Details about Jiri Kukacka

Access statistics for papers by Jiri Kukacka.

Last updated 2024-02-07. Update your information in the RePEc Author Service.

Short-id: pku316

Working Papers

2024

1. US Equity Announcement Risk Premia
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
2. Wealth, Cost, and Misperception: Empirical Estimation of Three Interaction Channels in a Financial-Macroeconomic Agent-Based Model
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

2023

3. Good vs. Bad Volatility in Major Cryptocurrencies: The Dichotomy and Drivers of Connectedness
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

2021

4. Estimation of Heuristic Switching in Behavioral Macroeconomic Models
   Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics
   See also Journal Article Estimation of heuristic switching in behavioral macroeconomic models, Journal of Economic Dynamics and Control, Elsevier (2023) View citations (3) (2023)

2020

5. Credit Rating Downgrade Risk on Equity Returns
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

2018

6. On the estimation of behavioral macroeconomic models via simulated maximum likelihood
   Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (8)

2016

7. Estimation of financial agent-based models with simulated maximum likelihood
   FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents View citations (22)
   See also Journal Article Estimation of financial agent-based models with simulated maximum likelihood, Journal of Economic Dynamics and Control, Elsevier (2017) View citations (45) (2017)
8. Prospect Theory in the Heterogeneous Agent Model
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (3)
   See also Journal Article Prospect Theory in the Heterogeneous Agent Model, Journal of Economic Interaction and Coordination, Springer (2019) View citations (6) (2019)
9. Simulated ML Estimation of Financial Agent-Based Models
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (4)

2015

10. The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
    See also Journal Article The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market, Computational Economics, Springer (2018) View citations (6) (2018)

2014

11. Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents
    Also in Papers, arXiv.org (2013)
    See also Journal Article Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility, Quantitative Finance, Taylor & Francis Journals (2015) View citations (11) (2015)

2013

12. Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
    Papers, arXiv.org View citations (14)
    See also Journal Article Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment, Physica A: Statistical Mechanics and its Applications, Elsevier (2013) View citations (11) (2013)

Journal Articles

2024

1. Belief-driven dynamics in a behavioral SEIRD macroeconomic model with sceptics
   Journal of Economic Behavior & Organization, 2024, 217, (C), 312-333

2023

2. Corporate Social Responsibility and Stock Prices After the Financial Crisis: The Role of Strategic CSR Activities
   Journal of Business Ethics, 2023, 182, (1), 223-242 View citations (7)
3. Estimation of heuristic switching in behavioral macroeconomic models
   Journal of Economic Dynamics and Control, 2023, 146, (C) View citations (3)
   See also Working Paper Estimation of Heuristic Switching in Behavioral Macroeconomic Models, Economics Working Papers (2021) (2021)
4. Fundamental and speculative components of the cryptocurrency pricing dynamics
   Financial Innovation, 2023, 9, (1), 1-23 View citations (1)
5. Moment set selection for the SMM using simple machine learning
   Journal of Economic Behavior & Organization, 2023, 212, (C), 366-391

2021

6. Does parameterization affect the complexity of agent-based models?
   Journal of Economic Behavior & Organization, 2021, 192, (C), 324-356 View citations (5)

2020

7. Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality
   Journal of Economic Dynamics and Control, 2020, 113, (C) View citations (19)

2019

8. Prospect Theory in the Heterogeneous Agent Model
   Journal of Economic Interaction and Coordination, 2019, 14, (1), 147-174 View citations (6)
   See also Working Paper Prospect Theory in the Heterogeneous Agent Model, Working Papers IES (2016) View citations (3) (2016)

2018

9. The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market
   Computational Economics, 2018, 51, (4), 865-892 View citations (6)
   See also Working Paper The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market, Working Papers IES (2015) (2015)

2017

10. Estimation of financial agent-based models with simulated maximum likelihood
    Journal of Economic Dynamics and Control, 2017, 85, (C), 21-45 View citations (45)
    See also Working Paper Estimation of financial agent-based models with simulated maximum likelihood, FinMaP-Working Papers (2016) View citations (22) (2016)

2015

11. Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
    Quantitative Finance, 2015, 15, (6), 959-973 View citations (11)
    See also Working Paper Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility, FinMaP-Working Papers (2014) (2014)

2013

12. Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (23), 5920-5938 View citations (11)
    See also Working Paper Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment, Papers (2013) View citations (14) (2013)