Zobrazeno 1 - 10
of 139
pro vyhledávání: '"Vácha, Lukáš"'
Autor:
Barunik, Jozef, Vacha, Lukas
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary smoothly over t
Externí odkaz:
http://arxiv.org/abs/2402.01354
Autor:
Barunik, Jozef, Vacha, Lukas
This paper presents a model for smoothly varying heterogeneous persistence of economic data. We argue that such dynamics arise naturally from the dynamic nature of economic shocks with various degree of persistence. The identification of such dynamic
Externí odkaz:
http://arxiv.org/abs/2306.01511
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 - 2015 we d
Externí odkaz:
http://arxiv.org/abs/1607.08214
Autor:
Barunik, Jozef, Vacha, Lukas
We quantify how co-jumps impact correlations in currency markets. To disentangle the continuous part of quadratic covariation from co-jumps, and study the influence of co-jumps on correlations, we propose a new wavelet-based estimator. The proposed e
Externí odkaz:
http://arxiv.org/abs/1602.05489
Autor:
Smolik, Filip, Vacha, Lukas
We study the co-movement of the 10-year sovereign bond yields of 11 EU countries. Our analysis is focused mainly on changes in co-movement during the financial crisis period, especially around two significant dates - the fall of Lehman Brothers, Sept
Externí odkaz:
http://arxiv.org/abs/1506.03347
Autor:
Hanus, Lubos, Vacha, Lukas
In this paper, we map the process of business cycle synchronization across the European Union. We study this synchronization by applying wavelet techniques, particularly the cohesion measure with time-varying weights. This novel approach allows us to
Externí odkaz:
http://arxiv.org/abs/1506.03106
We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 period we document increasing spillovers from volatility among petroleu
Externí odkaz:
http://arxiv.org/abs/1405.2445
Autor:
Barunik, Jozef, Vacha, Lukas
This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in application of wavelet tools to high-frequency financial market data, which allows us to understand the relationship
Externí odkaz:
http://arxiv.org/abs/1309.0491
Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and good volati
Externí odkaz:
http://arxiv.org/abs/1308.1221
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. W
Externí odkaz:
http://arxiv.org/abs/1308.0210