Search Results - "Kristoufek, Ladislav"

What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis by Kristoufek, Ladislav

“…The Bitcoin has emerged as a fascinating phenomenon in the Financial markets. Without any central authority issuing the currency, the Bitcoin has been…”
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On Bitcoin markets (in)efficiency and its evolution by Kristoufek, Ladislav

“…We study efficiency of two Bitcoin markets (with respect to the US dollar and Chinese yuan) and its evolution in time. As inefficiency can manifest through…”
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Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series by Kristoufek, Ladislav

“…In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average…”
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Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic by Kristoufek, Ladislav

“…Bitcoin being a safe-haven asset is one of the traditional stories in the cryptocurrency community. However, during its existence and relevant presence, i.e.,…”
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On the role of stablecoins in cryptoasset pricing dynamics by Kristoufek, Ladislav

“…We examine the interactions between stablecoins, Bitcoin, and a basket of altcoins to uncover whether stablecoins represent the investors’ demand for trading…”
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Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis by Bouri, Elie, Shahzad, Syed Jawad Hussain, Roubaud, David, Kristoufek, Ladislav, Lucey, Brian

“…•Study Bitcoin, gold, and commodities as safe havens for various stock indices.•Apply wavelet coherency approach and assess diversification with wavelet…”
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Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers by Shahzad, Syed Jawad Hussain, Bouri, Elie, Kristoufek, Ladislav, Saeed, Tareq

“…The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak. To this end, we…”
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Nowcasting unemployment rates with Google searches: evidence from the Visegrad Group countries by Pavlicek, Jaroslav, Kristoufek, Ladislav

“…The online activity of Internet users has repeatedly been shown to provide a rich information set for various research fields. We focus on job-related searches…”
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Fundamental and speculative components of the cryptocurrency pricing dynamics by Kukacka, Jiri, Kristoufek, Ladislav

“…The driving forces behind cryptoassets’ price dynamics are often perceived as being dominated by speculative factors and inherent bubble-bust episodes…”
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Detrended fluctuation analysis as a regression framework: estimating dependence at different scales by Kristoufek, Ladislav

“…We propose a framework combining detrended fluctuation analysis with standard regression methodology. The method is built on detrended variances and…”
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Pairs Trading in Cryptocurrency Markets by Fil, Miroslav, Kristoufek, Ladislav

“…Pairs trading is a strategy based on exploiting mean reversion in prices of securities. Even though these strategies have been shown to perform well for…”
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The Relationship Between Fuel and Food Prices: Methods and Outcomes by Janda, Karel, Krištoufek, Ladislav

“…We review the fuel-food price linkage model-time-series, structural, and general or partial equilibrium models, with most attention devoted to the time-series…”
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Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression by Tilfani, Oussama, Kristoufek, Ladislav, Ferreira, Paulo, El Boukfaoui, My Youssef

“…Heterogeneity of effects between economic variables has been a frequently discussed topic for many years now. However, the estimation of such scale-dependent…”
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Comovements of ethanol‐related prices: evidence from Brazil and the USA by Kristoufek, Ladislav, Janda, Karel, Zilberman, David

“…We use the wavelet coherence methodology to investigate the relations between prices of ethanol and its feedstocks. Our continuous wavelet framework allows for…”
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Estimating suicide occurrence statistics using Google Trends by Kristoufek, Ladislav, Moat, Helen Susannah, Preis, Tobias

“…Data on the number of people who have committed suicide tends to be reported with a substantial time lag of around two years. We examine whether online…”
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Editorial to special issue “Hidden market linkages between Bitcoin, cryptocurrencies and financial markets: Evidence from high-frequency data and higher-order moments” in financial innovation by Bouri, Elie, Shahzad, Syed Jawad Hussain, Kristoufek, Ladislav

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BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era by Kristoufek, Ladislav

“…Digital currencies have emerged as a new fascinating phenomenon in the financial markets. Recent events on the most popular of the digital currencies – BitCoin…”
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On Tail Dependence and Multifractality by Avdulaj, Krenar, Kristoufek, Ladislav

“…We study whether, and if yes then how, a varying auto-correlation structure in different parts of distributions is reflected in the multifractal properties of…”
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Measuring correlations between non-stationary series with DCCA coefficient by Kristoufek, Ladislav

“…In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte…”
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Can Google Trends search queries contribute to risk diversification? by Kristoufek, Ladislav

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