Lukas Vacha : Citation Profile


Are you Lukas Vacha?

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

10

H index

10

i10 index

621

Citations

RESEARCH PRODUCTION:

25

Articles

32

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2002 - 2020). See details.
   Cites by year: 34
   Journals where Lukas Vacha has often published
   Relations with other researchers
   Recent citing documents: 216.    Total self citations: 29 (4.46 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva419
   Updated: 2022-07-02    RAS profile: 2022-05-08    
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Relations with other researchers


Works with:

Baruník, Jozef (9)

Kočenda, Evžen (5)

Hanus, Luboš (3)

Krehlik, Tomas (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 (29)

Masih, Abul (22)

Tiwari, Aviral (20)

Krištoufek, Ladislav (16)

Aguiar-Conraria, Luís (16)

Shahzad, Syed Jawad Hussain (15)

Janda, Karel (14)

Kukacka, Jiri (13)

Uddin, Gazi (11)

Aloui, Chaker (11)

Lau, Chi Keung (10)

Cites to:

Baruník, Jozef (23)

Andersen, Torben (22)

Hommes, Cars (21)

Bollerslev, Tim (21)

Brock, William (20)

Aguiar-Conraria, Luís (20)

Diebold, Francis (20)

Chiarella, Carl (18)

Rua, António (16)

Reinhart, Carmen (15)

Vošvrda, Miloslav (15)

Main data


Where Lukas Vacha has published?


Journals with more than one article published# docs
Prague Economic Papers4
Bulletin of the Czech Econometric Society2
Energy Economics2
Czech Economic Review2
International Review of Economics & Finance2
Acta Oeconomica Pragensia2
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 Studies8
FinMaP-Working Papers / Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents6
CESifo Working Paper Series / CESifo2

Recent works citing Lukas Vacha (2021 and 2020)


YearTitle of citing document
2020Impact of COVID-19 on the Financial Crisis - Calculation of Fractal Parameters. (2020). Potapov, Alexander A ; Laktyunkin, Alexander V. In: Biomedical Journal of Scientific & Technical Research. RePEc:abf:journl:v:30:y:2020:i:5:p:23768-23772.

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2020DEVELOPMENT OF THE BIOFUEL MARKET IN THE UKRAINE. (2020). Kucher, Oleg ; Gobiewski, Jarosaw. In: Roczniki (Annals). RePEc:ags:paaero:308163.

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2020Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2021Multiscale characteristics of the emerging global cryptocurrency market. (2020). Zd, Stanislaw Dro ; Wkatorek, Marcin ; Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Kwapie, Jaroslaw. In: Papers. RePEc:arx:papers:2010.15403.

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2022Re-investigating the oil-food price co-movement using wavelet analysis. (2021). Mastroeni, Loretta ; Vellucci, Pierluigi ; Quaresima, Greta. In: Papers. RePEc:arx:papers:2104.11891.

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2021Deep Kernel Gaussian Process Based Financial Market Predictions. (2021). Long, Wen ; Dai, Wei ; Shi, Yong ; Li, BO. In: Papers. RePEc:arx:papers:2105.12293.

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2020Bitcoin—A hype or digital gold? Global evidence. (2020). Uddin, Md Akther ; Masih, Abul ; Ali, Md Hakim. In: Australian Economic Papers. RePEc:bla:ausecp:v:59:y:2020:i:3:p:215-231.

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2020Interconnectedness in the Australian National Electricity Market: A Higher?Moment Analysis. (2020). Smyth, Russell ; Nepal, Rabindra ; Do, Hung. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:315:p:450-469.

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2021The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models. (2021). BenSaïda, Ahmed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:2:p:540-570.

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2021Dynamics of Money Market Interest Rates in Ghana: Time?Frequency Analysis of Volatility Spillovers. (2021). Schaling, Eric ; Alagidede, Imhotep Paul ; Akosah, Nana Kwame. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:4:p:555-589.

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2020Frequency-domain information for active portfolio management. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_002.

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2020Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006.

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2020Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2007.

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2021Are risk weights of banks in the Czech Republic procyclical? Evidence from wavelet analysis. (2021). Pfeifer, Luka ; Bro, Vaclav. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:10:y:2021:i:1:p:113-139.

