Lukas Vacha : Citation Profile

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

11

H index

11

i10 index

994

Citations

RESEARCH PRODUCTION:

26

Articles

34

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (2002 - 2024). See details.
   Cites by year: 45
   Journals where Lukas Vacha has often published
   Relations with other researchers
   Recent citing documents: 106.    Total self citations: 30 (2.93 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva419
   Updated: 2025-05-17    RAS profile: 2024-12-13    
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Relations with other researchers

Works with:

Baruník, Jozef (3)

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

Is cited by:

Shahzad, Syed Jawad Hussain (32)

Tiwari, Aviral (32)

Baruník, Jozef (30)

Kočenda, Evžen (24)

Masih, Abul (23)

Krištoufek, Ladislav (17)

Janda, Karel (16)

Uddin, Gazi (15)

lucey, brian (15)

Ben Amar, Amine (14)

Wohar, Mark (14)

Cites to:

Baruník, Jozef (24)

Bollerslev, Tim (24)

Diebold, Francis (23)

Andersen, Torben (22)

Hommes, Cars (17)

Rua, António (16)

Brock, William (16)

Reinhart, Carmen (15)

Vošvrda, Miloslav (15)

Fratzscher, Marcel (14)

Aguiar-Conraria, Luís (13)

Main data

Where Lukas Vacha has published?

Journals with more than one article published# docs
Prague Economic Papers4
Energy Economics3
International Review of Economics & Finance2
Journal of Financial Markets2
Acta Oeconomica Pragensia2
Czech Economic Review2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org15
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 (2025 and 2024)

YearTitle of citing document
2024Corn ethanol expansion in Brazil: Are volatility interconnectedness changing?. (2024). Mattos, Fabio ; Gaio, Luiz ; Franco, Rodrigo Lanna ; Cruz, Jose Cesar. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343612.

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2024On the Asymmetric Volatility Connectedness. (2024). Hatemi-J, Abdulnasser. In: Papers. RePEc:arx:papers:2404.12997.

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2024Complex network analysis of cryptocurrency market during crashes. (2024). Majhi, Sushovan ; Luwang, SR ; Nurujjaman, MD ; Mukhia, Kundan ; Hens, Chittaranjan ; Rai, Anish. In: Papers. RePEc:arx:papers:2405.05642.

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2024Frequency Volatility Connectedness and Portfolio Hedging of U.S. Energy Commodities. (2024). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10889.

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2025Event-Driven Changes in Volatility Connectedness in Global Forex Markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11606.

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2025Event-Driven Changes in Return Connectedness Among Cryptocurrencies. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11658.

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2024Time Frequency and Co-movements between Global Economic Policy Uncertainty, Precious Metals and Agricultural Prices: A Wavelet Coherence Analysis and Bootstrap Rolling Window Granger Causality. (2024). el Abed, Riadh ; ben Hamouda, Abderrazek. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-02-55.

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2024Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach. (2024). Bosupeng, Mpho ; Naranpanawa, Athula. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004042.

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2024Detecting statistically significant changes in connectedness: A bootstrap-based technique. (2024). Nguyen, Viet Hoang ; Kočenda, Evžen ; Greenwood-Nimmo, Matthew ; Koenda, Even. In: Economic Modelling. RePEc:eee:ecmode:v:140:y:2024:i:c:s0264999324002001.

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2024Evaluation of volatility spillovers for asymmetric realized covariance. (2024). Maki, Daiki. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001025.

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2024Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies. (2024). Liu, Zixin ; He, Zhipeng ; Zhang, Shuguang ; Hu, Jun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001748.

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2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

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2024Assessing the linkage of energy cryptocurrency with clean and dirty energy markets. (2024). Karim, Sitara ; Naeem, Muhammad Abubakr ; Bossman, Ahmed ; Husain, Afzol. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323007776.

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2024Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Guan, Bo ; Mazouz, Khelifa. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136.

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2024Quantile time-frequency connectedness analysis between crude oil, gold, financial markets, and macroeconomic indicators: Evidence from the US and EU. (2024). Hamori, Shigeyuki ; Shang, Jin. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001816.

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2024Tracing the dynamic impact of energy transitions on equity market volatility in an era of financial turbulence. (2024). Xiao, Xunyong ; Shan, Shan ; Kchouri, Bilal ; Li, Aixi. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001518.

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2024Understanding the spillover effects of ethanol production and energy prices on African food markets: A time-varying approach. (2024). Wang, Xiufang ; Tanaka, Tetsuji ; Guo, Jin. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002913.

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2024Impact of climate policy uncertainty on return spillover among green assets and portfolio implications. (2024). , Thao ; Pham, Son D ; Do, Hung X. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003396.

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2024Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. (2024). Xu, Yongdeng ; Lu, Wenna ; Heravi, Saeed ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004584.

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2024Does M&A activity spin the cycle of energy prices?. (2024). Kizys, Renatas ; Enilov, Martin ; Wang, Jianuo. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004894.

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2024Unearthing the hedge and safe-haven potential of green investment funds for energy commodities. (2024). Ozkan, Oktay ; Meo, Muhammad Saeed ; Younus, Mehak. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s014098832400522x.

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2024Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets. (2024). Qin, Zhongfeng ; Wu, Ruirui. In: Energy. RePEc:eee:energy:v:292:y:2024:i:c:s0360544224002755.

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2024Detecting the horizontal/vertical price relationship patterns in the global oil industry chain through network analysis. (2024). Feng, Sida ; Sun, Qingru ; Ma, Ning ; Li, Huajiao ; An, Haizhong ; Liu, Yanxin ; Guo, Sui. In: Energy. RePEc:eee:energy:v:296:y:2024:i:c:s0360544224008260.

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2024Is gold a preferable diversifier of cleaner equity risk across diverse scenarios? Evidence from multidimensional connectedness and spillover measures. (2024). Sahay, Arvind ; Shah, Adil Ahmad. In: Energy. RePEc:eee:energy:v:305:y:2024:i:c:s0360544224021856.

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2024Exploring the dynamic connections between oil price shocks and bond yields in developed nations: A TVP-SVAR-SV approach. (2024). Maghyereh, Aktham ; Ziadat, Salem Adel ; Razzaq, Abdel. In: Energy. RePEc:eee:energy:v:306:y:2024:i:c:s0360544224022497.

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2024The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets: A regime weighted measure and its forecast inference. (2024). Uddin, Gazi ; Hao, Zhu Shi ; Sheng, Lin Wen ; Sen, Ding. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004805.

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2024Does systemic risk in the fund markets predict future economic downturns?. (2024). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000218.

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2024Volatility connectedness on the central European forex markets. (2024). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s105752192400111x.

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2024When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets. (2024). Shafiullah, Muhammad ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001340.

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2024Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach. (2024). Yousaf, Imran ; Pham, Linh ; Goodell, John W. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924000887.

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2024Seeking a shock haven: Hedging extreme upward oil price changes. (2024). HU, YANG ; Conlon, Thomas ; Corbet, Shaen ; Hou, Yang ; Oxley, Les. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001777.

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2024The black box of natural gas market: Past, present, and future. (2024). Oriani, Marco Ercole ; Goodell, John W ; Paltrinieri, Andrea ; Palma, Alessia. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001923.

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2024Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting. (2024). Liao, Yin ; Ma, Feng ; Lu, Fei ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001947.

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2024Contagion and linkages across international currencies. (2024). Tuteja, Divya ; Bhatia, Shipra. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002333.

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2024New evidence of interdependence in forex markets: A connection of connection analysis. (2024). Xu, Xin ; Sun, Xiaotong ; Wu, Tao ; Xuan, Siyuan ; Jia, Nanfei. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002758.

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2024Tail connectedness of DeFi and CeFi with accessible banking pillars: Unveiling novel insights through wavelet and quantile cross-spectral coherence analyses. (2024). ben Jabeur, Sami ; Asl, Mahdi Ghaemi. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003569.

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2024The impact of COVID-19 on global financial markets: A multiscale volatility spillover analysis. (2024). Hong, Yongmiao ; Cheng, Zishu ; Wei, Yunjie ; Wang, Shouyang ; Cui, Ruhong ; Li, Mingchen. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003867.

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2024Does high volatility increase connectedness? A study of Asian equity markets. (2024). Wiesen, Thomas ; Afatsao, Richard ; Oliyide, Johnson ; Adekoya, Oluwasegun Babatunde. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006677.

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2024Tail risk spillovers among Chinese stock market sectors. (2024). Ouyang, Minhua ; Xiao, Hailian. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002630.

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2024Chinese economic behavior in times of covid-19. A new leading economic indicator based on Google trends. (2024). Monge, Manuel ; Claudio-Quiroga, Gloria ; Poza, Carlos. In: International Economics. RePEc:eee:inteco:v:177:y:2024:i:c:s2110701723000744.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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2024Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness. (2024). Sila, Jan ; Kočenda, Evžen ; Kukacka, Jiri ; Kristoufek, Ladislav ; Kocenda, Evzen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:96:y:2024:i:c:s1042443124001288.

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2024Asymmetric Higher-Moment spillovers between sustainable and traditional investments. (2024). Hamori, Shigeyuki ; He, Xie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001446.

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2024Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; lucey, brian ; Rahman, Md Lutfur ; Uddin, Gazi Salah. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000697.

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2024The gold stock nexus: Assessing the causality dynamics based on advanced multiscale approaches. (2024). Mejri, Sami ; Khan, Nasir ; Aloui, Chaker. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011066.

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2024Dynamic interdependence structure of industrial metals and the African stock market. (2024). Woode, John ; Owusu Junior, Peterson ; Adam, Anokye M. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011662.

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2024Higher-order moment connectedness between stock and commodity markets and portfolio management. (2024). Sensoy, Ahmet ; Mensi, Walid ; Kang, Sang Hoon ; Ko, Hee-Un. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s030142072400014x.

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2024Shining in or fading out: Do precious metals sparkle for cryptocurrencies?. (2024). lucey, brian ; Karim, Sitara ; Vigne, Samuel A ; Naeem, Muhammad Abubakr ; Abrar, Afsheen. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724000898.

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2024Inflation effects of oil and gas prices in the UK: Symmetries and asymmetries. (2024). Mamman, Suleiman ; Karimu, Suale ; Abubakar, Attahir B. In: Utilities Policy. RePEc:eee:juipol:v:90:y:2024:i:c:s0957178724000961.

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2024Navigating the complexities of GCC real state markets: An analysis of interlinkages amidst shocks and oil effects. (2024). Nagayev, Ruslan ; Fetais, Alanoud Hamad ; Aysan, Ahmet Faruk. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:74:y:2024:i:c:s1042444x24000240.

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2024Sectoral responses to economic policy uncertainty and geopolitical risk in the US stock market. (2024). Choi, Sun-Yong. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:76:y:2024:i:c:s1042444x24000392.

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2024Does the risk spillover in global financial markets intensify during major public health emergencies? Evidence from the COVID-19 crisis. (2024). Wang, Yifan ; Zhang, Yanhang ; You, Xiqi ; Yang, Hanfang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:83:y:2024:i:c:s0927538x24000234.

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2024Policy uncertainty, investor sentiment, and good and bad volatilities in the stock market: Evidence from China. (2024). Zhang, Yaojie ; Xiao, Jihong ; Jiang, Jiajie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000544.

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2024Mapping fear in financial markets: Insights from dynamic networks and centrality measures. (2024). Mohnot, Rajesh ; Arfaoui, Nadia ; Naeem, Muhammad Abubakr ; Senthilkumar, Arunachalam. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24001197.

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2024Asymmetric connectedness and investment strategies between commodities and Islamic banks: Evidence from gulf cooperative council (GCC) markets. (2024). Billah, Syed ; Balli, Faruk ; Hadhri, Sinda ; Shaik, Muneer. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001574.

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2024Tail connectedness: Measuring the volatility connectedness network of equity markets during crises. (2024). Yao, Wenying ; Liu, Junli ; Cheng, Tingting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x2400249x.

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2024Complex network analysis of cryptocurrency market during crashes. (2024). Nurujjaman, MD ; Luwang, SR ; Rai, Anish ; Mukhia, Kundan ; Hens, Chittaranjan ; Majhi, Sushovan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:653:y:2024:i:c:s0378437124006046.

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2024Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Ben Amar, Amine ; Bellalah, Makram ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246.

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2024Extreme contributions of conventional investments vis-à-vis Islamic ones to renewables. (2024). Shahzad, Umer ; Khalfaoui, Rabeh ; Tedeschi, Marco ; Asl, Mahdi Ghaemi. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:189:y:2024:i:pb:s1364032123007906.

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2024Crowding out or crowding in? Reevaluating the effect of government spending on private economic activities. (2024). Meng, Xiangcai ; Park, Joshua K. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:102-117.

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2024Are markets sentiment driving the price bubbles in the virtual?. (2024). ben Osman, Myriam ; Guesmi, Khaled ; Naoui, Kamel ; Hamdi, Haykel ; Galariotis, Emilios. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:272-285.

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2024Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis. (2024). Wu, You ; Yin, Libo ; Wan, Jieru. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:397-428.

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2024Exploring the interconnectedness of Chinas new energy and stock markets: A study on volatility spillovers and dynamic correlations. (2024). Shen, Z Y ; Wei, Weixian ; Song, Malin ; Li, Guangchen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:471-484.

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2024Bond market spillover networks of ASEAN-4 markets: Is the global pandemic different?. (2024). Uddin, Gazi ; PARK, DONGHYUN ; Tian, Shu ; Yahya, Muhammad ; Hedstrom, Axel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:1028-1044.

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2024Asymmetric spillover effects in energy markets. (2024). Wohar, Mark ; Tiwari, Aviral ; doğan, buhari ; Adekoya, Oluwasegun B ; Aikins, Emmanuel Joel ; Doan, Buhari. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:470-502.

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2024Identification of the contagion effect in Chinas financial market uncertainties: A multiscale and dynamic perspective. (2024). Rong, Xueyun ; Wang, Xinya ; Xu, Xin ; Xuan, Siyuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1340-1362.

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2024Asymmetric and frequency-domain spillover effects among industrial metals, precious metals, and energy futures markets. (2024). Tiwari, Aviral ; Tedeschi, Marco ; Nasreen, Samia ; Goodell, John W. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1556-1592.

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2024Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach. (2024). Gabauer, David ; Balli, Hatice ; Nhat, Tam Hoang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:121-139.

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2024Who dominate the information flowing between innovative and traditional financial assets? A multiscale entropy-based approach. (2024). Wang, Gang-Jin ; Li, Zhao-Chen ; Zhu, You ; Zhou, Yang ; Gong, Jue ; Xie, Chi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:329-358.

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2024Extreme risk spillovers in RMB exchange rates: The role of categorical economic policy uncertainties. (2024). Wang, Xinya. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003423.

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2024Comparative analysis of responses of risky and safe haven assets to stock market risk before and after the yield curve inversions in the U.S.. (2024). Hammoudeh, Shawkat ; Sokhanvar, Amin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s105905602400368x.

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2024The Federal Reserve’s Quantitative Easing policy and volatility spillovers: Evidence from Australia. (2024). de Mello, Lurion ; Yahyaei, Hamid ; Singh, Abhay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003897.

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2024Precious metals and currency markets during the Russia-Ukraine conflict’s inflationary periods. (2024). Raza, Syed ; Anwar, Rija ; Benkraiem, Ramzi ; Guesmi, Khaled. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002647.

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2024Frequency volatility connectedness and portfolio hedging of U.S. energy commodities. (2024). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000679.

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2024Deciphering asymmetric spillovers in US industries: Insights from higher-order moments. (2024). Shafiullah, Muhammad ; lucey, brian ; Naeem, Muhammad Abubakr ; Senthilkumar, Arunachalam. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001065.

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2024Spillover dynamics in DeFi, G7 banks, and equity markets during global crises: A TVP-VAR analysis. (2024). Hanif, Waqas ; Shah, Waheed Ullah ; Younis, Ijaz ; Gupta, Himani ; Du, Anna Min. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s0275531924001983.

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2024Financial technology and ESG market: A wavelet-DCC GARCH approach. (2024). Shrestha, Keshab ; Naysary, Babak. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002599.

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2024Interconnectedness in the FOREX market during the high inflation regime: A network analysis. (2024). Akhtaruzzaman, Md ; Le, Van ; Nath, Tamal ; Ahmed, Shamima ; Rahman, Molla Ramizur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002605.

