Details about Ladislav Krištoufek

E-mail:
Homepage:	https://ies.fsv.cuni.cz/en/contacts/institute-members/17152303
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 2024-09-07. Update your information in the RePEc Author Service.

Short-id: pkr148

Jump to Journal Articles Chapters

Working Papers

2023

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

2022

On Empirical Challenges in Forecasting Market Betas in Crypto Markets
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
Price Transmission and Policies in Biofuels-Related Global Networks
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: Evidence from VAR-MGARCH estimations
FFA Working Papers, Prague University of Economics and Business View citations (14)
Return and volatility spillovers between Chinese and US clean energy related stocks
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (22)
See also Journal Article Return and volatility spillovers between Chinese and U.S. clean energy related stocks, Energy Economics, Elsevier (2022) View citations (14) (2022)

2021

Diversification Among Cryptoassets: Bitcoin Maximalism, Active Portfolio Management, and Survival Bias
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

2020

Grandpa, grandpa, tell me the one about Bitcoin being a safe haven: Evidence from the COVID-19 pandemics
Papers, arXiv.org

2019

Modeling UK Mortgage Demand Using Online Searches
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (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 View citations (5)

2011

Biofuels: Review of Policies and Impacts
Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series, Department of Agricultural & Resource Economics, UC Berkeley View citations (4)
Also in CUDARE Working Papers, University of California, Berkeley, Department of Agricultural and Resource Economics
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 View citations (14)
Modeling the Environmental and Socio-Economic Impacts of Biofuels
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (4)

2010

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 View citations (4)

2009

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
Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range
MPRA Paper, University Library of Munich, Germany View citations (1)
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
R/S analysis and DFA: finite sample properties and confidence intervals
MPRA Paper, University Library of Munich, Germany

Journal Articles

2024

Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies
Annals of Operations Research, 2024, 334, (1), 547-573

2023

Assessing the impact of the Russia–Ukraine war on energy prices: A dynamic cross-correlation analysis
Physica A: Statistical Mechanics and its Applications, 2023, 626, (C) View citations (2)
Editorial to special issue “Hidden market linkages between Bitcoin, cryptocurrencies and financial markets: Evidence from high-frequency data and higher-order moments” in financial innovation
Financial Innovation, 2023, 9, (1), 1-4
Exploring sources of statistical arbitrage opportunities among Bitcoin exchanges
Finance Research Letters, 2023, 51, (C) View citations (1)
Fundamental and speculative components of the cryptocurrency pricing dynamics
Financial Innovation, 2023, 9, (1), 1-23 View citations (1)
Safe havens for Bitcoin
Finance Research Letters, 2023, 51, (C) View citations (1)
Will Bitcoin ever become less volatile?
Finance Research Letters, 2023, 51, (C)

2022

Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak
Journal of International Financial Markets, Institutions and Money, 2022, 77, (C) View citations (45)
Exploring the relationship between Bitcoin price and network’s hashrate within endogenous system
International Review of Financial Analysis, 2022, 84, (C) View citations (4)
Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression
Physica A: Statistical Mechanics and its Applications, 2022, 588, (C) View citations (3)
On the role of stablecoins in cryptoasset pricing dynamics
Financial Innovation, 2022, 8, (1), 1-26
Return and volatility spillovers between Chinese and U.S. clean energy related stocks
Energy Economics, 2022, 108, (C) View citations (14)
See also Working Paper Return and volatility spillovers between Chinese and US clean energy related stocks, CAMA Working Papers (2022) View citations (22) (2022)

2021

Does parameterization affect the complexity of agent-based models?
Journal of Economic Behavior & Organization, 2021, 192, (C), 324-356 View citations (5)
Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers
Financial Innovation, 2021, 7, (1), 1-23 View citations (46)
Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures
Journal of International Financial Markets, Institutions and Money, 2021, 71, (C) View citations (6)
Price transmission in biofuel-related global agricultural networks
Agricultural Economics, 2021, 67, (10), 399-408
Realised volatility connectedness among Bitcoin exchange markets
Finance Research Letters, 2021, 38, (C) View citations (15)
Tethered, or Untethered? On the interplay between stablecoins and major cryptoassets
Finance Research Letters, 2021, 43, (C) View citations (18)

2020

Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour
Physica A: Statistical Mechanics and its Applications, 2020, 550, (C) View citations (24)
Bitcoin and its mining on the equilibrium path
Energy Economics, 2020, 85, (C)
Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis
The Quarterly Review of Economics and Finance, 2020, 77, (C), 156-164 View citations (145)
DCCA and DMCA correlations of cryptocurrency markets
Physica A: Statistical Mechanics and its Applications, 2020, 545, (C) View citations (29)
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)
On Tail Dependence and Multifractality
Mathematics, 2020, 8, (10), 1-13
Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin
Economic Modelling, 2020, 87, (C), 212-224 View citations (170)
Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union
Physica A: Statistical Mechanics and its Applications, 2020, 553, (C) View citations (3)

2019

Are the crude oil markets really becoming more efficient over time? Some new evidence
Energy Economics, 2019, 82, (C), 253-263 View citations (12)
See also Working Paper Are the Crude Oil Markets Really Becoming More Efficient over Time? Some New Evidence, Working Papers IES (2018) (2018)
Cryptocurrencies market efficiency ranking: Not so straightforward
Physica A: Statistical Mechanics and its Applications, 2019, 531, (C) View citations (21)
Food versus fuel: An updated and expanded evidence
Energy Economics, 2019, 82, (C), 152-166 View citations (21)
See also Working Paper Food versus Fuel: An Updated and Expanded Evidence, Working Papers IES (2017) View citations (8) (2017)
Information interdependence among energy, cryptocurrency and major commodity markets
Energy Economics, 2019, 81, (C), 1042-1055 View citations (123)
Is Bitcoin a better safe-haven investment than gold and commodities?
International Review of Financial Analysis, 2019, 63, (C), 322-330 View citations (275)
Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws
Physica A: Statistical Mechanics and its Applications, 2019, 536, (C) View citations (7)
The Relationship Between Fuel and Food Prices: Methods and Outcomes
Annual Review of Resource Economics, 2019, 11, (1), 195-216 View citations (10)

2018

Capital asset pricing model in Portugal: Evidence from fractal regressions
Portuguese Economic Journal, 2018, 17, (3), 173-183 View citations (4)
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
Does solar activity affect human happiness?
Physica A: Statistical Mechanics and its Applications, 2018, 493, (C), 47-53
Fractality in market risk structure: Dow Jones Industrial components case
Chaos, Solitons & Fractals, 2018, 110, (C), 69-75
On Bitcoin markets (in)efficiency and its evolution
Physica A: Statistical Mechanics and its Applications, 2018, 503, (C), 257-262 View citations (73)

2017

Has global warming modified the relationship between sunspot numbers and global temperatures?
Physica A: Statistical Mechanics and its Applications, 2017, 468, (C), 351-358 View citations (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 View citations (10)

2016

Dynamics and evolution of the role of biofuels in global commodity and financial markets
Nature Energy, 2016, 1, (12), 1-9 View citations (22)
Gold, currencies and market efficiency
Physica A: Statistical Mechanics and its Applications, 2016, 449, (C), 27-34 View citations (19)
See also Working Paper Gold, currencies and market efficiency, Papers (2015) View citations (7) (2015)

2015

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 View citations (4)
Finite sample properties of power-law cross-correlations estimators
Physica A: Statistical Mechanics and its Applications, 2015, 419, (C), 513-525
See also Working Paper Finite sample properties of power-law cross-correlations estimators, Papers (2014) View citations (2) (2014)
Nowcasting Unemployment Rates with Google Searches: Evidence from the Visegrad Group Countries
PLOS ONE, 2015, 10, (5), 1-11 View citations (10)
See also Working Paper Nowcasting unemployment rates with Google searches: Evidence from the Visegrad Group countries, FinMaP-Working Papers (2015) View citations (21) (2015)
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 View citations (5)
See also Working Paper On the interplay between short and long term memory in the power-law cross-correlations setting, Papers (2014) View citations (1) (2014)
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
See also Working Paper 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 (2015) View citations (14) (2015)
Rockets and feathers meet Joseph: Reinvestigating the oil–gasoline asymmetry on the international markets
Energy Economics, 2015, 49, (C), 1-8 View citations (25)
See also Working Paper Rockets and Feathers Meet Joseph: Reinvestigating the Oil-gasoline Asymmetry on the International Markets, Working Papers IES (2015) View citations (23) (2015)
What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis
PLOS ONE, 2015, 10, (4), 1-15 View citations (13)
See also Working Paper What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis, Papers (2014) View citations (1) (2014)
Worldwide clustering of the corruption perception
Physica A: Statistical Mechanics and its Applications, 2015, 428, (C), 351-358 View citations (2)
See also Working Paper Worldwide clustering of the corruption perception, Papers (2015) View citations (3) (2015)

2014

Commodity futures and market efficiency
Energy Economics, 2014, 42, (C), 50-57 View citations (68)
See also Working Paper Commodity futures and market efficiency, Papers (2013) View citations (5) (2013)
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 View citations (9)
See also Working Paper Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series, Papers (2013) View citations (1) (2013)
Leverage effect in energy futures
Energy Economics, 2014, 45, (C), 1-9
See also Working Paper Leverage effect in energy futures, FinMaP-Working Papers (2014) (2014)
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 View citations (38)
See also Working Paper Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy, Papers (2014) View citations (29) (2014)
Measuring correlations between non-stationary series with DCCA coefficient
Physica A: Statistical Mechanics and its Applications, 2014, 402, (C), 291-298 View citations (17)
See also Working Paper Measuring correlations between non-stationary series with DCCA coefficient, Papers (2013) View citations (1) (2013)
Modelování provázanosti trhů potravin, biopaliv a fosilních paliv
(Modeling Interconnections within Food, Biofuel, and Fossil Fuel Markets)
Politická ekonomie, 2014, 2014, (1), 117-140 View citations (4)
The perspectives for genetically modified cellulosic biofuels in the Central European conditions
Agricultural Economics, 2014, 60, (6), 247-259

2013

Long-term Memory in Electricity Prices: Czech Market Evidence
Czech Journal of Economics and Finance (Finance a uver), 2013, 63, (5), 407-424 View citations (6)
See also Working Paper Long-term memory in electricity prices: Czech market evidence, Papers (2013) View citations (6) (2013)
Measuring capital market efficiency: Global and local correlations structure
Physica A: Statistical Mechanics and its Applications, 2013, 392, (1), 184-193 View citations (81)
See also Working Paper Measuring capital market efficiency: Global and local correlations structure, Papers (2012) View citations (11) (2012)
Mixed-correlated ARFIMA processes for power-law cross-correlations
Physica A: Statistical Mechanics and its Applications, 2013, 392, (24), 6484-6493 View citations (23)
See also Working Paper Mixed-correlated ARFIMA processes for power-law cross-correlations, Papers (2013) View citations (1) (2013)
Regime-dependent topological properties of biofuels networks
The European Physical Journal B: Condensed Matter and Complex Systems, 2013, 86, (2), 1-12 View citations (21)
See also Working Paper Regime-Dependent Topological Properties of Biofuels Networks, CAMA Working Papers (2012) (2012)
Time–frequency dynamics of biofuel–fuel–food system
Energy Economics, 2013, 40, (C), 233-241 View citations (36)
See also Working Paper Time-Frequency Dynamics of Biofuels-Fuels-Food System, CAMA Working Papers (2013) View citations (21) (2013)

2012

Biofuels: policies and impacts
Agricultural Economics, 2012, 58, (8), 372-386 View citations (1)
Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective
Energy Economics, 2012, 34, (5), 1380-1391 View citations (88)
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 View citations (3)
FRACTAL MARKETS HYPOTHESIS AND THE GLOBAL FINANCIAL CRISIS: SCALING, INVESTMENT HORIZONS AND LIQUIDITY
Advances in Complex Systems (ACS), 2012, 15, (06), 1-13 View citations (1)
See also Working Paper Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity, Papers (2012) View citations (30) (2012)
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 View citations (15)
See also Working Paper How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study, Papers (2012) View citations (21) (2012)

2010

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
On Hurst exponent estimation under heavy-tailed distributions
Physica A: Statistical Mechanics and its Applications, 2010, 389, (18), 3844-3855 View citations (107)
See also Working Paper On Hurst exponent estimation under heavy-tailed distributions, Papers (2012) View citations (18) (2012)
On spurious anti-persistence in the US stock indices
Chaos, Solitons & Fractals, 2010, 43, (1), 68-78 View citations (2)
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
Czech Economic Review, 2010, 4, (3), 315-329 View citations (24)

Chapters

2010

Efficiency, Persistence and Predictability of Central European Stock Markets
Palgrave Macmillan