Advanced Search
MyIDEAS: Login

Publications

by members of

Ústav teorie informace a automatizace (ÚTIA)
Akademie věd České Republiky
Praha, Czech Republic

(Institute of Information Theory and Automation, Academy of Sciences))

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |

Working papers

Undated material is listed at the end

2014

  1. Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2014. "How does bad and good volatility spill over across petroleum markets?," Papers 1405.2445, arXiv.org.
  2. Ladislav Kristoufek, 2014. "Leverage effect in energy futures," Papers 1403.0064, arXiv.org.
  3. Pavla Blahova & Karel Janda & Ladislav Kristoufek, 2014. "The Perspectives for Genetically Modified Cellulosic Ethanol in the Czech Republic," Working Papers IES 2014/02, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2014.
  4. Ladislav Kristoufek, 2014. "What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis," Papers 1406.0268, arXiv.org.
  5. Ladislav Kristoufek & Petra Lunackova, 2014. "Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets," Papers 1407.5466, arXiv.org.

2013

  1. Ladislav Kristoufek & Miloslav Vosvrda, 2013. "Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy," Papers 1307.3060, arXiv.org, revised May 2014.
  2. Ladislav Kristoufek & Miloslav Vosvrda, 2013. "Commodity futures and market efficiency," Papers 1309.1492, arXiv.org.
  3. Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Gold, Oil, and Stocks," Papers 1308.0210, arXiv.org, revised Mar 2014.
  4. Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," Papers 1308.1221, arXiv.org, revised Jul 2014.
  5. Jozef Barunik & Lukas Vacha, 2013. "Contagion among Central and Eastern European stock markets during the financial crisis," Papers 1309.0491, arXiv.org, revised Sep 2013.
  6. Jozef Barunik & Jiri Kukacka, 2013. "Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility," Papers 1302.7036, arXiv.org, revised May 2013.
  7. Krenar Avdulaj & Jozef Barunik, 2013. "Are benefits from oil - stocks diversification gone? A new evidence from a dynamic copulas and high frequency data," Papers 1307.5981, arXiv.org.
  8. Filip Zikes & Jozef Barunik, 2013. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," Papers 1308.4276, arXiv.org.
  9. Krenar Avdulaj & Jozef Barunik, 2013. "Can we still benefit from international diversification? The case of the Czech and German stock markets," Papers 1308.6120, arXiv.org, revised Sep 2013.
  10. Derviz, Alexis, 2013. "Bubbles, bank credit and macroprudential policies," Working Paper Series 1551, European Central Bank.
  11. Chrz, Stepan & Hruby, Zdenek & Janda, Karel & Kristoufek, Ladislav, 2013. "Provazanost trhu potravin, biopaliv a fosilnich paliv
    [Interconnections within food, biofuel, and fossil fuel markets]
    ," MPRA Paper 43958, University Library of Munich, Germany.
  12. Ladislav Kristoufek & Karel Janda & David Zilberman, 2013. "Non-linear Price Transmission between Biofuels, Fuels and Food Commodities," CERGE-EI Working Papers wp481, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  13. Ladislav Kristoufek, 2013. "Testing power-law cross-correlations: Rescaled covariance test," Papers 1307.4727, arXiv.org, revised Aug 2013.
  14. Ladislav Kristoufek, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Papers 1307.6046, arXiv.org, revised Aug 2013.
  15. Ladislav Kristoufek & Jiri Skuhrovec, 2013. "Exponential and power laws in public procurement markets," Papers 1309.0218, arXiv.org.
  16. Ladislav Kristoufek & Petra Lunackova, 2013. "Long-term memory in electricity prices: Czech market evidence," Papers 1309.0582, arXiv.org.
  17. Ladislav Kristoufek, 2013. "Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence," Papers 1310.1446, arXiv.org.
  18. Ladislav Kristoufek, 2013. "Can Google Trends search queries contribute to risk diversification?," Papers 1310.1444, arXiv.org.
  19. Ladislav Kristoufek, 2013. "Measuring correlations between non-stationary series with DCCA coefficient," Papers 1310.3984, arXiv.org.
  20. Ladislav Kristoufek, 2013. "Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series," Papers 1311.0657, arXiv.org.

