Miloslav Vošvrda : Citation Profile


Are you Miloslav Vošvrda?

Akademie věd České Republiky

5

H index

4

i10 index

231

Citations

RESEARCH PRODUCTION:

37

Articles

18

Papers

RESEARCH ACTIVITY:

   28 years (1988 - 2016). See details.
   Cites by year: 8
   Journals where Miloslav Vošvrda has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 12 (4.94 %)

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   Permalink: http://citec.repec.org/pvo3
   Updated: 2022-11-19    RAS profile: 2019-11-07    
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Relations with other researchers


Works with:

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

Is cited by:

Kukacka, Jiri (14)

Krištoufek, Ladislav (12)

Baruník, Jozef (12)

Ferreira, Paulo (9)

Fernandez Bariviera, Aurelio (6)

Sensoy, Ahmet (6)

Tabak, Benjamin (6)

Demir, Ender (4)

Shen, Dehua (4)

Roubaud, David (4)

Quintino, Derick (3)

Cites to:

Hommes, Cars (20)

Brock, William (19)

Krištoufek, Ladislav (18)

Chiarella, Carl (17)

Vacha, Lukas (15)

He, Xuezhong (Tony) (11)

Dacorogna, Michel (9)

Tesfatsion, Leigh (9)

Baruník, Jozef (8)

Waldman, Michael (7)

Tabak, Benjamin (7)

Main data


Where Miloslav Vošvrda has published?


Journals with more than one article published# docs
Bulletin of the Czech Econometric Society13
Prague Economic Papers7
Czech Economic Review4
Politická ekonomie3
Acta Oeconomica Pragensia2
Physica A: Statistical Mechanics and its Applications2

Working Papers Series with more than one paper published# docs
Working Papers IES / Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies6
Papers / arXiv.org4
FinMaP-Working Papers / Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents2

Recent works citing Miloslav Vošvrda (2022 and 2021)


YearTitle of citing document
2021Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727.

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2021Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2105.09140.

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2022The short-term effect of COVID-19 pandemic on Chinas crude oil futures market: A study based on multifractal analysis. (2022). Yan-Hong, Yang ; Ying-Lin, Liu ; Ying-Hui, Shao. In: Papers. RePEc:arx:papers:2204.05199.

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2022Data?driven storage operations: Cross?commodity backtest and structured policies. (2022). Minner, Stefan ; Nadarajah, Selvaprabu ; Mandl, Christian ; Gavirneni, Srinagesh. In: Production and Operations Management. RePEc:bla:popmgt:v:31:y:2022:i:6:p:2438-2456.

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2021Energy trading efficiency in the US Midcontinent electricity markets. (2021). Zarnikau, J ; Woo, C K ; Tsai, C H ; Qi, H S ; Cao, K H. In: Applied Energy. RePEc:eee:appene:v:302:y:2021:i:c:s0306261921008886.

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2021The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets. (2021). Bekiros, Stelios ; Lahmiri, Salim. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:151:y:2021:i:c:s0960077921005750.

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2021Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic. (2021). Lin, Boqiang ; Okorie, David. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000322.

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2022The commodity futures historical basis in trading strategy and portfolio investment. (2022). Yang, Baochen ; Pu, Yingjian. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321006204.

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2022Efficient markets are more connected: An entropy-based analysis of the energy, industrial metal and financial markets. (2022). Wang, Xiaoyang. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s014098832200233x.

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2021Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China. (2021). Wong, Wing-Keung ; van Hoang, Thi Hong ; Lu, Richard ; Ly, Sel ; Pho, Kim Hung. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s105752192100017x.

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2021Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach. (2021). Ye, Jinqiang ; Urquhart, Andrew ; Li, Zeming ; Duan, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000685.

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2022The crisis alpha of managed futures: Myth or reality?. (2022). Mende, Alexander ; Frommel, Michael ; Asif, Raheel. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000242.

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2021One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles. (2021). Fernandez Bariviera, Aurelio. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303925.

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2021Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX. (2021). Ioan, Roxana ; Dima, Tefana Maria. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000489.

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2021Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures. (2021). Krištoufek, Ladislav ; Demir, Ender ; Mitra, Subrata Kumar ; Assaf, Ata. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000317.

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2022Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysis. (2022). Ferreira, Paulo ; Bibi, Rashida ; Zil-e-huma,, ; Aslam, Faheem. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004815.

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2021On the persistence of market sentiment: A multifractal fluctuation analysis. (2021). Schadner, Wolfgang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:581:y:2021:i:c:s037843712100515x.

