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Vacha, Lukas
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Research Fellow
Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Pod vodarenskou vezi 4
CZ-18208 Praha 8
United States
email address
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Scientist
Charles University in Prague - Department of Economics
Opletalova 26
Prague, 11000
Czech Republic
email address
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Vacha, Lukas's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
115 |
Total
Citations
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Barunik, Jozef
Charles University in Prague - Institute of Economic Studies Vacha, Lukas
Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
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31 May 12
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Last Revised:
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12 Feb 13
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69
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wavelet decomposition, jumps, volatility forecasting, Realized GARCH
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Barunik, Jozef
Charles University in Prague - Institute of Economic Studies Vacha, Lukas
Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
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08 Apr 12
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Last Revised:
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11 Feb 13
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46
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quadratic variation, realized variance, jumps, market microstructure noise, wavelets
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