194 citations · 518 across the 5 of their papers we have counts for
5 papers
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…
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…
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…
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…
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…