Ladislav Krištoufek : Citation Profile


Are you Ladislav Krištoufek?

Univerzita Karlova v Praze (57% share)
Akademie věd České Republiky (43% share)

13

H index

20

i10 index

649

Citations

RESEARCH PRODUCTION:

49

Articles

66

Papers

RESEARCH ACTIVITY:

   11 years (2009 - 2020). See details.
   Cites by year: 59
   Journals where Ladislav Krištoufek has often published
   Relations with other researchers
   Recent citing documents: 182.    Total self citations: 63 (8.85 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pkr148
   Updated: 2020-11-21    RAS profile: 2020-11-08    
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Relations with other researchers


Works with:

Janda, Karel (10)

Bouri, Elie (5)

Ferreira, Paulo (4)

Zilberman, David (4)

Vošvrda, Miloslav (3)

Paulus, Michal (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Ladislav Krištoufek.

Is cited by:

Shen, Dehua (25)

Ciaian, Pavel (21)

Rajcaniova, Miroslava (20)

Ciaian, Pavel (20)

Kancs, d'Artis (18)

Tiwari, Aviral (17)

Bouri, Elie (16)

Sensoy, Ahmet (16)

Ferreira, Paulo (14)

Tabak, Benjamin (12)

Piroli, Giuseppe (11)

Cites to:

Zilberman, David (75)

Ciaian, Pavel (59)

Ciaian, Pavel (59)

Baruník, Jozef (52)

Janda, Karel (46)

Bouri, Elie (44)

Drabik, Dusan (41)

Kancs, d'Artis (36)

Hayes, Dermot (32)

serra, teresa (30)

Escalante, Cesar (28)

Main data


Where Ladislav Krištoufek has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications21
Energy Economics9
Politická ekonomie4
PLOS ONE2
Chaos, Solitons & Fractals2
The European Physical Journal B: Condensed Matter and Complex Systems2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org31
Working Papers IES / Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies14
FinMaP-Working Papers / Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents6
MPRA Paper / University Library of Munich, Germany4

Recent works citing Ladislav Krištoufek (2020 and 2019)


YearTitle of citing document
2020A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2019). Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier ; Donnat, Philippe . In: Papers. RePEc:arx:papers:1703.00485.

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2019An analysis of cryptocurrencies conditional cross correlations. (2019). Fernandez Bariviera, Aurelio ; Martinez-Ibanez, Oscar ; Aslanidis, Nektarios. In: Papers. RePEc:arx:papers:1811.08365.

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2019Wikipedia and Digital Currencies: Interplay Between Collective Attention and Market Performance. (2019). Baronchelli, Andrea ; Alessandretti, Laura ; Elbahrawy, Abeer. In: Papers. RePEc:arx:papers:1902.04517.

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2019Market efficiency, liquidity, and multifractality of Bitcoin: A dynamic study. (2019). Adachi, Takanori ; Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1902.09253.

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2020Copula-based local dependence between energy, agriculture and metal commodity markets. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Ji, Qiang. In: Papers. RePEc:arx:papers:2003.04007.

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2020Turn-of-the Year Affect in Gold Prices: Decomposition Analysis. (2020). Gulseven, Osman. In: Papers. RePEc:arx:papers:2003.11027.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2020Long memory in select stock returns using an alternative wavelet log-scale alignment approach. (2020). Kamaiah, Bandi ; Bhandari, Avishek. In: Papers. RePEc:arx:papers:2004.08550.

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2020Re-evaluating cryptocurrencies contribution to portfolio diversification -- A portfolio analysis with special focus on German investors. (2020). Hoffmann, Ingo ; Schmitz, Tim. In: Papers. RePEc:arx:papers:2006.06237.

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2020Complexity in economic and social systems: cryptocurrency market at around COVID-19. (2020). Stanisz, Tomasz ; O'Swikecimka, Pawel ; Kwapie, Jaroslaw ; Zd, Stanislaw Dro ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2009.10030.

