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Ladislav Krištoufek
Bouri E.
,
Krištoufek Ladislav
,
Ahmad T.
,
Shahzad S. J. H.
:
Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies
,
Annals of Operations Research vol.334, p. 547-573
[2024]
Download
DOI:
10.1007/s10479-022-04568-9
Bouri E.
,
Shahzad S. J. H.
,
Krištoufek Ladislav
:
Editorial to special issue “Hidden market linkages between Bitcoin, cryptocurrencies and financial markets: Evidence from high-frequency data and higher-order moments” in financial innovation
,
Financial Innovation vol.9, 119
[2023]
Download
Download
DOI:
10.1186/s40854-023-00560-9
Krištoufek Ladislav
:
Will Bitcoin ever become less volatile?
,
Finance Research Letters vol.51, 103353
[2023]
Download
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DOI:
10.1016/j.frl.2022.103353
Krištoufek Ladislav
,
Bouri E.
:
Exploring sources of statistical arbitrage opportunities among Bitcoin exchanges
,
Finance Research Letters vol.51, 103332
[2023]
Download
Download
DOI:
10.1016/j.frl.2022.103332
Nedvěd M.
,
Krištoufek Ladislav
:
Safe havens for Bitcoin
,
Finance Research Letters vol.51, 103436
[2023]
Download
Download
DOI:
10.1016/j.frl.2022.103436
Inacio Jr. C. M. C.
,
Krištoufek Ladislav
,
David S. A.
:
Assessing the impact of the Russia–Ukraine war on energy prices: A dynamic cross-correlation analysis
,
Physica. A : Statistical Mechanics and its Applications vol.626, 129084
[2023]
Download
Download
DOI:
10.1016/j.physa.2023.129084
Kukačka Jiří
,
Krištoufek Ladislav
:
Fundamental and speculative components of the cryptocurrency pricing dynamics
,
Financial Innovation vol.9, 61
[2023]
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Download
DOI:
10.1186/s40854-023-00465-7
Krištoufek Ladislav
:
On the role of stablecoins in cryptoasset pricing dynamics
,
Financial Innovation vol.8, 37
[2022]
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DOI:
10.1186/s40854-022-00343-8
Kumar A.
,
Iqbal N.
,
Mitra S. K.
,
Krištoufek Ladislav
,
Bouri E.
:
Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak
,
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY vol.71, 101523
[2022]
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DOI:
10.1016/j.intfin.2022.101523
Tilfani O.
,
Krištoufek Ladislav
,
Ferreira P.
,
El Boukfaoui M. Y.
:
Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression
,
Physica. A : Statistical Mechanics and its Applications vol.588, 126530
[2022]
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Download
DOI:
10.1016/j.physa.2021.126530
Assaf A.
,
Krištoufek Ladislav
,
Demir E.
,
Mitra S. M.
:
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 vol.71, 101312
[2021]
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DOI:
10.1016/j.intfin.2021.101312
Krištoufek Ladislav
:
Tethered, or Untethered? On the interplay between stablecoins and major cryptoassets
,
Finance Research Letters vol.43, 101991
[2021]
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Download
DOI:
10.1016/j.frl.2021.101991
Shahzad S. J. H.
,
Bouri E.
,
Krištoufek Ladislav
,
Saeed T.
:
Impact of the COVID‐19 outbreak on the US equity sectors: Evidence from quantile return spillovers
,
Financial Innovation vol.7, 14
[2021]
Download
Download
DOI:
10.1186/s40854-021-00228-2
Kukačka Jiří
,
Krištoufek Ladislav
:
Does parameterization affect the complexity of agent-based models?
,
Journal of Economic Behavior & Organization vol.192, 1 (2021), p. 324-356
[2021]
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DOI:
10.1016/j.jebo.2021.10.007
Shahzad S. J. H.
,
Bouri E.
,
Kayani G. M.
,
Nasir R. M.