2012

  1. Ladislav Kristoufek & Miloslav Vosvrda, 2012. "Measuring capital market efficiency: Global and local correlations structure," Papers 1208.1298, arXiv.org.
  2. Lukas Vacha & Jozef Barunik, 2012. "Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis," Papers 1201.4776, arXiv.org.
  3. Jozef Barunik & Lukas Vacha, 2012. "Realized wavelet-based estimation of integrated variance and jumps in the presence of noise," Papers 1202.1854, arXiv.org, revised Feb 2013.
  4. Jozef Barunik & Lukas Vacha, 2012. "Modeling and forecasting exchange rate volatility in time-frequency domain," Papers 1204.1452, arXiv.org, revised Aug 2013.
  5. Lukas Vacha & Karel Janda & Ladislav Kristoufek & David Zilberman, 2012. "Time-Frequency Dynamics of Biofuels-Fuels-Food System," Papers 1209.0900, arXiv.org.
  6. Jozef Barunik & Tomaso Aste & Tiziana Di Matteo & Ruipeng Liu, 2012. "Understanding the source of multifractality in financial markets," Papers 1201.1535, arXiv.org, revised Jan 2012.
  7. Jozef Barunik & Ladislav Kristoufek, 2012. "On Hurst exponent estimation under heavy-tailed distributions," Papers 1201.4786, arXiv.org.
  8. Jiri Kukacka & Jozef Barunik, 2012. "Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment," Papers 1205.3763, arXiv.org, revised May 2013.
  9. Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
  10. Jozef Barunik & Michaela Barunikova, 2012. "Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression," Papers 1208.4831, arXiv.org, revised Feb 2013.
  11. Alexis Derviz & Jakub Seidler, 2012. "Coordination Incentives in Cross-Border Macroprudential Regulation," Working Papers IES 2012/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2012.
  12. Ladislav Kristoufek, 2012. "How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study," Papers 1201.3511, arXiv.org.
  13. Ladislav Kristoufek, 2012. "Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations," Papers 1201.3473, arXiv.org, revised Jan 2012.
  14. Ladislav Kristoufek, 2012. "Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity," Papers 1203.4979, arXiv.org.
  15. Ladislav Krištoufek & Karel Janda & David Zilberman, 2012. "Correlations between biofuels and related commodities: A taxonomy perspective," Working Papers IES 2012/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2012.
  16. Ladislav Kristoufek & Karel Janda & David Zilberman, 2012. "Mutual Responsiveness of Biofuels, Fuels and Food Prices," CAMA Working Papers 2012-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  17. Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Relationship Between Prices of Food, Fuel and Biofuel," 131st Seminar, September 18-19, 2012, Prague, Czech Republic 135793, European Association of Agricultural Economists.
  18. Ladislav Kristoufek & Karel Janda & David Zilberman, 2012. "Regime-Dependent Topological Properties of Biofuels Networks," CAMA Working Papers 2012-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  19. Kristýna Ivanková, 2012. "A Relative Efficiency Measure Based on Stock Market Index Data," Working Papers IES 2012/13, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2012.

2011

  1. Jozef Barunik & Lukas Vacha & Ladislav Krištoufek, 2011. "Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data," Working Papers IES 2011/22, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2011.
  2. Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011. "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers 2011/10, Czech National Bank, Research Department.
  3. Alexis Derviz, 2011. "Financial Frictions, Bubbles, and Macroprudential Policies," Working Papers 2011/04, Czech National Bank, Research Department.
  4. Karel Janda & Ladislav Kristoufek & David Zilberman, 2011. "Modeling the Environmental and Socio-Economic Impacts of Biofuels," Working Papers IES 2011/33, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2011.
  5. Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2011. "Biofuels: Review of Policies and Impacts," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt5v1112qr, Department of Agricultural & Resource Economics, UC Berkeley.

