Štefan Lyócsa : Citation Profile


Are you Štefan Lyócsa?

Prešovská Univerzita

6

H index

4

i10 index

119

Citations

RESEARCH PRODUCTION:

39

Articles

22

Papers

RESEARCH ACTIVITY:

   11 years (2009 - 2020). See details.
   Cites by year: 10
   Journals where Štefan Lyócsa has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 22 (15.6 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ply50
   Updated: 2021-03-01    RAS profile: 2020-11-04    
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Relations with other researchers


Works with:

Baumohl, Eduard (14)

Výrost, Tomᚠ(12)

Molnár, Peter (12)

Kočenda, Evžen (3)

Horvath, Roman (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Štefan Lyócsa.

Is cited by:

Výrost, Tomᚠ(6)

Shahzad, Syed Jawad Hussain (3)

Lu, Yang (3)

Steel, Mark (3)

Baumohl, Eduard (3)

Sensoy, Ahmet (3)

Wang, Gang-Jin (3)

GUPTA, RANGAN (2)

Spulbar, Cristi (2)

Vravosinos, Orestis (2)

Fisera, Boris (2)

Cites to:

Bollerslev, Tim (67)

Andersen, Torben (45)

Engle, Robert (44)

Diebold, Francis (37)

Baumohl, Eduard (29)

Patton, Andrew (29)

Sheppard, Kevin (26)

Molnár, Peter (26)

Hansen, Peter (25)

lucey, brian (25)

Mantegna, Rosario (23)

Main data


Where Štefan Lyócsa has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications6
Finance Research Letters4
Czech Journal of Economics and Finance (Finance a uver)4
Economic Modelling3
Applied Economics Letters3
Applied Economics2
EconStor Open Access Articles2
Journal of International Financial Markets, Institutions and Money2
The North American Journal of Economics and Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany12
EconStor Preprints / ZBW - Leibniz Information Centre for Economics3
Papers / arXiv.org2

Recent works citing Štefan Lyócsa (2021 and 2020)


YearTitle of citing document
2020Model Averaging and Its Use in Economics. (2020). , Mark. In: Journal of Economic Literature. RePEc:aea:jeclit:v:58:y:2020:i:3:p:644-719.

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2020A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2019). Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier ; Donnat, Philippe . In: Papers. RePEc:arx:papers:1703.00485.

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2020The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158.

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2020The Reinsurance Network Among U.S. Property–Casualty Insurers: Microstructure, Insolvency Risk, and Contagion. (2020). Weiss, Mary A ; Sun, Tao ; Cummins, David J ; Chen, Hua. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:253-284.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2020Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. (2020). Pochea, Maria Miruna ; Nioi, Mihai. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2020How helpful are social networks in finding a job along the economic cycle? Evidence from immigrants in France. (2020). Moreno Galbis, Eva ; Wolff, Francois-Charles ; MORENOGALBIS, EVA ; Herault, Arnaud. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:12-32.

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2020Spatial spillover effects and risk contagion around G20 stock markets based on volatility network. (2020). Lu, Yang ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302815.

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2020Spillovers and diversification potential of bank equity returns from developed and emerging America. (2020). Yoon, Seong-Min ; Hussain, Syed Jawad ; Kang, Sang Hoon ; Hernandez, Jose Arreola. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301169.

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2020Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network. (2020). Lu, Yang ; Wang, Jian ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301455.

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2020Identifying influential energy stocks based on spillover network. (2020). Sun, Qingru ; Tang, Renwu ; Gao, Xiangyun ; Wang, ZE. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305179.

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2020Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework. (2020). Zhuang, Xintian ; Zhang, Weiping ; Wang, Jian ; Lu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521919305381.

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2020Spatial connectedness of volatility spillovers in G20 stock markets: Based on block models analysis. (2020). Wu, Dongmei ; Zhuang, Xintian ; Zhang, Weiping. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319304805.

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2020Extension of the Fama and French model: A study of the largest European financial institutions. (2020). Escolastico, Alba M ; De, Maria ; Jareo, Francisco. In: International Economics. RePEc:eee:inteco:v:164:y:2020:i:c:p:115-139.

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2020Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective. (2020). Rubaszek, Michał ; Kwas, Marek ; Karolak, Zuzanna. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719305379.

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2020A random walk through the trees: Forecasting copper prices using decision learning methods. (2020). Hansen, Erwin ; Diaz, Juan D ; Cabrera, Gabriel. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308904.

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2020Volatility connectedness in global foreign exchange markets. (2020). Wang, Gang-Jin ; Wen, Tiange. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:54:y:2020:i:c:s1042444x20300062.

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2020Corruption and equity market performance: International comparative evidence. (2020). , Walid. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x1930575x.

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2020For evil news rides fast, while good news baits later?—A network based analysis in Chinese stock market. (2020). An, Biao ; Sun, Yafei ; Gao, Ting ; Borjigin, Sumuya. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:551:y:2020:i:c:s0378437120302843.

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2020Transfer entropy calculation for short time sequences with application to stock markets. (2020). Yang, Huijie ; Qiu, LU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:559:y:2020:i:c:s0378437120305860.

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2020Dynamic network DEA and SFA models for accounting and financial indicators with an analysis of super-efficiency in stochastic frontiers: An efficiency comparison in OECD banking. (2020). Moreira, Jorge Junio ; Chen, Zhongfei ; Tsionas, Mike G ; Wanke, Peter. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:456-468.

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2021Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. (2021). Lyocsa, Tefan ; Plihal, Toma. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:811-829.

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2021Creating the illicit capital flows network in Europe – Do the net errors and omissions follow an economic pattern?. (2021). Širaňová, Mária ; Fisera, Boris ; Tiruneh, Menbere Workie ; Siranova, Maria. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:955-973.

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2020Twenty Years of Mortgage Banking in Slovakia. (2020). Horvatova, Eva. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:3:p:56-:d:411162.

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2020The Impact of the COVID-19 Pandemic on the U.S. Economy: Evidence from the Stock Market. (2020). Thorbecke, Willem. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:10:p:233-:d:422459.

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2020EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients. (2020). TILFANI, Oussama ; Ferreira, Paulo ; el Boukfaoui, My Youssef ; Dionisio, Andreia. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:5:p:91-:d:354926.

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2020A Weighted and Directed Perspective of Global Stock Market Connectedness: A Variance Decomposition and GERGM Framework. (2020). Ma, Ding ; Chen, Rui ; Zhang, Yizhuo. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:11:p:4605-:d:367434.

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2020Quantile Dependence in Tourism Demand Time Series: Evidence in the Southern Italy Market. (2020). Rosciano, Monica ; de Luca, Giovanni. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:8:p:3243-:d:346461.

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2020Central Bank Communication and Financial Market Comovements in the Euro Area. (2020). Horvath, Roman ; Gertler, Pavel ; Jonaova, Julia . In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:2:d:10.1007_s11079-019-09561-7.

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2020The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise. (2020). Alola, Andrew Adewale ; Skenderoglu, Omer ; Akdag, Saffet. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:13:y:2020:i:1:d:10.1007_s12076-020-00244-3.

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2020Spatial spillover effects and risk contagion around G20 stock markets based on volatility network. (2020). Lu, Yang ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302815.

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Works by Štefan Lyócsa:


