Mgr. Lukáš Vácha, Ph.D.

zástupce vedoucího oddělení

Lukáš Vácha
vachal@utia.cas.cz 266052366 602161710
Oddělení: Oddělení ekonometrie
Vědecké zájmy: Strojové učení, posilované učení při rozhodování. Analýza vlnkami ve financích a ekonomii, volatilita, spillovers.

Životopis

Seznam publikací


Lukáš Vácha je výzkumný pracovník na Ekonometrickém oddělení Akademie věd České republiky.
Působí také jako pedagog na Institutu ekonomických studií Fakulty sociálních věd Univerzity Karlovy v Praze. 

Jeho hlavními výzkumnými oblastmi jsou ekonometrie a analýza časových řad, se zaměřením na modelování volatility, persistence a ekonometrii ve frekvenční oblasti. 

Publikoval v recenzovaných odborných časopisech a aktivně přispívá k teoretickým i aplikovaným aspektům kvantitativní ekonomie. Jeho práce byly zveřejněny například v časopisech Review of Economics and Statistics, Journal of Financial Markets, The Energy Journal a Energy Economics.

Vybrané publikace:

 

  • Predicting the volatility of major energy commodity prices: The dynamic persistence model (with J. Barunik). Energy Economics, 2024, vol. 140. journal link.
  • Growth cycle synchronization of the Visegrad Four and the European Union (with L. Hanus). Empirical Economics, , 2020, vol 58, pp. 1779-1795. journal link.
  • Comovement and disintegration of EU sovereign bond markets during the crisis. (with F. Smolik, J. Baxa ). International Review of Economics and Finance, 2019, , vol 64, pp. 541 - 556. journal link.
  • Do co-jumps impact correlations in currency markets? (with J. Barunik ). Journal of Financial Markets, 2018, vol 37, pp. 97-119. journal link, pdf
  • Asymmetric volatility connectedness on the forex market (with J. Barunik and E. Kocenda). Journal of International Money and Finance, 2017, vol 77, pp. 39-56. journal link, pdf
  • Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (with J. Barunik and E. Kocenda). Journal of Financial Markets, 2016, vol 27, pp. 55-78. journal link, pdf
  • Modeling and forecasting exchange rate volatility in time-frequency domain (with J. Barunik and T. Krehlik). European Journal of Operational Research, 2016, vol. 251(1), pp. 329-340. journal link, pdf
  • Volatility spillovers across petroleum markets (with J. Barunik and E. Kocenda). The Energy Journal, 2015, vol. 36(3), pp. 309-329. journal link, pdf
  • Realized wavelet-based estimation of integrated variance and jumps in the presence of noise (with J.Barunik). Quantitative Finance, 2015, vol. 15(8), pp. 1347-1364. journal link, pdf
  • Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (with J. Barunik). Energy Economics, 2012, vol. 34, pp. 241-247. journal link, pdf

 

Knihy a kapitoly

  1. Baruník Jozef, Kočenda Evžen, Vácha Lukáš: Wavelet-Based Correlation Analysis of the Key Traded Assets, Wavelet Applications in Economics and Finance, p. 157-183 Stáhnout DOI: 10.1007/978-3-319-07061-2_8 [2014]

Články v časopisech

  1. Baruník Jozef, Vácha Lukáš: Predicting the volatility of major energy commodity prices: the dynamic persistence model, Energy Economics 140 Stáhnout Stáhnout DOI: 10.1016/j.eneco.2024.107982 [2024]
  2. Hanus L., Vácha Lukáš: Growth cycle synchronization of the Visegrad Four and the European Union, Empirical Economics 58 4 (2020), p. 1779-1795 Stáhnout Stáhnout DOI: 10.1007/s00181-018-1601-x [2020]
  3. Vácha Lukáš, Šmolík F., Baxa Jaromír: Comovement and disintegration of EU sovereign bond markets during the crisis, International Review of Economics & Finance 64 1 (2019), p. 541-556 Stáhnout Stáhnout DOI: 10.1016/j.iref.2019.09.004 [2019]
  4. Baruník J., Vácha Lukáš: Do co-jumps impact correlations in currency markets?, Journal of Financial Markets 37 1 (2018), p. 97-119 Stáhnout DOI: 10.1016/j.finmar.2017.11.004 [2018]
  5. Baruník Jozef, Kočenda Evžen, Vácha Lukáš: Asymmetric volatility connectedness on the forex market, Journal of International Money and Finance 77 1 (2017), p. 39-56 Stáhnout DOI: 10.1016/j.jimonfin.2017.06.003 [2017]
  6. Baruník Jozef, Křehlík Tomáš, Vácha Lukáš: Modeling and forecasting exchange rate volatility in time-frequency domain, European Journal of Operational Research 251 1 (2016), p. 329-340 Stáhnout DOI: 10.1016/j.ejor.2015.12.010 [2016]
  7. Baruník Jozef, Kočenda Evžen, Vácha Lukáš: Gold, oil, and stocks: Dynamic correlations, International Review of Economics & Finance 42 1 (2016), p. 186-201 Stáhnout DOI: 10.1016/j.iref.2015.08.006 [2016]
  8. Baruník Jozef, Kočenda Evžen, Vácha Lukáš: Volatility Spillovers Across Petroleum Markets, Energy Journal 36 3 (2015), p. 309-329 Stáhnout DOI: 10.5547/01956574.37.1.jbar [2015]
  9. Baruník Jozef, Vácha Lukáš: Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, Quantitative Finance 15 8 (2015), p. 1347-1364 Stáhnout DOI: 10.1080/14697688.2014.950319 [2015]
  10. Baruník Jozef, Vácha Lukáš: Contagion among Central and Eastern European stock markets during the financial crisis, Finance a úvěr-Czech Journal of Economics and Finance 63 5 (2013), p. 443-453 Stáhnout [2013]
  11. Vácha Lukáš, Janda K., Krištoufek Ladislav, Zilberman D.: Time-Frequency Dynamics of Biofuel-Fuel-Food System, Energy Economics 40 1 (2013), p. 233-241 Stáhnout DOI: 10.1016/j.eneco.2013.06.015 [2013]
  12. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav: How do skilled traders change the structure of the market, International Review of Financial Analysis 23 1 (2012), p. 66-71 Stáhnout DOI: 10.1016/j.irfa.2011.06.011 [2012]
  13. Vácha Lukáš, Baruník Jozef: Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis, Energy Economics 34 1 (2012), p. 241-247 DOI: 10.1016/j.eneco.2011.10.007 [2012]
  14. Baruník Jozef, Vácha Lukáš, Krištoufek Ladislav: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data, IES Working Papers 2011 22 (2011), p. 1-22 Stáhnout [2011]
  15. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav: Tail Behavior of the Central European Stock Markets during the Financial Crisis, AUCO Czech Economic Review 4 3 (2010), p. 282-294 Stáhnout [2010]
  16. Baruník Jozef, Vácha Lukáš: Monte Carlo-based tail exponent estimator, Physica. A : Statistical Mechanics and its Applications 389 21 (2010), p. 4863-4874 Stáhnout DOI: 10.1016/j.physa.2010.06.054 [2010]
  17. Baruník Jozef, Vácha Lukáš: Monte Carlo-Based Tail Exponent Estimator, IES Working Paper 2010 6 (2010), p. 1-26 Stáhnout [2010]
  18. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav: Smart Agents and Sentiment in the Heterogeneous Agent Model, ERCIM News 81 (2010), p. 39-40 Stáhnout [2010]
  19. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav: Tail Behavior of the Central European Stock Markets during the Financial Crisis, IES Working Papers 2010 4 (2010), p. 1-17 Stáhnout [2010]
  20. Baruník Jozef, Vácha Lukáš: Wavelet Analysis of Central European Stock Market Behaviour During the Crisis, IES Working Papers 2009 23 (2009), p. 1-14 [2009]
  21. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav: Smart predictors in the heterogeneous agent model, Journal of Economic Interaction and Coordination 4 2 (2009), p. 163-172 DOI: 10.1007/s11403-009-0051-0 [2009]
  22. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav: Smart Agents and Sentiment in the Heterogeneous Agent Model, Prague Economic Papers 18 3 (2009), p. 209-219 Stáhnout [2009]
  23. Vácha Lukáš, Vošvrda Miloslav: Wavelets and Sentiment in the Heterogeneous Agents Model, Bulletin of the Czech Econometric Society 15 25 (2008), p. 41-56 Stáhnout [2008]
  24. Vácha Lukáš: Fractal Properties of the Financial Market, Acta Oeconomica Pragensia 4 (2007), p. 49-55 [2007]
  25. Vošvrda Miloslav, Vácha Lukáš: Heterogeneous Agents Model with the Worst Out Algorithm, AUCO Czech Economic Review 1 (2007), p. 54-66 [2007]
  26. Vošvrda Miloslav, Vácha Lukáš: Wavelet Decomposition of the Financial Market, Prague Economic Papers 16 1 (2007), p. 38-54 [2007]
  27. Vácha Lukáš, Vošvrda Miloslav: Heterogenous Agents Model with the Worst Out Algorithm, Prague Social Science Studies 8 (2006), p. 3-19 [2006]
  28. Vácha Lukáš, Vošvrda Miloslav: Dynamical agents' strategies and the fractal market hypothesis, Prague Economic Papers 14 2 (2005), p. 172-179 [2005]
  29. Vošvrda Miloslav, Vácha Lukáš: Heterogeneous Agent Model with Memory and Asset Price Behaviour, Prague Economic Papers 12 2 (2003), p. 155-168 [2003]
  30. Vošvrda Miloslav, Vácha Lukáš: Heterogeneous agent model and numerical analysis of learning, Bulletin of the Czech Econometric Society 9 17 (2002), p. 15-22 [2002]

Ostatní publikace

  1. Baruník Jozef, Kočenda Evžen, Vácha Lukáš: Asymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (Kiel, 2014) Stáhnout [2014]
  2. Baruník Jozef, Vácha Lukáš: Modeling multivariate volatility using wavelet-based realized covariance estimator, Mathematical Methods in Economics 2011, p. 29-34 [2011]
  3. Baruník Jozef, Vácha Lukáš, Krištoufek Ladislav: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data, 28th International Conference on Mathematical Methods in Economics 2010, p. 12-17, Eds: Houda Michal, Friebelová Jana Stáhnout [2010]
  4. Baruník Jozef, Vácha Lukáš, Vošvrda Miloslav: Power Law Behavior of the Central European Stock Markets During the Financial Crisis, ÚTIA AV ČR (Praha, 2009) [2009]
  5. Vácha Lukáš, Baruník Jozef: 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, p. 7-12 Stáhnout [2009]
  6. Baruník Jozef, Vácha Lukáš: Neural Networks with Wavelet Based Denoising Layer: Application to Central European Stock Market Forecasting, Proceedings of 26th International Conference Mathematical Methods in Economics 2008, p. 1-6, Eds: Řehořová Pavla, Maršíková Kateřina Stáhnout [2008]
  7. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav: Smart Predictors in the Heterogeneous Agent Model, ÚTIA AV ČR (Praha, 2008) [2008]
  8. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav: Sentiment Patterns in the Heterogeneous Agent Model, ÚTIA AV ČR (Praha, 2008) [2008]
  9. Vácha Lukáš, Baruník Jozef: Wavelet Neural Networks Prediction of Central European Stock Markets, ÚTIA AV ČR (Praha, 2008) [2008]
  10. Vácha Lukáš, Baruník Jozef: Wavelet Neural Networks Prediction of Central European Stock Markets, Quantitative Methods in Economics: Multiple Criteria Decision making XIV, p. 291-297 [2008]
  11. Vácha Lukáš, Vošvrda Miloslav: Wavelet Applications to Heterogeneous Agents Model, Fakulta sociálních věd UK (Praha, 2008) [2008]
  12. Vácha Lukáš, Vošvrda Miloslav: Moods Modelling on the Financial Markets, Proceedings of the Mathematical Methods in Economics, p. 1-7 [2007]
  13. Vošvrda Miloslav, Vácha Lukáš: Wavelet Applications to Heterogeneous Agents Model, Proceedings of the 24th International Conference Mathematical Methods in Economics 2006, p. 497-502 [2006]
  14. Vácha Lukáš, Vošvrda Miloslav: An Energy Decomposition of the Financial Market, ÚTIA AV ČR (Praha, 2006) [2006]
  15. Vácha Lukáš, Vošvrda Miloslav: Heterogeneous Agents Model with the Worst Out Algorithm, UK FSV - IES (Praha, 2005) [2005]
  16. Vošvrda Miloslav, Vácha Lukáš: Heterogeneous agent models, Výpočtová ekonomie. Sborník semináře, p. 21-30, Západočeská univerzita (Plzeň, 2003) [2003]
  17. Vácha Lukáš, Vošvrda Miloslav: Learning in heterogeneous agent model with the WOA, Proceedings of the 6th International Scientific Conference on Applications of Mathematics and Statistics in Economy, p. 199-204 [2003]
  18. Vošvrda Miloslav, Vácha Lukáš: Heterogeneous agent model with learning, Quantitative Methods in Economics. (Multiple Criteria Decision Making 11), p. 269-280, Slovak Agricultural University (Nitra, 2002) [2002]
  19. Vošvrda Miloslav, Vácha Lukáš: Heterogeneous Agent Model with Learning, ÚTIA AV ČR (Praha, 2002) [2002]
  20. Vošvrda Miloslav, Vácha Lukáš: Heterogeneous agent model with memory and asset price behaviour, Proceedings of the 20th International Conference Mathematical Methods in Economics 2002, p. 273-282, Technical University (Ostrava, 2002) [2002]
  21. Vácha Lukáš: Bifurcations Routes and Spectral Analysis of Agents Behaviour, ÚTIA AV ČR (Praha, 2001) [2001]
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