prof. PhDr. Ladislav Krištoufek, Ph.D.

Monografie

Kapitoly v monografiích

Články

• KRIŠTOUFEK, Ladislav. Leverage effect in energy futures. Energy Economics. 2014, 45(September), 1-9. ISSN 0140-9883. UT-WOS link
• KRIŠTOUFEK, Ladislav. Measuring correlations between non-stationary series with DCCA coefficient. Physica A: Statistical Mechanics and its Applications. 2014, 402(May), 291-298. ISSN 0378-4371. UT-WOS link
• KRIŠTOUFEK, Ladislav. Spectrum-based estimators of the bivariate Hurst exponent. Physical Review E: Statistical, Nonlinear and Soft Matter Physics. 2014, 90(6), nestránkováno. ISSN 1539-3755. UT-WOS link
• KRIŠTOUFEK, Ladislav. Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales. Physical Review E: Statistical, Nonlinear and Soft Matter Physics. 2015, 91(2), nestránkováno. ISSN 1539-3755. UT-WOS link
• KRIŠTOUFEK, Ladislav. On the interplay between short and long term memory in the power-law cross-correlations setting. Physica A: Statistical Mechanics and its Applications. 2015, 421(1.3.), 218-222. ISSN 0378-4371. UT-WOS link
• KRIŠTOUFEK, Ladislav. What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis. PLoS One. 2015, 10(4), nestránkováno. ISSN 1932-6203. UT-WOS link
• KRIŠTOUFEK, Ladislav. Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations. Europhysics Letters. 2011, 95(6), 1-6. ISSN 0295-5075. UT-WOS link
• KRIŠTOUFEK, Ladislav. Bitcoin and its mining on the equilibrium path. Energy Economics. 2020, 85(January), 1-9. ISSN 0140-9883. UT-WOS link
• KRIŠTOUFEK, Ladislav. Are the crude oil markets really becoming more efficient over time? Some new evidence. Energy Economics. 2019, 82(August), 253-263. ISSN 0140-9883. UT-WOS link
• KRIŠTOUFEK, Ladislav. Finite sample properties of power-law cross-correlations estimators. Physica A: Statistical Mechanics and its Applications. 2015, 419(February), 513-525. ISSN 0378-4371. UT-WOS link
• KRIŠTOUFEK, Ladislav. Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws. Physica A: Statistical Mechanics and its Applications. 2019, 536(December), 1-7. ISSN 0378-4371. UT-WOS link
• KRIŠTOUFEK, Ladislav - LUŇÁČKOVÁ, Petra. Long-term Memory in Electricity Prices: Czech Market Evidence. Finance a úvěr. 2013, 63(5), 407-424. ISSN 0015-1920. UT-WOS link
• KRIŠTOUFEK, Ladislav. Mixed-correlated ARFIMA processes for power-law cross-correlations. Physica A: Statistical Mechanics and its Applications. 2013, 392(24), 6484-6493. ISSN 0378-4371. UT-WOS link
• KRIŠTOUFEK, Ladislav. Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence. Scientific Reports. 2013, 3(October), nestránkováno. ISSN 2045-2322. UT-WOS link
• KRIŠTOUFEK, Ladislav. Non-stationary volatility with highly anti-persistent increments: evidence from range-based volatility. Hyperion International Journal of Econophysics & New Economy. 2013, 6(1), 39-58. ISSN 2069-3508.
