Details about Lukas Vacha

Access statistics for papers by Lukas Vacha.

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

Short-id: pva419

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

2017

2. Asymmetric volatility connectedness on the forex market
   KIER Working Papers, Kyoto University, Institute of Economic Research View citations (12)
   Also in Papers, arXiv.org (2016) View citations (1)
   See also Journal Article in Journal of International Money and Finance (2017)
3. Do co-jumps impact correlations in currency markets?
   Papers, arXiv.org
   See also Journal Article in Journal of Financial Markets (2018)

2016

4. Business cycle synchronization within the European Union: A wavelet cohesion approach
   Papers, arXiv.org View citations (1)
5. 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 (17)
   Also in Papers, arXiv.org (2015) View citations (6)
   See also Journal Article in European Journal of Operational Research (2016)
6. Time-scale analysis of co-movement in EU sovereign bond markets
   Papers, arXiv.org

2015

7. Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
   CESifo Working Paper Series, CESifo Group Munich View citations (4)
   Also in Papers, arXiv.org (2014) View citations (5)
   FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) View citations (2)
   See also Journal Article in Journal of Financial Markets (2016)
8. 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
   Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2015)
9. Gold, Oil, and Stocks: Dynamic Correlations
   CESifo Working Paper Series, CESifo Group Munich View citations (3)
   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)
   See also Journal Article in International Review of Economics & Finance (2016)
10. 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
11. Volatility spillovers across petroleum markets
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan View citations (20)
    Also in Papers, arXiv.org (2014)
    See also Journal Article in The Energy Journal (2015)

2014

12. 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 (3)
    See also Journal Article in Quantitative Finance (2015)

2013

13. Contagion among Central and Eastern European stock markets during the financial crisis
    Papers, arXiv.org View citations (7)
    See also Journal Article in Czech Journal of Economics and Finance (Finance a uver) (2013)
14. 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 (17)
    Also in Papers, arXiv.org (2012) View citations (5)
    See also Journal Article in Energy Economics (2013)

2012

15. Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
    Papers, arXiv.org View citations (127)
    See also Journal Article in Energy Economics (2012)
16. 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

17. 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 (9)

2010

18. 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

19. 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

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

2005

21. 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

2018

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

2017

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

2016

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

2015

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

2013

8. 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 (8)
   See also Working Paper (2013)
9. Time–frequency dynamics of biofuel–fuel–food system
   Energy Economics, 2013, 40, (C), 233-241 View citations (19)
   See also Working Paper (2013)

2012

10. Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
    Energy Economics, 2012, 34, (1), 241-247 View citations (129)
    See also Working Paper (2012)
11. How do skilled traders change the structure of the market
    International Review of Financial Analysis, 2012, 23, (C), 66-71 View citations (5)

2010

12. 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)
13. 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

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

2008

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

2007

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

2005

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

2003

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

2002

23. Heterogeneous Agent Model And Numerical Analysis Of Learning
    Bulletin of the Czech Econometric Society, 2002, 9, (17) View citations (4)