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2021Monetary Policy and Business Cycle Synchronization in Europe. (2021). MESTRE, Roman ; Odry, Remi. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-19.

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2020A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets. (2020). Gubareva, Mariya ; Umar, Zaghum. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303312.

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2021Does Bitcoin React to Trump’s Tweets?. (2021). Duc, Toan Luu. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021000903.

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2020Macroeconomic transmission of Eurozone shocks to India—A mean-adjusted Bayesian VAR approach. (2020). Swamy, Vighneswara. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:126-150.

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2021The limited role of stock market in financing new energy development in China: An investigation using firms’ high-frequency data. (2021). Geng, Yong ; Yin, Haitao ; Zhang, Yuquan W ; Zheng, Biao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:651-667.

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2022Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic. (2022). Choi, Sun-Yong. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:179-193.

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2021Volatility spillovers between food and fuel markets: Do administrative regulations affect the transmission?. (2021). Rude, James ; Qiu, Feng ; An, Henry. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001413.

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2020Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189.

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2020Crude oil and BRICS stock markets under extreme shocks: New evidence. (2020). He, Chengting ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:54-68.

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2020Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks. (2020). Shen, Yifan ; Yang, Mengying ; Zeng, Ting. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:209-220.

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2021Returns and volume: Frequency connectedness in cryptocurrency markets. (2021). Tzaferi, Dimitra ; Fousekis, Panos. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:13-20.

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2020Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains. (2020). Li, Jianping ; Wang, Jun ; Chen, Xiuwen ; Sun, Xiaolei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302456.

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2020A quantile-copula approach to dependence between financial assets. (2020). Jung, Hojin ; Tabacu, Lucia ; Kim, Jong-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300105.

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2020Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market. (2020). Yin, Libo ; Wang, Ziwei ; He, Feng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303055.

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2020Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis. (2020). Yang, Lu ; Xu, Mingli ; Zhu, Jingran ; Wu, Kai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300917.

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2020Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301157.

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2020Spillovers and diversification potential of bank equity returns from developed and emerging America. (2020). Yoon, Seong-Min ; Hussain, Syed Jawad ; Kang, Sang Hoon ; Hernandez, Jose Arreola. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301169.

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2020Spillover effects in oil-related CDS markets during and after the sub-prime crisis. (2020). Ozdemir, Zeynel ; Balcilar, Mehmet ; Wohar, Mark E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301467.

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2020Volatility interdependence on foreign exchange markets: The contribution of cross-rates. (2020). Kinkyo, Takuji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301807.

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2021Asymmetric volatility connectedness among U.S. stock sectors. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Suleman, Tahir ; Nekhili, Ramzi ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302126.

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2021Jump Interdependencies: Stochastic linkages among international stock markets. (2021). Prasanna, Krishna ; Kshatriya, Saranya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000528.

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2021COVID-19 and asymmetric volatility spillovers across global stock markets. (2021). Li, Wenqi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000954.

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2021What drives dynamic connectedness of the U.S equity sectors during different business cycles?. (2021). Ngene, Geoffrey M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001133.

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2021Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis. (2021). Wang, DA ; Liu, Lan ; Luo, Changqing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001303.

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2022How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis. (2022). Hau, Liya ; Yu, Dongwei ; Zhu, Huiming ; Chen, Qitong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001844.

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2022Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday. (2022). Choi, Sun-Yong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002102.

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2021The continuous-time limit of score-driven volatility models. (2021). Livieri, Giulia ; Flandoli, Franco ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:655-675.

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2020Dynamic interactions between Central European currencies and the euro. (2020). Orlowski, Lucjan ; Gorman, Michael ; Roessler, Matthew H. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:3:s0939362520300881.

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2021Option pricing with conditional GARCH models. (2021). Stentoft, Lars ; Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Rastegari, Javad. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:350-363.

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2022New evidence on market response to public announcements in the presence of microstructure noise. (2022). Irwin, Scott ; Garcia, Philip ; Serra, Teresa ; Bian, Siyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:785-800.

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2021Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis. (2021). karamti, chiraz ; Belhassine, Olfa. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003959.

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2021Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets. (2021). Gözgör, Giray ; Xu, Bing ; Marco, Chi Keung ; Gozgor, Giray ; Semeyutin, Artur. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s014098832100517x.

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2022Extreme spillovers among fossil energy, clean energy, and metals markets: Evidence from a quantile-based analysis. (2022). Liu, Zhenhua ; Ding, Qian ; Liang, Zhipeng ; Chen, Jinyu. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000627.

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2020Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals. (2020). Tiwari, Aviral ; Shahbaz, Muhammad ; Nasreen, Samia ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930324x.

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2020Analyzing time-varying volatility spillovers between the crude oil markets using a new method. (2020). Gong, XU ; Liu, Tangyong. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300505.

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2020Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967.

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2020Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach. (2020). Zhou, Dequn ; Zha, Donglan ; Wang, Qunwei ; Dai, Xingyu. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301146.

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2020Volatility spillovers in Australian electricity markets. (2020). Trueck, Stefan ; Truck, Stefan ; Kordzakhia, Nino ; Han, Lin. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301225.

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2020Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate. (2020). Wang, Xunxiao. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302401.

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2020Multiscale lead-lag relationships in oil and refined product return dynamics: A symbolic wavelet transfer entropy approach. (2020). Singh, Abhay Kumar ; de Mello, Lurion ; DeMello, Lurion ; Storhas, Dominik P. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s014098832030267x.

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2020Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302875.

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2021The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications. (2021). Kang, Sang Hoon ; Guhathakurta, Kousik ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304011.

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2021Green markets integration in different time scales: A regional analysis. (2021). Brahim, Mariem ; Abid, Ilyes ; Mzoughi, Hela ; Urom, Christian. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001596.

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2021Oil price shocks and the return and volatility spillover between industrial and precious metals. (2021). Escribano, Ana ; Jareo, Francisco ; Umar, Zaghum. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001961.

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2020Will energy transitions impact financial systems?. (2020). Xu, Yingying. In: Energy. RePEc:eee:energy:v:194:y:2020:i:c:s0360544220300177.

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2020Risk spillover effects from global crude oil market to China’s commodity sectors. (2020). Jiang, Yonghong ; Mo, Bin ; Nie, HE ; Meng, Juan. In: Energy. RePEc:eee:energy:v:202:y:2020:i:c:s0360544220303157.

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2020Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models. (2020). Wang, Jianqiong ; Ma, Feng ; Lu, Xinjie. In: Energy. RePEc:eee:energy:v:212:y:2020:i:c:s0360544220318508.

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2020Estimation of the co-movements between biofuel production and food prices: A wavelet-based analysis. (2020). Bulut, Umit ; Bilgili, Faik ; Kukaya, Sevda ; Koak, Emrah. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220318843.

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2021Analysing the spillovers between crude oil prices, stock prices and metal prices: The importance of frequency domain in USA. (2021). Tiwari, Aviral ; Solarin, Sakiru Adebola ; Mishra, Bibhuti Ranjan. In: Energy. RePEc:eee:energy:v:220:y:2021:i:c:s0360544220328395.

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2021Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets. (2021). Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:225:y:2021:i:c:s0360544221004394.

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2021Is new energy driven by crude oil, high-tech sector or low-carbon notion? New evidence from high-frequency data. (2021). Chen, Yufeng ; Qu, Fang ; Zheng, Biao. In: Energy. RePEc:eee:energy:v:230:y:2021:i:c:s0360544221010185.

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2021Asymmetric effect of energy price on commodity price: New evidence from NARDL and time frequency wavelet approaches. (2021). Haque, Md Mahmudul ; Uddin, Ajim ; Meo, Muhammad Saeed ; Ferdous, Mohammad Ashraful. In: Energy. RePEc:eee:energy:v:231:y:2021:i:c:s0360544221011828.

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2021Spatial crude oil production divergence and crude oil price behaviour in the United States. (2021). Gil-Alana, Luis ; Monge, Manuel. In: Energy. RePEc:eee:energy:v:232:y:2021:i:c:s0360544221012822.

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2021Asymmetric volatility spillovers between crude oil and Chinas financial markets. (2021). Li, Shouwei ; Wang, HU. In: Energy. RePEc:eee:energy:v:233:y:2021:i:c:s036054422101416x.

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2022Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments. (2022). Maghyereh, Aktham ; Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pb:s036054422101999x.

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2022Long-memory and volatility spillovers across petroleum futures. (2022). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Energy. RePEc:eee:energy:v:243:y:2022:i:c:s0360544221031996.

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2020Three-level network analysis of the North American natural gas price: A multiscale perspective. (2020). Liu, Shuyu ; Sun, Qingru ; Feng, Sida ; Chi, Yuxi ; Huang, Shupei. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919302200.

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2020Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642.

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2020Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis. (2020). Zhu, Huiming ; Qiao, Xingzhi ; Hau, Liya. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s105752192030185x.

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2020Identifying the comovement of price between Chinas and international crude oil futures: A time-frequency perspective. (2020). Huang, Shupei. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302064.

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2021Which time-frequency domain dominates spillover in the Chinese energy stock market?. (2021). Guo, Sui ; An, Haizhong ; Gao, Xiangyun ; Sun, Qingru ; Wang, ZE ; Liu, Xueyong. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302842.

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2021Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Yoon, Seong-Min ; Hernandez, Jose Arroeola ; Mensi, Walid. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000156.

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2021Asymmetric volatility spillover between oil-importing and oil-exporting countries economic policy uncertainty and Chinas energy sector. (2021). Yang, Bohan ; Wang, Ziwei ; Ma, Feng ; He, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s105752192100082x.

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2021Asymmetric volatility spillover among Chinese sectors during COVID-19. (2021). Bouri, Elie ; Peng, Zhe ; Naeem, Muhammad Abubakr ; Hussain, Syed Jawad. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s105752192100096x.

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2021Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak. (2021). Vo, Xuan Vinh ; Hung, Ngo Thai. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921000739.

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2021Returns and volatilities of energy futures markets: Roles of speculative and hedging sentiments. (2021). , Bowei ; Chen, Rongda ; Liu, Jia ; Jin, Chenglu ; Wei, BO. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921000909.

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2021Dynamic volatility spillovers across oil and natural gas futures markets based on a time-varying spillover method. (2021). Liu, Yun ; Gong, XU ; Wang, Xiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001277.

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2021Do Chinas macro-financial factors determine the Shanghai crude oil futures market?. (2021). Lin, Boqiang ; Su, Tong. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002738.

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2022Sentiment and stock market connectedness: Evidence from the U.S. – China trade war. (2022). Zhong, Angel ; Hu, Xiaolu ; Do, Hung ; Bissoondoyal-Bheenick, Emawtee. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000114.

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2020How has the relationship between oil and the US stock market changed after the Covid-19 crisis?. (2020). Kurosaki, Tetsuo ; Sakurai, Yuji. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612320315877.

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2021A comparison of the gold-oil portfolio and oil portfolio: A stochastic dominance approach. (2021). Lean, Hooi Hooi ; Zoubi, Taisier ; Mirzaei, Ali ; Alkhazali, Osamah M. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320302191.

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2021Network Connectedness of Worlds Islamic Equity Markets. (2021). Balli, Faruk ; Hasan, Md Iftekhar ; Hassan, Kabir M. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316925.

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2021Dynamic connectedness of currencies in G7 countries: A Bayesian time-varying approach. (2021). He, Shi ; Wan, Yang. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320317104.

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2022Policy uncertainty and the sovereign-bank nexus: A time-frequency analysis using wavelet transformation. (2022). Bales, Stephan. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001197.

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2022Liquidity spillover in foreign exchange markets. (2022). Hsu, Chih-Chiang ; Gau, Yin-Feng ; Chang, Ya-Ting. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001860.

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2022Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics. (2022). da Silva, Cristiano ; Matos, Paulo ; Costa, Antonio. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002051.

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2020Risk premium spillovers among stock markets: Evidence from higher-order moments. (2020). Aboura, Sofiane ; Finta, Marinela Adriana. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s1386418120300021.

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2020The yield curve and the stock market: Mind the long run. (2020). Verona, Fabio ; Faria, Gonalo. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s138641811930134x.

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2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

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2021A time–frequency comovement and causality relationship between Bitcoin hashrate and energy commodity markets. (2021). Kang, Sanghoon ; Ur, Mobeen. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028320302763.

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2021Asymmetric volatility connectedness between Islamic stock and commodity markets. (2021). McIver, Ron ; Suleman, Muhammad Tahir ; Kang, Sang Hoon. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s104402832100051x.

