Štefan Lyócsa : Citation Profile


Are you Štefan Lyócsa?

Prešovská Univerzita (66% share)
Masarykova Univerzita (34% share)

7

H index

5

i10 index

146

Citations

RESEARCH PRODUCTION:

45

Articles

23

Papers

RESEARCH ACTIVITY:

   12 years (2009 - 2021). See details.
   Cites by year: 12
   Journals where Štefan Lyócsa has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 27 (15.61 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ply50
   Updated: 2021-10-16    RAS profile: 2021-06-28    
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Relations with other researchers


Works with:

Výrost, Tomᚠ(17)

Baumohl, Eduard (15)

Molnár, Peter (14)

Horvath, Roman (3)

Kočenda, Evžen (3)

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

Is cited by:

Shahzad, Syed Jawad Hussain (6)

Sensoy, Ahmet (4)

Steel, Mark (3)

Wang, Gang-Jin (3)

Baumohl, Eduard (3)

Výrost, Tomᚠ(3)

Bouri, Elie (2)

Åžensoy, Ahmet (2)

Širaňová, Mária (2)

Vravosinos, Orestis (2)

Gómez, David (2)

Cites to:

Bollerslev, Tim (103)

Andersen, Torben (69)

Diebold, Francis (56)

Patton, Andrew (51)

Engle, Robert (48)

Molnár, Peter (42)

Hansen, Peter (34)

Baumohl, Eduard (31)

Sheppard, Kevin (30)

Lunde, Asger (27)

lucey, brian (26)

Main data


Where Štefan Lyócsa has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications6
Finance Research Letters6
Czech Journal of Economics and Finance (Finance a uver)4
Applied Economics Letters3
Economic Modelling3
Applied Economics2
The North American Journal of Economics and Finance2
EconStor Open Access Articles and Book Chapters2
Journal of International Financial Markets, Institutions and Money2
Applied Energy2
International Journal of Forecasting2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany12
EconStor Preprints / ZBW - Leibniz Information Centre for Economics4
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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2021Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

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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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2021The Effect of the COVID-19 Pandemic on Stock Prices with the Event Window Approach: A Case Study of State Gas Companies, in the Energy Sector. (2021). , Supriyanto. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-03-19.

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2021Network tail risk estimation in the European banking system. (2021). Tich, Toma ; Giacometti, Rosella ; Torri, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000609.

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2021Impacts of asymmetry on forecasting realized volatility in Japanese stock markets. (2021). Ota, Yasushi ; Maki, Daiki. In: Economic Modelling. RePEc:eee:ecmode:v:101:y:2021:i:c:s026499932100122x.

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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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2021Does non-fundamental news related to COVID-19 matter for stock returns? Evidence from Shanghai stock market. (2021). ben Ameur, Hachmi ; Ftiti, Zied ; Louhichi, Wael. In: Economic Modelling. RePEc:eee:ecmode:v:99:y:2021:i:c:s0264999321000675.

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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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2021Asymmetric volatility connectedness among U.S. stock sectors. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Suleman, Tahir ; Nekhili, Ramzi ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302126.

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2021What drives volatility of the U.S. oil and gas firms?. (2021). Todorova, Neda ; Lyocsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100270x.

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2021Multi-step-ahead crude oil price forecasting based on two-layer decomposition technique and extreme learning machine optimized by the particle swarm optimization algorithm. (2021). Chen, Kaijie ; Du, Xiaoxu ; Wu, Junchuan ; Tang, Zhenpeng ; Zhang, Tingting. In: Energy. RePEc:eee:energy:v:229:y:2021:i:c:s0360544221010458.

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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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2020Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets. (2020). Corbet, Shaen ; Marco, Chi Keung ; Katsiampa, Paraskevi. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302155.

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2021Stock market reaction to COVID-19: Evidence from U.S. Firms’ International exposure. (2021). Au Yong, Hue Hwa ; Laing, Elaine. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521920302969.

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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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2021Covid-19 pandemic and tail-dependency networks of financial assets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Do, Hung Xuan ; Le, Trung Hai. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316147.

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2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

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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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2020Revisiting the valuable roles of commodities for international stock markets. (2020). Czudaj, Robert ; Hussain, Syed Jawad ; Bouri, Elie ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719307275.

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

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2021Night trading with futures in China: The case of Aluminum and Copper. (2021). Todorova, Neda ; Klein, Tony. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002191.

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2021Economic drivers of commodity volatility: The case of copper. (2021). Hansen, Erwin ; Cabrera, Gabriel ; Diaz, Juan D. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s030142072100235x.

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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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2020Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? Extreme co-movements and portfolio management analysis. (2020). Vo, Xuan Vinh ; Ur, Mobeen ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20300718.

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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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2021Implicit government guarantees and the externality of portfolio diversification: A complex network approach. (2021). Niu, Xiaoli ; Wu, Kexing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:572:y:2021:i:c:s0378437121001801.

