Institute of Information Theory and Automation

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Bibliography

Lukáš Vácha


Books and chapters

  1. Baruník Jozef, Kočenda Evžen, Vácha LukášWavelet-Based Correlation Analysis of the Key Traded Assets , Wavelet Applications in Economics and Finance, p. 157-183 [2014] Download

Journal articles

  1. Hanus Luboš, Vácha LukášGrowth cycle synchronization of the Visegrad Four and the European Union , Empirical Economics [2019] Download
  2. Baruník J., Vácha LukášDo co-jumps impact correlations in currency markets? , Journal of Financial Markets vol.37, 1 (2018), p. 97-119 [2018] Download
  3. Baruník Jozef, Kočenda Evžen, Vácha LukášAsymmetric volatility connectedness on the forex market , Journal of International Money and Finance vol.77, 1 (2017), p. 39-56 [2017] Download
  4. Baruník Jozef, Křehlík Tomáš, Vácha LukášModeling and forecasting exchange rate volatility in time-frequency domain , European Journal of Operational Research vol.251, 1 (2016), p. 329-340 [2016] Download
  5. Baruník Jozef, Kočenda Evžen, Vácha LukášGold, oil, and stocks: Dynamic correlations , International Review of Economics & Finance vol.42, 1 (2016), p. 186-201 [2016] Download
  6. Baruník Jozef, Kočenda Evžen, Vácha LukášVolatility Spillovers Across Petroleum Markets , Energy Journal vol.36, 3 (2015), p. 309-329 [2015] Download
  7. Baruník Jozef, Vácha LukášRealized wavelet-based estimation of integrated variance and jumps in the presence of noise , Quantitative Finance vol.15, 8 (2015), p. 1347-1364 [2015] Download
  8. Baruník Jozef, Vácha LukášContagion among Central and Eastern European stock markets during the financial crisis , Finance a úvěr-Czech Journal of Economics and Finance vol.63, 5 (2013), p. 443-453 [2013] Download
  9. Vácha Lukáš, Janda K., Krištoufek Ladislav, Zilberman D.Time-Frequency Dynamics of Biofuel-Fuel-Food System , Energy Economics vol.40, 1 (2013), p. 233-241 [2013] Download
  10. Vácha Lukáš, Baruník Jozef, Vošvrda MiloslavHow do skilled traders change the structure of the market , International Review of Financial Analysis vol.23, 1 (2012), p. 66-71 [2012] Download
  11. Vácha Lukáš, Baruník JozefCo-movement of energy commodities revisited: Evidence from wavelet coherence analysis , Energy Economics vol.34, 1 (2012), p. 241-247 [2012]
  12. Baruník Jozef, Vácha Lukáš, Krištoufek LadislavComovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data , IES Working Papers vol.2011, 22 (2011), p. 1-22 [2011] Download