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2024Assessing dynamic co-movement of news based uncertainty indices and distance-to -default of global FinTech firms. (2024). Hassan, M. Kabir ; Anwer, Zaheer ; Khan, Muhammad Arif ; Harnek, Manjeet Kaur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002691.

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2025A hybrid deep learning model for cryptocurrency returns forecasting: Comparison of the performance of financial markets and impact of external variables. (2025). Jirou, Ismail ; Jebabli, Ikram ; Lahiani, Amine. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003684.

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2025Asymmetry in returns and volatility between green financial assets, sustainable investments, clean energy, and international stock markets. (2025). Tiwari, Aviral ; doğan, buhari ; Aikins, Emmanuel Joel ; ben Jabeur, Sami ; Doan, Buhari. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924004197.

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2024Analyzing the Role of the Real Estate Sector in the Sectoral Network of the Chinese Economy. (2024). Nong, Huifu. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:70:y:2024:i:c:p:567-580.

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2024The Dynamics of Commodity Research: A Multi-Dimensional Bibliometric Analysis. (2024). Chiri, Nora ; Nica, Ionu. In: Commodities. RePEc:gam:jcommo:v:3:y:2024:i:2:p:9-150:d:1371812.

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2024Precious metals and currency markets during the Russia-Ukraine conflict’s inflationary periods. (2024). Anwar, R ; Benkraiem, R ; Guesmi, K ; Raza, S A. In: Post-Print. RePEc:hal:journl:hal-04720743.

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2024Identifying Cryptocurrencies as Diversifying Assets and Safe Haven in the Indian Stock Market. (2024). Sahu, Tarak Nath ; Jana, Susovon. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:4:d:10.1007_s10690-023-09436-5.

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2024Dynamics of Contagion Risk Among World Markets in Times of Crises: A Financial Network Perspective. (2024). Saleh, Mamdouh Abdulaziz ; el Aoufi, Sara ; Belcaid, Karim. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:4:d:10.1007_s10690-023-09439-2.

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2025Economic Policy Uncertainty and Volatility Spillovers Among International Stock Market Indices During the COVID-19 Outbreak. (2025). Su, Fei ; Wang, Feifan ; Xu, Yahua. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:32:y:2025:i:1:d:10.1007_s10690-024-09452-z.

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2025Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2025). Basar, Ayse ; M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10617-1.

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2024Does trade policy uncertainty in China and USA matter for key financial markets?. (2024). Ullah, Assad ; Xingong, LI ; Riaz, Adeel. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:57:y:2024:i:2:d:10.1007_s10644-024-09613-0.

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2025Event-Driven Changes in Return Connectedness among Cryptocurrencies. (2025). Kočenda, Evžen ; Albrecht, Peter ; Kocenda, Evzen. In: KIER Working Papers. RePEc:kyo:wpaper:1113.

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2024Resilience amidst turmoil: a multi-resolution analysis of portfolio diversification in emerging markets during global financial and health crises. (2024). Smolo, Edib ; Nagayev, Ruslan ; Jahangir, Rashed. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:1:d:10.1057_s41260-023-00332-1.

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2024The impact of external shocks on volatility persistence and market efficiency of the foreign exchange rate regime: evidence from Malawi. (2024). Chunga, Joseph Paul ; Yu, Ping. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03957-8.

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2025Foreign direct investment and foreign reserves linkage: a global study based on wavelet coherence and granger causality. (2025). Jayathilaka, Ruwan ; Vidyapathirana, Gayan ; Fernando, Chanaka ; Sandaruwan, Chanuka ; Lakshani, Sanduni. In: Palgrave Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04770-7.

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2024The Russian Invasion of Ukraine, Fertilizer Prices, and Food Security: Evidence from Rice-Producing Economies in Asia. (2024). Valera, Harold Glenn ; Pede, Valerien ; Yamano, Takashi ; Mishra, Ashok. In: ADB Economics Working Paper Series. RePEc:ris:adbewp:0724.

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2024Time-frequency information transmission among financial markets: evidence from implied volatility. (2024). Tiwari, Aviral ; Qureshi, Fiza ; Naeem, Muhammad Abubakr ; Farid, Saqib ; Elheddad, Mohamed. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04266-y.

