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Jste zde

Mgr. Lukáš Vácha, Ph.D.

Pozice: 
vědecký pracovník
Mail: 
Místnost: 
Telefon: 
266052432
602161710
Odborné zájmy: 
Wavelet analysis in finance and economics, Volatility, Spillovers.

Selected publications:

  • Do co-jumps impact correlations in currency markets? (with J. Barunik ). Journal of Financial Markets, 2018, vol 37, pp. 97-119. journal link, pdf
  • Asymmetric volatility connectedness on the forex market (with J. Barunik and E. Kocenda). Journal of International Money and Finance, 2017, vol 77, pp. 39-56. journal link, pdf
  • Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (with J. Barunik and E. Kocenda). Journal of Financial Markets, 2016, vol 27, pp. 55-78. journal link, pdf
  • Modeling and forecasting exchange rate volatility in time-frequency domain (with J. Barunik and T. Krehlik). European Journal of Operational Research, 2016, vol. 251(1), pp. 329-340. journal link, pdf
  • Volatility spillovers across petroleum markets (with J. Barunik and E. Kocenda). The Energy Journal, 2015, vol. 36(3), pp. 309-329. journal link, pdf
  • Realized wavelet-based estimation of integrated variance and jumps in the presence of noise (with J.Barunik). Quantitative Finance, 2015, vol. 15(8), pp. 1347-1364. journal link, pdf
  • Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (with J. Barunik). Energy Economics, 2012, vol. 34, pp. 241-247. journal link, pdf

List of all publications

Academic CV

 

PřílohaVelikost
PDF icon CV_Academic.pdf159.73 KB
08.12.2018 - 20:38

Podrobnosti

Období: 2016 - 2018
The project will develop a new measures of dependence between economic variables, which will allow to study the frequency dependent dznamics of correlations in different quantiles of joint distribution.
Období: 2008 - 2010
The goal of the grant project is the construction and verification of a heterogeneous agent model which will be an extension of the model developed by Brock and Hommes. The new model will include a possibility to change the mood of the investors on the market. This modification will allow changing phases of optimism and pessimism and will enable generation of more realistic financial time series.

Aktuální

Absolventi

Luboš Hanus
Doc. PhDr. Ladislav Krištoufek Ph.D.
Fakulta sociálních věd UK
Fakulta sociálních věd UK
Fakulta sociálních věd UK