Details about Jiri Kukacka

Access statistics for papers by Jiri Kukacka.

Last updated 2021-04-09. Update your information in the RePEc Author Service.

Short-id: pku316

Working Papers

2021

1. Estimation of Heuristic Switching in Behavioral Macroeconomic Models
   Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics

2020

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

2018

3. 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

4. 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 (21)
   See also Journal Article in Journal of Economic Dynamics and Control (2017)
5. 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 in Journal of Economic Interaction and Coordination (2019)
6. 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

7. 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 in Computational Economics (2018)

2014

8. 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 in Quantitative Finance (2015)

2013

9. 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 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) View citations (13)

2019

2. 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 (2016)

2018

3. 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 (4)
   See also Working Paper (2015)

2017

4. Estimation of financial agent-based models with simulated maximum likelihood
   Journal of Economic Dynamics and Control, 2017, 85, (C), 21-45 View citations (37)
   See also Working Paper (2016)

2015

5. 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 (2014)

2013

6. 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 (2013)