2010

  1. Jozef Barunik & Lukas Vacha & Miloslav Vosvrda, 2010. "Tail Behavior of the Central European Stock Markets during the Financial Crisis," Working Papers IES 2010/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Mar 2010.
  2. Petr Gapko & Martin Šmíd, 2010. "Modeling a Distribution of Mortgage Credit Losses," Working Papers IES 2010/23, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2010.
  3. Jozef Barunik & Lukas Vacha, 2010. "Monte Carlo-Based Tail Exponent Estimator," Working Papers IES 2010/06, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2010.
  4. Ladislav Kristoufek, 2010. "Long-range dependence in returns and volatility of Central European Stock Indices," Working Papers IES 2010/03, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2010.
  5. Kristýna Ivanková, 2010. "Isobars and the Efficient Market Hypothesis," Working Papers IES 2010/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2010.

2009

  1. Jozef Barunik & Lukas Vacha, 2009. "Wavelet Analysis of Central European Stock Market Behaviour During the Crisis," Working Papers IES 2009/23, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2009.
  2. Alexis Derviz & Marie Rakova, 2009. "Funding Costs and Loan Pricing by Multinational Bank Affiliates," Working Papers 2009/9, Czech National Bank, Research Department.
  3. Kristoufek, Ladislav, 2009. "Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range," MPRA Paper 16424, University Library of Munich, Germany.
  4. Kristoufek, Ladislav, 2009. "R/S analysis and DFA: finite sample properties and confidence intervals," MPRA Paper 16446, University Library of Munich, Germany.
  5. Kristoufek, Ladislav, 2009. "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 16435, University Library of Munich, Germany.
  6. Ladislav Kristoufek, 2009. "Classical and modified rescaled range analysis: Sampling properties under heavy tails," Working Papers IES 2009/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2009.

2007

  1. Miloslav Vošvrda & Jan Kodera, 2007. "Goodwin's Predator-Prey Model with Endogenous Technological Progress," Working Papers IES 2007/09, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2007.
  2. Alexis Derviz, 2007. "Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information," Working Papers IES 2007/16, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2007.
  3. Derviz, Alexis & Podpiera, Jirí, 2007. "Cross-border lending contagion in multinational banks," Working Paper Series 0807, European Central Bank.

2006

  1. Jan Kodera & Karel Sladký & Miloslav Vošvrda, 2006. "Neo-Keynesian and Neo-Classical Macroeconomic Models: Stability and Lyapunov Exponents," Working Papers IES 2006/10, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2006.
  2. Lukáš Vácha & Miloslav Vošvrda, 2006. "Wavelet Applications to Heterogeneous Agents Model," Working Papers IES 2006/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2006.
  3. Jan Kodera & Miloslav Vosvrda, 2006. "Nonlinear Dynamical Model of Economy with Embodied Technological Progress," Computing in Economics and Finance 2006 264, Society for Computational Economics.

2005

  1. Lukáš Vácha & Miloslav Vošvrda, 2005. "Heterogeneous Agents Model with the Worst Out Algorithm," Working Papers IES 91, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 2005.
  2. Jan Kodera & Miroslav Vošvrda, 2005. "Production, Capital Stock and Price Dynamics in a Simple Model of Closed Economy," Working Papers IES 93, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 2005.
  3. Martin Smid, 2005. "Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process," Econometrics 0503015, EconWPA, revised 22 Mar 2005.
  4. Martin Smid, 2005. "Forecasting in Continuous Double Auction," Econometrics 0508002, EconWPA, revised 31 Dec 2005.
  5. Alexis Derviz, 2005. "Cross-border Risk Transmission by a Multinational Bank," Working Papers IES 85, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 2005.

2004

  1. Martin Smid, 2004. "Stochastic Model of Thin Market of nondivisible commodity," GE, Growth, Math methods 0406003, EconWPA, revised 28 Nov 2004.
  2. Martin Smid, 2004. "Stochastic Model of Thin Market with Divisible Commodity," GE, Growth, Math methods 0409006, EconWPA.
  3. Martin Smid, 2004. "Normal Approximation of the Disrtibution of the Equilibrium Price in Markets with Random Demand and Supply," GE, Growth, Math methods 0411001, EconWPA.
  4. Derviz, Alexis, 2004. "Exchange rate risks and asset prices in a small open economy," Working Paper Series 0314, European Central Bank.
  5. Alexis Derviz & Jiri Podpiera, 2004. "Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic," Working Papers 2004/01, Czech National Bank, Research Department.

