Jiri Kukacka

Charles University - Institute of Economic Studies

Assistant Professor

Opletalova 26

Prague 1, CZ-11000

Czech Republic

http://ies.fsv.cuni.cz/en/contacts/people/58305408

Academy of Sciences of the Czech Republic

Research Fellow

Pod Vodarenskou vezi 4

Prague 8, CZ-18200

Czech Republic

http://www.utia.cas.cz/people/kukacka

SCHOLARLY PAPERS

19

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2,834

SSRN CITATIONS
Rank 26,615

SSRN RANKINGS

Top 26,615

in Total Papers Citations

40

CROSSREF CITATIONS

3

Scholarly Papers (19)

1.

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

This is a pre-print of an article published in the Journal of Business Ethics (2023). The final authenticated version is available online at DOI: doi.org/10.1007/s10551-021-04935-9
Number of pages: 40 Posted: 29 Apr 2020 Last Revised: 03 Jan 2023
Aneta Havlinova and Jiri Kukacka
Charles University in Prague - Faculty of Social Sciences and Charles University - Institute of Economic Studies
Downloads 819 (55,871)
Citation 1

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

2.

Fundamental and Speculative Components of the Cryptocurrency Pricing Dynamics

This is a pre-print of an article published in Financial Innovation (2023). The final authenticated version is available online at DOI: doi.org/10.1186/s40854-023-00465-7
Number of pages: 24 Posted: 24 Jun 2022 Last Revised: 11 Jun 2023
Charles University - Institute of Economic Studies and Institute of Information Theory and Automation, PragueCharles University in Prague
Downloads 236 (237,343)
Citation 1

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cryptocurrency, Bitcoin, cusp catastrophe model, crash

3.

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

This is a pre-print of an article published in Communications in Nonlinear Science and Numerical Simulation (2021). The final authenticated version is available online at DOI: doi.org/10.1016/j.cnsns.2021.105805
Number of pages: 24 Posted: 27 Dec 2018 Last Revised: 30 Jan 2023
Jan Vainer and Jiri Kukacka
Charles University in Prague - Faculty of Mathematics and Physics and Charles University - Institute of Economic Studies
Downloads 167 (325,133)
Citation 1

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

4.

Is the Hamilton Regression Filter Really Superior to Hodrick-Prescott Detrending? Extended Version

Number of pages: 31 Posted: 17 Sep 2022 Last Revised: 25 Oct 2023
Reiner Franke, Jiri Kukacka and Stephen Sacht
University of Bremen - Department of Economics, Charles University - Institute of Economic Studies and University of Kiel
Downloads 164 (330,300)

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business cycles, smoothing parameter, trend concept, growth regimes

5.

Credit Rating Downgrade Risk on Equity Returns

Number of pages: 20 Posted: 25 Jun 2020 Last Revised: 20 Jul 2021
Periklis Brakatsoulas and Jiri Kukacka
Charles University in Prague - Institute of Economic Studies and Charles University - Institute of Economic Studies
Downloads 149 (357,736)

Abstract:

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Asset Pricing, Credit Risk, Panel Data, Stock Returns, Transition Matrices

6.

Notes on the Neglected Premisses of the Hodrick-Prescott Detrending and the Hamilton Regression Filter

Number of pages: 26 Posted: 08 Feb 2021
Reiner Franke and Jiri Kukacka
University of Bremen - Department of Economics and Charles University - Institute of Economic Studies
Downloads 141 (373,825)
Citation 1

Abstract:

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detrending, $\ell_1$ trend filter, business cycles, growth regimes

7.

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: doi.org/10.1016/j.jedc.2017.09.006
Number of pages: 38 Posted: 26 May 2016 Last Revised: 21 Sep 2021
Jiri Kukacka and Jozef Baruník
Charles University - Institute of Economic Studies and Charles University in Prague - Department of Economics
Downloads 136 (384,493)
Citation 20

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

8.

Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness

Number of pages: 45 Posted: 29 Jul 2023 Last Revised: 09 Jan 2024
Charles University in Prague - Institute of Economic Studies, Charles University in Prague - Institute of Economic Studies, Institute of Information Theory and Automation, PragueCharles University in Prague and Charles University - Institute of Economic Studies
Downloads 134 (391,322)

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volatility, dynamic connectedness, asymmetric effects, cryptocurrency

9.

Estimation of heuristic switching in behavioral macroeconomic models

This is a pre-print of an article published in the Journal of Economic Dynamics and Control (2023). The final authenticated version is available online at DOI: doi.org/10.1016/j.jedc.2022.104585
Number of pages: 29 Posted: 22 Mar 2021 Last Revised: 11 Jun 2023
Jiri Kukacka and Stephen Sacht
Charles University - Institute of Economic Studies and University of Kiel
Downloads 126 (408,134)

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behavioral heuristics, heuristic switching model, intensity of choice, simulated maximum likelihood

10.

