Author Page for Jiri Kukacka

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 994 (49,430)

Citation 1

Abstract:

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 (Open Access)

Number of pages: 24 Posted: 24 Jun 2022 Last Revised: 15 May 2024

Jiri Kukacka, Ladislav Kristoufek and Ladislav Kristoufek

Charles University - Institute of Economic Studies and Institute of Information Theory and Automation, PragueCharles University in Prague

Downloads 284 (228,320)

Citation 4

Abstract:

3.

Determinants of wash trading in major cryptoexchanges

Number of pages: 33 Posted: 07 Nov 2024

Jan Sila, Evžen Kočenda, Ladislav Kristoufek, Ladislav Kristoufek and Jiri Kukacka

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 240 (272,817)

Abstract:

4.

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

This is a pre-print of an article published in the Journal of International Financial Markets, Institutions & Money (2024). The final authenticated version is available online at DOI: doi.org/10.1016/j.intfin.2024.102062

Number of pages: 48 Posted: 29 Jul 2023 Last Revised: 04 Oct 2024

Jan Sila, Evžen Kočenda, Ladislav Kristoufek, Ladislav Kristoufek and Jiri Kukacka

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 229 (283,300)

Citation 2

Abstract:

5.

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

A heavily revised and streamlined version of this WP was published in Macroeconomic Dynamics (2024). The final authenticated version is available online at DOI: doi.org/10.1017/S136510052400018X (Open Access)

Number of pages: 31 Posted: 17 Sep 2022 Last Revised: 02 May 2024

Reiner Franke, Jiri Kukacka and Stephen Sacht

University of Bremen - Department of Economics, Charles University - Institute of Economic Studies and University of Kiel

Downloads 227 (287,001)

Citation 2

Abstract:

6.

US Equity Announcement Risk Premia

This is a pre-print of an article published in the Review of Quantitative Finance and Accounting (2024). The final authenticated version is available online at DOI: doi.org/10.1007/s11156-024-01372-3 [undefined]

Number of pages: 20 Posted: 22 Nov 2024 Last Revised: 20 Dec 2024

Lukas Petrasek and Jiri Kukacka

Charles University and Charles University - Institute of Economic Studies

Downloads 222 (291,795)

Abstract:

7.

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 192 (334,437)

Citation 1

Abstract:

8.

Credit Rating Downgrade Risk on Equity Returns

This research has been published in IES Working Papers, 13/2020, by the Institute of Economic Studies, Charles University: ies.fsv.cuni.cz/en/veda-vyzkum/working-papers/6244

Number of pages: 20 Posted: 25 Jun 2020 Last Revised: 16 May 2024

Periklis Brakatsoulas and Jiri Kukacka

Charles University in Prague - Institute of Economic Studies and Charles University - Institute of Economic Studies

Downloads 177 (361,889)

Abstract:

9.

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 157 (399,474)

Citation 1

Abstract:

10.

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 145 (426,427)

Citation 22

Abstract:

11.

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 130 (465,509)

Abstract:

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 125 (479,924)

Citation 2

Abstract:

13.

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 121 (492,304)

Citation 2

Abstract:

14.

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

Jiri Kukacka, Ladislav Kristoufek and Ladislav Kristoufek

Charles University - Institute of Economic Studies and Institute of Information Theory and Automation, PragueCharles University in Prague

Downloads 120 (495,510)

Citation 13

Abstract:

15.

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 115 (511,692)

Citation 1

Abstract:

16.

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

Jiri Kukacka, Ladislav Kristoufek and Ladislav Kristoufek

Charles University - Institute of Economic Studies and Institute of Information Theory and Automation, PragueCharles University in Prague

Downloads 106 (547,524)

Citation 3

Abstract:

17.

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 105 (547,524)

Citation 6

Abstract:

18.

Wealth, cost, and misperception: Empirical estimation of three interaction channels in a financial-macroeconomic agent-based model

An earlier version of this research has been published in IES Working Papers, 22/2024, by the Institute of Economic Studies, Charles University.

Number of pages: 31 Posted: 12 Feb 2024 Last Revised: 04 Oct 2024

Jiri Kukacka and Eric Zila

Charles University - Institute of Economic Studies and Charles University, Faculty of Social Sciences, Institute of Economic Studies

Downloads 92 (598,471)

Abstract:

19.

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 87 (619,411)

Abstract:

20.

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 77 (665,120)

Citation 1

Abstract:

21.

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

This is a pre-print of an article published in Macroeconomic Dynamics (2025). The final authenticated version is available online at DOI: doi.org/10.1017/S136510052400018X (Open Access) [undefined]

Number of pages: 30 Posted: 13 Jun 2024 Last Revised: 16 Dec 2024

Reiner Franke, Jiri Kukacka and Stephen Sacht

University of Bremen - Department of Economics, Charles University - Institute of Economic Studies and University of Kiel

Downloads 22 (1,108,756)

Jiri Kukacka

Charles University - Institute of Economic Studies

Assistant Professor

Academy of Sciences of the Czech Republic

Research Fellow

21

Top 27,546

3,967

Top 24,762

61

Scholarly Papers (21)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract: