Ladislav Krištoufek : Citation Profile


Are you Ladislav Krištoufek?

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

13

H index

19

i10 index

573

Citations

RESEARCH PRODUCTION:

48

Articles

66

Papers

RESEARCH ACTIVITY:

   11 years (2009 - 2020). See details.
   Cites by year: 52
   Journals where Ladislav Krištoufek has often published
   Relations with other researchers
   Recent citing documents: 218.    Total self citations: 60 (9.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pkr148
   Updated: 2020-08-09    RAS profile: 2020-08-09    
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Relations with other researchers


Works with:

Janda, Karel (12)

Vošvrda, Miloslav (9)

Zilberman, David (5)

Ferreira, Paulo (3)

Vacha, Lukas (2)

Bouri, Elie (2)

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 (31)

Ciaian, Pavel (21)

Rajcaniova, Miroslava (20)

Ciaian, Pavel (20)

Kancs, d'Artis (18)

Tiwari, Aviral (15)

Ferreira, Paulo (13)

Sensoy, Ahmet (13)

Tabak, Benjamin (12)

Piroli, Giuseppe (11)

Manera, Matteo (10)

Cites to:

Zilberman, David (75)

Ciaian, Pavel (58)

Ciaian, Pavel (58)

Baruník, Jozef (48)

Janda, Karel (46)

Drabik, Dusan (41)

Kancs, d'Artis (35)

Bouri, Elie (33)

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
The European Physical Journal B: Condensed Matter and Complex Systems2
Chaos, Solitons & Fractals2

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
2017Integration and hedging efficiency between the Brazilian and the U.S. ethanol markets. (2017). Cruz, Jose Cesar ; Tonin, Julyerme M ; Dario, Daniel Henrique. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258520.

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2017Analiza efektywności informacyjnej w formie słabej na rynkach „soft commodities” z wykorzystaniem wybranych testów statystycznych. (2017). Gorska, Anna ; Krawiec, Monika. In: Problems of World Agriculture / Problemy Rolnictwa Światowego. RePEc:ags:polpwa:264480.

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2017A confidence-based model for asset and derivative prices in the BitCoin market. (2017). Cretarola, Alessandra ; Talamanca, Gianna Figa . In: Papers. RePEc:arx:papers:1702.00215.

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2019A 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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2017Evolutionary dynamics of the cryptocurrency market. (2017). Baronchelli, Andrea ; Pastor-Satorras, Romualdo ; Kandler, Anne ; Alessandretti, Laura ; Elbahrawy, Abeer. In: Papers. RePEc:arx:papers:1705.05334.

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2017Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperu, Waldo ; Jos, Mar'Ia . In: Papers. RePEc:arx:papers:1708.04532.

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2017A sentiment-based model for the BitCoin: theory, estimation and option pricing. (2017). Cretarola, Alessandra ; Patacca, Marco ; Figa-Talamanca, Gianna . In: Papers. RePEc:arx:papers:1709.08621.

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2018Classification of cryptocurrency coins and tokens by the dynamics of their market capitalisations. (2018). Sornette, Didier ; Wheatley, Spencer ; Wu, KE. In: Papers. RePEc:arx:papers:1803.03088.

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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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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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2018Asymmetric Price Transmission and Rent‐seeking in Road Fuel Markets: A Comparative Study of South Africa and Selected Eurozone Countries. (2018). Ogbuabor, Jonathan E ; Mba, Ifeoma C ; Manasseh, Charles O ; Eigbiremolen, God'Stime O. In: African Development Review. RePEc:bla:afrdev:v:30:y:2018:i:3:p:278-290.

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2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953.

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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6396.

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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1647.

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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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2017Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns. (2017). Sierra, Lya Paola ; Osorio, Carolina ; Giron, Luis Eduardo. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-03.

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2018Does Agricultural Commodity Price Co-move with Oil Price in the Time-Frequency Space? Evidence from the Republic of Korea. (2018). Meng, Xiangcai . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-04-16.