YearTitleTypeCited
2014Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment In: Papers.
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paper22
2015Granger causality stock market networks: Temporal proximity and preferential attachment.(2015) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 22
article
2015Return spillovers around the globe: A network approach In: Papers.
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paper9
2019Return spillovers around the globe: A network approach.(2019) In: Economic Modelling.
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This paper has another version. Agregated cites: 9
article
2014Stability of the “returns-growth” relationship in G7: The dynamic conditional lagged correlation approach In: Borsa Istanbul Review.
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article0
2017Networks of Volatility Spillovers among Stock Markets In: CESifo Working Paper Series.
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paper13
2018Networks of volatility spillovers among stock markets.(2018) In: Physica A: Statistical Mechanics and its Applications.
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article
2016Networks of volatility spillovers among stock markets.(2016) In: KIER Working Papers.
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This paper has another version. Agregated cites: 13
paper
2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin In: Journal of Economic Dynamics and Control.
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article0
2014Volatility and dynamic conditional correlations of worldwide emerging and frontier markets In: Economic Modelling.
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article10
2014Growth-returns nexus: Evidence from three Central and Eastern European countries In: Economic Modelling.
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article0
2019Network-based asset allocation strategies In: The North American Journal of Economics and Finance.
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article1
2018Network-based asset allocation strategies.(2018) In: EconStor Preprints.
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This paper has another version. Agregated cites: 1
paper
2019Asymmetric volatility in equity markets around the world In: The North American Journal of Economics and Finance.
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article5
2015Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs In: Economic Systems.
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article1
2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds In: Energy.
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article0
2017Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis In: Finance Research Letters.
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article4
2017Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis.(2017) In: MPRA Paper.
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paper
2017The effect of non-trading days on volatility forecasts in equity markets In: Finance Research Letters.
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article0
2020Stock market oscillations during the corona crash: The role of fear and uncertainty In: Finance Research Letters.
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article0
2020Fear of the coronavirus and the stock markets In: Finance Research Letters.
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article1
2020Fear of the coronavirus and the stock markets.(2020) In: EconStor Preprints.
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This paper has another version. Agregated cites: 1
paper
2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations? In: Journal of International Financial Markets, Institutions and Money.
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article9
2019Central bank announcements and realized volatility of stock markets in G7 countries In: Journal of International Financial Markets, Institutions and Money.
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article0
2020Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks? In: International Journal of Forecasting.
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article1
2012Stock market networks: The dynamic conditional correlation approach In: Physica A: Statistical Mechanics and its Applications.
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article11
2018Scale-free distribution of firm-size distribution in emerging economies In: Physica A: Statistical Mechanics and its Applications.
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article0
2019Interconnectedness of international tourism demand in Europe: A cross-quantilogram network approach In: Physica A: Statistical Mechanics and its Applications.
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article0
2020Connectedness of financial institutions in Europe: A network approach across quantiles In: Physica A: Statistical Mechanics and its Applications.
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article2
2020What drives U.S. financial sector volatility? A Bayesian model averaging perspective In: Research in International Business and Finance.
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article0
2011Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group In: Czech Journal of Economics and Finance (Finance a uver).
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article1
2013Determinants of Commercial Banks’ Efficiency: Evidence from 11 CEE Countries In: Czech Journal of Economics and Finance (Finance a uver).
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article6
2014Risk-Return Convergence in CEE Stock Markets: Structural Breaks and Market Volatility In: Czech Journal of Economics and Finance (Finance a uver).
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article1
2016Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland In: Czech Journal of Economics and Finance (Finance a uver).
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article3
2010Industry Concentration Dynamics and Structural Changes: The Case of Aerospace & Defence In: Working Papers IES.
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paper0
2018Stock Market Contagion: a New Approach In: Open Economies Review.
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2011The Stock Markets and Real Economic Activity In: Eastern European Economics.
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2016Stock Market Contagion in Central and Eastern Europe: Unexpected Volatility and Extreme Co-exceedance In: Working Papers.
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paper4
2018Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance.(2018) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 4
article
2009Stationarity of time series and the problem of spurious regression In: MPRA Paper.
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paper3
2011On the relationship of persistence and number of breaks in volatility: new evidence for three CEE countries In: MPRA Paper.
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2011Unit-root and stationarity testing with empirical application on industrial production of CEE-4 countries In: MPRA Paper.
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paper1
2011Are we able to capture the EU debt crisis? Evidence from PIIGGS countries in panel unit root framework In: MPRA Paper.
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2011The instability of the correlation structure of the S&P 500 In: MPRA Paper.
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2012Breakdowns and revivals: the long-run relationship between the stock market and real economic activity in the G-7 countries In: MPRA Paper.
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2012Stock returns and real activity: the dynamic conditional lagged correlation approach In: MPRA Paper.
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2012Constructing weekly returns based on daily stock market data: A puzzle for empirical research? In: MPRA Paper.
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paper1
2012Testing the covariance stationarity of CEE stocks In: MPRA Paper.
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paper2
2013Volatility and dynamic conditional correlations of European emerging stock markets In: MPRA Paper.
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paper1
2015Predicting changes in the output of OECD countries: An international network perspective In: MPRA Paper.
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2011Shift contagion with endogenously detected volatility breaks: the case of CEE stock markets In: Applied Economics Letters.
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article1
2019Social aspirations in European banks: peer-influenced risk behaviour In: Applied Economics Letters.
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article0
2018Social aspirations in European banks: peer-influenced risk behavior.(2018) In: EconStor Preprints.
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This paper has another version. Agregated cites: 0
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2020Quantile dependence of tourism activity between Southern European countries In: Applied Economics Letters.
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article1
2016What drives intermediation costs? A case of tennis betting market In: Applied Economics.
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article1
2018To bet or not to bet: a reality check for tennis betting market efficiency In: Applied Economics.
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2016Volatility forecasting of strategically linked commodity ETFs: gold-silver In: Quantitative Finance.
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article2
2019Impact of wind and solar production on electricity prices: Quantile regression approach In: Journal of the Operational Research Society.
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2014How smooth is the stock market integration of CEE-3? In: William Davidson Institute Working Papers Series.
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paper1
2012The Real Convergence of CEE Countries: A Study of Real GDP per capita In: EconStor Open Access Articles.
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article0
2013What Drives the Stock Market Integration in the CEE-3? In: EconStor Open Access Articles.
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article1

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