2003

  1. Kodera J. & Vosvrda M., 2003. "Dynamics of a Small Open Economy," Computing in Economics and Finance 2003 140, Society for Computational Economics.
  2. Alexis Derviz, 2003. "FOREX Microstructure, Invisible Price Determinants,and the Central Bank's Understanding of Exchange Rate Formation," Working Papers 2003/06, Czech National Bank, Research Department.
  3. Alexis Derviz, 2003. "Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market," Working Papers 2003/04, Czech National Bank, Research Department.
  4. Alexis Derviz & Narcisa Kadlcakova & Lucie Kobzova, 2003. "Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio," Working Papers 2003/09, Czech National Bank, Research Department.

2001

  1. Miloslav S. Vosvrda, 2001. "On Economic Model of Cycles," CeNDEF Workshop Papers, January 2001 PO3, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Miloslav S. Vosvrda, 2001. "Bifurcation Routes and Economic Stability," Computing in Economics and Finance 2001 132, Society for Computational Economics.
  3. Alexis Derviz & Narcisa Kadlcakova, 2001. "Methodological Problems of Quantitative Credit Risk Modeling in the Czech Economy," Archive of Monetary Policy Division Working Papers 2001/39, Czech National Bank.

2000

  1. Alexis Derviz, 2000. "Monetary Transmission and Asset-Liability Management by Financial Institutions in Transitional Economies - Implications for Czech Monetary Policy," Archive of Monetary Policy Division Working Papers 2000/22, Czech National Bank.

1999

  1. Alexis Derviz, 1999. "Generalized Asset Return Parity and the Exchange Rate in a Finnancially open Economy," Archive of Monetary Policy Division Working Papers 1999/12, Czech National Bank.

Undated

  1. Kodera Jan & Sladky Karel & Vosvrda Miloslav, . "The Role of Inflation Rate on the Dynamics of an Extended Kaldor Model," Modeling, Computing, and Mastering Complexity 2003 16, Society for Computational Economics.

Journal articles

2014

  1. Kristoufek, Ladislav & Vosvrda, Miloslav, 2014. "Commodity futures and market efficiency," Energy Economics, Elsevier, vol. 42(C), pages 50-57.
  2. Michal Franta & Jozef Baruník & Roman Horváth & Katerina Smídková, 2014. "Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 159-188, March.
  3. Clerc, L. & Nikolov, K. & Derviz, A. & Stracca, L. & Mendicino, C. & Suarez, J. & Moyen, S. & Vardoulakis, A., 2014. "Macroprudential capital tools: assessing their rationale and effectiveness," Financial Stability Review, Banque de France, issue 18, pages 183-194, April.
  4. Štěpán Chrz & Karel Janda & Ladislav Krištoufek, 2014. "Modeling Interconnections within Food, Biofuel, and Fossil Fuel Markets," Politická ekonomie, University of Economics, Prague, vol. 2014(1), pages 117-140.
  5. Kristoufek, Ladislav, 2014. "Measuring correlations between non-stationary series with DCCA coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 291-298.
  6. Kristoufek, Ladislav, 2014. "Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 406(C), pages 169-175.

