Jiri Kukacka

Charles University - Institute of Economic Studies

Assistant Professor

Opletalova 26

Prague 1, CZ-11000

Czech Republic

http://ies.fsv.cuni.cz/en/staff/kukacka

The Czech Academy of Sciences - Institute of Information Theory and Automation

Postdoctoral Researcher

Pod Vodarenskou vezi 4

Prague 8, CZ-18208

Czech Republic

http://www.utia.cas.cz/cs/people/kuka-ka

SCHOLARLY PAPERS

10

DOWNLOADS

612

SSRN CITATIONS

7

CROSSREF CITATIONS

4

Scholarly Papers (10)

1.

Corporate Social Responsibility and Stock Prices After the Financial Crisis: The Role of Primary Strategic CSR Activities

Number of pages: 21 Posted: 29 Apr 2020
Aneta Pintekova and Jiri Kukacka
Charles University in Prague - Faculty of Social Sciences and Charles University - Institute of Economic Studies
Downloads 117 (261,497)
Citation 1

Abstract:

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corporate social responsibility, strategic CSR, business ethics, corporate financial performance, fixed effects

2.

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

This is a pre-print of an article published in the Journal of Economic Dynamics and Control (2017). The final authenticated version is available online at DOI: 10.1016/j.jedc.2017.09.006
Number of pages: 38 Posted: 26 May 2016 Last Revised: 29 Oct 2018
Jiri Kukacka and Jozef Baruník
Charles University - Institute of Economic Studies and Charles University in Prague - Department of Economics
Downloads 92 (307,738)
Citation 7

Abstract:

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heterogeneous agent model, simulated maximum likelihood, estimation, intensity of choice, switching

3.

Prospect Theory in the Heterogeneous Agent Model

This is a pre-print of an article published in the Journal of Economic Interaction and Coordination (2019). The final authenticated version is available online at DOI: 10.1007/s11403-018-0219-6
Number of pages: 31 Posted: 12 Mar 2016 Last Revised: 03 Jun 2019
Jan Polach and Jiri Kukacka
London School of Economics & Political Science (LSE) and Charles University - Institute of Economic Studies
Downloads 85 (323,364)
Citation 2

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Heterogeneous Agent Model, Prospect Theory, Behavioral Finance, Stylized Facts

4.

Nash Q-Learning Agents in Hotelling’s Model: Reestablishing Equilibrium

Number of pages: 21 Posted: 27 Dec 2018 Last Revised: 22 Jul 2020
Jan Vainer and Jiri Kukacka
Charles University in Prague - Faculty of Mathematics and Physics and Charles University - Institute of Economic Studies
Downloads 61 (388,371)

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Hotelling’s Location Model, Agent-Based Simulation, Reinforcement Learning, Nash Q-Learning

5.

Realizing Stock Market Crashes: Stochastic Cusp Catastrophe Model of Returns under the Time-Varying Volatility

This is a pre-print of an article published in Quantitative Finance (2015). The final authenticated version is available online at DOI: 10.1080/14697688.2014.950319
Number of pages: 23 Posted: 28 Feb 2013 Last Revised: 16 Mar 2018
Jozef Baruník and Jiri Kukacka
Charles University in Prague - Department of Economics and Charles University - Institute of Economic Studies
Downloads 60 (391,522)
Citation 2

Abstract:

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stochastic cusp catastrophe model, realized volatility, bifurcations, stock market crash

6.

Do ‘Complex’ Financial Models Really Lead to Complex Dynamics? Agent-Based Models and Multifractality

This is a pre-print of an article published in the Journal of Economic Dynamics and Control (2020), 113C. The final authenticated version is available online at DOI: 10.1016/j.jedc.2020.103855
Number of pages: 32 Posted: 30 Jul 2019 Last Revised: 03 Mar 2020
Jiri Kukacka and Ladislav Kristoufek
Charles University - Institute of Economic Studies and Institute of Information Theory and Automation, Prague
Downloads 56 (404,925)
Citation 1

Abstract:

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complex systems, financial agent-based models, time series analysis, multifractal analysis, detrended fluctuation analysis

7.

The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market

This is a pre-print of an article published in Computational Economics (2018). The final authenticated version is available online at DOI: 10.1007/s10614-017-9649-9
Number of pages: 30 Posted: 14 Aug 2015 Last Revised: 16 Mar 2018
Filip Stanek and Jiri Kukacka
Charles University in Prague - Institute of Economic Studies and Charles University - Institute of Economic Studies
Downloads 55 (408,449)

Abstract:

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Tobin Tax, Foreign Exchange Market, Agent Based Modeling, Walrasian Auctioneer

8.

On the Estimation of Behavioral Macroeconomic Models via Simulated Maximum Likelihood

Number of pages: 33 Posted: 27 Dec 2018
Jiri Kukacka, Tae‐Seok Jang and Stephen Sacht
Charles University - Institute of Economic Studies, Kyungpook National University - School of Economics and Trade and University of Kiel
Downloads 51 (422,225)
Citation 1

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Behavioral Heuristics, Intensity of Choice, Monte Carlo Simulations, New-Keynesian Model, Simulated Maximum Likelihood

9.

Credit Rating Downgrade Risk on Equity Returns

Number of pages: 21 Posted: 25 Jun 2020 Last Revised: 26 Jun 2020
Periklis Brakatsoulas and Jiri Kukacka
Charles University in Prague - Institute of Economic Studies and Charles University - Institute of Economic Studies
Downloads 27 (529,071)

Abstract:

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Asset pricing, credit risk, panel data, stock returns, transition matrices

10.

Does Calibration Affect the Complexity of Agent-Based Models? A Multifractal Grid Analysis

Number of pages: 31 Posted: 19 Aug 2020
Jiri Kukacka and Ladislav Kristoufek
Charles University - Institute of Economic Studies and Institute of Information Theory and Automation, Prague
Downloads 8 (654,720)

Abstract:

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financial agent-based models, calibration, complex systems, multifractal analysis, detrended fluctuation analysis