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2017Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161.

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2018Time-varying efficiency in food and energy markets: Evidence and implications. (2018). Roubaud, David ; Jebabli, Ikram . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:97-114.

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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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2018Informational efficiency of Bitcoin—An extension. (2018). Tiwari, Aviral ; Roubaud, David ; Das, Debojyoti ; Jana, R K. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:106-109.

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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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2017Wavelet-based test of co-movement and causality between oil and renewable energy stock prices. (2017). Ugolini, Andrea ; Reboredo, Juan ; Rivera-Castro, Miguel A. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:241-252.

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2017Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis. (2017). Pal, Debdatta ; Mitra, Subrata K. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:230-239.

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2017Modelling asymmetric volatility in oil prices under structural breaks. (2017). Ewing, Bradley T ; Malik, Farooq . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:227-233.

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2017A rough multi-factor model of electricity spot prices. (2017). Bennedsen, Mikkel . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:301-313.

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2017The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes. (2017). Tiwari, Aviral ; Roubaud, David ; Mensi, walid ; Bouri, Elie ; Al-Yahyaee, Khamis. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:122-139.

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2017Timing strategy performance in the crude oil futures market. (2017). Taylor, Nick. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:480-492.

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2018Asymmetries, outliers and structural stability in the US gasoline market. (2018). Mongeau Ospina, Christian Alexander ; Bagnai, Alberto. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:250-260.

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2018Sectoral energy consumption by source and output in the U.S.: New evidence from wavelet-based approach. (2018). Ben Salha, Ousama ; Aloui, Chaker ; Hkiri, Besma ; Ben-Salha, Ousama. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:75-96.

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2018Does investor attention to energy stocks exhibit power law?. (2018). Ranjan, Ravi Prakash ; Bhattachharyya, Malay. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:573-582.

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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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2017The merit order effect of Czech photovoltaic plants. (2017). Janda, Karel ; Pra, Jan ; Luakova, Petra . In: Energy Policy. RePEc:eee:enepol:v:106:y:2017:i:c:p:138-147.

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2018Will the energy price bubble burst?. (2018). Lee, Chien-Chiang ; Liu, Tie-Ying. In: Energy. RePEc:eee:energy:v:150:y:2018:i:c:p:276-288.

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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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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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2017Dynamic interaction between economic policy uncertainty and financial stress: A multi-scale correlation framework. (2017). Sun, Xiaolei ; Wang, Jun ; Yao, Xiaoyang . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:214-221.

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2018Time-varying long-term memory in Bitcoin market. (2018). Jiang, Yonghong ; Ruan, Weihua ; Nie, HE. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:280-284.

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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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2017How does real option value compare with Faustmann value when log prices follow fractional Brownian motion?. (2017). Niquidet, Kurt ; Manley, Bruce. In: Forest Policy and Economics. RePEc:eee:forpol:v:85:y:2017:i:p1:p:76-84.

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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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2017The effect of price volatility on judgmental forecasts: The correlated response model. (2017). Sobolev, Daphne. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:605-617.

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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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2018Wavelet eigenvalue regression for n-variate operator fractional Brownian motion. (2018). Abry, Patrice ; Didier, Gustavo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:168:y:2018:i:c:p:75-104.

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2018Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets. (2018). Conlon, Thomas ; Bredin, Don ; Spencer, Simon. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:1-20.

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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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2017Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil. (2017). Lau, Wee-Yeap ; Go, You-How. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:135-146.

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2018What drives the demand for information in the commodity market?. (2018). Aharon, David Y ; Qadan, Mahmoud. In: Resources Policy. RePEc:eee:jrpoli:v:59:y:2018:i:c:p:532-543.

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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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2017The application of the multifractal cross-correlation analysis methods in radar target detection within sea clutter. (2017). , Caiping ; Yang, Yonghong ; Zhao, Huichang ; Xiong, Gang ; Zhang, Shuning . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:839-854.

