Bibliography
GA402/09/0965
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- Commodity futures and market efficiency , Energy Economics vol.42, 1 (2014), p. 50-57 [2014] Download DOI: 10.1016/j.eneco.2013.12.001:
- Evaluating changes in the monetary transmission mechanism in the Czech Republic , Empirical Economics vol.46, 3 (2014), p. 827-842 [2014] Download DOI: 10.1007/s00181-013-0699-0:
- Commodity futures and market efficiency , Energy Economics vol.42, 1 (2014), p. 50-57 [2014] Download DOI: 10.1016/j.eneco.2013.12.001:
- Long-term memory in electricity prices: Czech market evidence , Finance a úvěr-Czech Journal of Economics and Finance vol.63, 5 (2013), p. 407-424 [2013] Download:
- Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence , Scientific Reports vol.3, 10 (2013) [2013] Download DOI: 10.1038/srep02857:
- Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment , Physica. A : Statistical Mechanics and its Applications vol.392, 23 (2013), p. 5920-5938 [2013] Download DOI: 10.1016/j.physa.2013.07.050:
- Testing power-law cross-correlations: Rescaled covariance test , European Physical Journal B vol.86, 10 (2013) [2013] Download DOI: 10.1140/epjb/e2013-40705-y:
- Mixed-correlated ARFIMA processes for power-law cross-correlations , Physica. A : Statistical Mechanics and its Applications vol.392, 24 (2013), p. 6484-6493 [2013] Download DOI: 10.1016/j.physa.2013.08.041:
- Can Google Trends search queries contribute to risk diversification? , Scientific Reports vol.3, 2713 (2013), p. 1-5 [2013] Download DOI: 10.1038/srep02713:
- Regime-dependent topological properties of biofuels networks , European Physical Journal B vol.86, 2 (2013) [2013] Download DOI: 10.1140/epjb/e2012-30871-9:
- International stock market integration: Central and South Eastern Europe compared , Economic Systems vol.37, 1 (2013), p. 81-91 [2013] Download DOI: 10.1016/j.ecosys.2012.07.004:
- Unit Stratified Sampling as a Tool for Approximation of Stochastic Optimization Problems , Bulletin of the Czech Econometric Society vol.19, 30 (2012), p. 153-169 [2012] Download:
- Exponential and power laws in public procurement markets , EPL vol.99, 2 (2012) [2012] Download DOI: 10.1209/0295-5075/99/28005:
- Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective , Energy Economics vol.34, 5 (2012), p. 1380-1391 [2012] Download DOI: 10.1016/j.eneco.2012.06.016:
- How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study , Physica. A : Statistical Mechanics and its Applications vol.391, 17 (2012), p. 4252-4260 [2012] Download DOI: 10.1016/j.physa.2012.04.005:
- Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity , Advances in Complex Systems vol.15, 6 (2012) [2012] Download DOI: 10.1142/S0219525912500658:
- Efektivita kapitálových trhů: Fraktální dimenze, Hurstův exponent a entropie , Politická ekonomie vol.60, 2 (2012), p. 208-221 [2012] Download:
- Understanding the source of multifractality in financial markets , Physica. A : Statistical Mechanics and its Applications vol.391, 17 (2012), p. 4234-4251 [2012] Download DOI: 10.1016/j.physa.2012.03.037:
- Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors , Finance a úvěr-Czech Journal of Economics and Finance vol.62, 2 (2012), p. 125-140 [2012] Download:
- International Stock Market Comovements: What Happened during the Financial Crisis? , Global Economy Journal vol.12, 1 (2012), p. 1-21 [2012] Download DOI: 10.1515/1524-5861.1788:
- How do skilled traders change the structure of the market , International Review of Financial Analysis vol.23, 1 (2012), p. 66-71 [2012] Download DOI: 10.1016/j.irfa.2011.06.011:
- Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis , Energy Economics vol.34, 1 (2012), p. 241-247 [2012] DOI: 10.1016/j.eneco.2011.10.007:
- Neural Networks as Semiparametric Option Pricing Tool , Bulletin of the Czech Econometric Society vol.18, 28 (2011), p. 66-83 [2011] Download:
- Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data , IES Working Papers vol.2011, 22 (2011), p. 1-22 [2011] Download:
- Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations , EPL vol.95, 6 (2011) [2011] Download DOI: 10.1209/0295-5075/95/68001:
- Research & development and growth: A Bayesian model averaging analysis , Economic Modelling vol.28, 6 (2011), p. 2669-2673, Society for Non-linear Dynamics and Econometrics Annual Conferencen, (Washington DC, US, 16.03.2011-18.03.2011) [2011] Download DOI: 10.1016/j.econmod.2011.08.007:
- Tail Behavior of the Central European Stock Markets during the Financial Crisis , AUCO Czech Economic Review vol.4, 3 (2010), p. 282-294 [2010] Download:
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- On spurious anti-persistence in the US stock indices , Chaos Solitons & Fractals vol.43, 1 (2010), p. 68-78 [2010] Download DOI: 10.1016/j.chaos.2010.09.001:
- Modeling a Distribution of Mortgage Credit Losses , IES Working Papers vol.23, 23 (2010), p. 1-23 [2010] Download:
- Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals , AUCO Czech Economic Review, 3 (2010), p. 236-250 [2010] Download:
- Monte Carlo-based tail exponent estimator , Physica. A : Statistical Mechanics and its Applications vol.389, 21 (2010), p. 4863-4874 [2010] Download DOI: 10.1016/j.physa.2010.06.054:
- On Hurst exponent estimation under heavy-tailed distributions , Physica. A : Statistical Mechanics and its Applications vol.389, 18 (2010), p. 3844-3855 [2010] Download DOI: 10.1016/j.physa.2010.05.025:
- Local Scaling Properties and Market Turning Points at Prague Stock Exchange , Acta physica Polonica. B vol.41, 6 (2010), p. 1001-1014 [2010] Download:
- Long-range dependence in returns and volatility of Central European Stock Indices , Bulletin of the Czech Econometric Society vol.17, 27 (2010), p. 50-67 [2010] Download:
- Vplyv rôznych foriem vlastníctva na efektivitu Českých a Slovenských bánk: Prístup analýzy stochastických hraníc , Politická ekonomie vol.58, 2 (2010), p. 207-224 [2010]:
- Monte Carlo-Based Tail Exponent Estimator , IES Working Paper vol.2010, 6 (2010), p. 1-26 [2010] Download:
- Smart Agents and Sentiment in the Heterogeneous Agent Model , ERCIM News, 81 (2010), p. 39-40 [2010] Download:
- Tail Behavior of the Central European Stock Markets during the Financial Crisis , IES Working Papers vol.2010, 4 (2010), p. 1-17 [2010] Download:
- Smart predictors in the heterogeneous agent model , Journal of Economic Interaction and Coordination vol.4, 2 (2009), p. 163-172 [2009] DOI: 10.1007/s11403-009-0051-0:
- Can a stochastic cusp catastrophe model explain stock market crashes? , Journal of Economic Dynamics & Control vol.33, 10 (2009), p. 1824-1836 [2009] DOI: 10.1016/j.jedc.2009.04.004:
- Smart Agents and Sentiment in the Heterogeneous Agent Model , Prague Economic Papers vol.18, 3 (2009), p. 209-219 [2009] Download:
- Bimodality testing of the stochastic cusp model , Procedings of the 33rd International Conference Mathematical Methods in Economics MME 2015, p. 888-893, Mathematical Methods in Economics 2015 /33./, (Cheb, CZ, 09.09.2015-11.09.2015) [2015] Download:
- Determinants of Stocks' Choice in Portfolio Competitions , Financial Management of Firms and Financial Institutions, 8th International Scientific Conference Financial management of firms and financial institutions, (Ostrava, CZ, 9.-10. September 2013) [2013] Download:
- Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy , Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, p. 470-475 , Eds: Vojáčková Hana, MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./, (Jihlava, CZ, 11.09.2013-13.09.2013) [2013] Download:
- What the Data Say about the Effects of Fiscal Policy in the Czech Republic?, ÚTIA AV ČR, (Praha 2013) Research Report 2331 [2013]:
