Search results
- 1.0510012 - ÚTIA 2020 RIV NL eng J - Journal Article
Vácha, Lukáš - Šmolík, F. - Baxa, Jaromír
Comovement and disintegration of EU sovereign bond markets during the crisis.
International Review of Economics & Finance. Roč. 64, č. 1 (2019), s. 541-556. ISSN 1059-0560. E-ISSN 1873-8036
R&D Projects: GA ČR(CZ) GX19-28231X
Institutional support: RVO:67985556
Keywords : European debt crisis * Eurozone fragility hypothesis * Comovement * Contagion * Wavelets
OECD category: Applied Economics, Econometrics
Impact factor: 1.818, year: 2019
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/E/vacha_l-0510012.pdf https://www.sciencedirect.com/science/article/pii/S1059056018306518
Permanent Link: http://hdl.handle.net/11104/0301140 - 2.0504389 - ÚTIA 2021 RIV DE eng J - Journal Article
Hanus, L. - Vácha, Lukáš
Growth cycle synchronization of the Visegrad Four and the European Union.
Empirical Economics. Roč. 58, č. 4 (2020), s. 1779-1795. ISSN 0377-7332. E-ISSN 1435-8921
Grant - others:GA ČR(CZ) GA16-14151S; GAUK(CZ) 366015
Institutional support: RVO:67985556
Keywords : Growth cycles * Synchronization * Integration * Time–frequency * Wavelets * Co-movement
OECD category: Applied Economics, Econometrics
Impact factor: 1.713, year: 2020
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2019/E/vacha-0504389.pdf https://link.springer.com/article/10.1007/s00181-018-1601-x
Permanent Link: http://hdl.handle.net/11104/0296330 - 3.0487659 - ÚTIA 2019 RIV NL eng J - Journal Article
Baruník, J. - Vácha, Lukáš
Do co-jumps impact correlations in currency markets?
Journal of Financial Markets. Roč. 37, č. 1 (2018), s. 97-119. ISSN 1386-4181. E-ISSN 1878-576X
Grant - others:GA ČR(CZ) GA16-14151S
Institutional support: RVO:67985556
Keywords : Co-jumps * Currency markets * Realized covariance * Wavelets * Bootstrap
OECD category: Finance
Impact factor: 1.407, year: 2018
http://library.utia.cas.cz/separaty/2018/E/vacha-0487659.pdf
Permanent Link: http://hdl.handle.net/11104/0282556 - 4.0478477 - ÚTIA 2018 RIV NL eng J - Journal Article
Baruník, Jozef - Kočenda, Evžen - Vácha, Lukáš
Asymmetric volatility connectedness on the forex market.
Journal of International Money and Finance. Roč. 77, č. 1 (2017), s. 39-56. ISSN 0261-5606. E-ISSN 1873-0639
R&D Projects: GA ČR(CZ) GA16-14179S
Institutional support: RVO:67985556
Keywords : volatility * connectedness * asymmetric effects
OECD category: Finance
Impact factor: 1.623, year: 2017
http://library.utia.cas.cz/separaty/2017/E/barunik-0478477.pdf
Permanent Link: http://hdl.handle.net/11104/0274598 - 5.0456184 - ÚTIA 2017 RIV NL eng J - Journal Article
Baruník, Jozef - Křehlík, Tomáš - Vácha, Lukáš
Modeling and forecasting exchange rate volatility in time-frequency domain.
European Journal of Operational Research. Roč. 251, č. 1 (2016), s. 329-340. ISSN 0377-2217. E-ISSN 1872-6860
R&D Projects: GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Realized GARCH * Wavelet decomposition * Jumps * Multi-period-ahead volatility forecasting
Subject RIV: AH - Economics
Impact factor: 3.297, year: 2016
http://library.utia.cas.cz/separaty/2016/E/barunik-0456184.pdf
Permanent Link: http://hdl.handle.net/11104/0260444 - 6.0449082 - ÚTIA 2017 RIV NL eng J - Journal Article
Baruník, Jozef - Kočenda, Evžen - Vácha, Lukáš
Gold, oil, and stocks: Dynamic correlations.
International Review of Economics & Finance. Roč. 42, č. 1 (2016), s. 186-201. ISSN 1059-0560. E-ISSN 1873-8036
R&D Projects: GA ČR GA14-24129S
Institutional support: RVO:67985556
Keywords : Financial markets * Time-frequency dynamics * High-frequency data * Dynamic correlation * Financial crisis * Wavelets
Subject RIV: AH - Economics
Impact factor: 1.261, year: 2016
http://library.utia.cas.cz/separaty/2015/E/barunik-0449082.pdf
Permanent Link: http://hdl.handle.net/11104/0250753 - 7.0438407 - ÚTIA 2016 RIV US eng J - Journal Article
Baruník, Jozef - Kočenda, Evžen - Vácha, Lukáš
Volatility Spillovers Across Petroleum Markets.
Energy Journal. Roč. 36, č. 3 (2015), s. 309-329. ISSN 0195-6574. E-ISSN 1944-9089
R&D Projects: GA ČR GA14-24129S
Keywords : Volatility spillovers * Asymmetry * Petroleum markets
Subject RIV: AH - Economics
Impact factor: 1.662, year: 2015
http://library.utia.cas.cz/separaty/2014/E/barunik-0438407.pdf
Permanent Link: http://hdl.handle.net/11104/0242965 - 8.0434203 - ÚTIA 2016 RIV GB eng J - Journal Article
Baruník, Jozef - Vácha, Lukáš
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.
Quantitative Finance. Roč. 15, č. 8 (2015), s. 1347-1364. ISSN 1469-7688. E-ISSN 1469-7696
R&D Projects: GA ČR GA13-32263S
EU Projects: European Commission 612955 - FINMAP
Grant - others:GA ČR(CZ) GA13-24313S
Institutional support: RVO:67985556
Keywords : quadratic variation * realized variance * jumps * market microstructure noise * wavelets
Subject RIV: AH - Economics
Impact factor: 0.794, year: 2015
http://library.utia.cas.cz/separaty/2014/E/barunik-0434203.pdf
Permanent Link: http://hdl.handle.net/11104/0238359 - 9.0411317 - UTIA-B 20050045 RIV CZ eng J - Journal Article
Vácha, Lukáš - Vošvrda, Miloslav
Dynamical agents' strategies and the fractal market hypothesis.
[Dynamické strategie agentů a fraktální hypotéza trhu.]
Prague Economic Papers. Roč. 14, č. 2 (2005), s. 172-179. ISSN 1210-0455. E-ISSN 2336-730X
Grant - others:GA UK(CZ) 454/2004/A EK/FSV
Institutional research plan: CEZ:AV0Z10750506
Keywords : efficient market hypothesis * fractal market hypothesis * agent's investment horizons
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0131400 - 10.0411077 - UTIA-B 20030064 RIV CZ eng J - Journal Article
Vošvrda, Miloslav - Vácha, Lukáš
Heterogeneous Agent Model with Memory and Asset Price Behaviour.
Prague Economic Papers. Roč. 12, č. 2 (2003), s. 155-168. ISSN 1210-0455. E-ISSN 2336-730X
R&D Projects: GA ČR GA402/00/0439; GA ČR GA402/01/0034
Institutional research plan: CEZ:AV0Z1075907
Keywords : efficient markets hypothesis * technical trading rules * heterogeneous agent model with memory and learning
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0131164