,
Krištoufek Ladislav
:
Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour
,
Physica. A : Statistical Mechanics and its Applications vol.550, 124519
[2020]
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DOI:
10.1016/j.physa.2020.124519
Krištoufek Ladislav
:
Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic
,
Frontiers in Physics vol.8, 296
[2020]
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DOI:
10.3389/fphy.2020.00296
Avdulaj Krenar
,
Krištoufek Ladislav
:
On Tail Dependence and Multifractality
,
Mathematics vol.8, 1767
[2020]
Download
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DOI:
10.3390/math8101767
Ferreira P.
,
Krištoufek Ladislav
,
Pereira E. J. D. A. L.
:
DCCA and DMCA correlations of cryptocurrency markets
,
Physica. A : Statistical Mechanics and its Applications vol.545, 123803
[2020]
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DOI:
10.1016/j.physa.2019.123803
Ferreira P.
,
Krištoufek Ladislav
:
Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union
,
Physica. A : Statistical Mechanics and its Applications vol.553, 124257
[2020]
Download
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DOI:
10.1016/j.physa.2020.124257
Kukačka Jiří
,
Krištoufek Ladislav
:
Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality
,
Journal of Economic Dynamics & Control vol.113, 103855
[2020]
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DOI:
10.1016/j.jedc.2020.103855
Shahzad S. J. H.
,
Bouri E.
,
Roubaud D.
,
Krištoufek Ladislav
,
Lucey B.
:
Is Bitcoin a better safe-haven investment than gold and commodities?
,
International Review of Financial Analysis vol.63, 1 (2019), p. 322-330
[2019]
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DOI:
10.1016/j.irfa.2019.01.002
Krištoufek Ladislav
,
Vošvrda Miloslav
:
Cryptocurrencies market efficiency ranking: Not so straightforward
,
Physica. A : Statistical Mechanics and its Applications vol.531, 120853
[2019]
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DOI:
10.1016/j.physa.2019.04.089
Krištoufek Ladislav
,
Vošvrda Miloslav
:
Herding, minority game, market clearing and efficient markets in a simple spin model framework
,
Communications in Nonlinear Science and Numerical Simulation vol.54, 1 (2018), p. 148-155
[2018]
Download
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DOI:
10.1016/j.cnsns.2017.05.025
Krištoufek Ladislav
,
Ferreira P.
:
Capital asset pricing model in Portugal: Evidence from fractal regressions
,
Portuguese Economic Journal vol.17, 3 (2018), p. 173-183
[2018]
Download
DOI:
10.1007/s10258-018-0145-5
Krištoufek Ladislav
:
Fractality in market risk structure: Dow Jones Industrial components case
,
Chaos Solitons & Fractals vol.110, 1 (2018), p. 69-75
[2018]
Download
DOI:
10.1016/j.chaos.2018.02.028
Krištoufek Ladislav
,
Vošvrda Miloslav
:
Herding, minority game, market clearing and efficient markets in a simple spin model framework
,
Communications in Nonlinear Science and Numerical Simulation vol.54, 1 (2018), p. 148-155
[2018]
Download
DOI:
10.1016/j.cnsns.2017.05.025
Krištoufek Ladislav
,
Ferreira P.
:
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 vol.486, 1 (2017), p. 554-566
[2017]
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DOI:
10.1016/j.physa.2017.05.085
Krištoufek Ladislav
:
Fractal approach towards power-law coherency to measure cross-correlations between time series
,
Communications in Nonlinear Science and Numerical Simulation vol.50, 1 (2017), p. 193-200
[2017]
Download
DOI:
10.1016/j.cnsns.2017.02.018
Krištoufek Ladislav
,
Vošvrda Miloslav
:
Gold, currencies and market efficiency
,
Physica. A : Statistical Mechanics and its Applications vol.449, 1 (2016), p. 27-34
[2016]
Download
Download
DOI:
10.1016/j.physa.2015.12.075
Krištoufek Ladislav
:
Power-law cross-correlations estimation under heavy tails
,
Communications in Nonlinear Science and Numerical Simulation vol.40, 1 (2016), p. 163-172
[2016]
Download
DOI:
10.1016/j.cnsns.2016.04.010
Krištoufek Ladislav
,
Vošvrda Miloslav
:
Gold, currencies and market efficiency
,
Physica. A : Statistical Mechanics and its Applications vol.449, 1 (2016), p. 27-34
[2016]
Download
DOI:
10.1016/j.physa.2015.12.075
Vakrman T.
