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Publications - Ladislav Krištoufek


Journal articles (74)
1. * E. Bouri, Ladislav Krištoufek, T. Ahmad, S. J. H. Shahzad: Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies. Annals of Operations Research 334, 547-573. Springer.   Download
2. * Ladislav Krištoufek: Will Bitcoin ever become less volatile?. Finance Research Letters 51. Elsevier.   Download
4. * Ladislav Krištoufek, E. Bouri: Exploring sources of statistical arbitrage opportunities among Bitcoin exchanges. Finance Research Letters 51. Elsevier.   Download
5. * M. Nedvěd, Ladislav Krištoufek: Safe havens for Bitcoin. Finance Research Letters 51. Elsevier.   Download
6. * Jiří Kukačka, Ladislav Krištoufek: Fundamental and speculative components of the cryptocurrency pricing dynamics. Financial Innovation 9. Springer.   Download
7. * C. M. C. Inacio Jr., Ladislav Krištoufek, S. A. David: Assessing the impact of the Russia–Ukraine war on energy prices: A dynamic cross-correlation analysis. Physica. A : Statistical Mechanics and its Applications 626. Elsevier.   Download
8. * Ladislav Krištoufek: On the role of stablecoins in cryptoasset pricing dynamics. Financial Innovation 8. Springer.   Download
9. * O. Tilfani, Ladislav Krištoufek, P. Ferreira, M. Y. El Boukfaoui: Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression. Physica. A : Statistical Mechanics and its Applications 588. Elsevier.   Download
10. * A. Kumar, N. Iqbal, S. K. Mitra, Ladislav Krištoufek, E. Bouri: Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 71. Elsevier.   Download
11. * A. Assaf, Ladislav Krištoufek, E. Demir, S. M. Mitra: Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 71. Elsevier.   Download
12. * Ladislav Krištoufek: Tethered, or Untethered? On the interplay between stablecoins and major cryptoassets. Finance Research Letters 43. Elsevier.   Download
13. * S. J. H. Shahzad, E. Bouri, Ladislav Krištoufek, T. Saeed: Impact of the COVID‐19 outbreak on the US equity sectors: Evidence from quantile return spillovers. Financial Innovation 7. Springer.   Download
14. * Jiří Kukačka, Ladislav Krištoufek: Does parameterization affect the complexity of agent-based models?. Journal of Economic Behavior & Organization 192:1 (2021), 324-356. Elsevier.   Download
15. * Jiří Kukačka, Ladislav Krištoufek: Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality. Journal of Economic Dynamics & Control 113. Elsevier.   Download
16. * P. Ferreira, Ladislav Krištoufek: Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union. Physica. A : Statistical Mechanics and its Applications 553. Elsevier.   Download
17. * P. Ferreira, Ladislav Krištoufek, E. J. D. A. L. Pereira: DCCA and DMCA correlations of cryptocurrency markets. Physica. A : Statistical Mechanics and its Applications 545. Elsevier.   Download
18. * S. J. H. Shahzad, E. Bouri, G. M. Kayani, R. M. Nasir, Ladislav Krištoufek: Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour. Physica. A : Statistical Mechanics and its Applications 550. Elsevier.   Download
19. * Ladislav Krištoufek: Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic. Frontiers in Physics 8. Frontiers Research Foundation.   Download
20. * Krenar Avdulaj, Ladislav Krištoufek: On Tail Dependence and Multifractality. Mathematics 8. MDPI.   Download
21. * Ladislav Krištoufek, Miloslav Vošvrda: Cryptocurrencies market efficiency ranking: Not so straightforward. Physica. A : Statistical Mechanics and its Applications 531. Elsevier.   Download
22. * S. J. H. Shahzad, E. Bouri, D. Roubaud, Ladislav Krištoufek, B. Lucey: Is Bitcoin a better safe-haven investment than gold and commodities?. International Review of Financial Analysis 63:1 (2019), 322-330. Elsevier.   Download
23. * Ladislav Krištoufek: Fractality in market risk structure: Dow Jones Industrial components case. Chaos Solitons & Fractals 110:1 (2018), 69-75. Elsevier.   Download
24. * Ladislav Krištoufek, Miloslav Vošvrda: Herding, minority game, market clearing and efficient markets in a simple spin model framework. Communications in Nonlinear Science and Numerical Simulation 54:1 (2018), 148-155. Elsevier.   Download
25. * Ladislav Krištoufek, P. Ferreira: Capital asset pricing model in Portugal: Evidence from fractal regressions. Portuguese Economic Journal 17:3 (2018), 173-183.   Download
26. * Ladislav Krištoufek, Miloslav Vošvrda: Herding, minority game, market clearing and efficient markets in a simple spin model framework. Communications in Nonlinear Science and Numerical Simulation 54:1 (2018), 148-155. Elsevier.   Download
27. * Ladislav Krištoufek: Fractal approach towards power-law coherency to measure cross-correlations between time series. Communications in Nonlinear Science and Numerical Simulation 50:1 (2017), 193-200. Elsevier.   Download
28. * Ladislav Krištoufek, P. Ferreira: What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions. Physica. A : Statistical Mechanics and its Applications 486:1 (2017), 554-566. Elsevier.   Download
