Detail grantu

PRIMUS/19/HUM/17 2019-2021 Behaviorální finance a makroekonomie: Nové pohledy pro hlavní proud

Řešitel: prof. PhDr. Ladislav Krištoufek Ph.D.
Spolupracovníci: Periklis Brakatsoulas M.Sc.
RNDr. Michal Červinka Ph.D.
PhDr. Jiří Kukačka Ph.D.
Jaroslav Pavlíček M.A.
Mgr. Lukáš Petrásek
Mgr. Jan Šíla MSc.
Ing. Mgr. Barbora Štěpánková (Máková) M.A.
Ing. Weizhi Sun
Popis: XXX
Spolupráce:
Práce v rámci grantu:
WWW odkaz:
Finance:
Konec: 31.12.2021
Publikace:

Avdulaj, K. & Kristoufek, L.: On tail dependence and multifractality

Bank-sourced credit transition matrices: Estimation and characteristics

Bouri, E. & Shahzad, S.J.H. & Roubaud, D. & Kristoufek, L. & Lucey, B.: Bitcoin, gold, and commodities as safe-havens for stock indices: New insight through wavelet analysis

Corporate social responsibility and stock prices after the financial crisis: The role of primary strategic CSR activities

Credit Rating Downgrade Risk on Equity Returns

Credit Rating Downgrade Risk on Equity Returns

Do 'complex' financial models really lead to complex dynamics? Agent-based models and multifractality

Does calibration affect the complexity of agent-based models? A multifractal grid analysis

Ferreira, P. & Kristoufek, L. & Pereira, E.: DCCA and DMCA correlations of cryptocurrency markets

Fil, M. & Kristoufek, L.: Pairs Trading in Cryptocurrency Markets

Ji, Q. & Bouri, E. & Kristoufek, L. & Lucey, B.: Realised volatility connectedness among Bitcoin exchange markets

Ji, Q. & Bouri, E. & Roubaud, D. & Kristoufek, L.: Information interdependence among energy, cryptocurrencies and major commodity markets

Kristoufek, L.: Bitcoin and its mining on the equilibrium path

Kristoufek, L.: Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic

Kristoufek, L.: Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws

Kristoufek, L.: On the role of stablecoins in cryptoasset pricing dynamics

Nash Q-learning agents in Hotelling's model: Reestablishing equilibrium

On the estimation of behavioral macroeconomic models via simulated maximum likelihood

Quantifying Endogeneity of Cryptocurrency Markets

Quantifying Endogeneity of Cryptocurrency Markets

Shahzad, S.J.H. & Bouri, E. & Roubaud, D. & Kristoufek, L. & Lucey, B.: Is Bitcoin a better safe-haven investment than gold and commodities?

Shahzad, S.J.H. & Bouri, E. & Roubaud, D. & Kristoufek, L.: Hedging assets for G7 stock markets: Gold versus Bitcoin

Simulated maximum likelihood estimation of agent-based models in economics and finance

WORK IN PROGRESS: A reconsideration of practical Hodrick-Prescott detrending and its premisses

WORK IN PROGRESS: Is the Hamilton regression filter really superior to Hodrick-Prescott detrending?

WORK IN PROGRESS: On the neglected premisses of Hodrick-Prescott detrending and the Hamilton regression filter

Konference:

31st Annual EAEPE Conference 2019

46th Annual Conference of the Eastern Economic Association

8th International Conference on Social Responsibility, Ethics and Sustainable Business

CEF 2019: 25th Computing in Economics and Finance

CFE 2019: 13th Conference on Computational and Financial Econometrics

CFE 2019: 13th Conference on Computational and Financial Econometrics

CFE 2019: 13th Conference on Computational and Financial Econometrics

EcoSta 2019: 3rd International Conference on Econometrics and Statistics

EcoSta 2019: 3rd International Conference on Econometrics and Statistics

Second Behavioral Macroeconomics Workshop: Heterogeneity and Expectations in Macroeconomics and Finance

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance