Lukas Vacha : Citation Profile


Are you Lukas Vacha?

Akademie věd České Republiky (50% share)
Univerzita Karlova v Praze (50% share)

8

H index

7

i10 index

245

Citations

RESEARCH PRODUCTION:

23

Articles

31

Papers

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 15
   Journals where Lukas Vacha has often published
   Relations with other researchers
   Recent citing documents: 92.    Total self citations: 27 (9.93 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva419
   Updated: 2018-11-10    RAS profile: 2018-11-01    
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Relations with other researchers


Works with:

Baruník, Jozef (24)

Kočenda, Evžen (14)

Krehlik, Tomas (3)

Hanus, Lubos (3)

Krištoufek, Ladislav (2)

Janda, Karel (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Lukas Vacha.

Is cited by:

Baruník, Jozef (28)

Masih, Abul (20)

Aguiar-Conraria, Luís (14)

Krištoufek, Ladislav (11)

Janda, Karel (10)

Kukacka, Jiri (10)

Shahzad, Syed Jawad Hussain (6)

Baumohl, Eduard (6)

Reboredo, Juan (6)

Sousa, Rita (5)

Kancs, d'Artis (5)

Cites to:

Andersen, Torben (20)

Bollerslev, Tim (19)

Baruník, Jozef (18)

Diebold, Francis (18)

Chiarella, Carl (18)

Hommes, Cars (14)

Vošvrda, Miloslav (14)

Brock, William (13)

He, Xuezhong (11)

Aguiar-Conraria, Luís (10)

Fratzscher, Marcel (9)

Main data


Where Lukas Vacha has published?


Journals with more than one article published# docs
Prague Economic Papers4
Bulletin of the Czech Econometric Society2
Acta Oeconomica Pragensia2
Czech Economic Review2
Energy Economics2
Journal of Financial Markets2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org13
Working Papers IES / Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies7
FinMaP-Working Papers / Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents6
CESifo Working Paper Series / CESifo Group Munich2

Recent works citing Lukas Vacha (2018 and 2017)


YearTitle of citing document
2017Wavelets based multiscale analysis of select global equity returns. (2017). Bhandari, Avishek. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(613):y:2017:i:4(613):p:75-88.

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2017Integration and hedging efficiency between the Brazilian and the U.S. ethanol markets. (2017). Dario, Daniel Henrique ; Cruz, Jose Cesar ; Tonin, Julyerme M. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258520.

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2017An empirical behavioural order-driven model with price limit rules. (2017). Gu, Gao-Feng ; Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong. In: Papers. RePEc:arx:papers:1704.04354.

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2018Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Hayashi, Takaki ; Koike, Yuta. In: Papers. RePEc:arx:papers:1708.03992.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2017Estimation of long memory in volatility using wavelets. (2017). Baruník, Jozef ; Jozef, Barunik ; Lucie, Kraicova . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:3:p:22:n:5.

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2017Networks of Volatility Spillovers among Stock Markets. (2017). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard ; Vyrost, Tomas ; Lyocsa, Stefan . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6476.

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2018Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis. (2018). Kočenda, Evžen ; Moravcova, Michala . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7239.

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2018Does Agricultural Commodity Price Co-move with Oil Price in the Time-Frequency Space? Evidence from the Republic of Korea. (2018). Meng, Xiangcai . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-04-16.

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2017Do oil price asymmetric effects on the stock market persist in multiple time horizons?. (2017). Sun, Xiaoqi ; Gao, Xiangyun ; An, Haizhong ; Huang, Shupei. In: Applied Energy. RePEc:eee:appene:v:185:y:2017:i:p2:p:1799-1808.

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2017The multiscale impact of exchange rates on the oil-stock nexus: Evidence from China and Russia. (2017). Huang, Shupei ; Hao, Xiaoqing ; Wen, Shaobo ; Gao, Xiangyun. In: Applied Energy. RePEc:eee:appene:v:194:y:2017:i:c:p:667-678.

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2018Financial risk network architecture of energy firms. (2018). Uribe, Jorge ; Manotas, Diego ; Restrepo, Natalia . In: Applied Energy. RePEc:eee:appene:v:215:y:2018:i:c:p:630-642.

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2018Co-movement of coherence between oil prices and the stock market from the joint time-frequency perspective. (2018). Huang, Shupei ; Jia, Xiaoliang . In: Applied Energy. RePEc:eee:appene:v:221:y:2018:i:c:p:122-130.

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2018Do all sectors respond to oil price shocks simultaneously?. (2018). Huang, Shupei ; Wang, Yue. In: Applied Energy. RePEc:eee:appene:v:227:y:2018:i:c:p:393-402.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2017Catching the curl: Wavelet thresholding improves forward curve modelling. (2017). Vedenov, Dmitry ; Turvey, Calum ; Eaves, James ; Power, Gabriel J. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:312-321.

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2017Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests. (2017). Jiang, Yonghong ; Monginsidi, Joe Yohanes ; Nie, HE. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:384-398.

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2017Generalized Method of Moment estimation of multivariate multifractal models. (2017). Liu, Ruipeng ; Lux, Thomas. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:136-148.

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2018The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors. (2018). McNevin, Bruce D ; Nix, Joan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:570-585.

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2018Are business and credit cycles synchronised internally or externally?. (2018). Kurowski, Ukasz ; Rogowicz, Karol. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:124-141.

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2017Measuring systemic risk of the US banking sector in time-frequency domain. (2017). Teply, Petr ; Kvapilikova, Ivana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:461-472.

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2018International spillovers in global asset markets. (2018). Belke, Ansgar ; Dubova, Irina. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:1:p:3-17.

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2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Zeitun, Rami ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

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2017Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies”. (2017). Yılmaz, Erdal ; Ozmen, Utku ; Yilmaz, Erdal. In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:173-188.

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2018Extreme dependence and risk spillovers between oil and Islamic stock markets. (2018). Shahzad, Syed Jawad Hussain ; Al-Yahyaee, Khamis H ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid ; Hussain, Syed Jawad. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:42-63.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2017Wavelet-based test of co-movement and causality between oil and renewable energy stock prices. (2017). Ugolini, Andrea ; Reboredo, Juan ; Rivera-Castro, Miguel A. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:241-252.

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2017Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis. (2017). Pal, Debdatta ; Mitra, Subrata K. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:230-239.

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2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef ; Kehlik, Toma. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:208-218.

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2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?. (2017). Baruník, Jozef ; Apergis, Nicholas ; Keung, Marco Chi. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:108-115.

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2017The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes. (2017). Roubaud, David ; Mensi, walid ; Bouri, Elie ; Al-Yahyaee, Khamis ; Tiwari, Aviral. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:122-139.

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2017Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis. (2017). Andriosopoulos, Kostas ; Spyrou, Spyros ; Galariotis, Emilios. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:217-227.

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2018Oil prices and news-based uncertainty: Novel evidence. (2018). Yin, Libo ; Su, Zhi ; Lu, Man. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:331-340.

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2018Sectoral energy consumption by source and output in the U.S.: New evidence from wavelet-based approach. (2018). Ben Salha, Ousama ; Aloui, Chaker ; Hkiri, Besma ; Ben-Salha, Ousama. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:75-96.

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2018Asymmetric volatility spillovers between crude oil and international financial markets. (2018). Wang, Xunxiao ; Wu, Chongfeng. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:592-604.

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2017Revisiting driving factors of oil price shocks across time scales. (2017). An, Feng ; Huang, Shupei ; Wen, Shaobo. In: Energy. RePEc:eee:energy:v:139:y:2017:i:c:p:617-629.

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2017Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. (2017). Filis, George ; Antonakakis, Nikolaos ; Chatziantoniou, Ioannis. In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:1-26.

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2017Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest. (2017). Tsouknidis, Dimitris ; Magkonis, Georgios. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:104-118.

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2017Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity. (2017). Keung, Marco Chi ; Yarovaya, Larisa ; Wang, Shixuan ; Vigne, Samuel A. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:316-332.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Yarovaya, Larisa ; Brzeszczyski, Janusz ; Marco, Chi Keung. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2018Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks. (2018). Uddin, Gazi ; Shahzad, Syed Jawad Hussain ; Yoon, Seong-Min ; Hussain, Syed Jawad ; Hernandez, Jose Areola. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:167-180.

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2018Asymmetric semi-volatility spillover effects in EMU stock markets. (2018). cipollini, andrea ; Muzzioli, Silvia ; Caloia, Francesco Giuseppe. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:221-230.

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2018The effects of uncertainty measures on the price of gold. (2018). Gözgör, Giray ; Bilgin, Mehmet ; Sheng, Xin ; Marco, Chi Keung ; Gozgor, Giray . In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:1-7.

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2017In search of hedges and safe havens: Revisiting the relations between gold and oil in the rolling regression framework. (2017). Papież, Monika ; Śmiech, Sławomir. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:238-244.

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2017Dynamic interaction between economic policy uncertainty and financial stress: A multi-scale correlation framework. (2017). Sun, Xiaolei ; Wang, Jun ; Yao, Xiaoyang . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:214-221.

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2017Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis. (2017). Hamori, Shigeyuki ; Yuan, Nannan ; Tian, Shuairu ; Cai, Xiaojing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:206-223.

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2017The effect of price volatility on judgmental forecasts: The correlated response model. (2017). Sobolev, Daphne. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:605-617.

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2018Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index. (2018). Horta, Eduardo ; Ziegelmann, Flavio. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:75-88.

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2017Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach. (2017). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Awe, Olushina. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:117-124.

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2017Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods. (2017). Hkiri, Besma ; Yarovaya, Larisa ; Aloui, Chaker ; Hammoudeh, Shawkat. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:43:y:2017:i:c:p:124-150.

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2017Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Kumar, Ronald ; Hussain, Syed Jawad ; Nor, Safwan Mohd. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:310-324.

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2017Co-movement of Africa’s equity markets: Regional and global analysis in the frequency–time domains. (2017). ALAGIDEDE, PAUL ; Boako, Gideon . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:359-380.

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2018Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes. (2018). Kaffel, Bilel ; Abid, Fathi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1028-1045.

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2018Networks of volatility spillovers among stock markets. (2018). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard ; Vrost, Toma ; Koenda, Even ; Lyocsa, Tefan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1555-1574.

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2018Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis. (2018). Loganathan, Nanthakumar ; Jammazi, Rania ; Sharif, Arshian ; Afshan, Sahar. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:225-244.

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2018Network features of sector indexes spillover effects in China: A multi-scale view. (2018). Feng, Sida ; Wen, Shaobo ; Sun, Qingru ; Liu, Xueyong ; Qi, Yabin ; Huang, Shupei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:461-473.

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2018Dynamic linkages among global oil market, agricultural raw material markets and metal markets: An application of wavelet and copula approaches. (2018). Jiang, Yonghong ; Nie, HE ; Mo, Bin ; Lao, Jiashun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:265-279.

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2018Wavelet analysis of the co-movement and lead–lag effect among multi-markets. (2018). Sun, QI ; Xu, Weidong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:489-499.

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2018Extreme co-movements and dependencies among major international exchange rates: A copula approach. (2018). Albulescu, Claudiu ; Tiwari, Aviral Kumar ; Goyeau, Daniel ; Aubin, Christian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:56-69.

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2017Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?. (2017). Shahzad, Syed Jawad Hussain ; Jareño, Francisco ; Hussain, Syed Jawad ; Jareo, Francisco ; Ferrer, Roman ; Jammazi, Rania. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:453-483.

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2017Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis. (2017). Yang, Lu ; Hamori, Shigeyuki ; Cai, Xiaojing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:536-547.

