HLOUŠKOVÁ, Jaroslava, RNDr., PhD.

101002 - Katedra ekonomickej teórie

výskumná pracovníčka
Oddelenie dejín ekonomických teórií a hospodárskych dejín
Miestnosť 5B.56
E-mailová adresa
Telefón +421 2 6729 1576
Publikačná činnosť:

Vedecké publikácie v recenzovaných časopisoch / Scientific publications in peer-reviewed journals:            

“Capital income taxation under full loss offset provisions of a prospect theory investor”, Public Finance and Management, 2020, with P. Tsigaris, forthcoming

“GMM estimation of affine term structure models”, Econometrics and Statistics, Vol. 13, 2020, pp. 2-15, with L. Sögner

doi: 10.1016/j.ecosta.2019.10.001

“The consumption-investment decision of a prospect theory household: A two-period model with an endogenous second period reference level”, Journal of Mathematical Economics, Vol. 85, 2019, pp. 93-108, with I. Fortin and P. Tsigaris,

doi: 10.1016/j.mateco.2019.10.003

“Fundamentals, speculation or macroeconomic conditions? Modelling and forecasting Arabica coffee prices”, European Review of Agricultural Economics, Vol. 45/4, 2018, pp. 583-615, with J. Crespo Cuaresma and M. Obersteiner

“Exchange rate forecasting and the performance of currency portfolios”, Journal of Forecasting, Vol. 37/5, 2018, pp. 519-540, with J. Crespo Cuaresma and I. Fortin

“A behavioral portfolio approach to multiple job holdings”, Review of Economics of the Household, Vol. 15/2, 2017, pp. 669-689, with P. Tsigaris, A. Caplanova and R. Sivak (DOI 10.1007/s11150-015-9293-x)

“The consumption-investment decision of a prospect theory household: A two-period model”, Journal of Mathematical Economics, Vol. 70, 2017, pp. 74-89, with I. Fortin and P. Tsigaris

“The role of the marginal rate of substitution of wealth for a loss averse investor”, Economics Bulletin, Vol. 36/4, 2016, pp. 2250-2260, with P. Tsigaris

“Forecasting errors, directional accuracy and profitability of currency trading: The case of EUR/USD exchange rate”, Journal of Forecasting, Vol. 35, 2016, pp. 652-668, with M. Costantini and J. Crespo Cuaresma (DOI: 10.1002/for.2398)

“Growth regressions, principal components augmented regressions and frequentist model averaging”, Journal of Economics and Statistics (Jahrbücher für Nationalökonomie und Statistik), Vol. 235/6, 2015, pp. 642-662, with M. Wagner

“Downside loss aversion: Winner or loser?”, Mathematical Methods of Operations Research, Vol. 81/2, 2015, pp. 181-233, with I. Fortin

“Capital income taxation and risk taking under prospect theory: The continuous distribution case”, Czech Journal of Economics and Finance, Vol. 64/5, 2014, pp. 374-391, with J. Mikocziova, R. Sivak and P. Tsigaris

"Loss-aversion with kinked linear utility functions", Computational Economics, Vol. 44/1, 2014, pp. 45-65, with M.J. Best, R.R. Grauer and X. Zhang

“The determinants of long-run economic growth: A conceptually and computationally simple approach”, Swiss Journal of Economics and Statistics, Vol. 149/4, 2013, pp. 445-492, with M. Wagner

“Capital income taxation and risk taking under prospect theory”, International Tax and Public Finance, Vol. 19/4, 2012, pp. 554-573, with P. Tsigaris

"Optimal asset allocation under linear loss aversion", Journal of Banking and Finance, Vol. 35/11, 2011, pp. 2974-2990, with I. Fortin

"The performance of panel cointegration methods: Results from a large scale simulation study", Econometric Reviews, Vol. 29/2, 2009, pp. 182-223, with M. Wagner

"Finite sample correction factors for panel cointegration tests", Oxford Bulletin of Economics and Statistics, Vol. 71/6, 2009, pp. 851-881, with M. Wagner

"Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management", Journal of Empirical Finance, Vol. 16/2, 2009, pp. 330-336, with K. Schmidheiny and M. Wagner

"An integrated CVaR and real options approach to investments in the energy sector", Journal of Energy Markets, Vol. 1/2, 2008, pp. 61-85, with I. Fortin, S. Fuss, N. Khabarov, M. Obersteiner and J. Szolgayova

"Natural disasters as creative destruction: Evidence from developing countries", Economic Inquiry, Vol. 46/2, 2008, pp. 214-226, with J.Crespo Cuaresma and M. Obersteiner;

Reprinted in “The Economics of Natural Disasters”, Series no. 335, The International Library of Critical Writings in Economics series, Edited by M. Skidmore, Edward Elgar Publishing, 2017

"Quadratic programming with transaction costs", Computers and Operations Research (Special Issue: Applications of OR in Finance), Vol. 35/1, 2008, pp. 18-33, with M.J. Best

"An algorithm for portfolio optimization with variable transaction costs, Part 2: Computational analysis", Journal of Optimization Theory and Applications, Vol. 135/3, 2007, 531-547, with M.J. Best

"An algorithm for portfolio optimization with variable transaction costs, Part 1: Theory", Journal of Optimization Theory and Applications, Vol. 135/3, 2007, pp. 563-581, with M.J. Best

"The performance of panel unit root and stationarity tests: Results from a large scale simulation study", Econometric Reviews, Vol. 25/1, 2006, pp. 85-116, with M. Wagner

"Real options and the value of generation capacity in the German electricity market", Review of Financial Economics, Special issue: Real Options SI - Edited by K. Shastri, L. Trigeorgis, Vol. 14/3-4, 2005, pp. 297-310, with S. Kossmeier, M. Obersteiner and A. Schnabl

"An algorithm for portfolio optimization with transaction costs", Management Science, Vol. 51/11, 2005, pp. 1676-1688, with M.J. Best

"Beating the random walk in Central and Eastern Europe", Journal of Forecasting, Vol. 24/3, 2005, pp. 189-201, with J. Crespo Cuaresma

"CEEC growth projections: Certainly necessary and necessarily certain", Economics of Transition, Vol. 13/2, 2005, pp. 341-372, with M. Wagner

"Forecasting exchange rates in transition economies: A comparison of multivariate time series models", Empirical Economics, Vol. 29/4, 2004, pp. 787-801, with J. Crespo Cuaresma

"Forecasting electricity spot prices using linear univariate time series models", Applied Energy, Vol. 77/1, 2004, pp. 87-106, with J.Crespo Cuaresma, S. Kossmeier and M. Obersteiner

"Portfolio selection and transaction costs", Computational Optimization and Applications, Vol. 24/1, 2003, pp. 95-116, with M.J. Best

"The efficient frontier for bounded assets", Mathematical Methods of Operations Research, Vol. 52/2, 2000, pp. 195-212, with M.J. Best

"Forecasting the Euro exchange rate using vector error correction models", Review of World Economics (Weltwirtschaftliches Archiv), Vol. 136/2, 2000, pp. 232-258, with B. van Aarle and M. Boss

Vedecko-výskumná činnosť:

Oblasti výskumu / Research Areas

  • Behaviorálna ekonómia a financie
  • Prognózy ekonomických časových radov a časových radov týkajúcich sa financných a komoditných trhov
  • Optimalizácia portfólií a ich aplikácie


Riešené výskumné projekty / Research Projects

“Nowcasting the Austrian economy with mixed-frequency VAR models”, the OeNB Anniversary Fund No. 18151 (2019-2021), with I. Fortin and R. Kunst

“Measuring uncertainty to identify financial instability”, principal investigator of the OeNB Anniversary Fund No. 18115 (2019-2021), with I. Fortin and L. Sögner

“Commodity market behavior in different states of the economy”, Austrian Science Fund (FWF) project No. P 30915-G27 (2018-2019), with J. Crespo Cuaresma, I. Fortin and M. Obersteiner

“Evaluation of the new OeBFA term-structure models”, Report commissioned by the Federal Ministry of Finance, 2017

“Modeling household behavior under prospect theory type preferences”, principal investigator of the Austrian Science Fund (Elise Richter - FWF) project No. V438-N32 (2016-2021)

Metrics, models and foresight for European SUStainable Food And Nutrition Security (SUSFANS), EU project H2020-SFS-2014-2, Grant 633692 (2015-2019)

“Is there any value added in exchange rate forecasts in currency portfolios”, OeNB Anniversary Fund No. 16250 (2015-2016), with I. Fortin

“A consumption-savings model under prospect theory”, principal investigator of the OeNB Anniversary Fund No. 15992 (2014-2015), with I. Fortin and P. Tigaris

“Forecasting and returns in the foreign exchange market”, OeNB Anniversary Fund No. 15308 (2013-2014), with J. Crespo Cuaresma, M. Costantini and R. Kunst

“Analysis of Affine Stochastic Volatility Models”, OeNB Anniversary Fund No. 14678 (2012-2013), with L. Sögner

"The impact of asymmetric dependence on the asset allocation under loss aversion", principal investigator of the OeNB Anniversary Fund No. 13768 (2010-2011), with I. Fortin

“Long-run effects of the single currency in Europe”, OeNB Anniversary Fund No. 13607 (2010-2011), with J. Mutl

"Downside risk management and loss aversion", OeNB Anniversary Fund No. 12806 (2008-2009), with I. Fortin and M. Obersteiner

"Risk quantification and rating assessment of structured credit products", principal investigator of the OeNB Anniversary Fund No. 13023 (2008-2009), with L.Breinlinger

"A new approach to convergence prospects via smooth transitions", OeNB Anniversary Fund No. 11688 (2006-2008), with M. Wagner

"Investment response to policy uncertainty: Cases in the natural resource sector and climate policy", International Institute for Applied Systems Analysis (2006-2007), with I. Fortin, S. Fuss, N. Khabarov, M. Obersteiner and J. Szolgayova

"Natural disasters, R&D spillovers and economic growth", International Institute for Applied Systems Analysis (2004-2005), with J. Crespo Cuaresma and M. Obersteiner

"Economic growth, risk management and extreme climate events", International Institute for Applied Systems Analysis (Sept. 2003-Dec. 2003), with J. Crespo Cuaresma and M. Obersteiner

"The Balassa-Samuelson effect in the CEECs and its impact on growth and convergence", OeNB Anniversary Fund No. 9557 (2002-2003), with M. Wagner

"Pooling exchange rate forecasts", IHS and RZB (2002), with C. Helmenstein, E. Krylova and C. Obermaier

"Optimization of cogeneration systems in a competitive market environment (OSCOGEN)", EU project co-funded by the European Community under the 5th Framework Programme 2001-2002

"Towards an index of industrial capability", UNIDO (2001), with J. Crespo Cuaresma, B. Dissmann, C. Helmenstein and P. Scholtes

"Die relative Einkommensentwicklung der EU-Beitrittsweber" ("The Income Convergence of EU Accession Candidate Countries"), IHS and Austrian Ministry of Economy (2000), with D. Grozea-Helmenstein, C. Helmenstein, E. Rauchenwald, M. Steinberger and M. Wagner

"Forecasting exchange rates in Central and Eastern European countries", IHS and Raiffeisen Zentralbank (1999/2000), with J. Crespo Cuaresma, C. Helmenstein and M. Jeckle

"Austrian Economic Forecasts“, IHS, June 2001-till now (appears quarterly)

"A forecast model for the Euro exchange rate against four major currencies", IHS and RZB (1998/1999), with B. van Aarle, R. Al-Badry, M. Boss, B. Felderer and C. Helmenstein

"Energiefonds - Eine Ergänzung zum Traditionellen Investmentfondsangebot" ("Energy funds - A supplement to the traditional investment funds"), with R. Alt, C. Gamsjäger and C. Helmenstein

Ďalšie informácie:

Jazyk / Language

plynule anglicky

dobre nemecky


Činnosti a aktivity / Other activities

Členka rady pre spoločenské vedy Agentúry na podporu výskumu a vývoja (APVV)

Zahraničné pobyty / Academic/research stays and visits

Konzultant pre Európsku centrálnu banku,

Výskumné pobyty na Univerzity of Waterloo, ON, Canada a na Thompson Rivers University, BC, Canada