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 2014 · q-fin.STShow all

4 papers · 2 filters

q-fin.ST2014★ 86 cited

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…

q-fin.ST2014★ 19 cited

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…

q-fin.ST2014★ 59 cited

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-)…

q-fin.ST2014★ 194 cited

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…