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2021An analysis of network filtering methods to sovereign bond yields during COVID-19. (2021). Fille, Erika ; Chhajer, Harsh ; Granados, Oscar M ; Pang, Raymond Ka-Kay. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002673.

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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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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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2021The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models. (2021). Wang, Xiong ; Zhao, Yupei ; Wen, Fenghua ; Xiao, Jihong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:311-333.

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2020Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets. (2020). Kang, Sanghoon ; McIver, Ron P. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s027553191830789x.

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2021Earnings Management in Frontier Market: Do Institutional Settings Matter?. (2021). Safari, Maryam ; Yapa, Prem ; Martens, Wil. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:1:p:17-:d:493355.

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2021Energy and Economic Investigation of a Biodiesel-Fired Engine for Micro-Scale Cogeneration. (2021). Castiglione, Teresa ; Morrone, Pietropaolo ; Algieri, Angelo ; Perrone, Diego. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:2:p:496-:d:482558.

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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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2021Exchange Rate Volatility, Currency Misalignment, and Risk of Recession in the Central and Eastern European Countries. (2021). Shevchuk, Victor ; Kopych, Roman . In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:5:p:82-:d:547495.

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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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2020Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Farid, Saqib ; Naeem, Muhammad Abubakr ; Arif, Muhammad. In: Working Papers. RePEc:hhs:cbsnow:2021_001.

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2021Covid-19 Outbreak and CO2 Emissions: Macro-Financial Linkages. (2021). Chevallier, Julien. In: Working Papers. RePEc:ipg:wpaper:2021-004.

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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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2021Betting on a buzz, mispricing and inefficiency in online sportsbooks. (2021). Singleton, Carl ; Reade, James J ; Ramirez, Philip. In: Economics Discussion Papers. RePEc:rdg:emxxdp:em-dp2021-10.

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2020Time-varying Correlation Between Indian Equity Market and Selected Asian and US Stock Markets. (2020). Panda, Laxmidhar ; Seth, Neha. In: Global Business Review. RePEc:sae:globus:v:21:y:2020:i:6:p:1354-1375.

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2021Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?. (2021). Ajmi, Ahdi Noomen ; Mokni, Khaled ; Youssef, Manel. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00227-3.

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2021Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers. (2021). Saeed, Tareq ; Kristoufek, Ladislav ; Bouri, Elie ; Hussain, Syed Jawad. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00228-2.

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2021Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies. (2021). Vo, Xuan Vinh ; Umar, Zaghum ; Aharon, David Y. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00274-w.

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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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2021Realized volatility forecasting and volatility spillovers: Evidence from Chinese non?ferrous metals futures. (2021). Su, Xingze ; Chang, Xiaohui ; Xin, Yang ; Wang, Donghua. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2713-2731.

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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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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: 24
article
2015Return spillovers around the globe: A network approach In: Papers.
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paper7
2019Return spillovers around the globe: A network approach.(2019) In: Economic Modelling.
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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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paper14
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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paper
2021Predicting risk in energy markets: Low-frequency data still matter In: Applied Energy.
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article2
2021Residual electricity demand: An empirical investigation In: Applied Energy.
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article0
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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article2
2014Volatility and dynamic conditional correlations of worldwide emerging and frontier markets In: Economic Modelling.
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article13
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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2019Asymmetric volatility in equity markets around the world In: The North American Journal of Economics and Finance.
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article6
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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article9
2017Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis.(2017) In: MPRA Paper.
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2017The effect of non-trading days on volatility forecasts in equity markets In: Finance Research Letters.
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2020Stock market oscillations during the corona crash: The role of fear and uncertainty In: Finance Research Letters.
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2020Fear of the coronavirus and the stock markets In: Finance Research Letters.
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2020Fear of the coronavirus and the stock markets.(2020) In: EconStor Preprints.
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This paper has another version. Agregated cites: 3
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2021A tale of tails : New evidence on the growth-return nexus In: Finance Research Letters.
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2021FX market volatility modelling: Can we use low-frequency data? In: Finance Research Letters.
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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations? In: Journal of International Financial Markets, Institutions and Money.
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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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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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2021Stock market volatility forecasting: Do we need high-frequency data? In: International Journal of Forecasting.
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2012Stock market networks: The dynamic conditional correlation approach In: Physica A: Statistical Mechanics and its Applications.
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2018Scale-free distribution of firm-size distribution in emerging economies In: Physica A: Statistical Mechanics and its Applications.
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2019Interconnectedness of international tourism demand in Europe: A cross-quantilogram network approach In: Physica A: Statistical Mechanics and its Applications.
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2020Connectedness of financial institutions in Europe: A network approach across quantiles In: Physica A: Statistical Mechanics and its Applications.
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article6
2021Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter? In: International Review of Economics & Finance.
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2020What drives U.S. financial sector volatility? A Bayesian model averaging perspective In: Research in International Business and Finance.
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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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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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