Search results
- 1.0583786 - ÚTIA 2024 RIV NL eng J - Journal Article
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. Roč. 626, č. 1 (2023), č. článku 129084. ISSN 0378-4371. E-ISSN 1873-2119
Institutional support: RVO:67985556
Keywords : Crude oil * Commodities * Price dynamics * Russia–Ukraine conflict * Covid-19
OECD category: Finance
Impact factor: 2.8, year: 2023
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2024/E/kristoufek-0583786.pdf https://www.sciencedirect.com/science/article/pii/S0378437123006398?via%3Dihub
Permanent Link: https://hdl.handle.net/11104/0352120 - 2.0561394 - ÚTIA 2023 RIV NL eng J - Journal Article
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. Roč. 588, č. 1 (2022), č. článku 126530. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GJ17-12386Y
Institutional support: RVO:67985556
Keywords : Detrended fluctuation analysis * Heterogeneity * Multivariate fractal regression * Scale-dependent effects
OECD category: Economic Theory
Impact factor: 3.3, year: 2022
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2022/E/kristoufek-0561394.pdf https://www.sciencedirect.com/science/article/pii/S0378437121008037?via%3Dihub
Permanent Link: https://hdl.handle.net/11104/0334058 - 3.0533624 - ÚTIA 2021 RIV NL eng J - Journal Article
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. Roč. 550, č. 1 (2020), č. článku 124519. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GJ17-12386Y
Institutional support: RVO:67985556
Keywords : clean energy stocks * long memory * efficiency * MF-DFA
OECD category: Economic Theory
Impact factor: 3.263, year: 2020
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2020/E/kristoufek-0533624.pdf https://www.sciencedirect.com/science/article/pii/S037843712030234X
Permanent Link: http://hdl.handle.net/11104/0312005 - 4.0522062 - ÚTIA 2021 RIV NL eng J - Journal Article
Ferreira, P. - Krištoufek, Ladislav - Pereira, E. J. D. A. L.
DCCA and DMCA correlations of cryptocurrency markets.
Physica. A : Statistical Mechanics and its Applications. Roč. 545, č. 1 (2020), č. článku 123803. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GJ17-12386Y
Institutional support: RVO:67985556
Keywords : Cryptocurrency * Bitcoin * Correlations * Detrended cross-correlation analysis * Detrending moving-average cross-correlation analysis * Efficiency
OECD category: Applied Economics, Econometrics
Impact factor: 3.263, year: 2020
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2020/E/kristoufek-0522062.pdf https://www.sciencedirect.com/science/article/pii/S0378437119321168
Permanent Link: http://hdl.handle.net/11104/0307301 - 5.0522061 - ÚTIA 2021 RIV NL eng J - Journal Article
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. Roč. 553, č. 1 (2020), č. článku 124257. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GJ17-12386Y
Institutional support: RVO:67985556
Keywords : uncovered interest rate parity * detrended cross-correlation analysis * detrending moving-average cross-correlation analysis
OECD category: Applied Economics, Econometrics
Impact factor: 3.263, year: 2020
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2020/E/kristoufek-0522061.pdf https://www.sciencedirect.com/science/article/pii/S0378437120300698
Permanent Link: http://hdl.handle.net/11104/0307298 - 6.0507284 - ÚTIA 2020 RIV NL eng J - Journal Article
Krištoufek, Ladislav - Vošvrda, Miloslav
Gold, currencies and market efficiency.
Physica. A : Statistical Mechanics and its Applications. Roč. 449, č. 1 (2016), s. 27-34. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GBP402/12/G097
EU Projects: European Commission(XE) 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Efficient market hypothesis * Gold * Currencies * Fractal dimension * Entropy * Long-term memory
OECD category: Finance
Impact factor: 2.243, year: 2016
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/E/kristoufek-0507284.pdf https://www.sciencedirect.com/science/article/pii/S0378437115011036
Permanent Link: http://hdl.handle.net/11104/0298750 - 7.0505687 - ÚTIA 2020 RIV NL eng J - Journal Article
Krištoufek, Ladislav - Vošvrda, Miloslav
Cryptocurrencies market efficiency ranking: Not so straightforward.
Physica. A : Statistical Mechanics and its Applications. Roč. 531, č. 1 (2019), č. článku 120853. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GBP402/12/G097; GA ČR(CZ) GJ17-12386Y
Institutional support: RVO:67985556
Keywords : Cryptocurrency * Efficient market hypothesis * Efficiency index * Fractal dimension
OECD category: Finance
Impact factor: 2.924, year: 2019
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/E/kristoufek-0505687.pdf https://www.sciencedirect.com/science/article/pii/S0378437119304558
Permanent Link: http://hdl.handle.net/11104/0297106 - 8.0487923 - ÚTIA 2019 RIV NL eng J - Journal Article
Baumöhl, E. - Kočenda, Evžen - Lyócsa, S. - Výrost, T.
Networks of volatility spillovers among stock markets.
Physica. A : Statistical Mechanics and its Applications. Roč. 490, č. 1 (2018), s. 1555-1574. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : Volatility spillovers * Shock transmission * Stock markets * Granger causality network * Financial crisis * Spatial regression
OECD category: Applied Economics, Econometrics
Impact factor: 2.500, year: 2018
http://library.utia.cas.cz/separaty/2018/E/kocenda-0487923.pdf
Permanent Link: http://hdl.handle.net/11104/0282530 - 9.0478811 - ÚTIA 2018 RIV NL eng J - Journal Article
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. Roč. 486, č. 1 (2017), s. 554-566. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GA17-12408S
Institutional support: RVO:67985556
Keywords : covered interest parity * detrended cross-correlation analysis * detrending moving cross-corrrelation analysis * financial integration
OECD category: Applied Economics, Econometrics
Impact factor: 2.132, year: 2017
http://library.utia.cas.cz/separaty/2017/E/kristoufek-0478811.pdf
Permanent Link: http://hdl.handle.net/11104/0275486 - 10.0455876 - ÚTIA 2017 RIV NL eng J - Journal Article
Krištoufek, Ladislav - Vošvrda, Miloslav
Gold, currencies and market efficiency.
Physica. A : Statistical Mechanics and its Applications. Roč. 449, č. 1 (2016), s. 27-34. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : Efficient market hypothesis, * Gold * Currencies, * Fractal dimension * Entropy * Long-Term memory
Subject RIV: AH - Economics
Impact factor: 2.243, year: 2016
http://library.utia.cas.cz/separaty/2016/E/kristoufek-0455876.pdf
Permanent Link: http://hdl.handle.net/11104/0257096