Články v impaktovaných časopisech
2020 Growth cycle synchronization of the Visegrad Four and the European Union, Empirical Economics 58 (4), 1779-1795
2019 Comovement and disintegration of EU sovereign bond markets during the crisis, International Review of Economics and Finance
2018 Do co-jumps impact correlations in currency markets?, Journal of Financial Markets, 37, pp.97-119, available here PDF.
2017 Asymmetric volatility connectedness on forex markets, Journal of International Money and Finance, 77C, pp. 39-56, preprint available here PDF + available codes
2016 Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?, Journal of Financial Markets, 27, 55-78. preprint available here PDF + + available codes
2016 Gold, Oil, and Stocks: Dynamic Correlations, International Review of Economics and Finance, 42, pp. 186–201, preprint available here PDF
2016 Modeling and forecasting exchange rate volatility in time-frequency domain, European Journal of Operational Research 251 (1), pp. 329–340, preprint here PDF
2015 Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, Quantitative Finance, 15 (8), pp. 1347-1364, preprint here PDF
2015 Volatility spillovers across petroleum markets, The Energy Journal, 36(3), 309-329; preprint PDF + + available codes
2013 Contagion among Central and Eastern European stock markets during the financial crisis, Czech Journal of Economics and Finance, forthcoming, preprint PDF
2013 Vacha, L. & Janda, K. & Kristoufek, L. & Zilberman, D.: Time-Frequency Dynamics of Biofuels-Fuels-Food System, Energy Economics 40, pp. 233-241 arXiv PDF
2012 Vacha L. Barunik J. Vosvrda M.: How do skilled traders change the structure of the market, International Review of Financial Analysis 23, pp. 66-71 PDF
2012 Vacha, L. Barunik, J.: Comovement of energy commodities revisited: Evidence from wavelet coherence analysis, Energy Economics 34(1), pp. 241–247 PDF
2010 Barunik J., Vacha L.: Monte Carlo-based tail exponent estimator, Physica A, 389 (21), pp.4863-4874 PDF
2009 Barunik J., Vacha L., Vosvrda M.: Smart Predictions in the Heterogeneous Agent Model, Journal of Economic Interaction and Coordination, vol. 4(2), pp. 163-172 PDF
2009 Vacha L., Barunik J. Vosvrda M.: Sentiment Patterns in the Heterogeneous Agent Model, Prague Economic Papers 3, pp. 209-219 PDF
2007 Wavelet Decomposition of the Financial Market, Prague Economic Papers
2005 Dynamical agents' strategies and the fractal market hypothesis, Prague Economic Papers, 14 (2005), 2, 172-179
2003 Heterogeneous Agent Model with Memory and Asset Price Behaviour, Prague Economic Papers, nu.2, vol.12, 2003, pp. 155-168
Články v recenzovaných časopisech
2010 Barunik J., Vacha L., Vosvrda M.: Tail Behavior of the Central European Stock Markets During the Financial Crisis, AUCO Czech Economic Review 4(3) pp. 281-294 PDF
2010 Vacha L., Barunik J., Vosvrda M.: Smart Agents and Sentiment in the Heterogeneous Agent Model, ERCIM News, No. 81, pp. 39-40 PDF
2008 Wavelets and Sentiment in the Heterogeneous Agents Model, Bulletin of the Czech Econometric Society
2007 Fractal Properties of the Financial Market, Acta Oeconomica Pragensia, vol. 2007(4), pp. 49-55.
2007 Heterogeneous Agents Model with the Worst Out Algorithm, AUCO Czech Economic Review,1, (1), pp. 54-66.
2005 Stability and Bifurcations in Kaldor Model, Acta Oeconomica Pragensia, vol. 13, no. 1, 2005, pp. 10-20
2002 Heterogeneous Agent Model and Numerical Analysis of Learning, Bulletin of the Czech Econometric Society, no.17, 2002, pp. 15-22
Kapitoly v knize
2014 Wavelet-Based Correlation Analysis of the Key Traded Assets, Springer International Publishing PDF
2014 Wavelet-Based Correlation Analysis of the Key Traded Assets, Springer
IES Working Papers
2018 Time-Frequency Response Analysis of Monetary Policy Transmission, IES Working Papers 30/2018
2015 Business cycle synchronization of the Visegrad Four and the European Union, IES Working Papers 19/2015
2011 Barunik, J. & Vacha, L. & Kristoufek, L.: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data, IES Working Papers 22/2011
2010 Monte Carlo-Based Tail Exponent Estimator, IES Working Papers 6/2010
2010 Tail Behavior of the Central European Stock Markets during the Financial Crisis, IES Working Papers 4/2010
2009 Wavelet Analysis of Central European Stock Market Behaviour During the Crisis, IES Working Papers 23/2009
2006 Wavelet Applications to Heterogeneous Agents Model, IES WP 2006/21
2005 Heterogeneous Agents Model with the Worst Out Algorithm, IES WP 2005/91
IES Occassional Papers
2002 Heterogenní model agentů s paměti a cenový vyvoj cenných papirů, IES Occassional Paper 1/2002
Články ve sborníku
2011 Barunik, J. Vacha, L.: Modeling multivariate volatility using wavelet-based realized covariance estimator, Mathematical Methods in Economics Proceedings
2010 Barunik, J. & Vacha, L. & Kristoufek, L.: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data, Mathematical Methods in Economics Proceedings (1), pp. 12-17
2009 Vacha L., Barunik J.: What does the wavelet analysis tell us about the Central European stock markets behavior during the crisis?, Mathematical Methods in Economics Proceedings
2008 Baruník J., Vácha L.: Neural Networks with Wavelet Based Denoising Layer: Application to Central European Stock Market Forecasting, Mathematical Methods in Economics Proceedings
2008 Vacha L., Barunik J.: Wavelet Neural Networks Prediction of Central European Stock Markets, Quantitative Methods in Economics proceedings
2004 Dynamical Agents Strategies and the Fractal Market Hypothesis, NEW 2004 Proceedings, konference Salerno, Italy
2003 Learning in Heterogeneous Agent Model with the WOA, 6th International Conference on Applications of Mathematics and Statistics in Economy, 2003, Slovakia
2002 Heterogeneous Agent Model with Learning, Quantitative Methods in Economics. (Multi-Market Criteria Decision Making 11) pp. 269-280
2002 Heterogeneous Agent Model with Memory and Asset Price Behaviour, 20th International Conference Mathematical Methods in Economics 2002, Ostrava
2002 Heterogeneous Agent Models, seminar of the Computational Economics, Plzen
Ostatní
2013 Time-Frequency Dynamics of Biofuels-Fuels-Food System, CAMAWorking Paper Series No. 27/2013, Australian National University
2012 Vacha, L. & Janda, K. & Kristoufek, L., Zilberman, D.: Time-Frequency Dynamics of Biofuels-Fuels-Food System, Ithaca : Cornell University
2001 Bifurcations Routes and Spectral Analysis of Agents Behaviour, Research Report No. 2023
