Mgr. Lukáš Vácha, Ph.D.
deputy head of the department

Department:
Department of Econometrics
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
- 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
- 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] :
- 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] :
- 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] :
- 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] :
- 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] :
- 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] :
- 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] :
- Volatility Spillovers Across Petroleum Markets, Energy Journal 36 3 (2015), p. 309-329 Download DOI: 10.5547/01956574.37.1.jbar [2015] :
- 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] :
- 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] :
- 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] :
- 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] :
- 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] :
- 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] :
- Tail Behavior of the Central European Stock Markets during the Financial Crisis, AUCO Czech Economic Review 4 3 (2010), p. 282-294 Download [2010] :
- 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] :
- Monte Carlo-Based Tail Exponent Estimator, IES Working Paper 2010 6 (2010), p. 1-26 Download [2010] :
- Smart Agents and Sentiment in the Heterogeneous Agent Model, ERCIM News 81 (2010), p. 39-40 Download [2010] :
- Tail Behavior of the Central European Stock Markets during the Financial Crisis, IES Working Papers 2010 4 (2010), p. 1-17 Download [2010] :
- Wavelet Analysis of Central European Stock Market Behaviour During the Crisis, IES Working Papers 2009 23 (2009), p. 1-14 [2009] :
- 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] :
- Smart Agents and Sentiment in the Heterogeneous Agent Model, Prague Economic Papers 18 3 (2009), p. 209-219 Download [2009] :
- Wavelets and Sentiment in the Heterogeneous Agents Model, Bulletin of the Czech Econometric Society 15 25 (2008), p. 41-56 Download [2008] :
- Fractal Properties of the Financial Market, Acta Oeconomica Pragensia 4 (2007), p. 49-55 [2007] :
- Heterogeneous Agents Model with the Worst Out Algorithm, AUCO Czech Economic Review 1 (2007), p. 54-66 [2007] :
- Wavelet Decomposition of the Financial Market, Prague Economic Papers 16 1 (2007), p. 38-54 [2007] :
- Heterogenous Agents Model with the Worst Out Algorithm, Prague Social Science Studies 8 (2006), p. 3-19 [2006] :
- Dynamical agents' strategies and the fractal market hypothesis, Prague Economic Papers 14 2 (2005), p. 172-179 [2005] :
- Heterogeneous Agent Model with Memory and Asset Price Behaviour, Prague Economic Papers 12 2 (2003), p. 155-168 [2003] :
- Heterogeneous agent model and numerical analysis of learning, Bulletin of the Czech Econometric Society 9 17 (2002), p. 15-22 [2002] :
Other publications
- 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] :
- Modeling multivariate volatility using wavelet-based realized covariance estimator, Mathematical Methods in Economics 2011, p. 29-34 [2011] :
- 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] :
- Power Law Behavior of the Central European Stock Markets During the Financial Crisis, ÚTIA AV ČR (Praha, 2009) [2009] :
- 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] :
- 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] :
- Smart Predictors in the Heterogeneous Agent Model, ÚTIA AV ČR (Praha, 2008) [2008] :
- Sentiment Patterns in the Heterogeneous Agent Model, ÚTIA AV ČR (Praha, 2008) [2008] :
- Wavelet Neural Networks Prediction of Central European Stock Markets, ÚTIA AV ČR (Praha, 2008) [2008] :
- Wavelet Neural Networks Prediction of Central European Stock Markets, Quantitative Methods in Economics: Multiple Criteria Decision making XIV, p. 291-297 [2008] :
- Wavelet Applications to Heterogeneous Agents Model, Fakulta sociálních věd UK (Praha, 2008) [2008] :
- Moods Modelling on the Financial Markets, Proceedings of the Mathematical Methods in Economics, p. 1-7 [2007] :
- Wavelet Applications to Heterogeneous Agents Model, Proceedings of the 24th International Conference Mathematical Methods in Economics 2006, p. 497-502 [2006] :
- An Energy Decomposition of the Financial Market, ÚTIA AV ČR (Praha, 2006) [2006] :
- Heterogeneous Agents Model with the Worst Out Algorithm, UK FSV - IES (Praha, 2005) [2005] :
- Heterogeneous agent models, Výpočtová ekonomie. Sborník semináře, p. 21-30, Západočeská univerzita (Plzeň, 2003) [2003] :
- 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] :
- Heterogeneous agent model with learning, Quantitative Methods in Economics. (Multiple Criteria Decision Making 11), p. 269-280, Slovak Agricultural University (Nitra, 2002) [2002] :
- Heterogeneous Agent Model with Learning, ÚTIA AV ČR (Praha, 2002) [2002] :
- 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] :
- Bifurcations Routes and Spectral Analysis of Agents Behaviour, ÚTIA AV ČR (Praha, 2001) [2001] :