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Publications - Lukáš Vácha


Books and chapters (1)
1. * Jozef Baruník, Evžen Kočenda, Lukáš Vácha: Wavelet-Based Correlation Analysis of the Key Traded Assets. Wavelet Applications in Economics and Finance, 157-183. Springer, Cham 2014.   Download

Journal articles (29)
1. * L. Hanus, Lukáš Vácha: Growth cycle synchronization of the Visegrad Four and the European Union. Empirical Economics 58:4 (2020), 1779-1795. Heidelberg Physica.   Download
2. * Lukáš Vácha, F. Šmolík, Jaromír Baxa: Comovement and disintegration of EU sovereign bond markets during the crisis. International Review of Economics & Finance 64:1 (2019), 541-556. Elsevier.   Download
3. * J. Baruník, Lukáš Vácha: Do co-jumps impact correlations in currency markets?. Journal of Financial Markets 37:1 (2018), 97-119. Elsevier.   Download
4. * Jozef Baruník, Evžen Kočenda, Lukáš Vácha: Asymmetric volatility connectedness on the forex market. Journal of International Money and Finance 77:1 (2017), 39-56. Elsevier.   Download
5. * Jozef Baruník, Evžen Kočenda, Lukáš Vácha: Gold, oil, and stocks: Dynamic correlations. International Review of Economics & Finance 42:1 (2016), 186-201. Elsevier.   Download
6. * Jozef Baruník, Tomáš Křehlík, Lukáš Vácha: Modeling and forecasting exchange rate volatility in time-frequency domain. European Journal of Operational Research 251:1 (2016), 329-340. Elsevier.   Download
7. * Jozef Baruník, Lukáš Vácha: Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. Quantitative Finance 15:8 (2015), 1347-1364.   Download
8. * Jozef Baruník, Evžen Kočenda, Lukáš Vácha: Volatility Spillovers Across Petroleum Markets. Energy Journal 36:3 (2015), 309-329. International Association for Energy Economics.   Download
9. * Lukáš Vácha, K. Janda, Ladislav Krištoufek, D. Zilberman: Time-Frequency Dynamics of Biofuel-Fuel-Food System. Energy Economics 40:1 (2013), 233-241. Elsevier.   Download
10. * Jozef Baruník, Lukáš Vácha: Contagion among Central and Eastern European stock markets during the financial crisis. Finance a úvěr-Czech Journal of Economics and Finance 63:5 (2013), 443-453. Univerzita Karlova v Praze.   Download
11. * Lukáš Vácha, Jozef Baruník: Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. Energy Economics 34:1 (2012), 241-247. Elsevier.
12. * Lukáš Vácha, Jozef Baruník, Miloslav Vošvrda: How do skilled traders change the structure of the market. International Review of Financial Analysis 23:1 (2012), 66-71. Elsevier.   Download
13. * Jozef Baruník, Lukáš Vácha, Ladislav Krištoufek: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data. IES Working Papers 22 (2011), 1-22.   Download
14. * Lukáš Vácha, Jozef Baruník, Miloslav Vošvrda: Smart Agents and Sentiment in the Heterogeneous Agent Model. ERCIM News 81 (2010), 39-40. European Research Consortium for Informatics and Mathematics.   Download
15. * Jozef Baruník, Lukáš Vácha, Miloslav Vošvrda: Tail Behavior of the Central European Stock Markets during the Financial Crisis. IES Working Papers 4 (2010), 1-17.   Download
16. * Jozef Baruník, Lukáš Vácha: Monte Carlo-based tail exponent estimator. Physica. A : Statistical Mechanics and its Applications 389:21 (2010), 4863-4874. Elsevier.   Download
17. * Jozef Baruník, Lukáš Vácha: Monte Carlo-Based Tail Exponent Estimator. IES Working Paper 6 (2010), 1-26.   Download
18. * Jozef Baruník, Lukáš Vácha, Miloslav Vošvrda: Tail Behavior of the Central European Stock Markets during the Financial Crisis. AUCO Czech Economic Review 4:3 (2010), 282-294.   Download
19. * Lukáš Vácha, Jozef Baruník, Miloslav Vošvrda: Smart Agents and Sentiment in the Heterogeneous Agent Model. Prague Economic Papers 18:3 (2009), 209-219. Vysoká škola ekonomická v Praze.   Download
20. * Jozef Baruník, Lukáš Vácha, Miloslav Vošvrda: Smart predictors in the heterogeneous agent model. Journal of Economic Interaction and Coordination 4:2 (2009), 163-172.
21. * Jozef Baruník, Lukáš Vácha: Wavelet Analysis of Central European Stock Market Behaviour During the Crisis. IES Working Papers 23 (2009), 1-14.
22. * Lukáš Vácha, Miloslav Vošvrda: Wavelets and Sentiment in the Heterogeneous Agents Model. Bulletin of the Czech Econometric Society 15:25 (2008), 41-56.   Download
23. * Miloslav Vošvrda, Lukáš Vácha: Wavelet Decomposition of the Financial Market. Prague Economic Papers 16:1 (2007), 38-54. Vysoká škola ekonomická v Praze.
24. * Lukáš Vácha: Fractal Properties of the Financial Market. Acta Oeconomica Pragensia 4 (2007), 49-55.
25. * Miloslav Vošvrda, Lukáš Vácha: Heterogeneous Agents Model with the Worst Out Algorithm. AUCO Czech Economic Review 1 (2007), 54-66.
26. * Lukáš Vácha, Miloslav Vošvrda: Heterogenous Agents Model with the Worst Out Algorithm. Prague Social Science Studies 8 (2006), 3-19. , Prague.
27. * Lukáš Vácha, Miloslav Vošvrda: Dynamical agents' strategies and the fractal market hypothesis. Prague Economic Papers 14:2 (2005), 172-179. Vysoká škola ekonomická v Praze.
28. * Miloslav Vošvrda, Lukáš Vácha: Heterogeneous Agent Model with Memory and Asset Price Behaviour. Prague Economic Papers 12:2 (2003), 155-168. Vysoká škola ekonomická v Praze.
29. * Miloslav Vošvrda, Lukáš Vácha: Heterogeneous agent model and numerical analysis of learning. Bulletin of the Czech Econometric Society 9:17 (2002), 15-22.

