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Details about Ladislav Krištoufek

E-mail:
Homepage:http://ies.fsv.cuni.cz/en/staff/kristoufek
Workplace:Institut ekonomických studií (Institute of Economic Studies), Univerzita Karlova v Praze (Charles University), (more information at EDIRC)
Ústav teorie informace a automatizace (ÚTIA) (Institute of Information Theory and Automation), Akademie věd České Republiky (Academy of Sciences), (more information at EDIRC)

Access statistics for papers by Ladislav Krištoufek.

Last updated 2019-09-08. Update your information in the RePEc Author Service.

Short-id: pkr148


Jump to Journal Articles

Working Papers

2019

  1. The relationship between fuel and food prices: Methods, outcomes, and lessons for commodity price risk management
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads

2018

  1. Are the Crude Oil Markets Really Becoming More Efficient over Time? Some New Evidence
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads
  2. Power-law cross-correlations: Issues, solutions and future challenges
    Papers, arXiv.org Downloads View citations (1)
  3. The Relationship Between Fuel, Biofuel and Food Prices: Methods and Outcomes
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads

2017

  1. Food versus Fuel: An Updated and Expanded Evidence
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads View citations (1)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) Downloads View citations (2)
  2. Fractal approach towards power-law coherency to measure cross-correlations between time series
    Papers, arXiv.org Downloads
  3. Prices of Biofuels and Related Commodities: An Example of Combined Economics and Graph Theory Approach
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads

2016

  1. Foods, Fuels or Finances: Which Prices Matter for Biofuels?
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2016) Downloads
  2. Herding, minority game, market clearing and efficient markets in a simple spin model framework
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads View citations (1)
  3. Power-law cross-correlations estimation under heavy tails
    Papers, arXiv.org Downloads View citations (4)

2015

  1. Co-movements of Ethanol Related Prices: Evidence from Brazil and the USA
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
  2. Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
    Papers, arXiv.org Downloads
  3. Gold, currencies and market efficiency
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2016)
  4. Nowcasting unemployment rates with Google searches: Evidence from the Visegrad Group countries
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads View citations (8)
  5. Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components
    Papers, arXiv.org Downloads View citations (10)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2015)
  6. Rockets and Feathers Meet Joseph: Reinvestigating the Oil-gasoline Asymmetry on the International Markets
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads View citations (11)
    Also in Papers, arXiv.org (2014) Downloads

    See also Journal Article in Energy Economics (2015)
  7. Underpricing, underperformance and overreaction in initial pubic offerings: Evidence from investor attention using online searches
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads View citations (5)
  8. Worldwide clustering of the corruption perception
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2015)

2014

  1. Can Google searches help nowcast and forecast unemployment rates in the Visegrad Group countries?
    Papers, arXiv.org Downloads View citations (1)
  2. Finite sample properties of power-law cross-correlations estimators
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2015)
  3. Leverage effect in energy futures
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads
    Also in Papers, arXiv.org (2014) Downloads View citations (19)

    See also Journal Article in Energy Economics (2014)
  4. Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads View citations (23)
    Also in Papers, arXiv.org (2014) Downloads View citations (12)

    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2014)
  5. On the interplay between short and long term memory in the power-law cross-correlations setting
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2015)
  6. Price elasticity of household water demand in the Czech Republic
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads
  7. Spectrum-based estimators of the bivariate Hurst exponent
    Papers, arXiv.org Downloads
  8. The Perspectives for Genetically Modified Cellulosic Ethanol in the Czech Republic
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads View citations (2)
  9. What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads View citations (12)
    Also in Papers, arXiv.org (2014) Downloads View citations (1)

2013

  1. Can Google Trends search queries contribute to risk diversification?
    Papers, arXiv.org Downloads View citations (7)
  2. Commodity futures and market efficiency
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Energy Economics (2014)
  3. Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2014)
  4. Exponential and power laws in public procurement markets
    Papers, arXiv.org Downloads
  5. Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence
    Papers, arXiv.org Downloads View citations (6)
  6. Long-term memory in electricity prices: Czech market evidence
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article in Czech Journal of Economics and Finance (Finance a uver) (2013)
  7. Measuring correlations between non-stationary series with DCCA coefficient
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2014)
  8. Mixed-correlated ARFIMA processes for power-law cross-correlations
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2013)
  9. Non-linear Price Transmission between Biofuels, Fuels and Food Commodities
    CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague Downloads View citations (4)
    Also in Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2013) Downloads View citations (3)
  10. Provazanost trhu potravin, biopaliv a fosilnich paliv
    (Interconnections within food, biofuel, and fossil fuel markets)
    MPRA Paper, University Library of Munich, Germany Downloads
  11. Testing power-law cross-correlations: Rescaled covariance test
    Papers, arXiv.org Downloads View citations (7)
  12. Time-Frequency Dynamics of Biofuels-Fuels-Food System
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (16)
    Also in Papers, arXiv.org (2012) Downloads View citations (5)

