Details about Lukas Vacha

Access statistics for papers by Lukas Vacha.

Last updated 2013-05-18. Update your information in the RePEc Author Service.

Short-id: pva419

Working Papers

2013

1. Realized Wavelet Jump-GARCH model: Can time-frequency decomposition of volatility improve its forecasting?
   Papers, arXiv.org View citations (1)
2. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
   Papers, arXiv.org View citations (2)

2012

3. Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
   Papers, arXiv.org View citations (4)
   See also Journal Article in Energy Economics (2012)
4. Monte Carlo-based tail exponent estimator
   Papers, arXiv.org
   Also in Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2010) View citations (1)
   See also Journal Article in Physica A: Statistical Mechanics and its Applications (2010)
5. Time-Frequency Dynamics of Biofuels-Fuels-Food System
   Papers, arXiv.org

2011

6. Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

2010

7. Tail Behavior of the Central European Stock Markets during the Financial Crisis
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
   See also Journal Article in Czech Economic Review (2010)

2009

8. Wavelet Analysis of Central European Stock Market Behaviour During the Crisis
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

2006

9. Wavelet Applications to Heterogeneous Agents Model
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

2005

10. Heterogeneous Agents Model with the Worst Out Algorithm
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
    See also Journal Article in Czech Economic Review (2007)

Journal Articles

2012

1. Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
   Energy Economics, 2012, 34, (1), 241-247 View citations (4)
   See also Working Paper (2012)
2. How do skilled traders change the structure of the market
   International Review of Financial Analysis, 2012, 23, (C), 66-71 View citations (1)

2010

3. Monte Carlo-based tail exponent estimator
   Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4863-4874 View citations (1)
   See also Working Paper (2012)
4. Tail Behavior of the Central European Stock Markets during the Financial Crisis
   Czech Economic Review, 2010, 4, (3), 281-294
   See also Working Paper (2010)

2009

5. Smart Agents and Sentiment in the Heterogeneous Agent Model
   Prague Economic Papers, 2009, 2009, (3), 209-219 View citations (1)
6. Smart predictors in the heterogeneous agent model
   Journal of Economic Interaction and Coordination, 2009, 4, (2), 163-172 View citations (1)

2008

7. Wavelets and Sentiment in the Heterogeneous Agents Model
   Bulletin of the Czech Econometric Society, 2008, 15, (25)

2007

8. Fractal Properties of the Financial Market
   Acta Oeconomica Pragensia, 2007, 2007, (4), 49-55
9. Heterogeneous Agents Model with the Worst Out Algorithm
   Czech Economic Review, 2007, 1, (1), 54-66
   See also Working Paper (2005)
10. Wavelet Decomposition of the Financial Market
    Prague Economic Papers, 2007, 2007, (1), 38-54 View citations (2)

2005

11. Dynamical Agents' Strategies and the Fractal Market Hypothesis
    Prague Economic Papers, 2005, 2005, (2), 163-170 View citations (2)
12. Local Stability and Bifurcations in Kaldor Model
    Acta Oeconomica Pragensia, 2005, 2005, (1), 10-20

2003

13. Heterogeneous agent model with memory and asset price behaviour
    Prague Economic Papers, 2003, 2003, (2) View citations (2)

2002

14. Heterogeneous Agent Model And Numerical Analysis Of Learning
    Bulletin of the Czech Econometric Society, 2002, 9, (17) View citations (2)