2013

  1. Kristoufek, Ladislav & Vosvrda, Miloslav, 2013. "Measuring capital market efficiency: Global and local correlations structure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 184-193.
  2. Jan Kodera & Quang Van Tran & Miloslav Vošvrda, 2013. "Complex Price Dynamics in the Modified Kaldorian Model," Prague Economic Papers, University of Economics, Prague, vol. 2013(3), pages 358-384.
  3. Vacha, Lukas & Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2013. "Time–frequency dynamics of biofuel–fuel–food system," Energy Economics, Elsevier, vol. 40(C), pages 233-241.
  4. Jozef BARUNÍK & Lukáš VÁCHA, 2013. "Contagion among Central and Eastern European Stock Markets during the Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 443-453, November.
  5. Jozef Barunik, 2013. "Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?," ACTA VSFS, University of Finance and Administration, vol. 7(1), pages 6-30.
  6. Kukacka, Jiri & Barunik, Jozef, 2013. "Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5920-5938.
  7. Krenar AVDULAJ & Jozef BARUNIK, 2013. "Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 425-442, November.
  8. Ladislav Kristoufek & Karel Janda & David Zilberman, 2013. "Regime-dependent topological properties of biofuels networks," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 86(2), pages 1-12, February.
  9. Kristoufek, Ladislav, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6484-6493.
  10. Ladislav KRISTOUFEK & Petra LUNACKOVA, 2013. "Long-term Memory in Electricity Prices: Czech Market Evidence," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 407-424, November.
  11. Karel Sladký, 2013. "Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 7(3), pages 146-161, November.
  12. Vlasta Kaňková, 2013. "Risk Measures in Optimization Problems via Empirical Estimates," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 7(3), pages 162-177, November.

2012

  1. Vacha, Lukas & Barunik, Jozef & Vosvrda, Miloslav, 2012. "How do skilled traders change the structure of the market," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 66-71.
  2. Martin Šmíd & Miloslav Vošvrda, 2012. "Editorial to the Special Issue on Approximation of Stochastic Programming Problems," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 19(30).
  3. Ladislav Krištoufek & Miloslav Vošvrda, 2012. "Capital Markets Efficiency: Fractal Dimension, Hurst Exponent and Entropy," Politická ekonomie, University of Economics, Prague, vol. 2012(2), pages 208-221.
  4. Vacha, Lukas & Barunik, Jozef, 2012. "Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis," Energy Economics, Elsevier, vol. 34(1), pages 241-247.
  5. Barunik, Jozef & Aste, Tomaso & Di Matteo, T. & Liu, Ruipeng, 2012. "Understanding the source of multifractality in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(17), pages 4234-4251.
  6. Alexis Derviz, 2012. "Financial frictions and real implications of macroprudential policies," Financial Markets and Portfolio Management, Springer, vol. 26(3), pages 333-368, September.
  7. Alexis Derviz & Marie Raková, 2012. "Parent Influence on Loan Pricing by Czech Banks," Prague Economic Papers, University of Economics, Prague, vol. 2012(4), pages 434-499.
  8. Ladislav Kristoufek, 2012. "Fractal Markets Hypothesis And The Global Financial Crisis: Scaling, Investment Horizons And Liquidity," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(06), pages 1250065-1-1.
  9. Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective," Energy Economics, Elsevier, vol. 34(5), pages 1380-1391.
  10. Kristoufek, Ladislav, 2012. "How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(17), pages 4252-4260.
  11. Michal Houda & Vlasta Kaňková, 2012. "Empirical Estimates in Economic and Financial Optimization Problems," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 19(29).

2011

  1. Jiri Krtek & Miloslav Vošvrda, 2011. "Comparing Neural Networks and ARMA Models in Artificial Stock Market," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 18(28).
  2. Michaela Barunikova & Jozef Barunik, 2011. "Neural Networks as Semiparametric Option Pricing Tool," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 18(28).
  3. Alexis Derviz, 2011. "Real Implications of Bursting Asset Price Bubbles in Economies with Bank Credit," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(1), pages 92-116, January.

2010

  1. Miloslav Vošvrda, 2010. "Editorial," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 4(3), pages 234-235, November.
  2. Jozef Baruník & Lukáš Vácha & Miloslav Vošvrda, 2010. "Tail Behavior of the Central European Stock Markets during the Financial Crisis," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 4(3), pages 281-294, November.
  3. Barunik, Jozef & Vacha, Lukas, 2010. "Monte Carlo-based tail exponent estimator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4863-4874.
  4. Jozef Baruník & Branislav Soták, 2010. "Influence of Different Ownership Forms on Efficiency of Czech and Slovak Banks: Stochastic Frontier Approach," Politická ekonomie, University of Economics, Prague, vol. 2010(2), pages 207-224.
  5. Barunik, Jozef & Kristoufek, Ladislav, 2010. "On Hurst exponent estimation under heavy-tailed distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3844-3855.
  6. Ladislav Kristoufek, 2010. "Long-range dependence in returns and volatility of Central European Stock Indices," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 17(27).
  7. Ladislav Krištoufek, 2010. "Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009," Politická ekonomie, University of Economics, Prague, vol. 2010(4), pages 471-487.
  8. Ladislav Krištoufek, 2010. "Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 4(3), pages 315-329, November.