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2020The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool. (2020). di Matteo, T ; Magafas, L G ; Brandi, Giuseppe ; Antoniades, Ioannis P. In: Papers. RePEc:arx:papers:2010.08890.

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2020Multiscale characteristics of the emerging global cryptocurrency market. (2020). Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Kwapie, Jaroslaw ; Zd, Stanislaw Dro ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2010.15403.

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2020Bitcoins future carbon footprint. (2020). Zhang, DA ; Stoll, Christian ; Gallersdorfer, Ulrich ; Klaassen, Lena ; Qin, Shize. In: Papers. RePEc:arx:papers:2011.02612.

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2019The impact of the Brexit referendum on British and European Union bank shares: a cross-correlation analysis with national indices. (2019). Pereira, Der ; Ferreira, Paulo. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00642.

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2020Ethereum as a Hedge: The intraday analysis. (2020). Ivanov, Stoyu ; Meshcheryakov, Artem. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-01010.

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2019Fractional Brownian motion: Difference iterative forecasting models. (2019). Li, Ming ; Song, Wanqing ; Chi, Chi-Hung ; Cattani, Carlo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:123:y:2019:i:c:p:347-355.

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2020Taxonomy of commodities assets via complexity-entropy causality plane. (2020). , Fernando ; Fernando, . In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s096007792030309x.

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2020A note on power-law cross-correlated processes. (2020). Trinidad, J E ; Casado, M P ; Sanchez-Granero, M A ; Fernandez-Martinez, M. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920303143.

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2019Revisiting global economic activity and crude oil prices: A wavelet analysis. (2019). Chu, Yin ; Gong, Qiang ; Chang, Chun-Ping ; Dong, Minyi. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:134-149.

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2019The validity of uncovered interest parity: Evidence from african members and non-member of the organisation of petroleum exporting countries (OPEC). (2019). Ogebe, Joseph O ; Adewuyi, Adeolu O. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:229-249.

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2019Nonlinear dependence in cryptocurrency markets. (2019). Laurini, Márcio ; Chaim, Pedro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:32-47.

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2019High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets. (2019). Sensoy, Ahmet ; Kang, Sanghoon ; Aslan, Aylin ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819301093.

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2020Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains. (2020). Li, Jianping ; Wang, Jun ; Chen, Xiuwen ; Sun, Xiaolei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302456.

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2020When do retail investors pay attention to their trading platforms?. (2020). Qadan, Mahmoud ; Aharon, David Y. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301066.

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2019Price delay and market frictions in cryptocurrency markets. (2019). Kochling, Gerrit ; Posch, Peter N ; Muller, Janis. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:39-41.

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2019In search of attention in agricultural commodity markets. (2019). Rajcaniova, Miroslava ; Ciaian, Pavel ; Pokrivak, Jan ; Rajaniova, Miroslava ; Mieka, Toma. In: Economics Letters. RePEc:eee:ecolet:v:184:y:2019:i:c:s0165176519303337.

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2019A novel market efficiency index for energy futures and their term structure risk premiums. (2019). Roberts, Helen ; Premachandra, I M ; Kuruppuarachchi, Duminda. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:23-33.

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2019The asymmetric response of gasoline prices to oil price shocks and policy uncertainty. (2019). Ratti, Ronald ; Kang, Wensheng ; de Gracia, Fernando Perez. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:66-79.

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2019Liquidity, surprise volume and return premia in the oil market. (2019). Wagner, Niklasf ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:93-104.

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2019Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2019). Baum, Christopher ; Zerilli, Paola ; Chen, Liyuan. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:111-129.

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2019Long run analysis of crude oil portfolios. (2019). Cerqueti, Roy ; Fanelli, Viviana ; Rotundo, Giulia. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:183-205.

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2019The role of information in retail gasoline price dispersion. (2019). Qiang, Hongjie ; Noel, Michael D. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:173-187.

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2019Energy price shocks, household location patterns and housing crises: Theory and implications. (2019). Sexton, Steven ; Wu, Junjie ; Zilberman, David. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:691-706.

