Institute of Information Theory and Automation

Mgr. Lukáš Vácha, Ph.D.

Position: research fellow
Department: Econometrics (E)

Phone: +420 26605 2432
Phone: +420 602161710
Room: 214
Address: Pod Vodárenskou věží 4, CZ-182 08, Praha 8, Czech Republic


Research interests:

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

Current Ph.D students:

Ph.D graduates:

List of projects:

Responsible for information: E
Last modification: 26.02.2018
Institute of Information Theory and Automation