2009

  1. Barunik, J. & Vosvrda, M., 2009. "Can a stochastic cusp catastrophe model explain stock market crashes?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(10), pages 1824-1836, October.
  2. Jozef Barunik & Lukas Vacha & Miloslav Vosvrda, 2009. "Smart predictors in the heterogeneous agent model," Journal of Economic Interaction and Coordination, Springer, vol. 4(2), pages 163-172, November.
  3. Lukáš Vácha & Jozef Barunik & Miloslav Vošvrda, 2009. "Smart Agents and Sentiment in the Heterogeneous Agent Model," Prague Economic Papers, University of Economics, Prague, vol. 2009(3), pages 209-219.

2008

  1. Lukas Vacha & Miloslav Vosvrda, 2008. "Wavelets and Sentiment in the Heterogeneous Agents Model," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 15(25).
  2. Miloslav Vošvrda & Jozef Baruník, 2008. "Stock market crashes modeling: stochastic cusp catastrophe application," Politická ekonomie, University of Economics, Prague, vol. 2008(6), pages 759-771.
  3. Martin Šmíd, 2008. "Price Tails in the Smith and Farmer's Model," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 15(25).
  4. Jozef Baruník, 2008. "How Do Neural Networks Enhance the Predictability of Central European Stock Returns?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(07-08), pages 358-376, Oktober.
  5. Alexis Derviz & Jiří Podpiera, 2008. "Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 44(1), pages 117-130, January.

2007

  1. Jan Kodera & Karel Sladký & Miloslav Vošvrda, 2007. "Neokeynesian and Neoclassical Macroeconomic Models: Stability and Lyapunov Experiments," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 1(3), pages 302-311, November.
  2. Miloslav Vošvrda & Lukáš Vácha, 2007. "Heterogeneous Agents Model with the Worst Out Algorithm," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 1(1), pages 54-66, March.
  3. Jan Kodera & Miloslav Vošvrda, 2007. "Production, Capital Stock, and Price Level Dynamics in the Light of Kaldorian Model," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2007(4), pages 79-87.
  4. Lukáš Vácha & Miloslav Vošvrda, 2007. "Wavelet Decomposition of the Financial Market," Prague Economic Papers, University of Economics, Prague, vol. 2007(1), pages 38-54.
  5. Jan Kodera & Karel Sladký & Miloslav Vošvrda, 2007. "Neo-Keynesian and Neo-Classical Macroeconomic Models: Stability and Lyapunov Exponents," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 14(24).
  6. Martin Šmíd, 2007. "On Uselessness of Limit Orders," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 14(24).
  7. Martin Šmíd, 2007. "Are Limit Orders Rational?," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2007(4), pages 32-38.
  8. Lukáš Vácha, 2007. "Fractal Properties of the Financial Market," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2007(4), pages 49-55.
  9. Alexis Derviz, 2007. "Cross-Border Risk Transmission by a Multinational Bank," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 1(1), pages 87-111, March.
  10. Karel Sladký, 2007. "Stochastic Growth Models With No Discounting," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2007(4), pages 88-98.
  11. Vlasta Kaňková, 2007. "Multistage Stochastic Programming via Autoregressive Sequences," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2007(4), pages 99-110.
  12. Michal Houda, 2007. "Role of Dependence in Chance-constrained and Robust Programming," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2007(4), pages 111-120.

