505 citations · 678 across the 11 of their papers we have counts for
5 papers · 1 filter
Time-Frequency Dynamics of Biofuels-Fuels-Food System
Lukas Vacha, Karel Janda, Ladislav Kristoufek +1
For the first time, we apply the wavelet coherence methodology on biofuels (ethanol and biodiesel) and a wide range of related commodities (gasoline, diesel, crude oil, corn, wheat…
Modeling and forecasting exchange rate volatility in time-frequency domain
Jozef Barunik, Tomas Krehlik, Lukas Vacha
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-freq…
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
Jozef Barunik, Lukas Vacha
We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Discrete…
Monte Carlo-based tail exponent estimator
Jozef Barunik, Lukas Vacha
In this paper we propose a new approach to estimation of the tail exponent in financial stock markets. We begin the study with the finite sample behavior of the Hill estimator unde…
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
Lukas Vacha, Jozef Barunik
In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the applicati…