29. * Ladislav Krištoufek, Miloslav Vošvrda: Gold, currencies and market efficiency. Physica. A : Statistical Mechanics and its Applications 449:1 (2016), 27-34. Elsevier.   Download
30. * Ladislav Krištoufek: Power-law cross-correlations estimation under heavy tails. Communications in Nonlinear Science and Numerical Simulation 40:1 (2016), 163-172. Elsevier.   Download
31. * Ladislav Krištoufek, Miloslav Vošvrda: Gold, currencies and market efficiency. Physica. A : Statistical Mechanics and its Applications 449:1 (2016), 27-34. Elsevier.   Download
32. * Ladislav Krištoufek: On the interplay between short and long term memory in the power-law cross-correlations setting. Physica. A : Statistical Mechanics and its Applications 421:1 (2015), 218-222. Elsevier.   Download
33. * Ladislav Krištoufek: Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?. Physica. A : Statistical Mechanics and its Applications 431:1 (2015), 124-127. Elsevier.   Download
34. * Ladislav Krištoufek, P. Luňáčková: Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets. Energy Economics 49:1 (2015), 1-8. Elsevier.   Download
35. * Ladislav Krištoufek: Finite sample properties of power-law cross-correlations estimators. Physica. A : Statistical Mechanics and its Applications 419:1 (2015), 513-525. Elsevier.   Download
36. * Ladislav Krištoufek: Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales. Physical Review E 91:1 (2015). American Physical Society.   Download
37. * Ladislav Krištoufek: Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components. Physica. A : Statistical Mechanics and its Applications 428:1 (2015), 194-205. Elsevier.   Download
39. * J. Pavlíček, Ladislav Krištoufek: Nowcasting Unemployment Rates with Google Searches: Evidence from the Visegrad Group Countries. PLoS ONE 10. Public Library of Science.   Download
40. * Ladislav Krištoufek: What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis. PLoS ONE 10. Public Library of Science.   Download
41. * Ladislav Krištoufek, K. Janda, D. Zilberman: Price transmission between biofuels, fuels and food commodities. Biofuels Bioproducts & Biorefining-Biofpr 8:3 (2014), 362-373.   Download
42. * P. Bláhová, K. Janda, Ladislav Krištoufek: The perspectives for genetically modified cellulosic biofuels in the Central European conditions. Agricultural Economics = Zemědělská ekonomika 60:6 (2014), 247-259.   Download
43. * Ladislav Krištoufek, Miloslav Vošvrda: Commodity futures and market efficiency. Energy Economics 42:1 (2014), 50-57. Elsevier.   Download
44. * Ladislav Krištoufek: Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series. Physica. A : Statistical Mechanics and its Applications 406:1 (2014), 169-175. Elsevier.   Download
45. * Ladislav Krištoufek, Miloslav Vošvrda: Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy. European Physical Journal B 87:7 (2014). Springer.   Download
46. * Ladislav Krištoufek: Leverage effect in energy futures. Energy Economics 45:1 (2014), 1-9. Elsevier.   Download
47. * Ladislav Krištoufek: Measuring correlations between non-stationary series with DCCA coefficient. Physica. A : Statistical Mechanics and its Applications 402:1 (2014), 291-298. Elsevier.   Download
48. * Š. Chrz, K. Janda, Ladislav Krištoufek: Provázanost trhu potravin, biopaliv a fosilních paliv. Politická ekonomie 62:1 (2014), 117-140. Vysoká škola ekonomická v Praze.   Download
49. * Ladislav Krištoufek, Miloslav Vošvrda: Commodity futures and market efficiency. Energy Economics 42:1 (2014), 50-57. Elsevier.   Download
50. * Ladislav Krištoufek: Spectrum-based estimators of the bivariate Hurst exponent. Physical Review E 90:6 (2014). American Physical Society.   Download
51. * Ladislav Krištoufek: Can Google Trends search queries contribute to risk diversification?. Scientific Reports 3:2713 (2013), 1-5. Nature Publishing Group.   Download
52. * Lukáš Vácha, K. Janda, Ladislav Krištoufek, D. Zilberman: Time-Frequency Dynamics of Biofuel-Fuel-Food System. Energy Economics 40:1 (2013), 233-241. Elsevier.   Download
53. * Ladislav Krištoufek, K. Janda, D. Zilberman: Regime-dependent topological properties of biofuels networks. European Physical Journal B 86:2 (2013). Springer.   Download
54. * Ladislav Krištoufek, Miloslav Vošvrda: Measuring capital market efficiency: Global and local correlations structure. Physica. A : Statistical Mechanics and its Applications 392:1 (2013), 184-193. Elsevier.   Download
55. * Ladislav Krištoufek: Mixed-correlated ARFIMA processes for power-law cross-correlations. Physica. A : Statistical Mechanics and its Applications 392:24 (2013), 6484-6493. Elsevier.   Download
56. * Ladislav Krištoufek: Testing power-law cross-correlations: Rescaled covariance test. European Physical Journal B 86:10 (2013). Springer.   Download
57. * Ladislav Krištoufek, P. Luňáčková: Long-term memory in electricity prices: Czech market evidence. Finance a úvěr-Czech Journal of Economics and Finance 63:5 (2013), 407-424. Univerzita Karlova v Praze.   Download
