Lukas Vacha

Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic

Research Fellow

Pod vodarenskou vezi 4

Praha, CZ-18208

Czech Republic

Charles University in Prague - Department of Economics

Scientist

Opletalova 26

Prague, 11000

Czech Republic

SCHOLARLY PAPERS

12

DOWNLOADS
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in Total Papers Downloads

1,357

SSRN CITATIONS
Rank 27,262

SSRN RANKINGS

Top 27,262

in Total Papers Citations

13

CROSSREF CITATIONS

16

Scholarly Papers (12)

1.

Gold, Oil, and Stocks

Number of pages: 27 Posted: 02 Aug 2013 Last Revised: 10 May 2014
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 287 (115,218)
Citation 4

Abstract:

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financial markets, time-frequency dynamics, gold, oil, stocks, high-frequency data, dynamic correlation, financial crisis, wavelets

2.

Asymmetric Connectedness of Stocks: How Does Bad and Good Volatility Spill over the U.S. Stock Market?

Journal of Financial Markets, Vol. 26, 2016
Number of pages: 36 Posted: 06 Aug 2013 Last Revised: 29 Oct 2018
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 182 (179,576)
Citation 4

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Volatility, Spillovers, Semivariance, Asymmetric effects, Financial markets

3.

Modeling and Forecasting Exchange Rate Volatility in Time-Frequency Domain

Number of pages: 33 Posted: 31 May 2012 Last Revised: 04 Feb 2015
Jozef Baruník, Tomas Krehlik and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 135 (230,561)

Abstract:

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wavelet decomposition, jumps, volatility forecasting, Realized GARCH

4.

Gold, Oil, and Stocks: Dynamic Correlations

CESifo Working Paper Series No. 5333
Number of pages: 28 Posted: 07 May 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 134 (231,953)
Citation 1

Abstract:

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financial markets, time-frequency dynamics, gold, oil, stocks, high-frequency data, dynamic correlation, financial crisis, wavelets

5.

Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers

CESifo Working Paper Series No. 5305
Number of pages: 30 Posted: 07 May 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 127 (241,736)
Citation 5

Abstract:

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volatility, spillovers, semivariance, asymmetric effects, financial markets

6.

Do co-jumps impact correlations in currency markets?

Journal of Financial Markets, Forthcoming
Number of pages: 44 Posted: 18 Feb 2016 Last Revised: 15 Oct 2017
Jozef Baruník and Lukas Vacha
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 123 (247,556)

Abstract:

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co-jumps, currency markets, realized covariance, wavelets, bootstrap

7.

Asymmetric Volatility Connectedness on Forex Markets

Journal of International Money and Finance, Vol. 77C, 2017
Number of pages: 39 Posted: 28 Jul 2016 Last Revised: 15 Oct 2017
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 106 (275,543)
Citation 3

Abstract:

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volatility, connectedness, spillovers, semivariance, asymmetric effects, forex markets

8.

Realized Wavelet-Based Estimation of Integrated Variance and Jumps in the Presence of Noise

Quantitative Finance (2015) Vol. 15, No. 8, 1347-1364
Number of pages: 28 Posted: 08 Apr 2012 Last Revised: 15 Oct 2017
Jozef Baruník and Lukas Vacha
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 85 (317,891)
Citation 6

Abstract:

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quadratic variation, realized variance, jumps, market microstructure noise, wavelets

9.

How Does Bad and Good Volatility Spill Over Across Petroleum Markets?

The Energy Journal, 36(3), 309-329, 2015
Number of pages: 22 Posted: 12 May 2014 Last Revised: 15 Oct 2017
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 62 (378,843)

Abstract:

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volatility spillovers, asymmetry, petroleum markets

10.

Comovement and Disintegration of EU Sovereign Bond Markets During the Crisis

International Review of Economics & Finance, Vol. 64, 2019
Number of pages: 32 Posted: 11 Jun 2015 Last Revised: 17 Sep 2019
Lukas Vacha, Filip Smolik and Jaromir Baxa
Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Charles University in Prague and Charles University in Prague - Institute of Economic Studies
Downloads 53 (408,248)

Abstract:

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European sovereign debt crisis, Eurozone crisis, co-movement, contagion, European bonds, sovereign bonds

11.

Growth Cycle Synchronization of the Visegrad Four and the European Union

Hanus, L. & Vácha, L. Empir Econ (2018). DOI: 10.1007/s00181-018-1601-x
Number of pages: 19 Posted: 10 Jun 2015 Last Revised: 01 Dec 2018
Lubos Hanus and Lukas Vacha
Institute of Economic Studies, Charles University in Prague and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 43 (445,568)
Citation 3

Abstract:

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business cycle synchronization, time-frequency, wavelets, co-movement, Visegrad Four, European Union

12.

Time-Frequency Dynamics of Bio-Fuels-Food System

CAMA Working Paper 27/2013
Number of pages: 20 Posted: 08 Jun 2013
Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute), Institute of Information Theory and Automation, Prague and University of California, Berkeley - Department of Agricultural & Resource Economics
Downloads 20 (562,740)

Abstract:

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biofuels, prices, correlations, wavelet coherence