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2019Can exchange rate pass-through explain the asymmetric gasoline puzzle? Evidence from a pooled panel threshold analysis of the EU. (2019). Stengos, Thanasis ; POLEMIS, MICHAEL ; Chen, Chaoyi. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1-12.

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2019On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework. (2019). Cao, Yan ; Cheng, Sheng. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:422-432.

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2019Replicating rockets and feathers. (2019). Fosten, Jack ; Cook, Steven. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:139-151.

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2019Leverage effect in energy futures revisited. (2019). Carnero, M. Angeles ; Perez, Ana. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:237-252.

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2019The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models. (2019). Cagli, Efe Caglar ; Mandaci, Pinar Evrim ; Taskin, Dilvin. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303354.

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2019Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1. (2019). Tiwari, Aviral ; Albulescu, Claudiu ; Yoon, Seong-Min ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s014098831930338x.

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2019Testing the oil price efficiency using various measures of long-range dependence. (2019). Tiwari, Aviral ; Roubaud, David ; Pathak, Rajesh. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303421.

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2019The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets. (2019). Song, Yingjie ; Geng, Jiang-Bo ; Du, Ya-Juan ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303597.

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2020Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals. (2020). Tiwari, Aviral ; Shahbaz, Muhammad ; Nasreen, Samia ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930324x.

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2020Measuring the Brazilian ethanol and gasoline market efficiency using DFA-Hurst and fractal dimension. (2020). Inacio, C. M. C., ; David, S A ; Machado, J. A. T., ; Quintino, D D. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319304098.

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2020How do dynamic responses of exchange rates to oil price shocks co-move? From a time-varying perspective. (2020). lucey, brian ; Huang, Shupei. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304384.

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2020Forecasting crude oil price volatility via a HM-EGARCH model. (2020). Li, Fuxing ; Xiao, Yang ; Lin, YU. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300323.

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2020Crude oil price and cryptocurrencies: Evidence of volatility connectedness and hedging strategy. (2020). Lin, Boqiang ; Okorie, David. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300426.

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2020Oil and pump prices: Testing their asymmetric relationship in a robust way. (2020). Filis, George ; Degiannakis, Stavros ; Bragoudakis, Zacharias. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300943.

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2019Do oil prices drive agricultural commodity prices? Further evidence in a global bio-energy context. (2019). Tao, Ran ; Wang, Xiao-Qing ; Su, Chi Wei ; Oana-Ramona, Lobon. In: Energy. RePEc:eee:energy:v:172:y:2019:i:c:p:691-701.

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2019Synergistic bio-oil production from hydrothermal co-liquefaction of Spirulina platensis and α-Cellulose. (2019). Chen, Haitao ; Zhang, BO ; Feng, Huan ; Kandasamy, Sabariswaran ; Wang, Qian. In: Energy. RePEc:eee:energy:v:174:y:2019:i:c:p:1283-1291.

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2020Dynamic complexity and causality of crude oil and major stock markets. (2020). Wang, Jun ; Xiao, DI. In: Energy. RePEc:eee:energy:v:193:y:2020:i:c:s0360544219324867.

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2020Multifractional Brownian motion and quantum-behaved particle swarm optimization for short term power load forecasting: An integrated approach. (2020). Chi, Chi-Hung ; Cattani, Carlo ; Song, Wanqing. In: Energy. RePEc:eee:energy:v:194:y:2020:i:c:s0360544219325423.

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2020Copula-based local dependence among energy, agriculture and metal commodities markets. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Ji, Qiang. In: Energy. RePEc:eee:energy:v:202:y:2020:i:c:s0360544220308690.

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2020Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes. (2020). Ghosh, Sajal ; Uddin, Gazi Salah ; Dutta, Anupam ; Kanjilal, Kakali ; Yahya, Muhammad. In: Energy. RePEc:eee:energy:v:202:y:2020:i:c:s0360544220308847.