• KRIŠTOUFEK, Ladislav. Can Google Trends search queries contribute to risk diversification?. Scientific Reports. 2013, 3(September), nestránkováno. ISSN 2045-2322. UT-WOS link
• KRIŠTOUFEK, Ladislav - JANDA, Karel - ZILBERMAN, David. Price transmission between biofuels, fuels, and food commodities. Biofuels, Bioproducts and Biorefining. 2014, 8(3), 362-373. ISSN 1932-104X. UT-WOS link
• KRIŠTOUFEK, Ladislav. Power-law cross-correlations estimation under heavy tails. Communications in Nonlinear Science and Numerical Simulation. 2016, 40(November), 163-172. ISSN 1007-5704. UT-WOS link
• KRIŠTOUFEK, Ladislav. Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic. Frontiers in Physics [online]. 2020, 8(July), 1-6. ISSN 2296-424X. UT-WOS link
• KRIŠTOUFEK, Ladislav - VOŠVRDA, Miloslav. Herding, minority game, market clearing and efficient markets in a simple spin model framework. Communications in Nonlinear Science and Numerical Simulation. 2018, 54(January), 148-155. ISSN 1007-5704. UT-WOS link
• KRIŠTOUFEK, Ladislav - VOŠVRDA, Miloslav. Efektivita kapitálových trhů: fraktální dimenze, Hurstův exponent a entropie. Politická ekonomie. 2012, 60(2), 208-221. ISSN 0032-3233. UT-WOS link
• KRIŠTOUFEK, Ladislav - SKUHROVEC, Jiří. Exponential and power laws in public procurement markets. Europhysics Letters. 2012, 99(2), 28005_p1-28005_p6. ISSN 0295-5075. UT-WOS link
• KRIŠTOUFEK, Ladislav - VOŠVRDA, Miloslav. Measuring capital market efficiency: Global and local correlations structure. Physica A: Statistical Mechanics and its Applications. 2013, 392(1), 184-193. ISSN 0378-4371. UT-WOS link
• KRIŠTOUFEK, Ladislav - VOŠVRDA, Miloslav. Commodity futures and market efficiency. Energy Economics. 2014, 42(March), 50-57. ISSN 0140-9883. UT-WOS link
• KRIŠTOUFEK, Ladislav - VOŠVRDA, Miloslav. Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy. European Physical Journal B. 2014, 87(7), nestránkováno. ISSN 1434-6028. UT-WOS link
• KRIŠTOUFEK, Ladislav. How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study. Physica A: Statistical Mechanics and its Applications. 2012, 391(17), 4252-4260. ISSN 0378-4371. UT-WOS link
• KRIŠTOUFEK, Ladislav. Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity. Advances in Complex Systems. 2012, 15(6), 1250065_1-1250065_13. ISSN 0219-5259. UT-WOS link
• KRIŠTOUFEK, Ladislav - JANDA, Karel - ZILBERMAN, David. Non-linear Price Transmission between Biofuels, Fuels and Food Commodities. Working Paper Series. 2014, Neuveden(481), 1-28. ISSN 1211-3298.
• KRIŠTOUFEK, Ladislav. BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific Reports. 2013, 3(3415), nestránkováno. ISSN 2045-2322. UT-WOS link
• KRIŠTOUFEK, Ladislav. Testing power-law cross-correlations: rescaled covariance test. European Physical Journal B. 2013, 86(10), nestránkováno. ISSN 1434-6028. UT-WOS link
• KRIŠTOUFEK, Ladislav. Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?. Physica A: Statistical Mechanics and its Applications. 2015, 431(1.8.), 124-127. ISSN 0378-4371. UT-WOS link
• KRIŠTOUFEK, Ladislav. Detrending moving-average cross-correlation coefficient : Measuring cross-correlations between non-stationary series. Physica A: Statistical Mechanics and its Applications. 2014, 406(July), 169-175. ISSN 0378-4371. UT-WOS link
• KRIŠTOUFEK, Ladislav - MOAT, Helen Susannah - PREIS, Tobias. Estimating suicide occurrence statistics using Google Trends. EPJ Data Science. 2016, 5(1), nestránkováno. ISSN 2193-1127. UT-WOS link
• KRIŠTOUFEK, Ladislav. Tethered, or Untethered? On the interplay between stablecoins and major cryptoassets. Finance Research Letters. 2021, 43(November), 1-5. ISSN 1544-6123. UT-WOS link
• KRIŠTOUFEK, Ladislav - JANDA, Karel - ZILBERMAN, David. Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective. Energy Economics. 2012, 34(5), 1380-1391. ISSN 0140-9883. UT-WOS link
• KRIŠTOUFEK, Ladislav - JANDA, Karel - ZILBERMAN, David. Regime-dependent topological properties of biofuels networks. European Physical Journal B. 2013, 86(2), 1-12. ISSN 1434-6028. UT-WOS link
• KRIŠTOUFEK, Ladislav. Has global warming modified the relationship between sunspot numbers and global temperatures?. Physica A: Statistical Mechanics and its Applications. 2017, 468(February), 351-358. ISSN 0378-4371. UT-WOS link
• KRIŠTOUFEK, Ladislav. Does solar activity affect human happiness?. Physica A: Statistical Mechanics and its Applications. 2018, 493(March), 47-53. ISSN 0378-4371. UT-WOS link
• KRIŠTOUFEK, Ladislav. On Bitcoin markets (in)efficiency and its evolution. Physica A: Statistical Mechanics and its Applications. 2018, 503(August), 257-262. ISSN 0378-4371. UT-WOS link
• KRIŠTOUFEK, Ladislav - JANDA, Karel - ZILBERMAN, David. Comovements of ethanol-related prices: evidence from Brazil and the USA. GCB Bioenergy. 2016, 8(2), 346-356. ISSN 1757-1693. UT-WOS link
• KRIŠTOUFEK, Ladislav - LUŇÁČKOVÁ, Petra. Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets. Energy Economics. 2015, 49(May), 1-8. ISSN 0140-9883. UT-WOS link
• KRIŠTOUFEK, Ladislav. Dlouhá paměť a její vývoj ve výnosech burzovního indexu PX v letech 1997-2009. Politická ekonomie. 2010, 58(4), 471-487. ISSN 0032-3233. UT-WOS link
• KRIŠTOUFEK, Ladislav. Rescaled range analysis and detrended fluctuation analysis: finite sample properties and confidence intervals. Acta Universitatis Carolinae. Oeconomica, Czech Economic Review. 2010, 4(3), 315-329. ISSN 1802-4696.