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2018Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis. (2018). Lin, Fu-Lai ; Chen, Yu-Fen ; Marsh, Terry ; Yang, Sheng-Yung. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:285-294.

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2017Oil price shocks and volatility spillovers in the Nigerian sovereign bond market. (2017). tule, moses ; Ndako, Umar ; Onipede, Samuel F. In: Review of Financial Economics. RePEc:eee:revfin:v:35:y:2017:i:c:p:57-65.

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2017Does gold Liquidity learn from the greenback or the equity?. (2017). Smimou, K. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:461-479.

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2017The one-trading-day-ahead forecast errors of intra-day realized volatility. (2017). Degiannakis, Stavros. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1298-1314.

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2018Information transmission across stock indices and stock index futures: International evidence using wavelet framework. (2018). Aloui, Chaker ; Yarovaya, Larisa ; Keung, Marco Chi ; Hkiri, Besma. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:411-421.

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2018Intermittent transition between synchronization and desynchronization in multi-regional business cycles. (2018). Onozaki, Tamotsu ; Sato, Yuzuru ; Saiki, Yoshitaka ; Esashi, Kunihiko. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:44:y:2018:i:c:p:68-76.

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2018Asymmetric and nonlinear inter-relations of US stock indices. (2018). Gkillas (Gillas), Konstantinos ; Svingou, Argyro ; Syriopoulos, Costas ; Vortelinos, Dimitrios. In: International Journal of Managerial Finance. RePEc:eme:ijmfpp:ijmf-02-2017-0018.

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2017Comovements of Stock Markets between Turkey and Global Countries. (2017). Chiang, Thomas ; Bayraktar, Sema . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:3:p:250-275.

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2017Volatility Dynamics of Precious Metals: Evidence from Russia. (2017). Kirkulak, Berna ; Lkhamazhapov, Zorikto ; Kirkulak-Uludag, Berna . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:4:p:300-317.

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2018Exploring the Dynamic Links between GCC Sukuk and Commodity Market Volatility. (2018). Naifar, Nader. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:3:p:72-:d:163414.

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2018Is gold a hedge against inflation? A wavelet time-scale perspective. (2018). Conlon, Thomas ; Uddin, Gazi Salah ; Lucey, Brian M. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:51:y:2018:i:2:d:10.1007_s11156-017-0672-7.

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2017The Asymmetric Effect in the Volatility of the South African Rand. (2017). Itodo, Idoko Ahmed ; Abu, Michael Maju ; Usman, Ojonugwa. In: Academic Journal of Economic Studies. RePEc:khe:scajes:v:3:y:2017:i:3:p:47-53.

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2017California´s Carbon Market and Energy Prices: A Wavelet Analysis. (2017). Sousa, Rita ; Aguiar-Conraria, Luís ; Soares, Maria Joana. In: NIPE Working Papers. RePEc:nip:nipewp:13/2017.

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2017Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis. (2017). Wong, Wing-Keung ; HOANG, Thi Hong Van ; EL KHAMLICHI, ABDELBARI ; van Hoang, Thi Hong. In: MPRA Paper. RePEc:pra:mprapa:76282.

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2017Refined Measures of Dynamic Connectedness based on TVP-VAR. (2017). Gabauer, David ; Antonakakis, Nikolaos. In: MPRA Paper. RePEc:pra:mprapa:78282.

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2017Should the Malaysian Islamic stock market investors invest in regional and international equity market to gain portfolio diversification benefits ?. (2017). Masih, Abul ; Umirah, Fatin . In: MPRA Paper. RePEc:pra:mprapa:79762.

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2017Should the Malaysian islamic stock market investors invest in regional and international equity markets to gain portfolio diversification benefits?. (2017). Masih, Abul ; Umairah, Fatin. In: MPRA Paper. RePEc:pra:mprapa:82117.

