Details about Lukas Vacha

Access statistics for papers by Lukas Vacha.

Last updated 2024-12-13. Update your information in the RePEc Author Service.

Short-id: pva419

Working Papers

2024

1. Predicting the volatility of major energy commodity prices: the dynamic persistence model
   Papers, arXiv.org
   See also Journal Article Predicting the volatility of major energy commodity prices: The dynamic persistence model, Energy Economics, Elsevier (2024) (2024)

2023

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

2018

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

2017

4. Asymmetric volatility connectedness on the forex market
   KIER Working Papers, Kyoto University, Institute of Economic Research View citations (131)
   Also in Papers, arXiv.org (2016) View citations (3)
   See also Journal Article Asymmetric volatility connectedness on the forex market, Journal of International Money and Finance, Elsevier (2017) View citations (90) (2017)
5. Do co-jumps impact correlations in currency markets?
   Papers, arXiv.org
   See also Journal Article Do co-jumps impact correlations in currency markets?, Journal of Financial Markets, Elsevier (2018) View citations (12) (2018)

2016

6. Business cycle synchronization within the European Union: A wavelet cohesion approach
   Papers, arXiv.org View citations (3)
7. 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 (51)
   Also in Papers, arXiv.org (2015) View citations (6)
   See also Journal Article Modeling and forecasting exchange rate volatility in time-frequency domain, European Journal of Operational Research, Elsevier (2016) View citations (51) (2016)
8. Time-scale analysis of co-movement in EU sovereign bond markets
   Papers, arXiv.org

2015

9. Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
   CESifo Working Paper Series, CESifo View citations (7)
   Also in Papers, arXiv.org (2014) View citations (7)
   FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) View citations (3)
   See also Journal Article Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers, Journal of Financial Markets, Elsevier (2016) View citations (186) (2016)
10. 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)
11. Gold, Oil, and Stocks: Dynamic Correlations
    CESifo Working Paper Series, CESifo View citations (5)
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014)
    Papers, arXiv.org (2014) View citations (12)
    See also Journal Article Gold, oil, and stocks: Dynamic correlations, International Review of Economics & Finance, Elsevier (2016) View citations (75) (2016)
12. 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
13. Volatility spillovers across petroleum markets
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan View citations (70)
    Also in Papers, arXiv.org (2014) View citations (1)
    See also Journal Article Volatility Spillovers Across Petroleum Markets, The Energy Journal, International Association for Energy Economics (2015) View citations (84) (2015)

2014

14. 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 Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, Quantitative Finance, Taylor & Francis Journals (2015) View citations (22) (2015)

2013

15. Contagion among Central and Eastern European stock markets during the financial crisis
    Papers, arXiv.org 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) View citations (16) (2013)
16. 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 (21)
    Also in Papers, arXiv.org (2012) View citations (5)
    See also Journal Article Time–frequency dynamics of biofuel–fuel–food system, Energy Economics, Elsevier (2013) View citations (37) (2013)

2012

17. Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
    Papers, arXiv.org View citations (239)
    See also Journal Article Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis, Energy Economics, Elsevier (2012) View citations (255) (2012)
18. 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 Monte Carlo-based tail exponent estimator, Physica A: Statistical Mechanics and its Applications, Elsevier (2010) View citations (2) (2010)

2011

19. 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

20. 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 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) (2010)

2009

21. 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

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

2005

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

Journal Articles

2024

1. Predicting the volatility of major energy commodity prices: The dynamic persistence model
   Energy Economics, 2024, 140, (C)
   See also Working Paper Predicting the volatility of major energy commodity prices: the dynamic persistence model, Papers (2024) (2024)

2020

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

2019

3. Comovement and disintegration of EU sovereign bond markets during the crisis
   International Review of Economics & Finance, 2019, 64, (C), 541-556 View citations (5)

2018

4. Do co-jumps impact correlations in currency markets?
   Journal of Financial Markets, 2018, 37, (C), 97-119 View citations (12)
   See also Working Paper Do co-jumps impact correlations in currency markets?, Papers (2017) (2017)

2017

5. Asymmetric volatility connectedness on the forex market
   Journal of International Money and Finance, 2017, 77, (C), 39-56 View citations (90)
   See also Working Paper Asymmetric volatility connectedness on the forex market, KIER Working Papers (2017) View citations (131) (2017)

2016

6. Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
   Journal of Financial Markets, 2016, 27, (C), 55-78 View citations (186)
   See also Working Paper Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover, CESifo Working Paper Series (2015) View citations (7) (2015)
7. Gold, oil, and stocks: Dynamic correlations
   International Review of Economics & Finance, 2016, 42, (C), 186-201 View citations (75)
   See also Working Paper Gold, Oil, and Stocks: Dynamic Correlations, CESifo Working Paper Series (2015) View citations (5) (2015)
8. Modeling and forecasting exchange rate volatility in time-frequency domain
   European Journal of Operational Research, 2016, 251, (1), 329-340 View citations (51)
   See also Working Paper Modeling and forecasting exchange rate volatility in time-frequency domain, FinMaP-Working Papers (2016) View citations (51) (2016)

2015

9. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
   Quantitative Finance, 2015, 15, (8), 1347-1364 View citations (22)
   See also Working Paper Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, FinMaP-Working Papers (2014) View citations (3) (2014)
10. Volatility Spillovers Across Petroleum Markets
    The Energy Journal, 2015, Volume 36, (Number 3) View citations (84)
    See also Working Paper Volatility spillovers across petroleum markets, William Davidson Institute Working Papers Series (2015) View citations (70) (2015)

2013

11. 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 (16)
    See also Working Paper Contagion among Central and Eastern European stock markets during the financial crisis, Papers (2013) View citations (16) (2013)
12. Time–frequency dynamics of biofuel–fuel–food system
    Energy Economics, 2013, 40, (C), 233-241 View citations (37)
    See also Working Paper Time-Frequency Dynamics of Biofuels-Fuels-Food System, CAMA Working Papers (2013) View citations (21) (2013)

2012

13. Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
    Energy Economics, 2012, 34, (1), 241-247 View citations (255)
    See also Working Paper Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis, Papers (2012) View citations (239) (2012)
14. How do skilled traders change the structure of the market
    International Review of Financial Analysis, 2012, 23, (C), 66-71 View citations (5)

2010

15. 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 Monte Carlo-based tail exponent estimator, Papers (2012) (2012)
16. Tail Behavior of the Central European Stock Markets during the Financial Crisis
    Czech Economic Review, 2010, 4, (3), 281-294
    See also Working Paper Tail Behavior of the Central European Stock Markets during the Financial Crisis, Working Papers IES (2010) View citations (1) (2010)

2009

17. Smart Agents and Sentiment in the Heterogeneous Agent Model
    Prague Economic Papers, 2009, 2009, (3), 209-219 View citations (2)
18. Smart predictors in the heterogeneous agent model
    Journal of Economic Interaction and Coordination, 2009, 4, (2), 163-172 View citations (8)

2007

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

2005

22. Dynamical Agents' Strategies and the Fractal Market Hypothesis
    Prague Economic Papers, 2005, 2005, (2), 163-170 View citations (8)
23. Local Stability and Bifurcations in Kaldor Model
    (Lokální stabilita a bifurkace v Kaldorově modelu)
    Acta Oeconomica Pragensia, 2005, 2005, (1), 10-20

2003

24. Heterogeneous agent model with memory and asset price behaviour
    Prague Economic Papers, 2003, 2003, (2), 155-168 View citations (5)

Chapters

2014

1. Wavelet-Based Correlation Analysis of the Key Traded Assets
   Springer