• KRIŠTOUFEK, Ladislav. On spurious anti-persistence in the US stock indices. Chaos, Solitons and Fractals. 2010, 43(1-12), 68-78. ISSN 0960-0779. UT-WOS link
• KRIŠTOUFEK, Ladislav. Local scaling properties and market turning points at Prague Stock Exchange. Acta Physica Polonica, Series B. 2010, 41(6), 1223-1236. ISSN 0587-4254. UT-WOS link
• KRIŠTOUFEK, Ladislav. Long-range dependence in returns and volatility of Central European Stock Indices. Bulletin of the Czech Econometric Society. 2010, 17(27), 50-67. ISSN 1212-074X.
• BARUNÍK, Jozef - KRIŠTOUFEK, Ladislav. On Hurst exponent estimation under heavy-tailed distributions. Physica A: Statistical Mechanics and its Applications. 2010, 389(18), 3844-3855. ISSN 0378-4371. UT-WOS link
• PAULUS, Michal - KRIŠTOUFEK, Ladislav. Worldwide clustering of the corruption perception. Physica A: Statistical Mechanics and its Applications. 2015, 428(15.6.), 351-358. ISSN 0378-4371. UT-WOS link
• PAVLÍČEK, Jaroslav - KRIŠTOUFEK, Ladislav. Nowcasting Unemployment Rates with Google Searches: Evidence from the Visegrad Group Countries. PLoS One. 2015, 10(5), nestránkováno. ISSN 1932-6203. UT-WOS link
• JANDA, Karel - KRIŠTOUFEK, Ladislav - ZILBERMAN, David. Biofuels: Impacts and Policies. Agricultural Economics. 2012, 58(8), 372-386. ISSN 0139-570X. UT-WOS link
• KUKAČKA, Jiří - KRIŠTOUFEK, Ladislav. Do 'complex' financial models really lead to complex dynamics? Agent-based models and multifractality. Journal of Economic Dynamics and Control. 2020, 113(April), 1-23. ISSN 0165-1889. UT-WOS link
• JANDA, Karel - KRIŠTOUFEK, Ladislav. The Relationship Between Fuel and Food Prices: Methods and Outcomes. Annual Review of Resource Economics. 2019, 11(October), 195-216. ISSN 1941-1340. UT-WOS link
• ASSAF, Ata - KRIŠTOUFEK, Ladislav - DEMIR, Ender - KUMAR MITRA, Subrata. Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures. Journal of International Financial Markets, Institutions and Money. 2021, 71(March), 1-15. ISSN 1042-4431. UT-WOS link
• JANDA, Karel - KRIŠTOUFEK, Ladislav - SCHEREROVÁ, Barbora - ZILBERMAN, David. Price transmission in biofuel-related global agricultural networks. Agricultural Economics. 2021, 67(10), 399-408. ISSN 0139-570X. UT-WOS link
• TILFANI, Oussama - KRIŠTOUFEK, Ladislav - FERREIRA, Paulo - BOUKFAOUI, My Youssef El. Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression. Physica A: Statistical Mechanics and its Applications. 2022, 588(February), nestránkováno. ISSN 0378-4371. UT-WOS link
• KUKAČKA, Jiří - KRIŠTOUFEK, Ladislav. Does parameterization affect the complexity of agent-based models?. Journal of Economic Behavior and Organization. 2021, 192(December), 324-356. ISSN 0167-2681. UT-WOS link
• VAKRMAN, Tomáš - KRIŠTOUFEK, Ladislav. Underpricing, underperformance and overreaction in initial public offerings: Evidence from investor attention using online searches. SpringerPlus. 2015, 4(February 14), 1-11. ISSN 2193-1801. UT-WOS link
• FIL, Miroslav - KRIŠTOUFEK, Ladislav. Pairs Trading in Cryptocurrency Markets. IEEE Access. 2020, 8(September), 172644-172651. ISSN 2169-3536. UT-WOS link
