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Ladislav Kristoufek
(Ladislav Krištoufek)

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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

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Working papers

  1. Ladislav Kristoufek & Petra Lunackova, 2014. "Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets," Papers 1407.5466, arXiv.org.
  2. Ladislav Kristoufek, 2014. "What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis," Papers 1406.0268, arXiv.org.
  3. Ladislav Kristoufek, 2014. "Leverage effect in energy futures," Papers 1403.0064, arXiv.org.
  4. 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.
  5. 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.
  6. Ladislav Kristoufek, 2013. "Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series," Papers 1311.0657, arXiv.org.
  7. Ladislav Kristoufek, 2013. "Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence," Papers 1310.1446, arXiv.org.
  8. 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.
  9. Ladislav Kristoufek, 2013. "Testing power-law cross-correlations: Rescaled covariance test," Papers 1307.4727, arXiv.org, revised Aug 2013.
  10. Ladislav Kristoufek & Jiri Skuhrovec, 2013. "Exponential and power laws in public procurement markets," Papers 1309.0218, arXiv.org.
  11. Ladislav Kristoufek, 2013. "Measuring correlations between non-stationary series with DCCA coefficient," Papers 1310.3984, arXiv.org.
  12. Ladislav Kristoufek, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Papers 1307.6046, arXiv.org, revised Aug 2013.
  13. Ladislav Kristoufek & Miloslav Vosvrda, 2013. "Commodity futures and market efficiency," Papers 1309.1492, arXiv.org.
  14. 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.
  15. Ladislav Kristoufek & Petra Lunackova, 2013. "Long-term memory in electricity prices: Czech market evidence," Papers 1309.0582, arXiv.org.
  16. Ladislav Kristoufek, 2013. "Can Google Trends search queries contribute to risk diversification?," Papers 1310.1444, arXiv.org.
  17. Ladislav Kristoufek, 2012. "Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity," Papers 1203.4979, arXiv.org.
  18. 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.
  19. 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.
  20. 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.
  21. Ladislav Kristoufek, 2012. "How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study," Papers 1201.3511, arXiv.org.
  22. 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.
  23. 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.
  24. Jozef Barunik & Ladislav Kristoufek, 2012. "On Hurst exponent estimation under heavy-tailed distributions," Papers 1201.4786, arXiv.org.
  25. Ladislav Kristoufek & Miloslav Vosvrda, 2012. "Measuring capital market efficiency: Global and local correlations structure," Papers 1208.1298, arXiv.org.
  26. Lukas Vacha & Karel Janda & Ladislav Kristoufek & David Zilberman, 2012. "Time-Frequency Dynamics of Biofuels-Fuels-Food System," Papers 1209.0900, arXiv.org.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. Kristoufek, Ladislav, 2009. "R/S analysis and DFA: finite sample properties and confidence intervals," MPRA Paper 16446, University Library of Munich, Germany.
  32. 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.
  33. 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.
  34. 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. Kristoufek, Ladislav & Vosvrda, Miloslav, 2014. "Commodity futures and market efficiency," Energy Economics, Elsevier, vol. 42(C), pages 50-57.
  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. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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).
  17. 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.

NEP Fields

32 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGR: Agricultural Economics (11) 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 2014-05-17. Author is listed
  2. NEP-COM: Industrial Competition (1) 2014-07-28
  3. 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
  4. NEP-ENE: Energy Economics (10) 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 2014-07-28. Author is listed
  5. NEP-ENV: Environmental Economics (4) 2011-11-07 2012-02-20 2012-03-28 2014-05-17
  6. NEP-ETS: Econometric Time Series (5) 2012-01-25 2012-02-08 2013-07-28 2013-10-25 2013-11-09. Author is listed
  7. NEP-FMK: Financial Markets (2) 2013-07-15 2013-10-11
  8. NEP-FOR: Forecasting (1) 2013-10-11
  9. NEP-HME: Heterodox Microeconomics (1) 2012-04-03
  10. NEP-MON: Monetary Economics (1) 2014-06-07
  11. NEP-MST: Market Microstructure (1) 2012-02-08
  12. NEP-REG: Regulation (1) 2013-09-13
  13. NEP-RMG: Risk Management (1) 2013-10-11
  14. NEP-TRA: Transition Economics (4) 2010-02-27 2013-09-06 2013-09-13 2014-05-17

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