Mgr. Lukáš Vácha, Ph.D.

Job history

ZS 2001-2006 Business cycle theory
LS 2001-2006 Economic Dynamics II
ZS, LS 2007 - 2009 Quantitative Finance I, II
UTIA, ČSAV (CAS) Department of econometrics

Monographs

Chapters in monographs

• Baruník J., Kočenda E., & Vácha L. (2014). Wavelet-Based Correlation Analysis of the Key Traded Assets. Wavelet Applications in Economics and Finance (pp. 157-183).

Articles

• Vácha L., & Vošvrda M. (2005). Heterogeneous agent model with the worst out algorithm. Prague social science studies. Economics series, 2005(EC-008), 1;16.
• Vácha L., Baruník J., & Vošvrda M. (2009). Smart agents and sentiment in the heterogeneous agent model. Prague Economic Papers, 18(3), 209-219. UT-WOS link
• Vácha L., & Vošvrda M. (2007). Heterogeneous agents model with the worst out algorithm. Acta Universitatis Carolinae. Oeconomica, Czech Economic Review, 1(1), 54-66.
• Vácha L., Baruník J., & Vošvrda M. (2010). Smart agents and sentiment in the heterogeneous agent model. ERCIM News, Neuveden(81), 39-40.
• Vácha L., & Baruník J. (2012). Co-movement of energy commodities revisited: evidence from wavelet coherence analysis. Energy Economics, 34(1), 241-247. UT-WOS link
• Vácha L., Janda K., Krištoufek L., & Zilberman D. (2013). Time-frequency dynamics of biofuel-fuel-food system. Energy Economics, 40(November), 233-241. UT-WOS link
• Vácha L., Šmolík F., & Baxa J. (2019). Comovement and disintegration of EU sovereign bond markets during the crisis. International Review of Economics and Finance, 64(November), 541-556. UT-WOS link
• Vácha L., & Vošvrda M. (2005). Dynamical agents' strategies and the fractal market hypothesis. Prague Economic Papers, 14(2), 172-179.
• Vácha L., Baruník J., & Vošvrda M. (2012). How do skilled traders change the structure of the market. International Review of Financial Analysis, 23(June), 66-71. UT-WOS link
• Baruník J., Vácha L., & Vošvrda M. (2009). Smart predictors in the heterogeneous agent model. Journal of Economic Interaction and Coordination, 4(2), 163-172. UT-WOS link
• Baruník J., Vácha L., & Vošvrda M. (2010). Tail behavior of the Central European stock markets during the financial crisis. Acta Universitatis Carolinae. Oeconomica, Czech Economic Review, 4(3), 281-294.
• Vošvrda M., & Vácha L. (2007). Wavelet decomposition of the financial market. Prague Economic Papers, 16(1), 38-54.
• Vošvrda M., & Vácha L. (2008). Wavelets and sentiment in the heterogeneous agent model. Bulletin of the Czech Econometric Society, 15(25), 41-56.
• Baruník J., & Vácha L. (2010). Monte Carlo-based tail exponent estimator. Physica A: Statistical Mechanics and its Applications, 389(21), 4863-4874. UT-WOS link
• Baruník J., & Vácha L. (2015). Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. Quantitative Finance, 15(8), 1347-1364. UT-WOS link
• Baruník J., & Vácha L. (2018). Do co-jumps impact correlations in currency markets?. Journal of Financial Markets, 37(January), 97-119. UT-WOS link
• Hanus L., & Vácha L. (2020). Growth cycle synchronization of the Visegrad Four and the European Union. Empirical Economics, 58(4), 1779-1795. UT-WOS link
• Vošvrda M., & Vácha L. (2003). Heterogeneous Agent Model with Memory and Asset Price Behaviour. Prague Economic Papers, 12(2), 155-168.
• Baruník J., & Vácha L. (2013). Contagion among Central and Eastern European Stock Markets during the Financial Crisis. Finance a úvěr, 63(5), 443-453. UT-WOS link
• Vošvrda M., & Vácha L. (2002). Heterogeneous Agent Model and Numerical Analysis of Learning. Bulletin of the Czech Econometric Society, 9(17), 15-22.
• Baruník J., Kočenda E., & Vácha L. (2017). Asymmetric volatility connectedness on the forex market. Journal of International Money and Finance, 77(October), 39-56. UT-WOS link
• Baruník J., Křehlík T., & Vácha L. (2016). Modeling and forecasting exchange rate volatility in time-frequency domain. European Journal of Operational Research, 251(1), 329-340. UT-WOS link
• Baruník J., Kočenda E., & Vácha L. (2016). Gold, oil, and stocks: Dynamic correlations. International Review of Economics and Finance, 42(March 01), 186-201. UT-WOS link
• Baruník J., Kočenda E., & Vácha L. (2016). Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers. Journal of Financial Markets, 27(January), 55-78. UT-WOS link
• Baruník J., Kočenda E., & Vácha L. (2015). Volatility Spillovers Across Petroleum Markets. Energy Journal, 36(3), 309-329. UT-WOS link

Contributions in the conference proceedings

• Vácha L., & Baruník J. (2008). Wavelet neural networks prediction of Central European stock markets. Quantitative methods in economics : multiple criteria decision making XIV (pp. 291-297).
• Vácha L., & Baruník J. (2009). What does the wavelet analysis tell us about the Central European stock markets behavior during the crisis?. Mathematical methods in economics 2009 (pp. 163-172).
• Vácha L., & Vošvrda M. (2007). Moods modelling on the financial markets. Proceedings of abstracts academic international conference : Increasing Competitiveness or Regional, National and International Markets Development - New Challenges : [September 4-6, 2007] (pp. 1-7).
• Baruník J., & Vácha L. (2008). Neural networks with Wavelet based denoising layer : application to Central European stock market forecasting. Mathematical Methods in Economics 2008 : proceedings of 26th international conference, September 17-19, 2008 (pp. 1-1).
• Vošvrda M., & Vácha L. (2003). Learning in heterogeneous agent model with the WOA. Application of Mathematics and Statistics in Economy (pp. 199-204).
• Baruník J., & Vácha L. (2011). Modeling multivariate volatility using wavelet-based realized covariance estimator. Mathematical methods in economics 2011 : 29th International conference : proceedings : September 6-9 2011, Janská Dolina, Slovakia (pp. 29-34). UT-WOS link
• Baruník J., Vácha L., & Krištoufek L. (2010). Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data. Mathematical Methods in Economics (pp. 12-17).
• Vošvrda M., & Vácha L. (2002). Heterogeneous Agent Model with Memory and Asset Price Behaviour. Mathematical methods in economics 2002 : proceedings of the 20th international conference (pp. 273-281).
• Vošvrda M., & Vácha L. (2002). Heterogeneous Agent Model with Memory and Asset Price Behaviour. Proceedings of the 20th International Conference Mathematical Methods in Economics 2002 (pp. 273-281).
• Baruník J., Kočenda E., & Vácha L. (2014). Asymmetric connectedness of markets: How does the good and bad volatility spills over the US industries?. INTERNATIONAL WORK-CONFERENCE ON TIME SERIES (ITISE 2014) (pp. 185-185). UT-WOS link

JEM059 - Financial Econometrics I
JEM061 - Financial Econometrics II
JEM158 - Tools for Modern Macroeconometrics

JED412 - Advanced Financial Econometrics I
JED413 - Advanced Financial Econometrics II

Master theses

Wavelet analysis of financial markets

2016–18 Czech Science Foundation (GA CR) “New measures of dependence between economic variables”, Principal Investigator

Financial markets