Mgr. Lukáš Vácha, Ph.D.

deputy head of the department

Lukáš Vácha
Research interests: Machine learning, Reinforcement learning in decision making. Wavelet analysis in finance and economics, Volatility, Spillovers.

Biography

Publication list

 

Lukáš Vácha is a researcher at the Econometrics Department of the Czech Academy of Sciences. 
He is also a lecturer at the Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague. 

His main research interests are econometrics and time series analysis, with a particular focus on modelling volatility, persistence and frequency domain econometrics. He has published in peer-reviewed journals and actively contributes to both theoretical and applied aspects of quantitative economics. 

Lukáš's research has appeared in the Review of Economics and Statistics, Journal of Financial Markets, The Energy Journal and Energy Economics.

Selected publications:

 

  • 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
     

Books and chapters

  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 Download DOI: 10.1007/978-3-319-07061-2_8 [2014]

Journal articles

  1. Baruník Jozef, Vácha Lukáš: Predicting the volatility of major energy commodity prices: the dynamic persistence model, Energy Economics 140 Download Download 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 Download Download 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 Download Download 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 Download 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 Download 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 Download 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 Download 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 Download 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 Download 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 Download [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 Download 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 Download 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 Download [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 Download [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 Download 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 Download [2010]
  18. Vácha Lukáš, Baruník Jozef, Vošvrda Miloslav: Smart Agents and Sentiment in the Heterogeneous Agent Model, ERCIM News 81 (2010), p. 39-40 Download [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 Download [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 Download [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 Download [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]

Other publications

  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) Download [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 Download [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 Download [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 Download [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]