Search Results for author: Lukas Vacha

Found 2 papers, 2 papers with code

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Forecasting Volatility of Oil-based Commodities: The Model of Dynamic Persistence

1 code implementation • 2 Feb 2024 • Jozef Barunik, Lukas Vacha

Time variation and persistence are crucial properties of volatility that are often studied separately in oil-based volatility forecasting models.

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The Dynamic Persistence of Economic Shocks

1 code implementation • 2 Jun 2023 • Jozef Barunik, Lukas Vacha

This paper presents a model for smoothly varying heterogeneous persistence of economic data.

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