    See also Journal Article in Energy Economics (2013)

2012

  1. Correlations between biofuels and related commodities: A taxonomy perspective
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads View citations (5)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) Downloads View citations (5)
  2. Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity
    Papers, arXiv.org Downloads View citations (18)
    See also Journal Article in Advances in Complex Systems (ACS) (2012)
  3. How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study
    Papers, arXiv.org Downloads View citations (19)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2012)
  4. Measuring capital market efficiency: Global and local correlations structure
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2013)
  5. Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations
    Papers, arXiv.org Downloads View citations (13)
  6. Mutual Responsiveness of Biofuels, Fuels and Food Prices
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (10)
  7. On Hurst exponent estimation under heavy-tailed distributions
    Papers, arXiv.org Downloads View citations (15)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2010)
  8. Regime-Dependent Topological Properties of Biofuels Networks
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2013)
  9. Relationship Between Prices of Food, Fuel and Biofuel
    131st Seminar, September 18-19, 2012, Prague, Czech Republic, European Association of Agricultural Economists Downloads View citations (1)

2011

  1. Biofuels: Review of Policies and Impacts
    Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series, Department of Agricultural & Resource Economics, UC Berkeley Downloads View citations (3)
    Also in CUDARE Working Papers, University of California, Berkeley, Department of Agricultural and Resource Economics Downloads
  2. Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads View citations (8)
  3. Modeling the Environmental and Socio-Economic Impacts of Biofuels
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads View citations (4)

2010

  1. Long-range dependence in returns and volatility of Central European Stock Indices
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads View citations (4)
    See also Journal Article in Bulletin of the Czech Econometric Society (2010)

2009

  1. Classical and modified rescaled range analysis: Sampling properties under heavy tails
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads
  2. Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Procesy s dlouhou pamětí a jejich vývoj ve výnosech indexu PX v letech 1999 – 2009
    (Long-term memory and its evolution in returns of PX between 1999 and 2009)
    MPRA Paper, University Library of Munich, Germany Downloads
  4. R/S analysis and DFA: finite sample properties and confidence intervals
    MPRA Paper, University Library of Munich, Germany Downloads

Journal Articles

2019

  1. Is Bitcoin a better safe-haven investment than gold and commodities?
    International Review of Financial Analysis, 2019, 63, (C), 322-330 Downloads

2018

  1. Capital asset pricing model in Portugal: Evidence from fractal regressions
    Portuguese Economic Journal, 2018, 17, (3), 173-183 Downloads View citations (1)
  2. Ceny biopaliv a souvisejících komodit: analýza s použitím metod minimální kostry grafu a hierarchických stromů
    (Prices of Biofuels and Related Commodities: an Analysis Using Methods of Minimum Spanning Tree and Hierarchical Tree)
    Politická ekonomie, 2018, 2018, (2), 218-239 Downloads
  3. Does solar activity affect human happiness?
    Physica A: Statistical Mechanics and its Applications, 2018, 493, (C), 47-53 Downloads
  4. On Bitcoin markets (in)efficiency and its evolution
    Physica A: Statistical Mechanics and its Applications, 2018, 503, (C), 257-262 Downloads View citations (7)

2017

  1. Has global warming modified the relationship between sunspot numbers and global temperatures?
    Physica A: Statistical Mechanics and its Applications, 2017, 468, (C), 351-358 Downloads
  2. 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, 2017, 486, (C), 554-566 Downloads View citations (2)

2016

  1. Gold, currencies and market efficiency
    Physica A: Statistical Mechanics and its Applications, 2016, 449, (C), 27-34 Downloads View citations (8)
    See also Working Paper (2015)

2015

  1. Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
    Physica A: Statistical Mechanics and its Applications, 2015, 431, (C), 124-127 Downloads
  2. Finite sample properties of power-law cross-correlations estimators
    Physica A: Statistical Mechanics and its Applications, 2015, 419, (C), 513-525 Downloads
    See also Working Paper (2014)
  3. On the interplay between short and long term memory in the power-law cross-correlations setting
    Physica A: Statistical Mechanics and its Applications, 2015, 421, (C), 218-222 Downloads View citations (1)
    See also Working Paper (2014)
  4. 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, 2015, 428, (C), 194-205 Downloads
    See also Working Paper (2015)
  5. Rockets and feathers meet Joseph: Reinvestigating the oil–gasoline asymmetry on the international markets
    Energy Economics, 2015, 49, (C), 1-8 Downloads View citations (8)
    See also Working Paper (2015)
  6. Worldwide clustering of the corruption perception
    Physica A: Statistical Mechanics and its Applications, 2015, 428, (C), 351-358 Downloads View citations (1)
    See also Working Paper (2015)

2014

  1. Commodity futures and market efficiency
    Energy Economics, 2014, 42, (C), 50-57 Downloads View citations (37)
    See also Working Paper (2013)
  2. Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
    Physica A: Statistical Mechanics and its Applications, 2014, 406, (C), 169-175 Downloads View citations (3)
    See also Working Paper (2013)
  3. Leverage effect in energy futures
    Energy Economics, 2014, 45, (C), 1-9 Downloads
    See also Working Paper (2014)
  4. Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy
    The European Physical Journal B: Condensed Matter and Complex Systems, 2014, 87, (7), 1-9 Downloads View citations (23)
    See also Working Paper (2014)
  5. Measuring correlations between non-stationary series with DCCA coefficient
    Physica A: Statistical Mechanics and its Applications, 2014, 402, (C), 291-298 Downloads View citations (9)
    See also Working Paper (2013)
  6. Modelování provázanosti trhů potravin, biopaliv a fosilních paliv
    (Modeling Interconnections within Food, Biofuel, and Fossil Fuel Markets)
    Politická ekonomie, 2014, 2014, (1), 117-140 Downloads View citations (4)

2013

  1. Long-term Memory in Electricity Prices: Czech Market Evidence
    Czech Journal of Economics and Finance (Finance a uver), 2013, 63, (5), 407-424 Downloads View citations (5)
    See also Working Paper (2013)
  2. Measuring capital market efficiency: Global and local correlations structure
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (1), 184-193 Downloads View citations (38)
    See also Working Paper (2012)
  3. Mixed-correlated ARFIMA processes for power-law cross-correlations
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (24), 6484-6493 Downloads View citations (19)
    See also Working Paper (2013)
  4. Regime-dependent topological properties of biofuels networks
    The European Physical Journal B: Condensed Matter and Complex Systems, 2013, 86, (2), 1-12 Downloads View citations (11)
    See also Working Paper (2012)
  5. Time–frequency dynamics of biofuel–fuel–food system
    Energy Economics, 2013, 40, (C), 233-241 Downloads View citations (17)
    See also Working Paper (2013)

2012

  1. Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective
    Energy Economics, 2012, 34, (5), 1380-1391 Downloads View citations (50)
  2. Efektivita kapitálových trhů: fraktální dimenze, Hurstův exponent a entropie
    (Capital Markets Efficiency: Fractal Dimension, Hurst Exponent and Entropy)
    Politická ekonomie, 2012, 2012, (2), 208-221 Downloads View citations (3)
  3. FRACTAL MARKETS HYPOTHESIS AND THE GLOBAL FINANCIAL CRISIS: SCALING, INVESTMENT HORIZONS AND LIQUIDITY
    Advances in Complex Systems (ACS), 2012, 15, (06), 1-13 Downloads View citations (1)
    See also Working Paper (2012)
  4. How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (17), 4252-4260 Downloads View citations (13)
    See also Working Paper (2012)

2010

  1. Dlouhá paměť a její vývoj ve výnosech burzovního indexu PX v letech 1997-2009
    (Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009)
    Politická ekonomie, 2010, 2010, (4), 471-487 Downloads
  2. Long-range dependence in returns and volatility of Central European Stock Indices
    Bulletin of the Czech Econometric Society, 2010, 17, (27) Downloads
    See also Working Paper (2010)
  3. On Hurst exponent estimation under heavy-tailed distributions
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (18), 3844-3855 Downloads View citations (77)
    See also Working Paper (2012)
  4. Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
    Czech Economic Review, 2010, 4, (3), 315-329 Downloads View citations (17)
 
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