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2017Long memory of abnormal investor attention and the cross-correlations between abnormal investor attention and trading volume, volatility respectively. (2017). Zhuang, Xintian ; Yuan, Ying ; Fan, Xiaoqian ; Jin, Xiu . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:323-333.

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2017Transfer entropy coefficient: Quantifying level of information flow between financial time series. (2017). Shang, Pengjian ; Teng, Yue. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:60-70.

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2017Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets. (2017). Li, Qingchen ; Zhang, Minjia ; Cao, Guangxi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:472:y:2017:i:c:p:67-76.

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2017On fractality and chaos in Moroccan family business stock returns and volatility. (2017). Lahmiri, Salim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:29-39.

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2017Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperue, Waldo ; Basgall, Maria Jose . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:82-90.

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2017Introducing Hurst exponent in pair trading. (2017). Ramos-Requena, J P ; Sanchez-Granero, M A ; Trinidad-Segovia, J E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:488:y:2017:i:c:p:39-45.

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2018Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes. (2018). Kaffel, Bilel ; Abid, Fathi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1028-1045.

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2018Efficiency or speculation? A time-varying analysis of European sovereign debt. (2018). Ferreira, Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1295-1308.

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2018Detrended fluctuation analysis based on higher-order moments of financial time series. (2018). Teng, Yue ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:311-322.

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2018Generalized Hurst exponent estimates differentiate EEG signals of healthy and epileptic patients. (2018). Lahmiri, Salim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:378-385.

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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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paper13
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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paper60
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: 60
article
2012Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity In: Papers.
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paper16
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: 16
article
2012Measuring capital market efficiency: Global and local correlations structure In: Papers.
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paper40
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: 40
article
2012Time-Frequency Dynamics of Biofuels-Fuels-Food System In: Papers.
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paper38
2013Time–frequency dynamics of biofuel–fuel–food system.(2013) In: Energy Economics.
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This paper has another version. Agregated cites: 38
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: 38
paper
2014Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy In: Papers.
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paper26
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: 26
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: 26
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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paper9
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: 9
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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paper39
2014Commodity futures and market efficiency.(2014) In: Energy Economics.
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This paper has another version. Agregated cites: 39
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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paper7
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: 7
article
2014Leverage effect in energy futures In: Papers.
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paper23
2014Leverage effect in energy futures.(2014) In: Energy Economics.
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This paper has another version. Agregated cites: 23
article
2014Leverage effect in energy futures.(2014) In: FinMaP-Working Papers.
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This paper has another version. Agregated cites: 23
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.
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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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paper16
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: 16
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: 16
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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paper1
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: 1
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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paper11
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: 11
article
2015Gold, currencies and market efficiency In: Papers.
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paper10
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: 10
article
2016Power-law cross-correlations estimation under heavy tails In: Papers.
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paper3
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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article0
2020Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin In: Economic Modelling.
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article0
2012Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective In: Energy Economics.
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article44
2019Information interdependence among energy, cryptocurrency and major commodity markets In: Energy Economics.
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article16
2019Food versus fuel: An updated and expanded evidence In: Energy Economics.
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article5
2017Food versus fuel: An updated and expanded evidence.(2017) In: CAMA Working Papers.
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This paper has another version. Agregated cites: 5
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: 5
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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article12
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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article3
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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article21
2019Cryptocurrencies market efficiency ranking: Not so straightforward In: Physica A: Statistical Mechanics and its Applications.
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article1
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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article0
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
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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paper1
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: 1
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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paper11
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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article9
2015Nowcasting unemployment rates with Google searches: Evidence from the Visegrad Group countries.(2015) In: FinMaP-Working Papers.
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This paper has another version. Agregated cites: 9
paper
2009Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range In: MPRA Paper.
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paper0
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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paper0
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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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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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team