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2021Is Brazilian music getting more predictable? A statistical physics approach for different music genres. (2021). Ferreira, Paulo ; Cantarinha, Ana ; Aslam, Faheem ; Dionisio, Andreia ; Wundervald, Bruna ; Quintino, Derick. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:583:y:2021:i:c:s0378437121006002.

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2022Testing Long memory in exchange rates and its implications for the adaptive market hypothesis. (2022). Frommel, Michael ; Asif, Raheel. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000140.

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2022Early market efficiency testing among hydrogen players. (2022). Saenz-Diez, Rocio ; Portela, Jose ; Martin-Bujack, Karin ; Santamaria, Teresa Corzo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:723-742.

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2021Testing the Efficiency of Globally Listed Private Equity Markets. (2021). Tegtmeier, Lars. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:313-:d:590620.

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2021.

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2021.

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2021.

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2021The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches. (2021). Pietrych, Ukasz ; Czech, Katarzyna. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:8:p:142-:d:606543.

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2022The Trilogy of the Chinese Apple Futures Market: Price Discovery, Risk-Hedging and Cointegration. (2022). Hou, Xiaokang ; Fahad, Shah ; Zhao, Peipei ; Yan, Beibei ; Liu, Tianjun. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:19:p:12864-:d:936935.

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2021Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Working Papers. RePEc:hal:wpaper:hal-02903655.

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2021Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-03230167.

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2021Relevancia del patrón de persistencia de Hurst en la gestión de portafolios de renta variable|| Relevance of Hursts pattern in equity portfolio management. (2021). Cadena, Javier Bernardo ; Ariza, Miller Janny ; Martinez, Manuel Andres. In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration. RePEc:pab:rmcpee:v:32:y:2021:i:1:p:66-82.

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2022Fractalidad implícita en el comercio internacional. (2022). Puls, Sergio Lagunas. In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration. RePEc:pab:rmcpee:v:33:y:2022:i:1:p:226-241.

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2022Price multifractality and informational efficiency in the futures markets of the US soybean complex. (2022). Tzaferi, Dimitra ; Fousekis, Panos. In: Applied Econometrics. RePEc:ris:apltrx:0446.

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2021Modeling the flow of information between financial time-series by an entropy-based approach. (2021). Vellucci, P ; Mastroeni, L ; Benedetto, F. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03319-7.

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2021Long memory and crude oil’s price predictability. (2021). Fanelli, Viviana ; Cerqueti, Roy. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03376-y.

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2021Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis. (2021). Jafari, Mohammad Ali ; Ghazani, Majid Mirzaee. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00246-0.

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2021An empirical behavioral order-driven model with price limit rules. (2021). Zhang, Wei ; Xu, Hai-Chuan ; Xiong, Xiong ; Gu, Gao-Feng ; Zhou, Wei-Xing ; Chen, Wei. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00288-4.

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2022An Entropy Approach to Measure the Dynamic Stock Market Efficiency. (2022). Hiremath, Gourishankar S ; Patra, Subhamitra. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:20:y:2022:i:2:d:10.1007_s40953-022-00295-x.

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2022Market inefficiencies surrounding energy announcements. (2022). Kurov, Alexander ; Alturki, Sultan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:1:p:172-188.

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Works by Miloslav Vošvrda:


YearTitleTypeCited
2001On Economic Model of Cycles In: CeNDEF Workshop Papers, January 2001.
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paper0
2012Measuring capital market efficiency: Global and local correlations structure In: Papers.
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paper69
2013Measuring capital market efficiency: Global and local correlations structure.(2013) In: Physica A: Statistical Mechanics and its Applications.
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2014Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy In: Papers.
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paper34
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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2014Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy.(2014) In: FinMaP-Working Papers.
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2013Commodity futures and market efficiency In: Papers.
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paper65
2014Commodity futures and market efficiency.(2014) In: Energy Economics.
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2015Gold, currencies and market efficiency In: Papers.
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paper25
2016Gold, currencies and market efficiency.(2016) In: Physica A: Statistical Mechanics and its Applications.
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article
2007Neo-Keynesian and Neo-Classical Macroeconomic Models: Stability and Lyapunov Exponents In: Bulletin of the Czech Econometric Society.
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article1
2006Neo-Keynesian and Neo-Classical Macroeconomic Models: Stability and Lyapunov Exponents.(2006) In: Working Papers IES.
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2008Wavelets and Sentiment in the Heterogeneous Agents Model In: Bulletin of the Czech Econometric Society.
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article1
2011Comparing Neural Networks and ARMA Models in Artificial Stock Market In: Bulletin of the Czech Econometric Society.
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2012Editorial to the Special Issue on Approximation of Stochastic Programming Problems In: Bulletin of the Czech Econometric Society.
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1995Diferenciální Rovnice a Ekonomické Aplikace In: Bulletin of the Czech Econometric Society.
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1995Markovian Model of Unemployment In: Bulletin of the Czech Econometric Society.
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1996Disequilibrium model applied to the Czech Economy In: Bulletin of the Czech Econometric Society.
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1996The Speed Of Adjustment and Robust Stability of Macroeconomic Systems In: Bulletin of the Czech Econometric Society.
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1998The Efficient Market Hypothesis Testing on the Prague Stock Exchange In: Bulletin of the Czech Econometric Society.
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1999Van Der Pols Equation and an Economic Model of Cycles In: Bulletin of the Czech Econometric Society.
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1999Sensitivity And Stability In Dynamical Economic Systems In: Bulletin of the Czech Econometric Society.
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article1
2001Bifurcation Routes And Economic Stability In: Bulletin of the Czech Econometric Society.
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article2
2001Bifurcation Routes and Economic Stability.(2001) In: Computing in Economics and Finance 2001.
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2002Heterogeneous Agent Model And Numerical Analysis Of Learning In: Bulletin of the Czech Econometric Society.
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1988Statistical data analysis by dialogue statistical systems In: Computational Statistics & Data Analysis.
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2009Can a stochastic cusp catastrophe model explain stock market crashes? In: Journal of Economic Dynamics and Control.
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2012How do skilled traders change the structure of the market In: International Review of Financial Analysis.
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2007Heterogeneous Agents Model with the Worst Out Algorithm In: Czech Economic Review.
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2005Heterogeneous Agents Model with the Worst Out Algorithm.(2005) In: Working Papers IES.
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2007Neokeynesian and Neoclassical Macroeconomic Models: Stability and Lyapunov Experiments In: Czech Economic Review.
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2010Editorial In: Czech Economic Review.
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2010Tail Behavior of the Central European Stock Markets during the Financial Crisis In: Czech Economic Review.
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2010Tail Behavior of the Central European Stock Markets during the Financial Crisis.(2010) In: Working Papers IES.
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2005Production, Capital Stock and Price Dynamics in a Simple Model of Closed Economy In: Working Papers IES.
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2005Production, Capital Stock and Price Dynamics in Simple Model of Closed Economy.(2005) In: Computing in Economics and Finance 2005.
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2006Wavelet Applications to Heterogeneous Agents Model In: Working Papers IES.
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2007Goodwins Predator-Prey Model with Endogenous Technological Progress In: Working Papers IES.
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2005A Small-Open-Economy Model and Endogenous Money Stock In: Acta Oeconomica Pragensia.
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2007Production, Capital Stock, and Price Level Dynamics in the Light of Kaldorian Model In: Acta Oeconomica Pragensia.
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2003Heterogeneous agent model with memory and asset price behaviour In: Prague Economic Papers.
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2004An Application of the Garch-t Model on Central European Stock Returns In: Prague Economic Papers.
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2005Dynamical Agents Strategies and the Fractal Market Hypothesis In: Prague Economic Papers.
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2006Empirical Analysis of Persistence and Dependence Patterns Among the Capital Markets In: Prague Economic Papers.
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2007Wavelet Decomposition of the Financial Market In: Prague Economic Papers.
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2009Smart Agents and Sentiment in the Heterogeneous Agent Model In: Prague Economic Papers.
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2013Complex Price Dynamics in the Modified Kaldorian Model In: Prague Economic Papers.
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2006Produkt, kapitál a cenový pohyb v jednoduchém modelu uzav?ené ekonomiky In: Politická ekonomie.
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2008Modelování krach? na kapitálových trzích: aplikace teorie stochastických katastrof In: Politická ekonomie.
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2012Efektivita kapitálových trh?: fraktální dimenze, Hurst?v exponent a entropie In: Politická ekonomie.
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article1
The Role of Inflation Rate on the Dynamics of an Extended Kaldor Model In: Modeling, Computing, and Mastering Complexity 2003.
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2003Dynamics of a Small Open Economy In: Computing in Economics and Finance 2003.
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2006Nonlinear Dynamical Model of Economy with Embodied Technological Progress In: Computing in Economics and Finance 2006.
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2009Smart predictors in the heterogeneous agent model In: Journal of Economic Interaction and Coordination.
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2016Herding, minority game, market clearing and efficient markets in a simple spin model framework In: FinMaP-Working Papers.
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