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2024Intraday spillovers in high-order moments among main cryptocurrency markets: the role of uncertainty indexes. (2024). Kang, Sang Hoon ; Ko, Hee-Un ; Kumar, Anoop S ; Mensi, Walid. In: Eurasian Economic Review. RePEc:spr:eurase:v:14:y:2024:i:2:d:10.1007_s40822-024-00263-1.

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2024Exchange rate spillovers in the CIS. (2024). Giorgadze, Salome. In: Eurasian Economic Review. RePEc:spr:eurase:v:14:y:2024:i:2:d:10.1007_s40822-024-00268-w.

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2024Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness. (2024). Polat, Onur. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00581-4.

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2024Asymmetric interactions among cutting-edge technologies and pioneering conventional and Islamic cryptocurrencies: fresh evidence from intra-day-based good and bad volatilities. (2024). Roubaud, David ; Asl, Mahdi Ghaemi. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00623-5.

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2024Asymmetric connectedness between conventional and Islamic cryptocurrencies: Evidence from good and bad volatility spillovers. (2024). Gabauer, David ; Darehshiri, Sahar ; Asl, Mahdi Ghaemi ; Bouri, Elie. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00636-0.

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2024Spillovers of good and bad volatility in Asian emerging markets: insights from global and regional perspectives. (2024). Baba, Boubekeur. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:48:y:2024:i:4:d:10.1007_s12197-024-09696-5.

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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.
[Full Text][Citation analysis]		article86
2014How does bad and good volatility spill over across petroleum markets?.(2014) In: Papers.
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This paper has nother version. Agregated cites: 86		paper
2015Volatility spillovers across petroleum markets.(2015) In: William Davidson Institute Working Papers Series.
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This paper has nother version. Agregated cites: 86		paper
2012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis In: Papers.
[Full Text][Citation analysis]		paper242
2012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis.(2012) In: Energy Economics.
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This paper has nother version. Agregated cites: 242		article
2012Monte Carlo-based tail exponent estimator In: Papers.
[Full Text][Citation analysis]		paper2
2010Monte Carlo-based tail exponent estimator.(2010) In: Physica A: Statistical Mechanics and its Applications.
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This paper has nother version. Agregated cites: 2		article
2010Monte Carlo-Based Tail Exponent Estimator.(2010) In: Working Papers IES.
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This paper has nother version. Agregated cites: 2		paper
2013Realized wavelet-based estimation of integrated variance and jumps in the presence of noise In: Papers.
[Full Text][Citation analysis]		paper24
2015Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		article
2014Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.(2014) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
2015Modeling and forecasting exchange rate volatility in time-frequency domain In: Papers.
[Full Text][Citation analysis]		paper52
2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: European Journal of Operational Research.
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This paper has nother version. Agregated cites: 52		article
2016Modeling and forecasting exchange rate volatility in time-frequency domain.(2016) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		paper
2012Time-Frequency Dynamics of Biofuels-Fuels-Food System In: Papers.
[Full Text][Citation analysis]		paper63
2013Time–frequency dynamics of biofuel–fuel–food system.(2013) In: Energy Economics.
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This paper has nother version. Agregated cites: 63		article
2013Time-Frequency Dynamics of Biofuels-Fuels-Food System.(2013) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 63		paper
2014Gold, Oil, and Stocks In: Papers.
[Full Text][Citation analysis]		paper91
2015Gold, Oil, and Stocks: Dynamic Correlations.(2015) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 91		paper
2016Gold, oil, and stocks: Dynamic correlations.(2016) In: International Review of Economics & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 91		article
2014Gold, Oil, and Stocks.(2014) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 91		paper
2014Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? In: Papers.
[Full Text][Citation analysis]		paper204
2015Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover.(2015) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 204		paper
2016Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers.(2016) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 204		article
2014Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?.(2014) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 204		paper
2013Contagion among Central and Eastern European stock markets during the financial crisis In: Papers.
[Full Text][Citation analysis]		paper17
2013Contagion among Central and Eastern European Stock Markets during the Financial Crisis.(2013) In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2016Business cycle synchronization within the European Union: A wavelet cohesion approach In: Papers.
[Full Text][Citation analysis]		paper3
2016Time-scale analysis of co-movement in EU sovereign bond markets In: Papers.
[Full Text][Citation analysis]		paper0
2017Do co-jumps impact correlations in currency markets? In: Papers.
[Full Text][Citation analysis]		paper12
2018Do co-jumps impact correlations in currency markets?.(2018) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2016Asymmetric volatility connectedness on forex markets In: Papers.
[Full Text][Citation analysis]		paper145
2017Asymmetric volatility connectedness on the forex market.(2017) In: Journal of International Money and Finance.
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This paper has nother version. Agregated cites: 145		article
2017Asymmetric volatility connectedness on the forex market.(2017) In: KIER Working Papers.
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This paper has nother version. Agregated cites: 145		paper
2023The Dynamic Persistence of Economic Shocks In: Papers.
[Full Text][Citation analysis]		paper0
2024Predicting the volatility of major energy commodity prices: the dynamic persistence model In: Papers.
[Full Text][Citation analysis]		paper0
2024Predicting the volatility of major energy commodity prices: The dynamic persistence model.(2024) In: Energy Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2008Wavelets and Sentiment in the Heterogeneous Agents Model In: Bulletin of the Czech Econometric Society.
[Full Text][Citation analysis]		article1
2002Heterogeneous Agent Model And Numerical Analysis Of Learning In: Bulletin of the Czech Econometric Society.
[Full Text][Citation analysis]		article0
2012How do skilled traders change the structure of the market In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article5
2019Comovement and disintegration of EU sovereign bond markets during the crisis In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article5
2007Heterogeneous Agents Model with the Worst Out Algorithm In: Czech Economic Review.
[Full Text][Citation analysis]		article0
2005Heterogeneous Agents Model with the Worst Out Algorithm.(2005) In: Working Papers IES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2010Tail Behavior of the Central European Stock Markets during the Financial Crisis In: Czech Economic Review.
[Full Text][Citation analysis]		article1
2010Tail Behavior of the Central European Stock Markets during the Financial Crisis.(2010) In: Working Papers IES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2006Wavelet Applications to Heterogeneous Agents Model In: Working Papers IES.
[Full Text][Citation analysis]		paper0
2009Wavelet Analysis of Central European Stock Market Behaviour During the Crisis In: Working Papers IES.
[Full Text][Citation analysis]		paper1
2011Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data In: Working Papers IES.
[Full Text][Citation analysis]		paper15
2015Business cycle synchronization of the Visegrad Four and the European Union In: Working Papers IES.
[Full Text][Citation analysis]		paper6
2015Business cycle synchronization of the Visegrad Four and the European Union.(2015) In: FinMaP-Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2018Time-Frequency Response Analysis of Monetary Policy Transmission In: Working Papers IES.
[Full Text][Citation analysis]		paper0
2005Local Stability and Bifurcations in Kaldor Model In: Acta Oeconomica Pragensia.
[Full Text][Citation analysis]		article0
2007Fractal Properties of the Financial Market In: Acta Oeconomica Pragensia.
[Full Text][Citation analysis]		article0
2003Heterogeneous agent model with memory and asset price behaviour In: Prague Economic Papers.
[Full Text][Citation analysis]		article1
2005Dynamical Agents Strategies and the Fractal Market Hypothesis In: Prague Economic Papers.
[Full Text][Citation analysis]		article4
2007Wavelet Decomposition of the Financial Market In: Prague Economic Papers.
[Full Text][Citation analysis]		article0
2009Smart Agents and Sentiment in the Heterogeneous Agent Model In: Prague Economic Papers.
[Full Text][Citation analysis]		article2
2014Wavelet-Based Correlation Analysis of the Key Traded Assets In: Dynamic Modeling and Econometrics in Economics and Finance.
[Citation analysis]		chapter0
2020Growth cycle synchronization of the Visegrad Four and the European Union In: Empirical Economics.
[Full Text][Citation analysis]		article5
2009Smart predictors in the heterogeneous agent model In: Journal of Economic Interaction and Coordination.
[Full Text][Citation analysis]		article7
2015Time-scale analysis of sovereign bonds market co-movement in the EU In: FinMaP-Working Papers.
[Full Text][Citation analysis]		paper0

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