PhDr. Jiří Kukačka, Ph.D.
research fellow
Department:
Department of Econometrics
Research interests:
financial econometrics, behavioral finance and macroeconomics, heterogeneous agent model, ESG, cryptoassets
Biography
Publication list
Jiri Kukacka is an economist based in Prague interested in financial econometrics, behavioral finance and macro, cryptoassets, ESG, and the development of simulation-based estimation methods. His work has been published in leading journals in the field, including JEDC, JEBO, or Business Ethics, and presented at over fifty international conferences and workshops. He is lecturing courses in econometrics and behavioral finance.
Team member of the Czech Science Foundation projects:
- 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)
Books and chapters
- : 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]
Journal articles
- : Is the Hamilton regression filter really superior to Hodrick-Prescott detrending?, Macroeconomic Dynamics 29 Download Download DOI: 10.1017/S136510052400018X [2025]
- : Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness, JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 96 Download Download DOI: 10.1016/j.intfin.2024.102062 [2024]
- : Belief-driven dynamics in a behavioral SEIRD macroeconomic model with sceptics, Journal of Economic Behavior & Organization 217 1 (2024), p. 312-333 Download Download DOI: 10.1016/j.jebo.2023.11.011 [2024]
- : Moment set selection for the SMM using simple machine learning, Journal of Economic Behavior & Organization 212 1 (2023), p. 366-391 Download Download DOI: 10.1016/j.jebo.2023.05.040 [2023]
- : Fundamental and speculative components of the cryptocurrency pricing dynamics, Financial Innovation 9 Download Download DOI: 10.1186/s40854-023-00465-7 [2023]
- : Estimation of heuristic switching in behavioral macroeconomic models, Journal of Economic Dynamics & Control 146 Download Download DOI: 10.1016/j.jedc.2022.104585 [2023]
- : 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 Download Download DOI: 10.1007/s10551-021-04935-9 [2023]
- : Does parameterization affect the complexity of agent-based models?, Journal of Economic Behavior & Organization 192 1 (2021), p. 324-356 Download Download DOI: 10.1016/j.jebo.2021.10.007 [2021]
- : Nash Q-learning agents in Hotelling's model: Reestablishing equilibrium, Communications in Nonlinear Science and Numerical Simulation 99 Download Download DOI: 10.1016/j.cnsns.2021.105805 [2021]
- : Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality, Journal of Economic Dynamics & Control 113 Download Download DOI: 10.1016/j.jedc.2020.103855 [2020]
- : Prospect Theory in the Heterogeneous Agent Model, Journal of Economic Interaction and Coordination 14 1 (2019), p. 147-174 Download Download DOI: 10.1007/s11403-018-0219-6 [2019]
- : The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market, Computational Economics 51 4 (2018), p. 865-892 Download DOI: 10.1007/s10614-017-9649-9 [2018]
- : Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood, Journal of Economic Dynamics & Control 85 1 (2017), p. 21-45 Download DOI: 10.1016/j.jedc.2017.09.006 [2017]
- : Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility, Quantitative Finance 15 6 (2015), p. 959-973 Download DOI: 10.1080/14697688.2014.950319 [2015]
- : 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 Download DOI: 10.1016/j.physa.2013.07.050 [2013]
Other publications
- : Good vs. Bad Volatility in Major Cryptocurrencies: The Dichotomy and Drivers of Connectedness, IES UK (IES UK, 2023) Download [2023]