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2020A real time leading economic indicator based on text mining for the Spanish economy. Fractional cointegration VAR and Continuous Wavelet Transform analysis. (2020). Monge, Manuel ; Poza, Carlos. In: International Economics. RePEc:eee:inteco:v:163:y:2020:i:c:p:163-175.

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2020Examining stress in Asian currencies: A perspective offered by high frequency financial market data. (2020). Treepongkaruna, Sirimon ; Matei, Marius ; Dungey, Mardi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300846.

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2021Causal and frequency analyses of purchasing power parity. (2021). Nagayasu, Jun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000068.

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2021Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000962.

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2021Political uncertainty, COVID-19 pandemic and stock market volatility transmission. (2021). Wohar, Mark ; Gkillas, Konstantinos ; Floros, Christos ; Apostolakis, George N. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001025.

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More than 100 citations found, this list is not complete...

Works by Lukas Vacha:


YearTitleTypeCited
2015Volatility Spillovers Across Petroleum Markets In: The Energy Journal.
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article44
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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article
2012Monte Carlo-based tail exponent estimator In: Papers.
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paper2
2010Monte Carlo-based tail exponent estimator.(2010) In: Physica A: Statistical Mechanics and its Applications.
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article
2010Monte Carlo-Based Tail Exponent Estimator.(2010) In: Working Papers IES.
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2013Realized wavelet-based estimation of integrated variance and jumps in the presence of noise In: Papers.
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paper17
2015Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2015) In: Quantitative Finance.
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2014Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2014) In: FinMaP-Working Papers.
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2015Modeling and forecasting exchange rate volatility in time-frequency domain In: Papers.
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paper33
2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: European Journal of Operational Research.
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2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: FinMaP-Working Papers.
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2012Time-Frequency Dynamics of Biofuels-Fuels-Food System In: Papers.
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paper54
2013Time–frequency dynamics of biofuel–fuel–food system.(2013) In: Energy Economics.
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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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paper64
2015Gold, Oil, and Stocks: Dynamic Correlations.(2015) In: CESifo Working Paper Series.
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paper
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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paper89
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: 89
paper
2013Contagion among Central and Eastern European stock markets during the financial crisis In: Papers.
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paper15
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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This paper has another version. Agregated cites: 15
article
2016Business cycle synchronization within the European Union: A wavelet cohesion approach In: Papers.
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paper3
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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paper8
2018Do co-jumps impact correlations in currency markets?.(2018) In: Journal of Financial Markets.
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article
2016Asymmetric volatility connectedness on forex markets In: Papers.
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paper63
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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article1
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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article5
2019Comovement and disintegration of EU sovereign bond markets during the crisis In: International Review of Economics & Finance.
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article2
2007Heterogeneous Agents Model with the Worst Out Algorithm In: Czech Economic Review.
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article0
2005Heterogeneous Agents Model with the Worst Out Algorithm.(2005) In: Working Papers IES.
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paper
2010Tail Behavior of the Central European Stock Markets during the Financial Crisis In: Czech Economic Review.
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article1
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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paper0
2009Wavelet Analysis of Central European Stock Market Behaviour During the Crisis In: Working Papers IES.
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paper1
2011Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data In: Working Papers IES.
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paper14
2015Business cycle synchronization of the Visegrad Four and the European Union In: Working Papers IES.
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paper6
2015Business cycle synchronization of the Visegrad Four and the European Union.(2015) In: FinMaP-Working Papers.
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paper
2018Time-Frequency Response Analysis of Monetary Policy Transmission In: Working Papers IES.
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paper0
2005Local Stability and Bifurcations in Kaldor Model In: Acta Oeconomica Pragensia.
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article0
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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article1
2005Dynamical Agents Strategies and the Fractal Market Hypothesis In: Prague Economic Papers.
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article3
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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article2
2014Wavelet-Based Correlation Analysis of the Key Traded Assets In: Dynamic Modeling and Econometrics in Economics and Finance.
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chapter0
2020Growth cycle synchronization of the Visegrad Four and the European Union In: Empirical Economics.
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article2
2009Smart predictors in the heterogeneous agent model In: Journal of Economic Interaction and Coordination.
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article7
2015Time-scale analysis of sovereign bonds market co-movement in the EU In: FinMaP-Working Papers.
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paper0

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