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2019Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model. (2019). Ozkan, Aydin ; Grillini, Stefano ; Sharma, Abhijit. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:145-158.

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2019Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?. (2019). Lin, Jia-Juan ; Zhang, Yue-Jun. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919304387.

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2020Dynamic and frequency-domain spillover among economic policy uncertainty, stock and housing markets in China. (2020). Xia, Tongshui ; Geng, Jiang-Bo ; Yao, Chen-Xi. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919303126.

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2020Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach. (2020). Li, Jianping ; Wang, Jun ; Liu, Chang ; Sun, Xiaolei. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919303904.

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2020Does oil price have similar effects on the exchange rates of BRICS?. (2020). Lin, Boqiang ; Su, Tong. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s105752191930362x.

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2019Does the introduction of futures improve the efficiency of Bitcoin?. (2019). Posch, Peter N ; Muller, Janis ; Kochling, Gerrit. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:367-370.

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2019Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices. (2019). Ebrahimi, Seyed Babak ; Ghazani, Majid Mirzaee. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:60-68.

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2019Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework. (2019). Oxley, Les ; Glenn, Harold ; Hu, Yang. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:138-145.

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2019Does gold or Bitcoin hedge economic policy uncertainty?. (2019). Derbali, Abdelkader ; Yang, Zhongyi ; Tong, MU ; Wu, Shan. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:171-178.

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2019Bitcoin price–volume: A multifractal cross-correlation approach. (2019). Roubaud, David ; Bouri, Elie ; el Alaoui, Marwane . In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318306251.

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2020Rough volatility of Bitcoin. (2020). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231930337x.

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2020Technical trading rules in the cryptocurrency market. (2020). Sapkota, Niranjan ; Ahmed, Shaker ; Grobys, Klaus. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319308852.

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2020Cryptocurrencies and the downside risk in equity investments. (2020). lucey, brian ; Roubaud, David ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318306342.

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2020The psychology of cryptocurrency prices. (2020). Aloosh, Arash ; Ouzan, Samuel. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318309036.

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2020The financialization of Chinese commodity markets. (2020). Su, Yunpeng ; Pu, Yingjian ; Yang, Baochen. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319307512.

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2020Intraday efficiency-frequency nexus in the cryptocurrency markets. (2020). Sensoy, Ahmet ; Aslan, Aylin. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319308025.

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2020Efficiency in the markets of crypto-currencies. (2020). Leirvik, Thomas ; le Tran, VU. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319310438.

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2020Profitability of technical trading rules among cryptocurrencies with privacy function. (2020). Grobys, Klaus ; Ahmed, Shaker ; Sapkota, Niranjan. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320300829.

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2020Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. (2020). McGee, Richard ; Conlon, Thomas. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320304244.

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2019Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios. (2019). Chatziantoniou, Ioannis ; Antonakakis, Nikolaos ; Gabauer, David. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:37-51.

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2019Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting. (2019). Walther, Thomas ; Bouri, Elie ; Klein, Tony. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119302446.

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2020Signal-herding in cryptocurrencies. (2020). Tziogkidis, Panagiotis ; Philippas, Dionisis ; Rjiba, Hatem. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300755.

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2020Tail behavior of Bitcoin, the dollar, gold and the stock market index. (2020). Ho, JI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s104244312030086x.

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2020Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). , Walid. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206.

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2019The impact of social media campaigns on the success of new product introductions. (2019). Spann, Martin ; Baum, Daniela ; Thrridl, Carina ; Fller, Johann. In: Journal of Retailing and Consumer Services. RePEc:eee:joreco:v:50:y:2019:i:c:p:289-297.

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2019Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect. (2019). Gong, XU ; Yang, Cai ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:548-563.

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2019Energy and non-energy commodities: An asymmetric approach towards portfolio diversification in the commodity market. (2019). Kumar, Satish ; Eraslan, Veysel ; Bouri, Elie. In: Resources Policy. RePEc:eee:jrpoli:v:63:y:2019:i:c:20.

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2020Revisiting the valuable roles of commodities for international stock markets. (2020). Czudaj, Robert ; Hussain, Syed Jawad ; Bouri, Elie ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719307275.

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2020Cryptocurrencies and precious metals: A closer look from diversification perspective. (2020). Vo, Xuan Vinh ; Ur, Mobeen. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719308669.

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2020The effect of uncertainty on the precious metals market: New insights from Transfer Entropy and Neural Network VAR. (2020). Duc, Toan Luu. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719309365.

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2020Gold, platinum, and expected Bitcoin returns. (2020). Wang, Mei ; Burggraf, Tobias ; Duc, Toan Luu. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:56:y:2020:i:c:s1042444x20300177.

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2019Local detrended cross-correlation analysis for non-stationary time series. (2019). Zhai, Lu-Sheng ; Liu, Ruo-Yu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:222-233.

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2019Cross-correlations between Brazilian biofuel and food market: Ethanol versus sugar. (2019). Albuquerque, Cristiane Rocha ; Stosic, Tatijana ; de Melo, Gabriel Rivas. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:687-693.

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2019Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility. (2019). Akosah, Nana ; Alagidede, Paul ; Omane-Adjepong, Maurice. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:105-120.

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2019Long range dependence in the Bitcoin market: A study based on high-frequency data. (2019). Zargar, Faisal Nazir ; Kumar, Dilip. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:625-640.

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2019Information flow between Ibovespa and constituent companies. (2019). Jale, Jader S ; Stoi, Borko. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:233-239.

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2019Group transfer entropy with an application to cryptocurrencies. (2019). Dimpfl, Thomas ; Peter, Franziska J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:543-551.

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2019Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis. (2019). Ferreira, Paulo ; Pereira, Hernane Borges ; da Silva, Marcus Fernandes ; de Area, Eder Johson. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:86-96.

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2019Multifractal behavior of price and volume changes in the cryptocurrency market. (2019). Stosic, Tatijana ; Ludermir, Teresa B. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:520:y:2019:i:c:p:54-61.

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2019Modified multifractal large deviation spectrum based on CID for financial market system. (2019). Chen, Shijian ; Shang, Pengjian ; Wu, Yue. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:1331-1342.

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2019Complexity analysis of Brazilian agriculture and energy market. (2019). Stosic, Tatijana ; Rodriguez, Juan C ; Albarracin, Eva Susana. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:933-941.

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2019Bitcoin: Safe haven, hedge or diversifier? Perception of bitcoin in the context of a country’s economic situation — A stochastic volatility approach. (2019). Kliber, Agata ; Świerczyńska, Katarzyna ; Wierczyska, Katarzyna ; Musiakowska, Ida ; Marszaek, Pawe. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:246-257.

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2019Exploring disorder and complexity in the cryptocurrency space. (2019). Ludermir, Teresa B ; Stosic, Dusan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:548-556.

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2019Multifractal characterization of Brazilian market sectors. (2019). , Paulo ; Stosic, Darko. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:956-964.

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2019Exponentially decayed double power-law distribution of Bitcoin trade sizes. (2019). Zhou, Wei-Xing ; Gu, Gao-Feng ; Cai, Qing ; Li, Mu-Yao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s037843711931369x.

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2019A novel approach to detect volatility clusters in financial time series. (2019). Sanchez-Granero, M A ; Fernandez-Martinez, M ; Trinidad, J E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119314098.

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2019Co-movements between Bitcoin and Gold: A wavelet coherence analysis. (2019). Hernandez, Jose Arreola ; McIver, Ron P ; Kang, Sang Hoon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119304637.

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2020Nonlinear dependence and information spillover between electricity and fuel source markets: New evidence from a multi-scale analysis. (2020). Geng, Jiang-Bo ; Ji, Qiang ; Xia, Tongshui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119313299.

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More than 100 citations found, this list is not complete...

