output
20052026
most citedWhat are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis

999 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2012 · q-fin.STShow all

7 papers · 2 filters

q-fin.ST2012★ 123 cited

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…

q-fin.ST2012★ 186 cited

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…

q-fin.ST2012★ 1 cited

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…

q-fin.ST2012★ 101 cited

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…

q-fin.ST2012★ 277 cited

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…

q-fin.ST2012★ 505 cited

Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis

Lukas Vacha, Jozef Barunik

In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the applicati…

q-fin.ST2012★ 132 cited

Understanding the source of multifractality in financial markets

Jozef Barunik, Tomaso Aste, Tiziana Di Matteo +1

In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powe…