  13. Baruník Jozef, Vácha Lukáš, Vošvrda MiloslavTail Behavior of the Central European Stock Markets during the Financial Crisis , AUCO Czech Economic Review vol.4, 3 (2010), p. 282-294 [2010] Download
  14. Baruník Jozef, Vácha LukášMonte Carlo-based tail exponent estimator , Physica. A : Statistical Mechanics and its Applications vol.389, 21 (2010), p. 4863-4874 [2010] Download
  15. Baruník Jozef, Vácha LukášMonte Carlo-Based Tail Exponent Estimator , IES Working Paper vol.2010, 6 (2010), p. 1-26 [2010] Download
  16. Vácha Lukáš, Baruník Jozef, Vošvrda MiloslavSmart Agents and Sentiment in the Heterogeneous Agent Model , ERCIM News, 81 (2010), p. 39-40 [2010] Download
  17. Baruník Jozef, Vácha Lukáš, Vošvrda MiloslavTail Behavior of the Central European Stock Markets during the Financial Crisis , IES Working Papers vol.2010, 4 (2010), p. 1-17 [2010] Download
  18. Baruník Jozef, Vácha LukášWavelet Analysis of Central European Stock Market Behaviour During the Crisis , IES Working Papers vol.2009, 23 (2009), p. 1-14 [2009]
  19. Baruník Jozef, Vácha Lukáš, Vošvrda MiloslavSmart predictors in the heterogeneous agent model , Journal of Economic Interaction and Coordination vol.4, 2 (2009), p. 163-172 [2009]
  20. Vácha Lukáš, Baruník Jozef, Vošvrda MiloslavSmart Agents and Sentiment in the Heterogeneous Agent Model , Prague Economic Papers vol.18, 3 (2009), p. 209-219 [2009] Download
  21. Vácha Lukáš, Vošvrda MiloslavWavelets and Sentiment in the Heterogeneous Agents Model , Bulletin of the Czech Econometric Society vol.15, 25 (2008), p. 41-56 [2008] Download
  22. Vácha LukášFractal Properties of the Financial Market , Acta Oeconomica Pragensia, 4 (2007), p. 49-55 [2007]
  23. Vošvrda Miloslav, Vácha LukášHeterogeneous Agents Model with the Worst Out Algorithm , AUCO Czech Economic Review, 1 (2007), p. 54-66 [2007]
  24. Vošvrda Miloslav, Vácha LukášWavelet Decomposition of the Financial Market , Prague Economic Papers vol.16, 1 (2007), p. 38-54 [2007]
  25. Vácha Lukáš, Vošvrda MiloslavHeterogenous Agents Model with the Worst Out Algorithm , Prague Social Science Studies, 8 (2006), p. 3-19 [2006]
  26. Vácha Lukáš, Vošvrda MiloslavDynamical agents' strategies and the fractal market hypothesis , Prague Economic Papers vol.14, 2 (2005), p. 172-179 [2005]
  27. Vošvrda Miloslav, Vácha LukášHeterogeneous Agent Model with Memory and Asset Price Behaviour , Prague Economic Papers vol.12, 2 (2003), p. 155-168 [2003]
  28. Vošvrda Miloslav, Vácha LukášHeterogeneous agent model and numerical analysis of learning , Bulletin of the Czech Econometric Society vol.9, 17 (2002), p. 15-22 [2002]