Moment Set Selection for the SMM Using Simple Machine Learning

This is a pre-print of an article published in the Journal of Economic Economic Behavior & Organization (2023). The final authenticated version is available online at DOI: doi.org/10.1016/j.jebo.2023.05.040
Number of pages: 39 Posted: 27 Apr 2022 Last Revised: 07 Apr 2024
Eric Zila and Jiri Kukacka
Charles University, Faculty of Social Sciences, Institute of Economic Studies and Charles University - Institute of Economic Studies
Downloads 113 (442,582)
Citation 1

Abstract:

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agent-based model, machine learning, simulated method of moments, stepwise selection

11.

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: doi.org/10.1007/s11403-018-0219-6
Number of pages: 31 Posted: 12 Mar 2016 Last Revised: 21 Sep 2021
Jan Polach and Jiri Kukacka
London School of Economics & Political Science (LSE) and Charles University - Institute of Economic Studies
Downloads 112 (445,470)
Citation 2

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

12.

On the Estimation of Behavioral Macroeconomic Models via Simulated Maximum Likelihood

A heavily revised and renamed version of this WP was published in the Journal of Economic Dynamics and Control (2023). The final authenticated version is available online at DOI: doi.org/10.1016/j.jedc.2022.104585
Number of pages: 33 Posted: 27 Dec 2018 Last Revised: 04 Apr 2024
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 111 (448,529)
Citation 2

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

13.

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). The final authenticated version is available online at DOI: doi.org/10.1016/j.jedc.2020.103855
Number of pages: 32 Posted: 30 Jul 2019 Last Revised: 29 Jan 2023
Charles University - Institute of Economic Studies and Institute of Information Theory and Automation, PragueCharles University in Prague
Downloads 104 (470,185)
Citation 13

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

14.

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: doi.org/10.1080/14697688.2014.950319
Number of pages: 23 Posted: 28 Feb 2013 Last Revised: 21 Sep 2021
Jozef Baruník and Jiri Kukacka
Charles University in Prague - Department of Economics and Charles University - Institute of Economic Studies
Downloads 91 (513,539)
Citation 5

Abstract:

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

15.

Does parameterization affect the complexity of agent-based models?

This is a pre-print of an article published in the Journal of Economic Behavior & Organization (2021). The final authenticated version is available online at DOI: doi.org/10.1016/j.jebo.2021.10.007
Number of pages: 46 Posted: 19 Aug 2020 Last Revised: 30 Jan 2023
Charles University - Institute of Economic Studies and Institute of Information Theory and Automation, PragueCharles University in Prague
Downloads 86 (531,964)
Citation 2

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

16.

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: doi.org/10.1007/s10614-017-9649-9
Number of pages: 30 Posted: 14 Aug 2015 Last Revised: 21 Sep 2021
Filip Stanek and Jiri Kukacka
Charles University in Prague - Institute of Economic Studies and Charles University - Institute of Economic Studies
Downloads 80 (555,637)

Abstract:

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

17.

Reconsidering Hodrick-Prescott Detrending and Its Smoothing Parameter: Extended Version

Number of pages: 29 Posted: 30 Jun 2022 Last Revised: 27 Nov 2023
Reiner Franke, Jiri Kukacka and Stephen Sacht
University of Bremen - Department of Economics, Charles University - Institute of Economic Studies and University of Kiel
Downloads 33 (825,142)

Abstract:

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business cycles, trend concept, l1 trend filter, growth regimes

18.

Wealth, Cost, and Misperception: Empirical Estimation of Three Interaction Channels in a Financial-Macroeconomic Agent-Based Model

Number of pages: 30 Posted: 12 Feb 2024 Last Revised: 24 Mar 2024
Jiri Kukacka and Eric Zila
Charles University - Institute of Economic Studies and Charles University, Faculty of Social Sciences, Institute of Economic Studies
Downloads 30 (858,169)

Abstract:

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integrated agent-based model, behavioral finance and macroeconomics, bounded rationality, heuristic switching, simulated method of moments

19.

Is the Hamilton Regression Filter Really Superior to Hodrick-Prescott Detrending?

This is a pre-print of an article forthcoming in Macroeconomic Dynamics (2024). The final authenticated version is available online at DOI: TBA
Number of pages: 30
Reiner Franke, Jiri Kukacka and Stephen Sacht
University of Bremen - Department of Economics, Charles University - Institute of Economic Studies and University of Kiel
Downloads 2

Abstract:

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business cycles, smoothing parameter, trend concept, growth regimes