55 citations · 55 across the 1 of their papers we have counts for
2 papers
q-fin.ST2013
Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility
Jozef Barunik, Jiri Kukacka
This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crash…
q-fin.GN2012★ 55 cited
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
Jiri Kukacka, Jozef Barunik
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. Behavioural pat…