194 citations · 354 across the 5 of their papers we have counts for
5 papers
Finite sample properties of power-law cross-correlations estimators
Ladislav Kristoufek
We study finite sample properties of estimators of power-law cross-correlations -- detrended cross-correlation analysis (DCCA), height cross-correlation analysis (HXA) and detrendi…
On the interplay between short and long term memory in the power-law cross-correlations setting
Ladislav Kristoufek
We focus on emergence of the power-law cross-correlations from processes with both short and long term memory properties. In the case of correlated error-terms, the power-law decay…
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…
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…
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…