999 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Czech Academy of SciencesCZ67 papers
- Charles UniversityCZ39 papers
- Czech Technical University in PragueCZ33 papers
- Johannes Kepler University of LinzAT7 papers
- University of South Bohemia in České BudějoviceCZ6 papers
- University of WarwickGB6 papers
- V. N. Karazin Kharkiv National UniversityUA6 papers
- Federation UniversityAU5 papers
- Prague University of Economics and BusinessCZ5 papers
- Technical University of LiberecCZ5 papers
- Czech Academy of Sciences, Institute of ThermomechanicsCZ4 papers
- Friedrich-Alexander-Universität Erlangen-NürnbergDE4 papers
26 papers · 1 filter
Grandpa, grandpa, tell me the one about Bitcoin being a safe haven: Evidence from the COVID-19 pandemics
Ladislav Kristoufek
Bitcoin being a safe haven asset is one of the traditional stories in the cryptocurrency community. However, during its existence and relevant presence, i.e. approximately since 20…
Power-law cross-correlations: Issues, solutions and future challenges
Ladislav Kristoufek
Analysis of long-range dependence in financial time series was one of the initial steps of econophysics into the domain of mainstream finance and financial economics in the 1990s.…
Forecasting dynamic return distributions based on ordered binary choice
Stanislav Anatolyev, Jozef Barunik
We present a simple approach to forecasting conditional probability distributions of asset returns. We work with a parsimonious specification of ordered binary choice regression th…
Fractal approach towards power-law coherency to measure cross-correlations between time series
Ladislav Kristoufek
We focus on power-law coherency as an alternative approach towards studying power-law cross-correlations between simultaneously recorded time series. To be able to study empirical…
Power-law cross-correlations estimation under heavy tails
Ladislav Kristoufek
We examine the performance of six estimators of the power-law cross-correlations -- the detrended cross-correlation analysis, the detrending moving-average cross-correlation analys…
Gold, currencies and market efficiency
Ladislav Kristoufek, Miloslav Vosvrda
Gold and currency markets form a unique pair with specific interactions and dynamics. We focus on the efficiency ranking of gold markets with respect to the currency of purchase. B…
Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components
Ladislav Kristoufek
We study power-law correlations properties of the Google search queries for Dow Jones Industrial Average (DJIA) component stocks. Examining the daily data of the searched terms wit…
Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
Ladislav Kristoufek
We propose a framework combining detrended fluctuation analysis with standard regression methodology. The method is built on detrended variances and covariances and it is designed…
Spectrum-based estimators of the bivariate Hurst exponent
Ladislav Kristoufek
We introduce two new estimators of the bivariate Hurst exponent in the power-law cross-correlations setting -- the cross-periodogram and local -Whittle estimators -- as generali…
Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets
Ladislav Kristoufek, Petra Lunackova
We reinvestigate the "rockets and feathers" effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non-)…
Leverage effect in energy futures
Ladislav Kristoufek
We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namel…
Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
Ladislav Kristoufek
In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis…
Measuring correlations between non-stationary series with DCCA coefficient
Ladislav Kristoufek
In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, w…
Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence
Ladislav Kristoufek
We analyze whether the prediction of the fractal markets hypothesis about a dominance of specific investment horizons during turbulent times holds. To do so, we utilize the continu…
Commodity futures and market efficiency
Ladislav Kristoufek, Miloslav Vosvrda
We analyze the market efficiency of 25 commodity futures across various groups -- metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently…
Exponential and power laws in public procurement markets
Ladislav Kristoufek, Jiri Skuhrovec
For the first time ever, we analyze a unique public procurement database, which includes information about a number of bidders for a contract, a final price, an identification of a…
Mixed-correlated ARFIMA processes for power-law cross-correlations
Ladislav Kristoufek
We introduce a general framework of the Mixed-correlated ARFIMA (MC-ARFIMA) processes which allows for various specifications of univariate and bivariate long-term memory. Apart fr…
Testing power-law cross-correlations: Rescaled covariance test
Ladislav Kristoufek
We introduce a new test for detection of power-law cross-correlations among a pair of time series - the rescaled covariance test. The test is based on a power-law divergence of the…
Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
Ladislav Kristoufek, Miloslav Vosvrda
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are ab…
Time-Frequency Dynamics of Biofuels-Fuels-Food System
Lukas Vacha, Karel Janda, Ladislav Kristoufek +1
For the first time, we apply the wavelet coherence methodology on biofuels (ethanol and biodiesel) and a wide range of related commodities (gasoline, diesel, crude oil, corn, wheat…
Measuring capital market efficiency: Global and local correlations structure
Ladislav Kristoufek, Miloslav Vosvrda
We introduce a new measure for the capital market efficiency. The measure takes into consideration the correlation structure of the returns (long-term and short-term memory) and lo…
Modeling and forecasting exchange rate volatility in time-frequency domain
Jozef Barunik, Tomas Krehlik, Lukas Vacha
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-freq…
Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity
Ladislav Kristoufek
We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during th…
On Hurst exponent estimation under heavy-tailed distributions
Jozef Barunik, Ladislav Kristoufek
In this paper, we show how the sampling properties of the Hurst exponent methods of estimation change with the presence of heavy tails. We run extensive Monte Carlo simulations to…