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Jiri Kukacka

Personal Details

First Name:Jiri
Middle Name:
Last Name:Kukacka
Suffix:
RePEc Short-ID:pku316
http://ies.fsv.cuni.cz/en/staff/kukacka

Affiliation

Institut ekonomických studií
Univerzita Karlova v Praze

Praha, Czech Republic
http://ies.fsv.cuni.cz/

: +420 2 222112330
+420 2 22112304
Opletalova 26, CZ-110 00 Prague
RePEc:edi:icunicz (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jiri Kukacka & Jozef Barunik, 2016. "Simulated ML Estimation of Financial Agent-Based Models," Working Papers IES 2016/07, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Mar 2016.
  2. Jan Polach & Jiri Kukacka, 2016. "Prospect Theory in the Heterogeneous Agent Model," Working Papers IES 2016/14, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2016.
  3. Kukacka, Jiri & Barunik, Jozef, 2016. "Estimation of financial agent-based models with simulated maximum likelihood," FinMaP-Working Papers 63, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  4. Jiri Kukacka & Filip Stanek, 2015. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Working Papers IES 2015/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2015.
  5. Baruník, Jozef & Kukacka, Jiri, 2014. "Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility," FinMaP-Working Papers 15, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  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. 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.

Articles

  1. Jozef Barunik & Jiri Kukacka, 2015. "Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 959-973, June.
  2. 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.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jiri Kukacka & Jozef Barunik, 2016. "Simulated ML Estimation of Financial Agent-Based Models," Working Papers IES 2016/07, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Mar 2016.

    Cited by:

    1. Lux, Thomas, 2017. "Estimation of agent-based models using sequential Monte Carlo methods," Economics Working Papers 2017-07, Christian-Albrechts-University of Kiel, Department of Economics.
    2. Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2017. "Validation of Agent-Based Models in Economics and Finance," LEM Papers Series 2017/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    3. Lamperti, Francesco, 2018. "An information theoretic criterion for empirical validation of simulation models," Econometrics and Statistics, Elsevier, vol. 5(C), pages 83-106.

  2. Kukacka, Jiri & Barunik, Jozef, 2016. "Estimation of financial agent-based models with simulated maximum likelihood," FinMaP-Working Papers 63, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.

    Cited by:

    1. Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," Papers 1703.10639, arXiv.org, revised Apr 2017.
    2. Grazzini, Jakob & Richiardi, Matteo G. & Tsionas, Mike, 2017. "Bayesian estimation of agent-based models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 26-47.
    3. Simone Berardi & Gabriele Tedeschi, 2016. "How banks’ strategies influence financial cycles: An approach to identifying micro behavior," Working Papers 2016/24, Economics Department, Universitat Jaume I, Castellón (Spain).
    4. Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2017. "Validation of Agent-Based Models in Economics and Finance," LEM Papers Series 2017/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

  3. Baruník, Jozef & Kukacka, Jiri, 2014. "Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility," FinMaP-Working Papers 15, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.

    Cited by:

    1. Dennis Wesselbaum, 2017. "Catastrophe theory and the financial crisis," Scottish Journal of Political Economy, Scottish Economic Society, vol. 64(4), pages 376-391, September.
    2. Kukacka, Jiri & Barunik, Jozef, 2017. "Estimation of financial agent-based models with simulated maximum likelihood," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.
    3. Wang, J., 2015. "Can a stochastic cusp catastrophe model explain housing market crashes?," CeNDEF Working Papers 15-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.

  4. 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.

    Cited by:

    1. Zhong, Li-Xin & Xu, Wen-Juan & Chen, Rong-Da & Zhong, Chen-Yang & Qiu, Tian & Ren, Fei & He, Yun-Xing, 2018. "Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 301-310.
    2. Yuri Biondi & Simone Righi, 2016. "What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 11(2), pages 175-203, October.
    3. M. Fern'andez-Mart'inez & M. A S'anchez-Granero & Mar'ia Jos'e Mu~noz Torrecillas & Bill McKelvey, 2016. "A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks," Papers 1601.04188, arXiv.org.
    4. Kukacka, Jiri & Barunik, Jozef, 2017. "Estimation of financial agent-based models with simulated maximum likelihood," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.

Articles

  1. Jozef Barunik & Jiri Kukacka, 2015. "Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 959-973, June.
    See citations under working paper version above.
  2. 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.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (2) 2012-05-22 2016-04-23. Author is listed
  2. NEP-ECM: Econometrics (2) 2016-04-23 2016-11-27. Author is listed
  3. NEP-FMK: Financial Markets (2) 2013-03-02 2014-12-03. Author is listed
  4. NEP-CBE: Cognitive & Behavioural Economics (1) 2012-05-22
  5. NEP-HME: Heterodox Microeconomics (1) 2016-07-23
  6. NEP-MST: Market Microstructure (1) 2014-12-03
  7. NEP-OPM: Open Economy Macroeconomics (1) 2015-12-12
  8. NEP-ORE: Operations Research (1) 2016-07-23
  9. NEP-PBE: Public Economics (1) 2015-12-12
  10. NEP-UPT: Utility Models & Prospect Theory (1) 2016-07-23

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