Advanced Search
MyIDEAS: Login

Ladislav Kristoufek
(Ladislav Krištoufek)

Contents:

This is information that was supplied by Ladislav Kristoufek in registering through RePEc. If you are Ladislav Kristoufek , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Ladislav
Middle Name:
Last Name: Kristoufek
Suffix:

RePEc Short-ID: pkr148

Email:
Homepage: http://ies.fsv.cuni.cz/en/staff/kristoufek
Postal Address:
Phone:

Affiliation

(50%) Institut ekonomických studií
Univerzita Karlova v Praze
Location: Praha, Czech Republic
Homepage: http://ies.fsv.cuni.cz/
Email:
Phone: +420 2 222112330
Fax: +420 2 22112304
Postal: Opletalova 26, CZ-110 00 Prague
Handle: RePEc:edi:icunicz (more details at EDIRC)
(50%) Ústav teorie informace a automatizace (ÚTIA)
Akademie věd České Republiky
Location: Praha, Czech Republic
Homepage: http://www.utia.cas.cz/
Email:
Phone: +420 2 66052400
Fax: +420 2 86890449
Postal: 182 08 Prague 8, Pod vodarenskou vezi 4
Handle: RePEc:edi:utacacz (more details at EDIRC)

Works

as in new window

Working papers

  1. Ladislav Kristoufek, 2014. "Leverage effect in energy futures," Papers 1403.0064, arXiv.org.
  2. Ladislav Kristoufek, 2013. "Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series," Papers 1311.0657, arXiv.org.
  3. Ladislav Kristoufek & Miloslav Vosvrda, 2013. "Commodity futures and market efficiency," Papers 1309.1492, arXiv.org.
  4. Ladislav Kristoufek, 2013. "Can Google Trends search queries contribute to risk diversification?," Papers 1310.1444, arXiv.org.
  5. 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.
  6. Ladislav Kristoufek, 2013. "Testing power-law cross-correlations: Rescaled covariance test," Papers 1307.4727, arXiv.org, revised Aug 2013.
  7. Ladislav Kristoufek & Jiri Skuhrovec, 2013. "Exponential and power laws in public procurement markets," Papers 1309.0218, arXiv.org.
  8. Ladislav Kristoufek, 2013. "Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence," Papers 1310.1446, arXiv.org.
  9. Ladislav Kristoufek & Miloslav Vosvrda, 2013. "Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy," Papers 1307.3060, arXiv.org, revised Feb 2014.
  10. Ladislav Kristoufek, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Papers 1307.6046, arXiv.org, revised Aug 2013.
  11. 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.
  12. Ladislav Kristoufek & Petra Lunackova, 2013. "Long-term memory in electricity prices: Czech market evidence," Papers 1309.0582, arXiv.org.
  13. Ladislav Kristoufek, 2013. "Measuring correlations between non-stationary series with DCCA coefficient," Papers 1310.3984, arXiv.org.
  14. Ladislav Kristoufek, 2012. "How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study," Papers 1201.3511, arXiv.org.
  15. Ladislav Kristoufek, 2012. "Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity," Papers 1203.4979, arXiv.org.
  16. Lukas Vacha & Karel Janda & Ladislav Kristoufek & David Zilberman, 2012. "Time-Frequency Dynamics of Biofuels-Fuels-Food System," Papers 1209.0900, arXiv.org.
  17. 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.
  18. 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.
  19. 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.
  20. Jozef Barunik & Ladislav Kristoufek, 2012. "On Hurst exponent estimation under heavy-tailed distributions," Papers 1201.4786, arXiv.org.
  21. 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.
  22. 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.
  23. Ladislav Kristoufek & Miloslav Vosvrda, 2012. "Measuring capital market efficiency: Global and local correlations structure," Papers 1208.1298, arXiv.org.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. Kristoufek, Ladislav, 2009. "R/S analysis and DFA: finite sample properties and confidence intervals," MPRA Paper 16446, University Library of Munich, Germany.
  31. 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.

Articles

  1. 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.
  2. 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.
  3. Kristoufek, Ladislav & Vosvrda, Miloslav, 2014. "Commodity futures and market efficiency," Energy Economics, Elsevier, vol. 42(C), pages 50-57.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  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. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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).
  16. 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.

NEP Fields

29 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGR: Agricultural Economics (10) 2011-11-07 2012-02-20 2012-03-28 2012-06-25 2012-09-09 2012-11-24 2013-05-19 2013-05-24 2013-09-28 2013-11-16. Author is listed
  2. NEP-ECM: Econometrics (9) 2009-08-02 2009-08-02 2009-11-21 2012-01-25 2012-02-08 2013-07-20 2013-07-28 2013-10-25 2013-11-09. Author is listed
  3. NEP-ENE: Energy Economics (9) 2011-11-07 2012-02-20 2012-03-28 2012-09-09 2013-02-03 2013-05-19 2013-09-13 2013-11-16 2014-03-15. Author is listed
  4. NEP-ENV: Environmental Economics (3) 2011-11-07 2012-02-20 2012-03-28
  5. NEP-ETS: Econometric Time Series (5) 2012-01-25 2012-02-08 2013-07-28 2013-10-25 2013-11-09. Author is listed
  6. NEP-FMK: Financial Markets (2) 2013-07-15 2013-10-11
  7. NEP-FOR: Forecasting (1) 2013-10-11
  8. NEP-HME: Heterodox Microeconomics (1) 2012-04-03
  9. NEP-MST: Market Microstructure (1) 2012-02-08
  10. NEP-REG: Regulation (1) 2013-09-13
  11. NEP-RMG: Risk Management (1) 2013-10-11
  12. NEP-TRA: Transition Economics (3) 2010-02-27 2013-09-06 2013-09-13

Statistics

This author is among the top 5% authors according to these criteria:
  1. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Ladislav Kristoufek should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.