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Mgr. Lukáš Vácha, Ph.D.

deputy head of the department
Research interests
Machine learning, Reinforcement learning in decision making. Wavelet analysis in finance and economics, Volatility, Spillovers.
Publications ÚTIA

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


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CV Academic.pdf (167.59 KB) 167.59 KB
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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…
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