2006

  1. Jan Kodera & Miloslav Vošvrda, 2006. "Product, capital stock and price dynamics in a simple model of closed economy," Politická ekonomie, University of Economics, Prague, vol. 2006(3).
  2. Miloslav Vošvrda, 2006. "Empirical Analysis of Persistence and Dependence Patterns Among the Capital Markets," Prague Economic Papers, University of Economics, Prague, vol. 2006(3), pages 231-242.
  3. Jan Brùha & Alexis Derviz, 2006. "Macroeconomic Factors and the Balanced Value of the Czech Koruna/Euro Exchange Rate (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(7-8), pages 318-343, July.

2005

  1. Jan Kodera & Miloslav Vošvrda & Karel Sladký, 2005. "A Small-Open-Economy Model and Endogenous Money Stock," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2005(1), pages 27-34.
  2. Lukáš Vácha & Miloslav S. Vošvrda, 2005. "Dynamical Agents' Strategies and the Fractal Market Hypothesis," Prague Economic Papers, University of Economics, Prague, vol. 2005(2), pages 163-170.
  3. Martin Šmíd, 2005. "Stochastic model of thin market with an indivisible commodity," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2005(1), pages 94-100.
  4. Roman Binter & Lukáš Vácha, 2005. "Local Stability and Bifurcations in Kaldor Model," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2005(1), pages 10-20.
  5. Vlasta Kaňková, 2005. "Multistage Stochastic Decision and Economic Processes," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2005(1), pages 119-127.
  6. Michal Houda, 2005. "Using Metrics in Stability of Stochastic Programming Problems," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2005(1), pages 128-134.

2004

  1. Miloslav Vošvrda & Filip Žikeš, 2004. "An Application of the Garch-t Model on Central European Stock Returns," Prague Economic Papers, University of Economics, Prague, vol. 2004(1), pages 26-39.
  2. Derviz, Alexis, 2004. "Asset return dynamics and the FX risk premium in a decentralized dealer market," European Economic Review, Elsevier, vol. 48(4), pages 747-784, August.

2003

  1. Miloslav Vošvrda & Lukáš Vácha, 2003. "Heterogeneous agent model with memory and asset price behaviour," Prague Economic Papers, University of Economics, Prague, vol. 2003(2).
  2. Alexis Derviz, 2003. "Dealer Quotes, Order Flow and Indirect Foreign Currency Utility in a Multiple Dealership Market," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 10(19).

2002

  1. Miloslav Vošvrda & Lukáš Vácha, 2002. "Heterogeneous Agent Model And Numerical Analysis Of Learning," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 9(17).
  2. Alexis Derviz, 2002. "The uncovered parity properties of the czech koruna," Prague Economic Papers, University of Economics, Prague, vol. 2002(1).
  3. Alexis Derviz & Narcisa Kadlčáková, 2002. "Producer Subsidies And Adverse Selection In The Corporate Credit Market," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 9(15).
  4. Michal Houda, 2002. "Probability metrics and the stability of stochastic programs with recourse," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 9(17).

2001

  1. Miloslav Vošvrda, 2001. "Bifurcation Routes And Economic Stability," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 8(14).
  2. Alexis Derviz, 2001. "Equilibrium Asset Prices in a Continuous Time Portfolio Optimization Model with Decentralized Dealership Markets," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 8(13).

2000

  1. Alexis Derviz, 2000. "The Asset-Liability Management Aspects of Monetary Transmission in Transitional Economies: the Czech and the Austrian Credit Channels," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 7(11).
  2. Alexis Derviz, 2000. "Continuous Time Decision-Making in a Partially Decentralized Multiple Dealership Forex Market and Equilibrium Exchange Rate," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 7(12).

1999

  1. Karel Sladký & Jan Kodera & Miloslav Vošvrda, 1999. "Sensitivity And Stability In Dynamical Economic Systems," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 6(9).
  2. Miloslav Vošvrda, 1999. "Van Der Pol's Equation and an Economic Model of Cycles," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 6(10).
  3. Alexis Derviz, 1999. "Currency Options And Trade Smoothing Under An Exchange Rate Regime Shift," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 6(9).
  4. Alexis Derviz, 1999. "Generalized Asset Return Parity And The Exchange Rate In A Financially Open Economy," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 6(10).

