Zobrazeno 1 - 10
of 100
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
Autor:
Vácha, Lukáš
Traffic monitoring using computer vision is becoming the desired system in practice. It allows nondestructive installation and also is very useful in many applications. This thesis focuses on automatic detection of vehicles approaching to a crossroad
Externí odkaz:
http://www.nusl.cz/ntk/nusl-255297
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:
Vácha, Lukáš
This diploma thesis deals with design and realization of control board with controlling program for stabilization platform application. Thesis is splitted in to six parts. In first part of thesis are summarized required parameters and properties of p
Externí odkaz:
http://www.nusl.cz/ntk/nusl-219459
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