Mgr. Lukáš Vácha, Ph.D.

Selected publications:

• Growth cycle synchronization of the Visegrad Four and the European Union (with L. Hanus). Empirical Economics, , 2020, vol 58, pp. 1779-1795. journal link.
• Comovement and disintegration of EU sovereign bond markets during the crisis. (with F. Smolik, J. Baxa ). International Review of Economics and Finance, 2019, , vol 64, pp. 541 - 556. journal link.
• 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