1998

  1. Miloslav Vošvrda & Jan Filáček & Marek Kaplička, 1998. "The Efficient Market Hypothesis Testing on the Prague Stock Exchange," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 5(7).
  2. Alexis Derviz & Jan Klacek, 1998. "Precautionary Saving And Currency Substitution In An Optimizing Model Of The Czech Economy," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 5(8).

1996

  1. Miloslav Vošvrda, 1996. "Disequilibrium model applied to the Czech Economy," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 3(4).
  2. Karel Sladký & Miloslav Vošvrda, 1996. "The Speed Of Adjustment and Robust Stability of Macroeconomic Systems," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 3(5).
  3. Alexis Derviz, 1996. "A Shadow Asset Pricing Approach to the Analysis of Financial Markets' Equilibria in an Open Economy," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 3(5).
  4. Alexis Derviz, 1996. "Adjoint Equations in Stochastic Optimal Control and Application to Portfolio Optimization with Borrowing Constraints," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 3(4).

1995

  1. Miloslav Vošvrda, 1995. "Diferenciální Rovnice a Ekonomické Aplikace," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 2(2).
  2. Miloslav Vošvrda, 1995. "Markovian Model of Unemployment," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 2(3).
  3. Alexis Derviz, 1995. "Bayesian Capital Markets and Currency Crises," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 2(3).

1988

  1. Vosvrda, Miloslav S., 1988. "Statistical data analysis by dialogue statistical systems," Computational Statistics & Data Analysis, Elsevier, vol. 6(2), pages 113-117, March.

Books

2012

  1. Katerina Arnostova & Jozef Barunik & Jan Filacek & Michal Franta & David Havrlant & Roman Horvath & Filip Novotny & Marie Rakova & Lubos Ruzicka & Branislav Saxa & Katerina Smidkova & Peter Toth, 2012. "Macroeconomic Forecasting: Methods, Accuracy and Coordination," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 1, volume 10, number rb10/1 edited by Jan Babecky, August.
  2. Jose Peydro Alcalde & Sona Benecka & Alexis Derviz & Adam Gersl & Tomas Holub & Roman Horvath & Petr Jakubik & Narcisa Liliana Kadlcakova & Dorota Kowalczyk & Ivana Kubicova & Steven Ongena & Jakub Ry, 2012. "Financial Stability and Monetary Policy," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 2, volume 10, number rb10/2 edited by Jan Babecky & Roman Horvath, August.

2011

  1. Jan Babecky & Alena Bicakova & Alexis Derviz & Tomas Havranek & Roman Horvath & Lubos Komarek & Zlatuse Komarkova & Jakub Mateju & Ke Pang & Renata Pasalicova & Zuzana Prelcova & Marie Rakova & Pierre, 2011. "Macro-Financial Linkages: Theory and Applications," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 2, volume 9, number rb09/2 edited by Jan Babecky, August.

2007

  1. Alexis Derviz & Adam Gersl & Jaroslav Hermanek & Michal Hlavacek & Petr Jakubik & Jiri Podpiera & Katerina Smidkova, 2007. "CNB Economic Research Bulletin: Financial Stability in a Transforming Economy," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 1, volume 5, number rb05/1 edited by Michal Hlavacek, August.

2005

  1. Martin Cihak & Alexis Derviz & Anca Podpiera, 2005. "CNB Economic Research Bulletin: Financial Stability," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 2, volume 3, number rb03/2 edited by Vladislav Flek, August.

Chapters

2013

  1. Alexis DERVIZ, 2013. "Collateral Composition, Diversification Risk and Systematically Important Merchant Banks," Chapters of Financial Aspects of Recent Trends in the Global Economy book, in: Rajmund Mirdala (ed.), Financial Aspects of Recent Trends in the Global Economy, volume 2, chapter 2, pages 39-56 ASERS Publishing.

2005

  1. Alexis Derviz & Narcisa Kadlcáková, 2005. "Business cycle, credit risk and economic capital determination by commercial banks," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 299-327 Bank for International Settlements.