Details about Lukas Vacha
Access statistics for papers by Lukas Vacha.
Last updated 2022-10-18. Update your information in the RePEc Author Service.
Short-id: pva419
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Working Papers
2018
- Time-Frequency Response Analysis of Monetary Policy Transmission
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies 
2017
- Asymmetric volatility connectedness on the forex market
KIER Working Papers, Kyoto University, Institute of Economic Research View citations (78)
Also in Papers, arXiv.org (2016) View citations (2)
See also Journal Article in Journal of International Money and Finance (2017)
- Do co-jumps impact correlations in currency markets?
Papers, arXiv.org
See also Journal Article in Journal of Financial Markets (2018)
2016
- Business cycle synchronization within the European Union: A wavelet cohesion approach
Papers, arXiv.org View citations (3)
- 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 View citations (36)
Also in Papers, arXiv.org (2015) View citations (6)
See also Journal Article in European Journal of Operational Research (2016)
- Time-scale analysis of co-movement in EU sovereign bond markets
Papers, arXiv.org
2015
- Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
CESifo Working Paper Series, CESifo View citations (7)
Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) View citations (3)
Papers, arXiv.org (2014) View citations (7)
See also Journal Article in Journal of Financial Markets (2016)
- 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 View citations (2)
Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2015) View citations (6)
- Gold, Oil, and Stocks: Dynamic Correlations
CESifo Working Paper Series, CESifo View citations (4)
Also in Papers, arXiv.org (2014) View citations (12)
FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014)
See also Journal Article in International Review of Economics & Finance (2016)
- 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
- Volatility spillovers across petroleum markets
William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan View citations (46)
Also in Papers, arXiv.org (2014) View citations (1)
See also Journal Article in The Energy Journal (2015)
2014
- 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 View citations (3)
Also in Papers, arXiv.org (2013) View citations (4)
See also Journal Article in Quantitative Finance (2015)
2013
- Contagion among Central and Eastern European stock markets during the financial crisis
Papers, arXiv.org View citations (15)
See also Journal Article in Czech Journal of Economics and Finance (Finance a uver) (2013)
- 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 View citations (20)
Also in Papers, arXiv.org (2012) View citations (5)
See also Journal Article in Energy Economics (2013)
2012
- Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
Papers, arXiv.org View citations (198)
See also Journal Article in Energy Economics (2012)
- 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 (2)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2010)
2011
- 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 View citations (14)
2010
- 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 View citations (1)
See also Journal Article in Czech Economic Review (2010)
2009
- 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 View citations (1)
2006
- Wavelet Applications to Heterogeneous Agents Model
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
2005
- 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
2020
- Growth cycle synchronization of the Visegrad Four and the European Union
Empirical Economics, 2020, 58, (4), 1779-1795 View citations (4)
2019
- Comovement and disintegration of EU sovereign bond markets during the crisis
International Review of Economics & Finance, 2019, 64, (C), 541-556 View citations (4)
2018
- Do co-jumps impact correlations in currency markets?
Journal of Financial Markets, 2018, 37, (C), 97-119 View citations (9)
See also Working Paper (2017)
2017
- Asymmetric volatility connectedness on the forex market
Journal of International Money and Finance, 2017, 77, (C), 39-56 View citations (78)
See also Working Paper (2017)
2016
- Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
Journal of Financial Markets, 2016, 27, (C), 55-78 View citations (99)
See also Working Paper (2015)
- Gold, oil, and stocks: Dynamic correlations
International Review of Economics & Finance, 2016, 42, (C), 186-201 View citations (52)
See also Working Paper (2015)
- Modeling and forecasting exchange rate volatility in time-frequency domain
European Journal of Operational Research, 2016, 251, (1), 329-340 View citations (36)
See also Working Paper (2016)
2015
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
Quantitative Finance, 2015, 15, (8), 1347-1364 View citations (20)
See also Working Paper (2014)
- Volatility Spillovers Across Petroleum Markets
The Energy Journal, 2015, Volume 36, (Number 3) View citations (45)
See also Working Paper (2015)
2013
- 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 View citations (15)
See also Working Paper (2013)
- Time–frequency dynamics of biofuel–fuel–food system
Energy Economics, 2013, 40, (C), 233-241 View citations (30)
See also Working Paper (2013)
2012
- Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
Energy Economics, 2012, 34, (1), 241-247 View citations (211)
See also Working Paper (2012)
- How do skilled traders change the structure of the market
International Review of Financial Analysis, 2012, 23, (C), 66-71 View citations (5)
2010
- Monte Carlo-based tail exponent estimator
Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4863-4874 View citations (2)
See also Working Paper (2012)
- 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
- Smart Agents and Sentiment in the Heterogeneous Agent Model
Prague Economic Papers, 2009, 2009, (3), 209-219 View citations (2)
- Smart predictors in the heterogeneous agent model
Journal of Economic Interaction and Coordination, 2009, 4, (2), 163-172 View citations (8)
2008
- Wavelets and Sentiment in the Heterogeneous Agents Model
Bulletin of the Czech Econometric Society, 2008, 15, (25) View citations (1)
2007
- Fractal Properties of the Financial Market
(Fraktální vlastnosti finančních trhů)
Acta Oeconomica Pragensia, 2007, 2007, (4), 49-55
- Heterogeneous Agents Model with the Worst Out Algorithm
Czech Economic Review, 2007, 1, (1), 54-66
See also Working Paper (2005)
- Wavelet Decomposition of the Financial Market
Prague Economic Papers, 2007, 2007, (1), 38-54 View citations (2)
2005
- Dynamical Agents' Strategies and the Fractal Market Hypothesis
Prague Economic Papers, 2005, 2005, (2), 163-170 View citations (7)
- Local Stability and Bifurcations in Kaldor Model
(Lokální stabilita a bifurkace v Kaldorově modelu)
Acta Oeconomica Pragensia, 2005, 2005, (1), 10-20
2003
- Heterogeneous agent model with memory and asset price behaviour
Prague Economic Papers, 2003, 2003, (2), 155-168 View citations (5)
2002
- Heterogeneous Agent Model And Numerical Analysis Of Learning
Bulletin of the Czech Econometric Society, 2002, 9, (17) View citations (4)
Chapters
2014
- Wavelet-Based Correlation Analysis of the Key Traded Assets
Springer
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