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Details about Lukas Vacha

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

Access statistics for papers by Lukas Vacha.

Last updated 2024-02-21. Update your information in the RePEc Author Service.

Short-id: pva419


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Working Papers

2024

  1. Forecasting Volatility of Oil-based Commodities: The Model of Dynamic Persistence
    Papers, arXiv.org Downloads

2023

  1. The Dynamic Persistence of Economic Shocks
    Papers, arXiv.org Downloads View citations (1)

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 (97)
    Also in Papers, arXiv.org (2016) Downloads View citations (2)

    See also Journal Article Asymmetric volatility connectedness on the forex market, Journal of International Money and Finance, Elsevier (2017) Downloads View citations (90) (2017)
  2. Do co-jumps impact correlations in currency markets?
    Papers, arXiv.org Downloads
    See also Journal Article Do co-jumps impact correlations in currency markets?, Journal of Financial Markets, Elsevier (2018) Downloads View citations (9) (2018)

2016

  1. Business cycle synchronization within the European Union: A wavelet cohesion approach
    Papers, arXiv.org Downloads View citations (3)
  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 (44)
    Also in Papers, arXiv.org (2015) Downloads View citations (6)

    See also Journal Article Modeling and forecasting exchange rate volatility in time-frequency domain, European Journal of Operational Research, Elsevier (2016) Downloads View citations (44) (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 Downloads View citations (7)
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) Downloads View citations (3)
    Papers, arXiv.org (2014) Downloads View citations (7)

    See also Journal Article Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers, Journal of Financial Markets, Elsevier (2016) Downloads View citations (140) (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 View citations (2)
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2015) Downloads View citations (6)
  3. Gold, Oil, and Stocks: Dynamic Correlations
    CESifo Working Paper Series, CESifo Downloads View citations (5)
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) Downloads
    Papers, arXiv.org (2014) Downloads View citations (12)

    See also Journal Article Gold, oil, and stocks: Dynamic correlations, International Review of Economics & Finance, Elsevier (2016) Downloads View citations (70) (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 (58)
    Also in Papers, arXiv.org (2014) Downloads View citations (1)

    See also Journal Article Volatility Spillovers Across Petroleum Markets, The Energy Journal, International Association for Energy Economics (2015) Downloads View citations (67) (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 (4)

    See also Journal Article Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, Quantitative Finance, Taylor & Francis Journals (2015) Downloads View citations (21) (2015)

2013

  1. Contagion among Central and Eastern European stock markets during the financial crisis
    Papers, arXiv.org Downloads View citations (16)
    See also Journal Article Contagion among Central and Eastern European Stock Markets during the Financial Crisis, Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences (2013) Downloads View citations (16) (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 (21)
    Also in Papers, arXiv.org (2012) Downloads View citations (5)

    See also Journal Article Time–frequency dynamics of biofuel–fuel–food system, Energy Economics, Elsevier (2013) Downloads View citations (33) (2013)

2012

  1. Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
    Papers, arXiv.org Downloads View citations (219)
    See also Journal Article Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis, Energy Economics, Elsevier (2012) Downloads View citations (235) (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 Monte Carlo-based tail exponent estimator, Physica A: Statistical Mechanics and its Applications, Elsevier (2010) Downloads View citations (2) (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 (14)

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 View citations (1)
    See also Journal Article Tail Behavior of the Central European Stock Markets during the Financial Crisis, Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2010) Downloads (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 View citations (1)

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 Heterogeneous Agents Model with the Worst Out Algorithm, Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2007) Downloads (2007)

Journal Articles

2020

  1. Growth cycle synchronization of the Visegrad Four and the European Union
    Empirical Economics, 2020, 58, (4), 1779-1795 Downloads View citations (6)

2019

  1. Comovement and disintegration of EU sovereign bond markets during the crisis
    International Review of Economics & Finance, 2019, 64, (C), 541-556 Downloads View citations (4)

2018

  1. Do co-jumps impact correlations in currency markets?
    Journal of Financial Markets, 2018, 37, (C), 97-119 Downloads View citations (9)
    See also Working Paper Do co-jumps impact correlations in currency markets?, Papers (2017) Downloads (2017)

2017

  1. Asymmetric volatility connectedness on the forex market
    Journal of International Money and Finance, 2017, 77, (C), 39-56 Downloads View citations (90)
    See also Working Paper Asymmetric volatility connectedness on the forex market, KIER Working Papers (2017) Downloads View citations (97) (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 (140)
    See also Working Paper Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover, CESifo Working Paper Series (2015) Downloads View citations (7) (2015)
  2. Gold, oil, and stocks: Dynamic correlations
    International Review of Economics & Finance, 2016, 42, (C), 186-201 Downloads View citations (70)
    See also Working Paper Gold, Oil, and Stocks: Dynamic Correlations, CESifo Working Paper Series (2015) Downloads View citations (5) (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 (44)
    See also Working Paper Modeling and forecasting exchange rate volatility in time-frequency domain, FinMaP-Working Papers (2016) Downloads View citations (44) (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 (21)
    See also Working Paper Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, FinMaP-Working Papers (2014) Downloads View citations (3) (2014)
  2. Volatility Spillovers Across Petroleum Markets
    The Energy Journal, 2015, Volume 36, (Number 3) Downloads View citations (67)
    See also Working Paper Volatility spillovers across petroleum markets, William Davidson Institute Working Papers Series (2015) Downloads View citations (58) (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 (16)
    See also Working Paper Contagion among Central and Eastern European stock markets during the financial crisis, Papers (2013) Downloads View citations (16) (2013)
  2. Time–frequency dynamics of biofuel–fuel–food system
    Energy Economics, 2013, 40, (C), 233-241 Downloads View citations (33)
    See also Working Paper Time-Frequency Dynamics of Biofuels-Fuels-Food System, CAMA Working Papers (2013) Downloads View citations (21) (2013)

2012

  1. Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
    Energy Economics, 2012, 34, (1), 241-247 Downloads View citations (235)
    See also Working Paper Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis, Papers (2012) Downloads View citations (219) (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 Monte Carlo-based tail exponent estimator, Papers (2012) Downloads (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 Tail Behavior of the Central European Stock Markets during the Financial Crisis, Working Papers IES (2010) Downloads View citations (1) (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 (8)

2007

  1. Fractal Properties of the Financial Market
    (Fraktální vlastnosti finančních trhů)
    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 Heterogeneous Agents Model with the Worst Out Algorithm, Working Papers IES (2005) Downloads (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 (8)
  2. Local Stability and Bifurcations in Kaldor Model
    (Lokální stabilita a bifurkace v Kaldorově modelu)
    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), 155-168 Downloads View citations (5)

Chapters

2014

  1. Wavelet-Based Correlation Analysis of the Key Traded Assets
    Springer
 
Page updated 2024-04-17