  54. Krištoufek Ladislav, Luňáčková P. :  Long-term memory in electricity prices: Czech market evidence , Finance a úvěr-Czech Journal of Economics and Finance vol.63, 5 (2013), p. 407-424 [2013] Download
  55. Krištoufek Ladislav :  BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era , Scientific Reports vol.3, [2013] Download DOI: 10.1038/srep03415
  56. Krištoufek Ladislav :  Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence , Scientific Reports vol.3, 10 (2013) [2013] Download DOI: 10.1038/srep02857
  57. Krištoufek Ladislav :  Testing power-law cross-correlations: Rescaled covariance test , European Physical Journal B vol.86, 10 (2013) [2013] Download DOI: 10.1140/epjb/e2013-40705-y
  58. Krištoufek Ladislav :  Mixed-correlated ARFIMA processes for power-law cross-correlations , Physica. A : Statistical Mechanics and its Applications vol.392, 24 (2013), p. 6484-6493 [2013] Download DOI: 10.1016/j.physa.2013.08.041
  59. Krištoufek Ladislav :  Can Google Trends search queries contribute to risk diversification? , Scientific Reports vol.3, 2713 (2013), p. 1-5 [2013] Download DOI: 10.1038/srep02713
  60. Vácha Lukáš, Janda K., Krištoufek Ladislav, Zilberman D. :  Time-Frequency Dynamics of Biofuel-Fuel-Food System , Energy Economics vol.40, 1 (2013), p. 233-241 [2013] Download DOI: 10.1016/j.eneco.2013.06.015
  61. Krištoufek Ladislav, Janda K., Zilberman D. :  Regime-dependent topological properties of biofuels networks , European Physical Journal B vol.86, 2 (2013) [2013] Download DOI: 10.1140/epjb/e2012-30871-9
  62. Krištoufek Ladislav, Vošvrda Miloslav :  Measuring capital market efficiency: Global and local correlations structure , Physica. A : Statistical Mechanics and its Applications vol.392, 1 (2013), p. 184-193 [2013] Download DOI: 10.1016/j.physa.2012.08.003
  63. Krištoufek Ladislav, Skuhrovec J. :  Exponential and power laws in public procurement markets , EPL vol.99, 2 (2012) [2012] Download DOI: 10.1209/0295-5075/99/28005
  64. Krištoufek Ladislav, Janda Karel, Zilberman D. :  Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective , Energy Economics vol.34, 5 (2012), p. 1380-1391 [2012] Download DOI: 10.1016/j.eneco.2012.06.016
  65. Krištoufek Ladislav :  How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study , Physica. A : Statistical Mechanics and its Applications vol.391, 17 (2012), p. 4252-4260 [2012] Download DOI: 10.1016/j.physa.2012.04.005
  66. Krištoufek Ladislav :  Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity , Advances in Complex Systems vol.15, 6 (2012) [2012] Download DOI: 10.1142/S0219525912500658
  67. Krištoufek Ladislav, Vošvrda Miloslav :  Efektivita kapitálových trhů: Fraktální dimenze, Hurstův exponent a entropie , Politická ekonomie vol.60, 2 (2012), p. 208-221 [2012] Download
  68. Baruník Jozef, Vácha Lukáš, Krištoufek Ladislav :  Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data , IES Working Papers vol.2011, 22 (2011), p. 1-22 [2011] Download
  69. Krištoufek Ladislav :  Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations , EPL vol.95, 6 (2011) [2011] Download DOI: 10.1209/0295-5075/95/68001
  70. Krištoufek Ladislav :  On spurious anti-persistence in the US stock indices , Chaos Solitons & Fractals vol.43, 1 (2010), p. 68-78 [2010] Download DOI: 10.1016/j.chaos.2010.09.001
  71. Krištoufek Ladislav :  Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals , AUCO Czech Economic Review, 3 (2010), p. 236-250 [2010] Download
