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Details about Lukas Vacha

E-mail:
Workplace:Ústav teorie informace a automatizace (ÚTIA) (Institute of Information Theory and Automation), Akademie věd České Republiky (Academy of Sciences), (more information at EDIRC)
Institut ekonomických studií (Institute of Economic Studies), Univerzita Karlova v Praze (Charles University), (more information at EDIRC)

Access statistics for papers by Lukas Vacha.

Last updated 2019-12-07. Update your information in the RePEc Author Service.

Short-id: pva419


Jump to Journal Articles

Working Papers

2018

  1. Time-Frequency Response Analysis of Monetary Policy Transmission
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads

2017

  1. Asymmetric volatility connectedness on the forex market
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (12)
    Also in Papers, arXiv.org (2016) Downloads View citations (1)

    See also Journal Article in Journal of International Money and Finance (2017)
  2. Do co-jumps impact correlations in currency markets?
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Financial Markets (2018)

2016

  1. Business cycle synchronization within the European Union: A wavelet cohesion approach
    Papers, arXiv.org Downloads View citations (1)
  2. Modeling and forecasting exchange rate volatility in time-frequency domain
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads View citations (17)
    Also in Papers, arXiv.org (2015) Downloads View citations (6)

    See also Journal Article in European Journal of Operational Research (2016)
  3. Time-scale analysis of co-movement in EU sovereign bond markets
    Papers, arXiv.org Downloads

2015

  1. Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (4)
    Also in Papers, arXiv.org (2014) Downloads View citations (5)
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) Downloads View citations (2)

    See also Journal Article in Journal of Financial Markets (2016)
  2. Business cycle synchronization of the Visegrad Four and the European Union
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2015) Downloads
  3. Gold, Oil, and Stocks: Dynamic Correlations
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    Also in Papers, arXiv.org (2014) Downloads View citations (7)
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) Downloads

    See also Journal Article in International Review of Economics & Finance (2016)
  4. Time-scale analysis of sovereign bonds market co-movement in the EU
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads
  5. Volatility spillovers across petroleum markets
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan Downloads View citations (20)
    Also in Papers, arXiv.org (2014) Downloads

    See also Journal Article in The Energy Journal (2015)

2014

  1. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads View citations (3)
    Also in Papers, arXiv.org (2013) Downloads View citations (3)

    See also Journal Article in Quantitative Finance (2015)

2013

  1. Contagion among Central and Eastern European stock markets during the financial crisis
    Papers, arXiv.org Downloads View citations (7)
    See also Journal Article in Czech Journal of Economics and Finance (Finance a uver) (2013)
  2. Time-Frequency Dynamics of Biofuels-Fuels-Food System
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (17)
    Also in Papers, arXiv.org (2012) Downloads View citations (5)

    See also Journal Article in Energy Economics (2013)

2012

  1. Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
    Papers, arXiv.org Downloads View citations (127)
    See also Journal Article in Energy Economics (2012)
  2. Monte Carlo-based tail exponent estimator
    Papers, arXiv.org Downloads
    Also in Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2010) Downloads View citations (2)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2010)

2011

  1. 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 Downloads View citations (9)

2010

  1. 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 Downloads
    See also Journal Article in Czech Economic Review (2010)

2009

  1. 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 Downloads

2006

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

2005

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

Journal Articles

2018

  1. Do co-jumps impact correlations in currency markets?
    Journal of Financial Markets, 2018, 37, (C), 97-119 Downloads View citations (1)
    See also Working Paper (2017)

2017

  1. Asymmetric volatility connectedness on the forex market
    Journal of International Money and Finance, 2017, 77, (C), 39-56 Downloads View citations (12)
    See also Working Paper (2017)

2016

  1. Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
    Journal of Financial Markets, 2016, 27, (C), 55-78 Downloads View citations (23)
    See also Working Paper (2015)
  2. Gold, oil, and stocks: Dynamic correlations
    International Review of Economics & Finance, 2016, 42, (C), 186-201 Downloads View citations (21)
    See also Working Paper (2015)
  3. Modeling and forecasting exchange rate volatility in time-frequency domain
    European Journal of Operational Research, 2016, 251, (1), 329-340 Downloads View citations (18)
    See also Working Paper (2016)

2015

  1. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
    Quantitative Finance, 2015, 15, (8), 1347-1364 Downloads View citations (9)
    See also Working Paper (2014)
  2. Volatility Spillovers Across Petroleum Markets
    The Energy Journal, 2015, Volume 36, (Number 3) Downloads View citations (20)
    See also Working Paper (2015)

2013

  1. Contagion among Central and Eastern European Stock Markets during the Financial Crisis
    Czech Journal of Economics and Finance (Finance a uver), 2013, 63, (5), 443-453 Downloads View citations (8)
    See also Working Paper (2013)
  2. Time–frequency dynamics of biofuel–fuel–food system
    Energy Economics, 2013, 40, (C), 233-241 Downloads View citations (19)
    See also Working Paper (2013)

2012

  1. Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
    Energy Economics, 2012, 34, (1), 241-247 Downloads View citations (129)
    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 Downloads View citations (5)

2010

  1. Monte Carlo-based tail exponent estimator
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4863-4874 Downloads View citations (2)
    See also Working Paper (2012)
  2. Tail Behavior of the Central European Stock Markets during the Financial Crisis
    Czech Economic Review, 2010, 4, (3), 281-294 Downloads
    See also Working Paper (2010)

2009

  1. Smart Agents and Sentiment in the Heterogeneous Agent Model
    Prague Economic Papers, 2009, 2009, (3), 209-219 Downloads View citations (2)
  2. Smart predictors in the heterogeneous agent model
    Journal of Economic Interaction and Coordination, 2009, 4, (2), 163-172 Downloads View citations (7)

2008

  1. Wavelets and Sentiment in the Heterogeneous Agents Model
    Bulletin of the Czech Econometric Society, 2008, 15, (25) Downloads View citations (1)

2007

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

2005

  1. Dynamical Agents' Strategies and the Fractal Market Hypothesis
    Prague Economic Papers, 2005, 2005, (2), 163-170 Downloads View citations (6)
  2. Local Stability and Bifurcations in Kaldor Model
    Acta Oeconomica Pragensia, 2005, 2005, (1), 10-20 Downloads

2003

  1. Heterogeneous agent model with memory and asset price behaviour
    Prague Economic Papers, 2003, 2003, (2) Downloads View citations (3)

2002

  1. Heterogeneous Agent Model And Numerical Analysis Of Learning
    Bulletin of the Czech Econometric Society, 2002, 9, (17) Downloads View citations (4)
 
Page updated 2019-12-09