,
Krištoufek Ladislav
:
Underpricing, underperformance and overreaction in initial public offerings: Evidence from investor attention using online searches
,
SpringerPlus vol.4
[2015]
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DOI:
10.1186/s40064-015-0839-4
Pavlíček J.
,
Krištoufek Ladislav
:
Nowcasting Unemployment Rates with Google Searches: Evidence from the Visegrad Group Countries
,
PLoS ONE vol.10, e0127084
[2015]
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DOI:
10.1371/journal.pone.0127084
Krištoufek Ladislav
:
What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis
,
PLoS ONE vol.10, e0123923
[2015]
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DOI:
10.1371/journal.pone.0123923
Krištoufek Ladislav
:
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 vol.428, 1 (2015), p. 194-205
[2015]
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DOI:
10.1016/j.physa.2015.02.057
Krištoufek Ladislav
:
On the interplay between short and long term memory in the power-law cross-correlations setting
,
Physica. A : Statistical Mechanics and its Applications vol.421, 1 (2015), p. 218-222
[2015]
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DOI:
10.1016/j.physa.2014.11.040
Krištoufek Ladislav
:
Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
,
Physical Review E vol.91, 1 (2015)
[2015]
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DOI:
10.1103/PhysRevE.91.022802
Krištoufek Ladislav
:
Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
,
Physica. A : Statistical Mechanics and its Applications vol.431, 1 (2015), p. 124-127
[2015]
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DOI:
10.1016/j.physa.2015.02.086
Krištoufek Ladislav
,
Luňáčková P.
:
Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets
,
Energy Economics vol.49, 1 (2015), p. 1-8
[2015]
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DOI:
10.1016/j.eneco.2015.01.013
Krištoufek Ladislav
:
Finite sample properties of power-law cross-correlations estimators
,
Physica. A : Statistical Mechanics and its Applications vol.419, 1 (2015), p. 513-525
[2015]
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DOI:
10.1016/j.physa.2014.10.068
Krištoufek Ladislav
,
Vošvrda Miloslav
:
Commodity futures and market efficiency
,
Energy Economics vol.42, 1 (2014), p. 50-57
[2014]
Download
DOI:
10.1016/j.eneco.2013.12.001
Chrz Š.
,
Janda K.
,
Krištoufek Ladislav
:
Provázanost trhu potravin, biopaliv a fosilních paliv
,
Politická ekonomie vol.62, 1 (2014), p. 117-140
[2014]
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DOI:
10.18267/j.polek.940
Krištoufek Ladislav
:
Spectrum-based estimators of the bivariate Hurst exponent
,
Physical Review E vol.90, 6 (2014)
[2014]
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DOI:
10.1103/PhysRevE.90.062802
Krištoufek Ladislav
:
Measuring correlations between non-stationary series with DCCA coefficient
,
Physica. A : Statistical Mechanics and its Applications vol.402, 1 (2014), p. 291-298
[2014]
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DOI:
10.1016/j.physa.2014.01.058
Krištoufek Ladislav
:
Leverage effect in energy futures
,
Energy Economics vol.45, 1 (2014), p. 1-9
[2014]
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DOI:
10.1016/j.eneco.2014.06.009
Krištoufek Ladislav
:
Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
,
Physica. A : Statistical Mechanics and its Applications vol.406, 1 (2014), p. 169-175
[2014]
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DOI:
10.1016/j.physa.2014.03.015
Krištoufek Ladislav
,
Janda K.
,
Zilberman D.
:
Price transmission between biofuels, fuels and food commodities
,
Biofuels Bioproducts & Biorefining-Biofpr vol.8, 3 (2014), p. 362-373
[2014]
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DOI:
10.1002/bbb.1464
Bláhová P.
,
Janda K.
,
Krištoufek Ladislav
:
The perspectives for genetically modified cellulosic biofuels in the Central European conditions
,
Agricultural Economics = Zemědělská ekonomika vol.60, 6 (2014), p. 247-259
[2014]
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Krištoufek Ladislav
,
Vošvrda Miloslav
:
Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy
,
European Physical Journal B vol.87, 7 (2014)
[2014]
Download
DOI:
10.1140/epjb/e2014-50113-6
Krištoufek Ladislav
,
Vošvrda Miloslav
:
Commodity futures and market efficiency
,
Energy Economics vol.42, 1 (2014), p. 50-57
[2014]
Download
DOI:
10.1016/j.eneco.2013.12.001
Krištoufek Ladislav
,
Luňáčková P.
:
Long-term memory in electricity prices: Czech market evidence
,
Finance a úvěr-Czech Journal of Economics and Finance vol.63, 5 (2013), p. 407-424
[2013]
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Krištoufek Ladislav
:
BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era
,
Scientific Reports vol.3
[2013]
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DOI:
10.1038/srep03415
Krištoufek Ladislav
:
Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence
,
Scientific Reports vol.3, 10 (2013)
[2013]
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DOI:
10.1038/srep02857
Krištoufek Ladislav
:
Testing power-law cross-correlations: Rescaled covariance test
,
European Physical Journal B vol.86, 10 (2013)
[2013]
Download
DOI:
10.1140/epjb/e2013-40705-y
Krištoufek Ladislav
:
Mixed-correlated ARFIMA processes for power-law cross-correlations
,
Physica. A : Statistical Mechanics and its Applications vol.392, 24 (2013), p. 6484-6493
[2013]
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DOI:
10.1016/j.physa.2013.08.041
Krištoufek Ladislav
:
Can Google Trends search queries contribute to risk diversification?
,
Scientific Reports vol.3, 2713 (2013), p. 1-5
[2013]
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DOI:
10.1038/srep02713
Vácha Lukáš
,
Janda K.
,
Krištoufek Ladislav
,
Zilberman D.
:
Time-Frequency Dynamics of Biofuel-Fuel-Food System
,
Energy Economics vol.40, 1 (2013), p. 233-241
[2013]
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DOI:
10.1016/j.eneco.2013.06.015
Krištoufek Ladislav
,
Janda K.
,
Zilberman D.
:
Regime-dependent topological properties of biofuels networks
,
European Physical Journal B vol.86, 2 (2013)
[2013]
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DOI:
10.1140/epjb/e2012-30871-9
Krištoufek Ladislav
,
Vošvrda Miloslav
:
Measuring capital market efficiency: Global and local correlations structure
,
Physica. A : Statistical Mechanics and its Applications vol.392, 1 (2013), p. 184-193
[2013]
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DOI:
10.1016/j.physa.2012.08.003
Krištoufek Ladislav
,
Skuhrovec J.
:
Exponential and power laws in public procurement markets
,
EPL vol.99, 2 (2012)
[2012]
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DOI:
10.1209/0295-5075/99/28005
Krištoufek Ladislav
,
Janda Karel
,
Zilberman D.
:
Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective
,
Energy Economics vol.34, 5 (2012), p. 1380-1391
[2012]
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DOI:
10.1016/j.eneco.2012.06.016
Krištoufek Ladislav
:
How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study
,
Physica. A : Statistical Mechanics and its Applications vol.391, 17 (2012), p. 4252-4260
[2012]
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DOI:
10.1016/j.physa.2012.04.005
Krištoufek Ladislav
:
Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity
,
Advances in Complex Systems vol.15, 6 (2012)
[2012]
Download
DOI:
10.1142/S0219525912500658
Krištoufek Ladislav
,
Vošvrda Miloslav
:
Efektivita kapitálových trhů: Fraktální dimenze, Hurstův exponent a entropie
,
Politická ekonomie vol.60, 2 (2012), p. 208-221
[2012]
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Baruník Jozef
,
Vácha Lukáš
,
Krištoufek Ladislav
:
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
,
IES Working Papers vol.2011, 22 (2011), p. 1-22
[2011]
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Krištoufek Ladislav
:
Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations
,
EPL vol.95, 6 (2011)
[2011]
Download
DOI:
10.1209/0295-5075/95/68001
Krištoufek Ladislav
:
On spurious anti-persistence in the US stock indices
,
Chaos Solitons & Fractals vol.43, 1 (2010), p. 68-78
[2010]
Download
DOI:
10.1016/j.chaos.2010.09.001
Krištoufek Ladislav
:
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
,
AUCO Czech Economic Review, 3 (2010), p. 236-250
[2010]
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Krištoufek Ladislav
:
Dlouhá pamět a její vývoj ve výnosech burzovního indexu PX v letech 1997 - 2009
,
Politická ekonomie vol.58, 4 (2010), p. 471-478
[2010]
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Baruník Jozef
,
Krištoufek Ladislav
:
On Hurst exponent estimation under heavy-tailed distributions
,
Physica. A : Statistical Mechanics and its Applications vol.389, 18 (2010), p. 3844-3855
[2010]
Download
DOI:
10.1016/j.physa.2010.05.025
Krištoufek Ladislav
:
Local Scaling Properties and Market Turning Points at Prague Stock Exchange
,
Acta physica Polonica. B vol.41, 6 (2010), p. 1001-1014
[2010]
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Krištoufek Ladislav
:
Long-range dependence in returns and volatility of Central European Stock Indices
,
Bulletin of the Czech Econometric Society vol.17, 27 (2010), p. 50-67
[2010]
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Krištoufek Ladislav
:
Long-range dependence in returns and volatility of Central European Stock Indices
,
IES Working Papers vol.2010, 3 (2010), p. 1-19
[2010]
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Krištoufek Ladislav
:
Classical and modified rescaled range analysis: Sampling properties under heavy tails
,
IES Wokring Papers vol.2009, 29 (2009), p. 1-17
[2009]
Download
Šíla Jan
,
Kočenda Evžen
,
Kukačka Jiří
,
Krištoufek Ladislav
:
Good vs. Bad Volatility in Major Cryptocurrencies: The Dichotomy and Drivers of Connectedness
,
IES UK, (IES UK 2023)
Research Report 24/2023
[2023]
Download
Krištoufek Ladislav
,
Vošvrda Miloslav
:
Capital market efficiency in the Ising model environment: Local and global effects
,
Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016, p. 465-470 , Eds: Kocourek A.
,
MME 2016. International Conference Mathematical Methods in Economics /34./, (Liberec, CZ, 06.09.2016-09.09.2016)
[2016]
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Krištoufek Ladislav
:
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, p. 908-912
,
Polish Symposium of Physics in Economy and Social Sciences FENS (2016) /8./, (Rzeszów, PL, 20151104)
[2016]
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DOI:
10.12693/APhysPolA.129.908
Krištoufek Ladislav
,
Vošvrda Miloslav
:
Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
,
Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, p. 470-475 , Eds: Vojáčková Hana
,
MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./, (Jihlava, CZ, 11.09.2013-13.09.2013)
[2013]
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Ivanková Kristýna
,
Krištoufek Ladislav
,
Vošvrda Miloslav
:
Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent
,
Mathematical Methods in Economics 2011, p. 300-305
,
Mathematical Methods in Economics 2011, (Jánska Dolina, SK, 06.09.2011-09.09.2011)
[2011]
Download
Krištoufek Ladislav
:
Multifractal Height Cross-Correlation Analysis
,
Mathematical Methods in Economics 2011, p. 1-19
,
Mathematical Methods in Economics 2011, (Jánska Dolina, SK, 06.09.2011-09.09.2011)
[2011]
Download
Baruník Jozef
,
Vácha Lukáš
,
Krištoufek Ladislav
:
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
,
28th International Conference on Mathematical Methods in Economics 2010, p. 12-17 , Eds: Houda Michal, Friebelová Jana
,
Mathematical Methods in Economics 2010, (České Budějovice, CZ, 08.09.2010-10.09.2010)
[2010]
Download
Krištoufek Ladislav
:
Multifractal height cross-correlation analysis
,
ÚTIA AV ČR, (Praha 2010)
Research Report 2281
[2010]
Download
Baruník Jozef
,
Krištoufek Ladislav
:
On Hurst exponent estimation under heavy-tailed distributions
,
ÚTIA AV ČR, (Praha 2009)
Research Report 2267
[2009]
2019-01-07 08:39