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2017Exchange rate volatility: A forecasting approach of using the ARCH family along with ARIMA SARIMA and semi-structural-SVAR in Turkey.. (2017). Ganbold, Batzorig ; Lubis, Raisal Fahrozi ; Akram, Iqra. In: MPRA Paper. RePEc:pra:mprapa:84447.

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2017Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains. (2017). Wohar, Mark ; GUPTA, RANGAN ; Cunado, Juncal ; Tiwari, Aviral Kumar. In: Working Papers. RePEc:pre:wpaper:201780.

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2018Ceny biopaliv a souvisejících komodit: analýza s použitím metod minimální kostry grafu a hierarchických stromů. (2018). Krištoufek, Ladislav ; Janda, Karel ; Kritoufek, Ladislav ; Filip, Ondej. In: Politická ekonomie. RePEc:prg:jnlpol:v:2018:y:2018:i:2:id:1185:p:218-239.

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2018What Economic Factors Underlie Connectedness in Corporate Credit Default Swaps: News vs. Macroeconomic Factors?. (2018). Castro, Andrew ; Francis, Neville. In: 2018 Meeting Papers. RePEc:red:sed018:586.

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2018Bidirectional spillover effect between Russian stock index and the selected commodities. (2018). Ivkov, Dejan ; Momilovi, Mirela ; Njegi, Jovan. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:36:y:2018:i:1:p:29-53.

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2018Temporal clustering of time series via threshold autoregressive models: application to commodity prices. (2018). Aslan, Sipan ; Iyigun, Cem ; Yozgatligil, Ceylan . In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-017-2659-0.

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2018Does international tourism affect international trade and economic growth? The Indian experience. (2018). Suresh, K G ; Tiwari, Aviral Kumar. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1241-6.

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2018On the Dynamics of Inflation-Stock Returns in India. (2018). Bhandari, Avishek ; Bandi, Kamaiah . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:16:y:2018:i:1:d:10.1007_s40953-017-0075-6.

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2018Volatility Spillovers in a Long-Memory VAR: an Application to Energy Futures Returns. (2018). Lovcha, Yuliya ; Laborda, alex Perez . In: Working Papers. RePEc:urv:wpaper:2072/307362.

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2017FORECASTING OF OIL AND AGRICULTURAL COMMODITY PRICES: VARMA VERSUS ARMA. (2017). Gulerce, Mustafa ; Unal, Gazanfer. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:03:n:s2010495217500129.

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2017Co-movement of precious metals and forecasting using scale by scale wavelet transform. (2017). Oral, Emrah ; Unal, Gazanfer. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500074.

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2018Are cryptocurrencies connected to forex? A quantile cross-spectral approach. (2018). Baumohl, Eduard. In: EconStor Preprints. RePEc:zbw:esprep:174884.

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2018Network-based asset allocation strategies. (2018). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Vrost, Tomas. In: EconStor Preprints. RePEc:zbw:esprep:180063.

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Works by Lukas Vacha:


YearTitleTypeCited
2015Volatility Spillovers Across Petroleum Markets In: The Energy Journal.
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2014How does bad and good volatility spill over across petroleum markets?.(2014) In: Papers.
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2015Volatility spillovers across petroleum markets.(2015) In: William Davidson Institute Working Papers Series.
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2012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis In: Papers.
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2012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis.(2012) In: Energy Economics.
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This paper has another version. Agregated cites: 98
article
2012Monte Carlo-based tail exponent estimator In: Papers.
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2010Monte Carlo-based tail exponent estimator.(2010) In: Physica A: Statistical Mechanics and its Applications.
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2010Monte Carlo-Based Tail Exponent Estimator.(2010) In: Working Papers IES.
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paper
2013Realized wavelet-based estimation of integrated variance and jumps in the presence of noise In: Papers.
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2015Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2015) In: Quantitative Finance.
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article
2014Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2014) In: FinMaP-Working Papers.
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paper
2015Modeling and forecasting exchange rate volatility in time-frequency domain In: Papers.
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2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: European Journal of Operational Research.
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article
2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: FinMaP-Working Papers.
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paper
2012Time-Frequency Dynamics of Biofuels-Fuels-Food System In: Papers.
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2013Time–frequency dynamics of biofuel–fuel–food system.(2013) In: Energy Economics.
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article
2013Time-Frequency Dynamics of Biofuels-Fuels-Food System.(2013) In: CAMA Working Papers.
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paper
2014Gold, Oil, and Stocks In: Papers.
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2015Gold, Oil, and Stocks: Dynamic Correlations.(2015) In: CESifo Working Paper Series.
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2016Gold, oil, and stocks: Dynamic correlations.(2016) In: International Review of Economics & Finance.
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article
2014Gold, Oil, and Stocks.(2014) In: FinMaP-Working Papers.
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paper
2014Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? In: Papers.
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2015Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover.(2015) In: CESifo Working Paper Series.
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paper
2016Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers.(2016) In: Journal of Financial Markets.
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article
2014Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?.(2014) In: FinMaP-Working Papers.
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This paper has another version. Agregated cites: 17
paper
2013Contagion among Central and Eastern European stock markets during the financial crisis In: Papers.
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2013Contagion among Central and Eastern European Stock Markets during the Financial Crisis.(2013) In: Czech Journal of Economics and Finance (Finance a uver).
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article
2016Business cycle synchronization within the European Union: A wavelet cohesion approach In: Papers.
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paper1
2016Time-scale analysis of co-movement in EU sovereign bond markets In: Papers.
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paper0
2017Do co-jumps impact correlations in currency markets? In: Papers.
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2018Do co-jumps impact correlations in currency markets?.(2018) In: Journal of Financial Markets.
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This paper has another version. Agregated cites: 0
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2016Asymmetric volatility connectedness on forex markets In: Papers.
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2017Asymmetric volatility connectedness on the forex market.(2017) In: Journal of International Money and Finance.
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article
2017Asymmetric volatility connectedness on the forex market.(2017) In: KIER Working Papers.
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paper
2008Wavelets and Sentiment in the Heterogeneous Agents Model In: Bulletin of the Czech Econometric Society.
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article2
2002Heterogeneous Agent Model And Numerical Analysis Of Learning In: Bulletin of the Czech Econometric Society.
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article0
2012How do skilled traders change the structure of the market In: International Review of Financial Analysis.
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article4
2007Heterogeneous Agents Model with the Worst Out Algorithm In: Czech Economic Review.
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2005Heterogeneous Agents Model with the Worst Out Algorithm.(2005) In: Working Papers IES.
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2010Tail Behavior of the Central European Stock Markets during the Financial Crisis In: Czech Economic Review.
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2010Tail Behavior of the Central European Stock Markets during the Financial Crisis.(2010) In: Working Papers IES.
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2006Wavelet Applications to Heterogeneous Agents Model In: Working Papers IES.
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2009Wavelet Analysis of Central European Stock Market Behaviour During the Crisis In: Working Papers IES.
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2011Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data In: Working Papers IES.
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paper8
2015Business cycle synchronization of the Visegrad Four and the European Union In: Working Papers IES.
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2015Business cycle synchronization of the Visegrad Four and the European Union.(2015) In: FinMaP-Working Papers.
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2005Local Stability and Bifurcations in Kaldor Model In: Acta Oeconomica Pragensia.
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2007Fractal Properties of the Financial Market In: Acta Oeconomica Pragensia.
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2003Heterogeneous agent model with memory and asset price behaviour In: Prague Economic Papers.
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2005Dynamical Agents Strategies and the Fractal Market Hypothesis In: Prague Economic Papers.
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2007Wavelet Decomposition of the Financial Market In: Prague Economic Papers.
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2009Smart Agents and Sentiment in the Heterogeneous Agent Model In: Prague Economic Papers.
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2009Smart predictors in the heterogeneous agent model In: Journal of Economic Interaction and Coordination.
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2015Time-scale analysis of sovereign bonds market co-movement in the EU In: FinMaP-Working Papers.
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