  72. Krištoufek Ladislav :  Dlouhá pamět a její vývoj ve výnosech burzovního indexu PX v letech 1997 - 2009 , Politická ekonomie vol.58, 4 (2010), p. 471-478 [2010] Download
  73. Baruník Jozef, Krištoufek Ladislav :  On Hurst exponent estimation under heavy-tailed distributions , Physica. A : Statistical Mechanics and its Applications vol.389, 18 (2010), p. 3844-3855 [2010] Download DOI: 10.1016/j.physa.2010.05.025
  74. Krištoufek Ladislav :  Local Scaling Properties and Market Turning Points at Prague Stock Exchange , Acta physica Polonica. B vol.41, 6 (2010), p. 1001-1014 [2010] Download
  75. Krištoufek Ladislav :  Long-range dependence in returns and volatility of Central European Stock Indices , Bulletin of the Czech Econometric Society vol.17, 27 (2010), p. 50-67 [2010] Download
  76. Krištoufek Ladislav :  Long-range dependence in returns and volatility of Central European Stock Indices , IES Working Papers vol.2010, 3 (2010), p. 1-19 [2010] Download
  77. Krištoufek Ladislav :  Classical and modified rescaled range analysis: Sampling properties under heavy tails , IES Wokring Papers vol.2009, 29 (2009), p. 1-17 [2009] Download

  1. Šíla Jan, Kočenda Evžen, Kukačka Jiří, Krištoufek Ladislav :  Good vs. Bad Volatility in Major Cryptocurrencies: The Dichotomy and Drivers of Connectedness, IES UK, (IES UK 2023) Research Report 24/2023 [2023] Download
  2. Krištoufek Ladislav, Vošvrda Miloslav :  Capital market efficiency in the Ising model environment: Local and global effects , Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016, p. 465-470 , Eds: Kocourek A., MME 2016. International Conference Mathematical Methods in Economics /34./, (Liberec, CZ, 06.09.2016-09.09.2016) [2016] Download
  3. Krištoufek Ladislav :  Scaling of dependence between foreign exchange rates and stock markets in Central Europe , Acta Physica Polonica A. Vol 129, n. 5 (2016) - Proceedings of the 8th Polish Symposium of Physics in Economy and Social Sciences FENS, p. 908-912, Polish Symposium of Physics in Economy and Social Sciences FENS (2016) /8./, (Rzeszów, PL, 20151104) [2016] Download DOI: 10.12693/APhysPolA.129.908
  4. Krištoufek Ladislav, Vošvrda Miloslav :  Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy , Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, p. 470-475 , Eds: Vojáčková Hana, MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./, (Jihlava, CZ, 11.09.2013-13.09.2013) [2013] Download
  5. Ivanková Kristýna, Krištoufek Ladislav, Vošvrda Miloslav :  Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent , Mathematical Methods in Economics 2011, p. 300-305, Mathematical Methods in Economics 2011, (Jánska Dolina, SK, 06.09.2011-09.09.2011) [2011] Download
  6. Krištoufek Ladislav :  Multifractal Height Cross-Correlation Analysis , Mathematical Methods in Economics 2011, p. 1-19, Mathematical Methods in Economics 2011, (Jánska Dolina, SK, 06.09.2011-09.09.2011) [2011] Download
  7. Baruník Jozef, Vácha Lukáš, Krištoufek Ladislav :  Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data , 28th International Conference on Mathematical Methods in Economics 2010, p. 12-17 , Eds: Houda Michal, Friebelová Jana, Mathematical Methods in Economics 2010, (České Budějovice, CZ, 08.09.2010-10.09.2010) [2010] Download
  8. Krištoufek Ladislav :  Multifractal height cross-correlation analysis, ÚTIA AV ČR, (Praha 2010) Research Report 2281 [2010] Download
  9. Baruník Jozef, Krištoufek Ladislav :  On Hurst exponent estimation under heavy-tailed distributions, ÚTIA AV ČR, (Praha 2009) Research Report 2267 [2009]