Doc. PhDr. Jiří Kukačka, Ph.D.

vědecký pracovník

Jiří Kukačka
kukacka@utia.cas.cz 266052471 Osobní web
Oddělení: Oddělení ekonometrie
Vědecké zájmy: finanční ekonometrie, behaviorální finance a makro, ABM, ESG, machine learning

Životopis

Seznam publikací

Jiří Kukačka se zaměřuje na finanční ekonometrii, behaviorální finance a makro, ABM, ESG, machine learning a výpočetní odhadní metody. Jeho práce byly publikovány v předních oborových časopisech, včetně JEDC, JEBO, IRFA a Business Ethics, a byly prezentovány na více než padesáti mezinárodních konferencích a workshopech. Přednáší kurzy ekonometrie.


Projekty GAČR:

  • Hlavní řešitel:
    • Linking financial and economic agent-based models: An econometric approach (2020 - 2022)
  • Člen týmu:
    • Hedging uncertainty in commodity markets (2024 - 2026)
    • Deep dive into decentralized finance: Market microstructure, and behavioral and psychological patterns (2023 - 2025)
    • Cryptoassets: Pricing, interconnectedness, mining, and their interactions (2020 - 2022)
    • Multifractality analysis in finance: Extreme events, portfolio and risk management, and market complexity (2017 - 2019)

Knihy a kapitoly

  1. Kukačka Jiří: Simulated maximum likelihood estimation of agent-based models in economics and finance, Network Theory and Agent-Based Modeling in Economics and Finance, p. 203-226, Eds: Chakrabarti A. S., Pichl L., Kaizoji T. DOI: 10.1007/978-981-13-8319-9_10 [2019]

Články v časopisech

  1. Petrásek L., Kukačka Jiří: US equity announcement risk premia, Review of Quantitative Finance and Accounting 365 1 (2025), p. 345-363 Stáhnout Stáhnout DOI: 10.1007/s11156-024-01372-3 [2025]
  2. Franke R., Kukačka Jiří, Sacht S.: Is the Hamilton regression filter really superior to Hodrick-Prescott detrending?, Macroeconomic Dynamics 29 Stáhnout Stáhnout DOI: 10.1017/S136510052400018X [2025]
  3. Šíla Jan, Kočenda Evžen, Krištoufek Ladislav, Kukačka Jiří: Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness, JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 96 Stáhnout Stáhnout DOI: 10.1016/j.intfin.2024.102062 [2024]
  4. Proaño Ch. R., Kukačka Jiří, Makarewicz T.: Belief-driven dynamics in a behavioral SEIRD macroeconomic model with sceptics, Journal of Economic Behavior & Organization 217 1 (2024), p. 312-333 Stáhnout Stáhnout DOI: 10.1016/j.jebo.2023.11.011 [2024]
  5. Žíla Eric, Kukačka Jiří: Moment set selection for the SMM using simple machine learning, Journal of Economic Behavior & Organization 212 1 (2023), p. 366-391 Stáhnout Stáhnout DOI: 10.1016/j.jebo.2023.05.040 [2023]
  6. Kukačka Jiří, Krištoufek Ladislav: Fundamental and speculative components of the cryptocurrency pricing dynamics, Financial Innovation 9 Stáhnout Stáhnout DOI: 10.1186/s40854-023-00465-7 [2023]
  7. Kukačka Jiří, Sacht S.: Estimation of heuristic switching in behavioral macroeconomic models, Journal of Economic Dynamics & Control 146 Stáhnout Stáhnout DOI: 10.1016/j.jedc.2022.104585 [2023]
  8. Havlínová A., Kukačka Jiří: Corporate Social Responsibility and Stock Prices After the Financial Crisis: The Role of Strategic CSR Activities, Journal of Business Ethics 182 1 (2023), p. 223-242 Stáhnout Stáhnout DOI: 10.1007/s10551-021-04935-9 [2023]
  9. Kukačka Jiří, Krištoufek Ladislav: Does parameterization affect the complexity of agent-based models?, Journal of Economic Behavior & Organization 192 1 (2021), p. 324-356 Stáhnout Stáhnout DOI: 10.1016/j.jebo.2021.10.007 [2021]
  10. Vainer J., Kukačka Jiří: Nash Q-learning agents in Hotelling's model: Reestablishing equilibrium, Communications in Nonlinear Science and Numerical Simulation 99 Stáhnout Stáhnout DOI: 10.1016/j.cnsns.2021.105805 [2021]
  11. Kukačka Jiří, Krištoufek Ladislav: Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality, Journal of Economic Dynamics & Control 113 Stáhnout Stáhnout DOI: 10.1016/j.jedc.2020.103855 [2020]
  12. Polach J., Kukačka Jiří: Prospect Theory in the Heterogeneous Agent Model, Journal of Economic Interaction and Coordination 14 1 (2019), p. 147-174 Stáhnout Stáhnout DOI: 10.1007/s11403-018-0219-6 [2019]
  13. Staněk F., Kukačka Jiří: The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market, Computational Economics 51 4 (2018), p. 865-892 Stáhnout DOI: 10.1007/s10614-017-9649-9 [2018]
  14. Kukačka Jiří, Baruník Jozef: Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood, Journal of Economic Dynamics & Control 85 1 (2017), p. 21-45 Stáhnout DOI: 10.1016/j.jedc.2017.09.006 [2017]
  15. Baruník Jozef, Kukačka Jiří: Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility, Quantitative Finance 15 6 (2015), p. 959-973 Stáhnout DOI: 10.1080/14697688.2014.950319 [2015]
  16. Kukačka Jiří, Baruník Jozef: Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment, Physica. A : Statistical Mechanics and its Applications 392 23 (2013), p. 5920-5938 Stáhnout DOI: 10.1016/j.physa.2013.07.050 [2013]

Ostatní publikace

  1. Šíla Jan, Kočenda Evžen, Kukačka Jiří, Krištoufek Ladislav: Good vs. Bad Volatility in Major Cryptocurrencies: The Dichotomy and Drivers of Connectedness, IES UK (IES UK, 2023) Stáhnout [2023]
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