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Details about Jiri Kukacka

E-mail:
Homepage:http://ies.fsv.cuni.cz/en/staff/kukacka
Workplace:Institut ekonomických studií (Institute of Economic Studies), Univerzita Karlova v Praze (Charles University), (more information at EDIRC)

Access statistics for papers by Jiri Kukacka.

Last updated 2020-05-04. Update your information in the RePEc Author Service.

Short-id: pku316


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Working Papers

2020

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

2018

  1. On the estimation of behavioral macroeconomic models via simulated maximum likelihood
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads View citations (3)

2016

  1. 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 Downloads View citations (17)
    See also Journal Article in Journal of Economic Dynamics and Control (2017)
  2. Prospect Theory in the Heterogeneous Agent Model
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads
    See also Journal Article in Journal of Economic Interaction and Coordination (2019)
  3. Simulated ML Estimation of Financial Agent-Based Models
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads View citations (5)

2015

  1. 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 Downloads
    See also Journal Article in Computational Economics (2018)

2014

  1. 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 Downloads
    Also in Papers, arXiv.org (2013) Downloads

    See also Journal Article in Quantitative Finance (2015)

2013

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

Journal Articles

2020

  1. Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality
    Journal of Economic Dynamics and Control, 2020, 113, (C) Downloads View citations (1)

2019

  1. Prospect Theory in the Heterogeneous Agent Model
    Journal of Economic Interaction and Coordination, 2019, 14, (1), 147-174 Downloads View citations (2)
    See also Working Paper (2016)

2018

  1. The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market
    Computational Economics, 2018, 51, (4), 865-892 Downloads View citations (3)
    See also Working Paper (2015)

2017

  1. Estimation of financial agent-based models with simulated maximum likelihood
    Journal of Economic Dynamics and Control, 2017, 85, (C), 21-45 Downloads View citations (16)
    See also Working Paper (2016)

2015

  1. Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
    Quantitative Finance, 2015, 15, (6), 959-973 Downloads View citations (9)
    See also Working Paper (2014)

2013

  1. 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 Downloads View citations (9)
    See also Working Paper (2013)
 
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