Works by Ladislav Krištoufek:


YearTitleTypeCited
2012Relationship Between Prices of Food, Fuel and Biofuel In: 131st Seminar, September 18-19, 2012, Prague, Czech Republic.
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paper1
2012Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations In: Papers.
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paper7
2012How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study In: Papers.
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paper9
2012How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study.(2012) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 9
article
2012On Hurst exponent estimation under heavy-tailed distributions In: Papers.
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paper66
2010On Hurst exponent estimation under heavy-tailed distributions.(2010) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 66
article
2012Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity In: Papers.
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paper17
2012FRACTAL MARKETS HYPOTHESIS AND THE GLOBAL FINANCIAL CRISIS: SCALING, INVESTMENT HORIZONS AND LIQUIDITY.(2012) In: Advances in Complex Systems (ACS).
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This paper has another version. Agregated cites: 17
article
2012Measuring capital market efficiency: Global and local correlations structure In: Papers.
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paper44
2013Measuring capital market efficiency: Global and local correlations structure.(2013) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 44
article
2012Time-Frequency Dynamics of Biofuels-Fuels-Food System In: Papers.
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paper39
2013Time–frequency dynamics of biofuel–fuel–food system.(2013) In: Energy Economics.
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This paper has another version. Agregated cites: 39
article
2013Time-Frequency Dynamics of Biofuels-Fuels-Food System.(2013) In: CAMA Working Papers.
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This paper has another version. Agregated cites: 39
paper
2014Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy In: Papers.
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paper29
2014Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy.(2014) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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This paper has another version. Agregated cites: 29
article
2014Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy.(2014) In: FinMaP-Working Papers.
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This paper has another version. Agregated cites: 29
paper
2013Testing power-law cross-correlations: Rescaled covariance test In: Papers.
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paper6
2013Mixed-correlated ARFIMA processes for power-law cross-correlations In: Papers.
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paper11
2013Mixed-correlated ARFIMA processes for power-law cross-correlations.(2013) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 11
article
2013Exponential and power laws in public procurement markets In: Papers.
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paper0
2013Long-term memory in electricity prices: Czech market evidence In: Papers.
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paper5
2013Long-term Memory in Electricity Prices: Czech Market Evidence.(2013) In: Czech Journal of Economics and Finance (Finance a uver).
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This paper has another version. Agregated cites: 5
article
2013Commodity futures and market efficiency In: Papers.
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paper44
2014Commodity futures and market efficiency.(2014) In: Energy Economics.
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This paper has another version. Agregated cites: 44
article
2013Can Google Trends search queries contribute to risk diversification? In: Papers.
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paper6
2013Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence In: Papers.
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paper6
2013Measuring correlations between non-stationary series with DCCA coefficient In: Papers.
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paper10
2014Measuring correlations between non-stationary series with DCCA coefficient.(2014) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 10
article
2013Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series In: Papers.
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paper2
2014Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series.(2014) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 2
article
2014Leverage effect in energy futures In: Papers.
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paper24
2014Leverage effect in energy futures.(2014) In: Energy Economics.
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This paper has another version. Agregated cites: 24
article
2014Leverage effect in energy futures.(2014) In: FinMaP-Working Papers.
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This paper has another version. Agregated cites: 24
paper
2014What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis In: Papers.
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paper25
2015What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis.(2015) In: PLOS ONE.
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This paper has another version. Agregated cites: 25
article
2014What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis.(2014) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2014Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets In: Papers.
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paper18
2015Rockets and feathers meet Joseph: Reinvestigating the oil–gasoline asymmetry on the international markets.(2015) In: Energy Economics.
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This paper has another version. Agregated cites: 18
article
2015Rockets and Feathers Meet Joseph: Reinvestigating the Oil-gasoline Asymmetry on the International Markets.(2015) In: Working Papers IES.
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This paper has another version. Agregated cites: 18
paper