Other publications

  1. Baruník Jozef, Kočenda Evžen, Vácha LukášAsymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, (Kiel 2014) Research Report 13 [2014] Download
  2. Baruník Jozef, Kočenda Evžen, Vácha LukášAsymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, (Kiel 2014) Research Report 13 [2014] Download
  3. Baruník Jozef, Vácha LukášModeling multivariate volatility using wavelet-based realized covariance estimator , Mathematical Methods in Economics 2011, p. 29-34, Mathematical Methods in Economics 2011, (Janská Dolina, SK, 06.09.2011-09.09.2011) [2011]
  4. Baruník Jozef, Vácha Lukáš, Krištoufek LadislavComovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data , 28th International Conference on Mathematical Methods in Economics 2010, p. 12-17 , Eds: Houda Michal, Friebelová Jana, Mathematical Methods in Economics 2010, (České Budějovice, CZ, 08.09.2010-10.09.2010) [2010] Download
  5. Baruník Jozef, Vácha Lukáš, Vošvrda MiloslavPower Law Behavior of the Central European Stock Markets During the Financial Crisis, ÚTIA AV ČR, (Praha 2009) Research Report 2268 [2009]
  6. Vácha Lukáš, Baruník JozefWhat does the wavelet analysis tell us about the Central European stock markets behavior during the crisis? , Proceedings of 27th International Conference Mathematical Methods in Economics 2009, p. 7-12 , Eds: Brožová Helena, 27th International Conference Mathematical Methods in Economics 2009, (Kostelec nad Černými lesy, CZ, 09.09.2009-11.09.2009) [2009] Download
  7. Baruník Jozef, Vácha LukášNeural Networks with Wavelet Based Denoising Layer: Application to Central European Stock Market Forecasting , Proceedings of 26th International Conference Mathematical Methods in Economics 2008, p. 1-6 , Eds: Řehořová Pavla, Maršíková Kateřina, Mathematical Methods in Economics 2008, (Liberec, CZ, 17.09.2008-19.09.2008) [2008] Download
  8. Vácha Lukáš, Baruník Jozef, Vošvrda MiloslavSmart Predictors in the Heterogeneous Agent Model, ÚTIA AV ČR, (Praha 2008) Research Report 2222 [2008]
  9. Vácha Lukáš, Baruník Jozef, Vošvrda MiloslavSentiment Patterns in the Heterogeneous Agent Model, ÚTIA AV ČR, (Praha 2008) Research Report 2224 [2008]
  10. Vácha Lukáš, Baruník JozefWavelet Neural Networks Prediction of Central European Stock Markets, ÚTIA AV ČR, (Praha 2008) Research Report 2225 [2008]
  11. Vácha Lukáš, Baruník JozefWavelet Neural Networks Prediction of Central European Stock Markets , Quantitative Methods in Economics: Multiple Criteria Decision making XIV, p. 291-297 , Eds: Reiff Sladký, Quantitative Methods in Economics: Multiplie Criteria Decision Making XIV, (Tatranská Lomnica, SK, 05.07.2008-07.07.2008) [2008]
  12. Vácha Lukáš, Vošvrda MiloslavWavelet Applications to Heterogeneous Agents Model, Fakulta sociálních věd UK, (Praha 2008) Internal Publication EC-025 [2008]
  13. Vácha Lukáš, Vošvrda MiloslavMoods Modelling on the Financial Markets , Proceedings of the Mathematical Methods in Economics, p. 1-7, Mathematical Methods in Economics, (Ostrava, CZ, 04.09.2007-06.09.2007) [2007]
  14. Vošvrda Miloslav, Vácha LukášWavelet Applications to Heterogeneous Agents Model , Proceedings of the 24th International Conference Mathematical Methods in Economics 2006, p. 497-502 , Eds: Lukáš L., Mathematical Methods in Economics 2006, (Plzeň, CZ, 13.09.2006-15.09. 2006) [2006]
  15. Vácha Lukáš, Vošvrda MiloslavAn Energy Decomposition of the Financial Market, ÚTIA AV ČR, (Praha 2006) Research Report 2171 [2006]
  16. Vácha Lukáš, Vošvrda MiloslavHeterogeneous Agents Model with the Worst Out Algorithm, UK FSV - IES, (Praha 2005) Research Report 91. [2005]
  17. Vošvrda Miloslav, Vácha LukášHeterogeneous agent models , Výpočtová ekonomie. Sborník semináře, p. 21-30 , Eds: Lukáš L., Západočeská univerzita, (Plzeň 2003) , Výpočtová ekonomie, (Plzeň, CZ, 22.11.2002) [2003]
  18. Vácha Lukáš, Vošvrda MiloslavLearning in heterogeneous agent model with the WOA , Proceedings of the 6th International Scientific Conference on Applications of Mathematics and Statistics in Economy, p. 199-204, Applications of Mathematics and Statistics in Economy /6./, (Banská Bystrica, SK, 04.09.2003-05.09.2003) [2003]
  19. Vošvrda Miloslav, Vácha LukášHeterogeneous agent model with learning , Quantitative Methods in Economics. (Multiple Criteria Decision Making 11), p. 269-280 , Eds: Magáthová V., Slovak Agricultural University, (Nitra 2002) , Quantitative Methods in Economics /11./, (Nitra, SK, 05.12.2002-06.12.2002) [2002]
  20. Vošvrda Miloslav, Vácha LukášHeterogeneous Agent Model with Learning, ÚTIA AV ČR, (Praha 2002) Research Report 2051 [2002]
  21. Vošvrda Miloslav, Vácha LukášHeterogeneous agent model with memory and asset price behaviour , Proceedings of the 20th International Conference Mathematical Methods in Economics 2002, p. 273-282 , Eds: Ramík J., Technical University, (Ostrava 2002) , Mathematical Methods in Economics, (Ostrava, CZ, 03.09.2002-05.09.2002) [2002]
  22. Vácha LukášBifurcations Routes and Spectral Analysis of Agents Behaviour, ÚTIA AV ČR, (Praha 2001) Research Report 2023 [2001]
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