Publications - Jiří Kukačka
Books and chapters (1)
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1. * Jiří Kukačka: Simulated maximum likelihood estimation of agent-based models in economics and finance. Network Theory and Agent-Based Modeling in Economics and Finance, 203-226. Springer, Singapore 2019. |
Journal articles (15)
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1. * R. Franke, Jiří Kukačka, S. Sacht: Is the Hamilton regression filter really superior to Hodrick-Prescott detrending?. Macroeconomic Dynamics 29. Cambridge University Press. Download |
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2. * Ch. R. Proaño, Jiří Kukačka, T. Makarewicz: Belief-driven dynamics in a behavioral SEIRD macroeconomic model with sceptics. Journal of Economic Behavior & Organization 217:1 (2024), 312-333. Elsevier. Download |
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3. * Jan Šíla, Evžen Kočenda, Ladislav Krištoufek, Jiří Kukačka: Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 96. Elsevier. Download |
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4. * Jiří Kukačka, S. Sacht: Estimation of heuristic switching in behavioral macroeconomic models. Journal of Economic Dynamics & Control 146. Elsevier. Download |
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5. * Jiří Kukačka, Ladislav Krištoufek: Fundamental and speculative components of the cryptocurrency pricing dynamics. Financial Innovation 9. Springer. Download |
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6. * Eric Žíla, Jiří Kukačka: Moment set selection for the SMM using simple machine learning. Journal of Economic Behavior & Organization 212:1 (2023), 366-391. Elsevier. Download |
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7. * A. Havlínová, Jiří Kukačka: Corporate Social Responsibility and Stock Prices After the Financial Crisis: The Role of Strategic CSR Activities. Journal of Business Ethics 182:1 (2023), 223-242. Springer. Download |
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8. * 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 |
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9. * J. Vainer, Jiří Kukačka: Nash Q-learning agents in Hotelling's model: Reestablishing equilibrium. Communications in Nonlinear Science and Numerical Simulation 99. Elsevier. Download |
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10. * 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 |
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11. * J. Polach, Jiří Kukačka: Prospect Theory in the Heterogeneous Agent Model. Journal of Economic Interaction and Coordination 14:1 (2019), 147-174. Download |
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12. * F. Staněk, Jiří Kukačka: The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market. Computational Economics 51:4 (2018), 865-892. Springer. Download |
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13. * Jiří Kukačka, Jozef Baruník: Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood. Journal of Economic Dynamics & Control 85:1 (2017), 21-45. Elsevier. Download |
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14. * Jozef Baruník, Jiří Kukačka: Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility. Quantitative Finance 15:6 (2015), 959-973. Download |
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15. * Jiří Kukačka, Jozef Baruník: Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment. Physica. A : Statistical Mechanics and its Applications 392:23 (2013), 5920-5938. Elsevier. Download |
Other publications (1)
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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 |