Conference papers (11)
1. * Jozef Baruník, Lukáš Vácha: Modeling multivariate volatility using wavelet-based realized covariance estimator. Mathematical Methods in Economics 2011, 29-34. Proffesional publishing, Prague 2011.
2. * Jozef Baruník, Lukáš Vácha, Ladislav Krištoufek: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data. 28th International Conference on Mathematical Methods in Economics 2010, 12-17. University of South Bohemia in České Budějovice, Faculty of Economy, České Budějovice 2010.   Download
3. * Lukáš Vácha, Jozef Baruník: What does the wavelet analysis tell us about the Central European stock markets behavior during the crisis?. Proceedings of 27th International Conference Mathematical Methods in Economics 2009, 7-12. Czech University of Life Sciences Prague, Prague 2009.   Download
4. * Lukáš Vácha, Jozef Baruník: Wavelet Neural Networks Prediction of Central European Stock Markets. Quantitative Methods in Economics: Multiple Criteria Decision making XIV, 291-297. University of Economics in Bratislava, Bratislava 2008.
5. * Jozef Baruník, Lukáš Vácha: Neural Networks with Wavelet Based Denoising Layer: Application to Central European Stock Market Forecasting. Proceedings of 26th International Conference Mathematical Methods in Economics 2008, 1-6. Technical University of Liberec, Liberec 2008.   Download
6. * Lukáš Vácha, Miloslav Vošvrda: Moods Modelling on the Financial Markets. Proceedings of the Mathematical Methods in Economics, 1-7. Technical University of Ostrava, Ostrava 2007.
7. * Miloslav Vošvrda, Lukáš Vácha: Wavelet Applications to Heterogeneous Agents Model. Proceedings of the 24th International Conference Mathematical Methods in Economics 2006, 497-502. University of West Bohemia in Pilsen, Plzeň 2006.
8. * Lukáš Vácha, Miloslav Vošvrda: Learning in heterogeneous agent model with the WOA. Proceedings of the 6th International Scientific Conference on Applications of Mathematics and Statistics in Economy, 199-204. Univerzita Mateja Bela EF, Banská Bystrica 2003.
9. * Miloslav Vošvrda, Lukáš Vácha: Heterogeneous agent models. Výpočtová ekonomie. Sborník semináře, 21-30. Západočeská univerzita, Plzeň 2003.
10. * Miloslav Vošvrda, Lukáš Vácha: Heterogeneous agent model with memory and asset price behaviour. Proceedings of the 20th International Conference Mathematical Methods in Economics 2002, 273-282. Technical University, Ostrava 2002.
11. * Miloslav Vošvrda, Lukáš Vácha: Heterogeneous agent model with learning. Quantitative Methods in Economics. (Multiple Criteria Decision Making 11), 269-280. Slovak Agricultural University, Nitra 2002.

Other publications (10)
1. * Jozef Baruník, Evžen Kočenda, Lukáš Vácha: Asymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?. FinMaP-Working Papers 13. Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, Kiel 2014.   Download
2. * Jozef Baruník, Lukáš Vácha, Miloslav Vošvrda: Power Law Behavior of the Central European Stock Markets During the Financial Crisis. Research Report 2268. ÚTIA AV ČR, Praha 2009.
3. * Lukáš Vácha, Miloslav Vošvrda: Wavelet Applications to Heterogeneous Agents Model. Pražské sociálně vědní studie EC-025. Fakulta sociálních věd UK, Praha 2008.
4. * Lukáš Vácha, Jozef Baruník: Wavelet Neural Networks Prediction of Central European Stock Markets. Research Reports 2225. ÚTIA AV ČR, Praha 2008.
5. * Lukáš Vácha, Jozef Baruník, Miloslav Vošvrda: Smart Predictors in the Heterogeneous Agent Model. Research Report 2222. ÚTIA AV ČR, Praha 2008.
6. * Lukáš Vácha, Jozef Baruník, Miloslav Vošvrda: Sentiment Patterns in the Heterogeneous Agent Model. Research Report 2224. ÚTIA AV ČR, Praha 2008.
7. * Lukáš Vácha, Miloslav Vošvrda: An Energy Decomposition of the Financial Market. Research Report 2171. ÚTIA AV ČR, Praha 2006.
8. * Lukáš Vácha, Miloslav Vošvrda: Heterogeneous Agents Model with the Worst Out Algorithm. Research Report 91.. UK FSV - IES, Praha 2005.
9. * Miloslav Vošvrda, Lukáš Vácha: Heterogeneous Agent Model with Learning. Research Report 2051. ÚTIA AV ČR, Praha 2002.
10. * Lukáš Vácha: Bifurcations Routes and Spectral Analysis of Agents Behaviour. Research Report 2023. ÚTIA AV ČR, Praha 2001.