Články v impaktovaných časopisech
2023 Corporate social responsibility and stock prices after the financial crisis: The role of strategic CSR activities, Journal of Business Ethics, 182, pp. 223–242, DOI
2023 Estimation of heuristic switching in behavioral macroeconomic models, Journal of Economic Dynamics Control, 146, 104585, DOI
2023 Fundamental and speculative components of the cryptocurrency pricing dynamics, Financial Innovation, 9 (61), pp. 1-23, DOI
2023 Moment set selection for the SMM using simple machine learning, forthcoming in Journal of Economic Behavior & Organization, DOI
2021 Does parameterization affect the complexity of agent-based models?, Journal of Economic Behavior & Organization, 192, pp. 324-356, DOI
2021 Nash Q-learning agents in Hotelling's model: Reestablishing equilibrium, Communications in Nonlinear Science and Numerical Simulation, 99, 105805, DOI
2020 Do 'complex' financial models really lead to complex dynamics? Agent-based models and multifractality, Journal of Economic Dynamics and Control, 113, 103855, DOI
2019 Prospect Theory in the heterogeneous agent model, Journal of Economic Interaction and Coordination, 14 (1), pp. 147-174, DOI
2018 The impact of the Tobin tax in a heterogeneous agent model of the foreign exchange market, Computational Economics, 51 (4), pp. 865-892, DOI
2017 Estimation of financial agent-based models with simulated maximum likelihood, Journal of Economic Dynamics and Control, 85, pp. 21-45, DOI
2015 Realizing stock market crashes: Stochastic cusp catastrophe model of returns under the time-varying volatility, Quantitative Finance, 15 (6), pp. 959-973, DOI
2013 Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment, Physica A, 392 (23), pp. 5920-5938, DOI
Kapitoly v knize
2019 Simulated maximum likelihood estimation of agent-based models in economics and finance, Springer, Network Theory and Agent-Based Modeling in Economics and Finance, pp. 203-226, DOI
IES Working Papers
2020 Credit Rating Downgrade Risk on Equity Returns, IES Working Papers 13/2020
2016 Estimation of financial agent-based models with simulated maximum likelihood, IES Working Papers 7/2016, published in J ECON DYN CONTROL
2016 Prospect Theory in the heterogeneous agent model, IES Working Papers 14/2016, published in J ECON INTERACT COOR
2015 The impact of the Tobin tax in a heterogeneous agent model of the foreign exchange market, IES Working Papers 26/2015, published in COMPUT ECON
2013 Realizing stock market crashes: Stochastic cusp catastrophe model of returns under the time-varying volatility, IES Working Papers 19/2013, published in QUANT FINANC
Ostatní
2023 Work-in-progress: Investor sentiment in high frequency financial data,
2023 Work-in-progress: Linking financial and economic agent-based models: An econometric approach,
2021 Estimation of heuristic switching in behavioral macroeconomic models, Kiel University Economics Working Paper No 2021-01, DOI, published in J ECON DYN CONTROL
2020 Notes on the Neglected Premisses of the Hodrick-Prescott Detrending and the Hamilton Regression Filter, SSRN Working Paper, DOI
2018 On the estimation of behavioral macroeconomic models via simulated maximum likelihood, Kiel University Economics Working Paper No 2018-11, DOI
Submissions
2023 Belief-Driven Dynamics in a Behavioral SEIRD Macroeconomic Model with Sceptics, under (the second round of) revision for J ECON BEHAV ORGAN
2023 Good and bad volatility in cryptocurrencies: Connectedness, asymmetry, and their drivers,
2022 Is the Hamilton Regression Filter Really Superior to Hodrick-Prescott Detrending?, SSRN Working Paper, DOI
2022 Reconsidering Hodrick-Prescott Detrending and Its Smoothing Parameter, SSRN Working Paper, DOI