• FERREIRA, Paulo - KRIŠTOUFEK, Ladislav - PEREIRA, Eder Johnson de Area Leão. DCCA and DMCA correlations of cryptocurrency markets. Physica A: Statistical Mechanics and its Applications. 2020, 545(May), 1-8. ISSN 0378-4371. UT-WOS link
• NĚMCOVÁ TEJKALOVÁ, Alice - KRIŠTOUFEK, Ladislav. Anything Can Happen in Women's Tennis, or Can It? An Empirical Investigation Into Bias in Sports Journalism. Communication & Sport. 2021, 9(5), 742-760. ISSN 2167-4795. UT-WOS link
• BLÁHOVÁ, Pavla - JANDA, Karel - KRIŠTOUFEK, Ladislav. The perspectives for genetically modified cellulosic biofuels in the Central European conditions. Agricultural Economics. 2014, 60(6), 247-259. ISSN 0139-570X. UT-WOS link
• CHRZ, Štěpán - JANDA, Karel - KRIŠTOUFEK, Ladislav. Modelování provázanosti trhů potravin, biopaliv a fosilních paliv. Politická ekonomie. 2014, 62(1), 117-140. ISSN 0032-3233. UT-WOS link
• VÁCHA, Lukáš - JANDA, Karel - KRIŠTOUFEK, Ladislav - ZILBERMAN, David. Time-frequency dynamics of biofuel-fuel-food system. Energy Economics. 2013, 40(November), 233-241. ISSN 0140-9883. UT-WOS link
• FILIP, Ondřej - JANDA, Karel - KRIŠTOUFEK, Ladislav - ZILBERMAN, David. Dynamics and evolution of the role of biofuels in global commodity and financial markets. Nature Energy [online]. 2016, 1(November), 1-9. ISSN 2058-7546. UT-WOS link
• JI, Qiang - BOURI, Elie - KRIŠTOUFEK, Ladislav - LUCEY, Brian. Realised volatility connectedness among Bitcoin exchange markets. Finance Research Letters. 2021, 38(January), nestránkováno. ISSN 1544-6123. UT-WOS link
• SHAHZAD, Syed J.H. - BOURI, Elie - KRIŠTOUFEK, Ladislav - SAEED, Tareq. Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers. Financial Innovation [online]. 2021, 7(1), 1-23. ISSN 2199-4730. UT-WOS link
• FILIP, Ondřej - JANDA, Karel - KRIŠTOUFEK, Ladislav - ZILBERMAN, David. Food versus fuel: An updated and expanded evidence. Energy Economics. 2019, 82(August), 152-166. ISSN 0140-9883. UT-WOS link
• FILIP, Ondřej - JANDA, Karel - KRIŠTOUFEK, Ladislav. Ceny biopaliv a souvisejících komodit: analýza s použitím metod minimální kostry grafu a hierarchických stromů. Politická ekonomie. 2018, 66(2), 218-239. ISSN 0032-3233. UT-WOS link
• KUMAR, Ashish - IQBAL, Najaf - MITRA, Subrata Kumar - KRIŠTOUFEK, Ladislav - BOURI, Elie. Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak. Journal of International Financial Markets, Institutions and Money. 2022, 77(March), 1-17. ISSN 1042-4431. UT-WOS link
• SHAHZAD, Syed Jawad Hussain - BOURI, Elie - ROUBAUD, David - KRIŠTOUFEK, Ladislav - LUCEY, Brian. Is Bitcoin a better safe-haven investment than gold and commodities?. International Review of Financial Analysis. 2019, 63(May), 322-330. ISSN 1057-5219. UT-WOS link
• JI, Qiang - BOURI, Elie - ROUBAUD, David - KRIŠTOUFEK, Ladislav. Information interdependence among energy, cryptocurrency and major commodity markets. Energy Economics. 2019, 81(June), 1042-1055. ISSN 0140-9883. UT-WOS link
• HUSSAIN SHAHZAD, Syed Jawad - BOURI, Elie - ROUBAUD, David - KRIŠTOUFEK, Ladislav. Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin. Economic Modelling. 2020, 87(May), 212-224. ISSN 0264-9993. UT-WOS link
• BOURI, Elie - SHAHZAD, Syed Jawad Hussain - ROUBAUD, David - KRIŠTOUFEK, Ladislav - LUCEY, Brian. Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. Quarterly Review of Economics and Finance. 2020, 77(August), 156-164. ISSN 1062-9769. UT-WOS link

Příspěvky v konferenčních sbornících

• KRIŠTOUFEK, Ladislav. Multifractal height cross-correlation analysis. In: DLOUHÝ, Martin - SKOČDOPOLOVÁ, Veronika. Mathematical methods in economics 2011 : 29th International conference : proceedings : September 6-9 2011, Janská Dolina, Slovakia. Part 2. 2 vyd. Praha: Professional Publishing, 2011, s. 407-412. ISBN 978-80-7431-059-1. UT-WOS link
• KRIŠTOUFEK, Ladislav. Non-stationary volatility with highly anti-persistent increments: An alternative paradigm in volatility modeling?. In: RAMÍK, Jaroslav - STAVÁREK, Daniel. Proceedings of 30th International Conference Mathematical Methods in Economics. 1 vyd. Karviná: Silesian University in Opava, 2012, s. 490-495. ISBN 978-80-7248-779-0.
• KRIŠTOUFEK, Ladislav - VOŠVRDA, Miloslav. Measuring capital market efficiency with tools of statistical physics. In: RAMÍK, Jaroslav - STAVÁREK, Daniel. Proceedings of 30th International Conference Mathematical Methods in Economics. 1 vyd. Karviná: Silesian University in Opava, 2012, s. 496-501. ISBN 978-80-7248-779-0.
• KRIŠTOUFEK, Ladislav - VOŠVRDA, Miloslav. Capital market efficiency in the Ising model environment: Local and global effects. In: KOCOUREK, Aleš - VAVROUŠEK, Miroslav. 34th International Conference Mathematical Methods in Economics (MME 2016). Liberec: Technical University Liberec, 2016, s. 465-470. ISBN 978-80-7494-296-9. UT-WOS link
• KRIŠTOUFEK, Ladislav - VOŠVRDA, Miloslav. Herding, minority game, market clearing and efficient markets in a simple spin model framework. In: PRAŽÁK, Pavel. Mathematical Methods in Economics (MME 2017). 1 vyd. Hradec Králové: University of Hradec Králové, 2017, s. 372-377. ISBN 978-80-7435-678-0. UT-WOS link
• KRIŠTOUFEK, Ladislav. Scaling of Dependence between Foreign Exchange Rates and Stock Markets in Central Europe. Acta Physica Polonica A. Warsaw: Polish Academy of Sciences, Institute of Physics, 2016, s. 908-912. ISBN 0-000-00000-0. UT-WOS link
• KRIŠTOUFEK, Ladislav. Local scaling properties and market turning points at Prague Stock Exchange. In: PROCHÁZKA, David. Collection of papers 2010. 1 vyd. Prague: Oeconomica, 2010, s. 27-36. ISBN 978-80-245-1651-6.
• IVANKOVÁ, Kristýna - KRIŠTOUFEK, Ladislav - VOŠVRDA, Miloslav. Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent. In: DLOUHÝ, Martin - SKOČDOPOLOVÁ, Veronika. Mathematical methods in economics 2011 : 29th International conference : proceedings : September 6-9 2011, Janská Dolina, Slovakia. Part 1. 1 vyd. Praha: Professional Publishing, 2011, s. 300-305. ISBN 978-80-7431-058-4.
• JANDA, Karel - KRIŠTOUFEK, Ladislav - ZILBERMAN, David. Public Policies on Biofuels in the Context of Energy Security. Proceedings of the 18th International Conference – Theoretical and Practical Aspects of Public Finance 2013. 1 vyd. Praha: Wolters Kluwer, 2013, s. 86-96. ISBN 978-80-7478-387-6.
• BARUNÍK, Jozef - VÁCHA, Lukáš - KRIŠTOUFEK, Ladislav. Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data. In: HOUDA, Michal - FRIEBELOVÁ, Jana. Mathematical Methods in Economics. 1 vyd. České Budějovice: University of South Bohemia, Faculty of Economics, 2010, s. 12-17. ISBN 978-80-7394-218-2.