58. * Ladislav Krištoufek: BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific Reports 3. Nature Publishing Group.   Download
59. * Ladislav Krištoufek: Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence. Scientific Reports 3:10 (2013). Nature Publishing Group.   Download
60. * Ladislav Krištoufek, Miloslav Vošvrda: Efektivita kapitálových trhů: Fraktální dimenze, Hurstův exponent a entropie. Politická ekonomie 60:2 (2012), 208-221. Vysoká škola ekonomická v Praze.   Download
61. * Ladislav Krištoufek: Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity. Advances in Complex Systems 15:6 (2012).   Download
62. * Ladislav Krištoufek, J. Skuhrovec: Exponential and power laws in public procurement markets. EPL 99:2 (2012). Institute of Physics Publishing.   Download
63. * Ladislav Krištoufek: How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study. Physica. A : Statistical Mechanics and its Applications 391:17 (2012), 4252-4260. Elsevier.   Download
64. * Ladislav Krištoufek, Karel Janda, D. Zilberman: Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective. Energy Economics 34:5 (2012), 1380-1391. Elsevier.   Download
65. * Ladislav Krištoufek: Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations. EPL 95:6 (2011). Institute of Physics Publishing.   Download
66. * Jozef Baruník, Lukáš Vácha, Ladislav Krištoufek: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data. IES Working Papers 22 (2011), 1-22.   Download
67. * Ladislav Krištoufek: Long-range dependence in returns and volatility of Central European Stock Indices. Bulletin of the Czech Econometric Society 17:27 (2010), 50-67.   Download
68. * Ladislav Krištoufek: Long-range dependence in returns and volatility of Central European Stock Indices. IES Working Papers 3 (2010), 1-19.   Download
69. * Ladislav Krištoufek: Local Scaling Properties and Market Turning Points at Prague Stock Exchange. Acta physica Polonica. B 41:6 (2010), 1001-1014. Jagellonian University.   Download
70. * Jozef Baruník, Ladislav Krištoufek: On Hurst exponent estimation under heavy-tailed distributions. Physica. A : Statistical Mechanics and its Applications 389:18 (2010), 3844-3855. Elsevier.   Download
71. * Ladislav Krištoufek: Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals. AUCO Czech Economic Review 3 (2010), 236-250.   Download
72. * Ladislav Krištoufek: Dlouhá pamět a její vývoj ve výnosech burzovního indexu PX v letech 1997 - 2009. Politická ekonomie 58:4 (2010), 471-478. Vysoká škola ekonomická v Praze.   Download
73. * Ladislav Krištoufek: On spurious anti-persistence in the US stock indices. Chaos Solitons & Fractals 43:1 (2010), 68-78. Elsevier.   Download
74. * Ladislav Krištoufek: Classical and modified rescaled range analysis: Sampling properties under heavy tails. IES Wokring Papers 29 (2009), 1-17.   Download

Conference papers (6)
1. * Ladislav Krištoufek: Scaling of dependence between foreign exchange rates and stock markets in Central Europe. Acta Physica Polonica A. Vol 129, n. 5 (2016) - Proceedings of the 8th Polish Symposium of Physics in Economy and Social Sciences FENS, 908-912. Polish Academy of Science, Institute of Physics, Warszawa 2016.   Download
2. * Ladislav Krištoufek, Miloslav Vošvrda: Capital market efficiency in the Ising model environment: Local and global effects. Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016, 465-470. Technical University, Liberec 2016.   Download
3. * Ladislav Krištoufek, Miloslav Vošvrda: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy. Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, 470-475. College of Polytechnics Jihlava, Jihlava 2013.   Download
4. * Kristýna Ivanková, Ladislav Krištoufek, Miloslav Vošvrda: Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent. Mathematical Methods in Economics 2011, 300-305. Proffesional publishing, Prague 2011.   Download
5. * Ladislav Krištoufek: Multifractal Height Cross-Correlation Analysis. Mathematical Methods in Economics 2011, 1-19. Proffesional publishing, Prague 2011.   Download
6. * Jozef Baruník, Lukáš Vácha, Ladislav Krištoufek: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data. 28th International Conference on Mathematical Methods in Economics 2010, 12-17. University of South Bohemia in České Budějovice, Faculty of Economy, České Budějovice 2010.   Download

Other publications (3)
1. * Jan Šíla, Evžen Kočenda, Jiří Kukačka, Ladislav Krištoufek: Good vs. Bad Volatility in Major Cryptocurrencies: The Dichotomy and Drivers of Connectedness. IES Working Papers 24/2023. IES UK, IES UK 2023.   Download
2. * Ladislav Krištoufek: Multifractal height cross-correlation analysis. Research Report 2281. ÚTIA AV ČR, Praha 2010.   Download
3. * Jozef Baruník, Ladislav Krištoufek: On Hurst exponent estimation under heavy-tailed distributions. Research Report 2267. ÚTIA AV ČR, Praha 2009.