Doc. PhDr. Jiří Kukačka, Ph.D.

research fellow

Jiří Kukačka
kukacka@utia.cas.cz 266052471 Personal web
Department: Department of Econometrics
Research interests: financial econometrics, behavioral finance and macro, ABM, ESG, machine learning

Biography

Publication list

Jiri Kukacka is an economist based in Prague interested in financial econometrics, behavioral finance and macro, ABM, ESG, machine learning, and the development of computational estimation methods. His work has been published in leading journals in the field, including JEDC, JEBO, and Business Ethics, and presented at over 50 international conferences and workshops. He is lecturing on econometrics courses.

 

Czech Science Foundation projects:

  • Principal Investigator:
    • Linking financial and economic agent-based models: An econometric approach (2020 - 2022)
  • Team Member:
    • 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

  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]

Journal articles

  1. Petrásek L., Kukačka Jiří: US equity announcement risk premia, Review of Quantitative Finance and Accounting 365 1 (2025), p. 345-363 Download Download 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 Download Download 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 Download Download 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 Download Download 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 Download Download 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 Download Download 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 Download Download 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 Download Download 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 Download Download 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 Download Download 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 Download Download 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 Download Download 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 Download 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 Download 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 Download 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 Download DOI: 10.1016/j.physa.2013.07.050 [2013]

Other publications

  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) Download [2023]
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