2014Spectrum-based estimators of the bivariate Hurst exponent In: Papers.
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paper0
2014Can Google searches help nowcast and forecast unemployment rates in the Visegrad Group countries? In: Papers.
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paper1
2014On the interplay between short and long term memory in the power-law cross-correlations setting In: Papers.
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paper3
2015On the interplay between short and long term memory in the power-law cross-correlations setting.(2015) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 3
article
2014Finite sample properties of power-law cross-correlations estimators In: Papers.
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paper1
2015Finite sample properties of power-law cross-correlations estimators.(2015) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 1
article
2015Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales In: Papers.
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paper0
2015Worldwide clustering of the corruption perception In: Papers.
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paper2
2015Worldwide clustering of the corruption perception.(2015) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 2
article
2015Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components In: Papers.
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paper12
2015Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components.(2015) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 12
article
2015Gold, currencies and market efficiency In: Papers.
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paper13
2016Gold, currencies and market efficiency.(2016) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 13
article
2016Power-law cross-correlations estimation under heavy tails In: Papers.
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paper5
2017Fractal approach towards power-law coherency to measure cross-correlations between time series In: Papers.
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paper2
2018Power-law cross-correlations: Issues, solutions and future challenges In: Papers.
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paper1
2020Grandpa, grandpa, tell me the one about Bitcoin being a safe haven: Evidence from the COVID-19 pandemics In: Papers.
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paper0
2011Biofuels: Review of Policies and Impacts In: Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series.
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paper4
2013Non-linear Price Transmission between Biofuels, Fuels and Food Commodities In: CERGE-EI Working Papers.
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paper5
2013Non-linear price transmission between biofuels, fuels and food commodities.(2013) In: Working Papers IES.
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This paper has another version. Agregated cites: 5
paper
2010Long-range dependence in returns and volatility of Central European Stock Indices In: Bulletin of the Czech Econometric Society.
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article1
2010Long-range dependence in returns and volatility of Central European Stock Indices.(2010) In: Working Papers IES.
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This paper has another version. Agregated cites: 1
paper
2018Fractality in market risk structure: Dow Jones Industrial components case In: Chaos, Solitons & Fractals.
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article0
2010On spurious anti-persistence in the US stock indices In: Chaos, Solitons & Fractals.
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article0
2020Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality In: Journal of Economic Dynamics and Control.
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article1
2020Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin In: Economic Modelling.
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article3
2012Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective In: Energy Economics.
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article45
2019Information interdependence among energy, cryptocurrency and major commodity markets In: Energy Economics.
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article26
2019Food versus fuel: An updated and expanded evidence In: Energy Economics.
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article6
2017Food versus fuel: An updated and expanded evidence.(2017) In: CAMA Working Papers.
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This paper has another version. Agregated cites: 6
paper
2017Food versus Fuel: An Updated and Expanded Evidence.(2017) In: Working Papers IES.
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This paper has another version. Agregated cites: 6
paper
2019Are the crude oil markets really becoming more efficient over time? Some new evidence In: Energy Economics.
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article0
2018Are the Crude Oil Markets Really Becoming More Efficient over Time? Some New Evidence.(2018) In: Working Papers IES.
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This paper has another version. Agregated cites: 0
paper
2020Bitcoin and its mining on the equilibrium path In: Energy Economics.
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article0
2019Is Bitcoin a better safe-haven investment than gold and commodities? In: International Review of Financial Analysis.
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article34
2015Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents? In: Physica A: Statistical Mechanics and its Applications.
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article2
2017Has global warming modified the relationship between sunspot numbers and global temperatures? In: Physica A: Statistical Mechanics and its Applications.
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article0
2017What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions In: Physica A: Statistical Mechanics and its Applications.
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article4
2018Does solar activity affect human happiness? In: Physica A: Statistical Mechanics and its Applications.
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article0
2018On Bitcoin markets (in)efficiency and its evolution In: Physica A: Statistical Mechanics and its Applications.
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article28
2019Cryptocurrencies market efficiency ranking: Not so straightforward In: Physica A: Statistical Mechanics and its Applications.
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article4
2019Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws In: Physica A: Statistical Mechanics and its Applications.
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article0
2020DCCA and DMCA correlations of cryptocurrency markets In: Physica A: Statistical Mechanics and its Applications.
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article1
2020Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour In: Physica A: Statistical Mechanics and its Applications.
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article0
2020Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union In: Physica A: Statistical Mechanics and its Applications.
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article0
2020Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis In: The Quarterly Review of Economics and Finance.
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article0
2012Correlations between biofuels and related commodities: A taxonomy perspective In: CAMA Working Papers.
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paper5
2012Correlations between biofuels and related commodities: A taxonomy perspective.(2012) In: Working Papers IES.
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This paper has another version. Agregated cites: 5
paper
2012Mutual Responsiveness of Biofuels, Fuels and Food Prices In: CAMA Working Papers.
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paper10
2012Regime-Dependent Topological Properties of Biofuels Networks In: CAMA Working Papers.
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paper6
2013Regime-dependent topological properties of biofuels networks.(2013) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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This paper has another version. Agregated cites: 6
article
2015Co-movements of Ethanol Related Prices: Evidence from Brazil and the USA In: CAMA Working Papers.
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paper3
2016Foods, fuels or finances: Which prices matter for biofuels? In: CAMA Working Papers.
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paper2
2016Foods, Fuels or Finances: Which Prices Matter for Biofuels?.(2016) In: Working Papers IES.
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This paper has another version. Agregated cites: 2
paper
2019The relationship between fuel and food prices: Methods, outcomes, and lessons for commodity price risk management In: CAMA Working Papers.
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paper0
2010Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals In: Czech Economic Review.
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article8
2009Classical and modified rescaled range analysis: Sampling properties under heavy tails In: Working Papers IES.
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paper0
2011Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data In: Working Papers IES.
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paper12
2011Modeling the Environmental and Socio-Economic Impacts of Biofuels In: Working Papers IES.
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paper4
2014The Perspectives for Genetically Modified Cellulosic Ethanol in the Czech Republic In: Working Papers IES.
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paper2
2014Price elasticity of household water demand in the Czech Republic In: Working Papers IES.
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paper0
2017Prices of Biofuels and Related Commodities: An Example of Combined Economics and Graph Theory Approach In: Working Papers IES.
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paper0
2018The Relationship Between Fuel, Biofuel and Food Prices: Methods and Outcomes In: Working Papers IES.
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paper0
2015Nowcasting Unemployment Rates with Google Searches: Evidence from the Visegrad Group Countries In: PLOS ONE.
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article12
2015Nowcasting unemployment rates with Google searches: Evidence from the Visegrad Group countries.(2015) In: FinMaP-Working Papers.
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2009Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range In: MPRA Paper.
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2009Procesy s dlouhou pamětí a jejich vývoj ve výnosech indexu PX v letech 1999 – 2009 In: MPRA Paper.
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paper0
2009R/S analysis and DFA: finite sample properties and confidence intervals In: MPRA Paper.
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2013Provazanost trhu potravin, biopaliv a fosilnich paliv In: MPRA Paper.
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paper0
2010Dlouhá paměť a její vývoj ve výnosech burzovního indexu PX v letech 1997-2009 In: Politická ekonomie.
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article0
2012Efektivita kapitálových trhů: fraktální dimenze, Hurstův exponent a entropie In: Politická ekonomie.
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article1
2014Modelování provázanosti trhů potravin, biopaliv a fosilních paliv In: Politická ekonomie.
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article4
2018Ceny biopaliv a souvisejících komodit: analýza s použitím metod minimální kostry grafu a hierarchických stromů In: Politická ekonomie.
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article0
2018Capital asset pricing model in Portugal: Evidence from fractal regressions In: Portuguese Economic Journal.
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article1
2015Underpricing, underperformance and overreaction in initial pubic offerings: Evidence from investor attention using online searches In: FinMaP-Working Papers.
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paper5
2016Herding, minority game, market clearing and efficient markets in a simple spin model framework In: FinMaP-Working Papers.
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