- Portfolio competitions and rationality , Proceedings of the 31st International Conference Mathematical Methods in Economics 2013 , Eds: Vojáčková Hana, MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./, (Jihlava, CZ, 11.09.2013-13.09.2013) [2013] Download:
- Three Essays on Empirical Analysis of Economic Policy, Univerzita Karlova, (Praha 2012) [2012] Download:
- Modeling multivariate volatility using wavelet-based realized covariance estimator , Mathematical Methods in Economics 2011, p. 29-34, Mathematical Methods in Economics 2011, (Janská Dolina, SK, 06.09.2011-09.09.2011) [2011]:
- Multifractal Height Cross-Correlation Analysis , Mathematical Methods in Economics 2011, p. 1-19, Mathematical Methods in Economics 2011, (Jánska Dolina, SK, 06.09.2011-09.09.2011) [2011] Download:
- A Simple Decision Problem of a Market Maker , Mathematical Methods in Economics 2011, p. 694-697, Mathematical Methods in Economics 2011, (Janská Dolina, SK, 06.09.2011-09.09.2011) [2011] Download:
- Fiscal developments and financial stress: a threshold VAR analysis, ÚTIA AV ČR, (Praha 2011) Research Report 2299 [2011] Download:
- Dynamic Model of Losses of Creditor with a Large Mortgage Portfolio , Proceedings of the 47th European Working Group on Financial Modelling, p. 1-10, 47th EWGFM meeting, (Praha, CZ, 28.10.2010-30.10.2010) [2010] Download:
- What the Data Say about the Effects of Fiscal Policy in the Czech Republic? , Mathematical Methods in Economics 2010, p. 24-29 , Eds: Houda Michal, Friebelova Jana, Mathematical Methods in Economics, (Ceske Budejovice, CZ, 08.09.2010-10.09.2010) [2010] Download:
- Equity home bias in the Czech Republic , Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010, p. 18-23 , Eds: Houda M., Friebelová J., 28-th International Conference on Mathematical Methods in Economics, (České Budějovice, CZ, 08.09.2010-10.09.2010) [2010] Download:
- Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data , 28th International Conference on Mathematical Methods in Economics 2010, p. 12-17 , Eds: Houda Michal, Friebelová Jana, Mathematical Methods in Economics 2010, (České Budějovice, CZ, 08.09.2010-10.09.2010) [2010] Download:
- Modeling a distribution of mortgage credit losses , Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010, p. 150-155 , Eds: Houda M., Friebelová J., 28-th International Conference on Mathematical Methods in Economics, (České Budějovice, CZ, 08.09.2010-10.09.2010) [2010] Download:
- Dynamic model of Loan Portfolio with Lévy Asset Prices , Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010, p. 615-620 , Eds: Houda M., Friebelová J., 28-th International Conference on Mathematical Methods in Economics, (České Budějovice, CZ, 08.09.2010-10.09.2010) [2010] Download:
- Multifractal height cross-correlation analysis, ÚTIA AV ČR, (Praha 2010) Research Report 2281 [2010] Download:
- Power Law Behavior of the Central European Stock Markets During the Financial Crisis, ÚTIA AV ČR, (Praha 2009) Research Report 2268 [2009]:
- On Hurst exponent estimation under heavy-tailed distributions, ÚTIA AV ČR, (Praha 2009) Research Report 2267 [2009]:
- Neural Networks as Semiparametric Option Pricing Tool, ÚTIA AV ČR, (Praha 2009) Research Report 2266 [2009]:
- Capital Market Efficiency and Tsallis Relative Entropy , Proceedings of 27th International Conference Mathematical Methods in Economics 2009, p. 340-345 , Eds: Brožová Helena, 27th International Conference Mathematical Methods in Economics 2009, (Kostelec nad Černými lesy, CZ, 09.09.2009-11.09.2009) [2009] Download:
- Probabilistic properties of the continuous double auction - uniform case , Proceedings of 27th International Conference Mathematical Methods in Economics 2009, p. 317-322 , Eds: Brožová Helena, 27th International Conference Mathematical Methods in Economics 2009, (Kostelec nad Černými lesy, CZ, 09.09.2009-11.09.2009) [2009] Download: