Štefan Lyócsa : Citation Profile

Are you Štefan Lyócsa?

Prešovská Univerzita

4

H index

2

i10 index

62

Citations

RESEARCH PRODUCTION:

27

Articles

21

Papers

RESEARCH ACTIVITY:

   10 years (2009 - 2019). See details.
   Cites by year: 6
   Journals where Štefan Lyócsa has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 18 (22.5 %)

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   Permalink: http://citec.repec.org/ply50
   Updated: 2019-10-15    RAS profile: 2019-04-03    
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Relations with other researchers

Works with:

Baumohl, Eduard (18)

Výrost, Tomᚠ(10)

Molnár, Peter (6)

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:

Baumohl, Eduard (3)

Výrost, Tomᚠ(3)

Şensoy, Ahmet (2)

Sensoy, Ahmet (2)

Gómez, David (2)

Brida, Juan (2)

Tabak, Benjamin (2)

Stengos, Thanasis (2)

Steel, Mark (2)

Spulbar, Cristi (2)

Niţoi, Mihai (2)

Cites to:

Bollerslev, Tim (46)

Engle, Robert (41)

Andersen, Torben (31)

Sheppard, Kevin (25)

Baumohl, Eduard (24)

Diebold, Francis (23)

Mantegna, Rosario (21)

Patton, Andrew (19)

lucey, brian (19)

Hansen, Peter (19)

Perron, Pierre (18)

Main data

Where Štefan Lyócsa has published?

Journals with more than one article published# docs
Czech Journal of Economics and Finance (Finance a uver)4
Physica A: Statistical Mechanics and its Applications4
Journal of International Financial Markets, Institutions and Money2
EconStor Open Access Articles2
Finance Research Letters2
Applied Economics2
Economic Modelling2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany12
EconStor Preprints / ZBW - Leibniz Information Centre for Economics2
Papers / arXiv.org2

Recent works citing Štefan Lyócsa (2019 and 2018)

YearTitle of citing document
2019A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2018). Donnat, Philippe ; Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier . In: Papers. RePEc:arx:papers:1703.00485.

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2017How are Africas emerging stock markets related to advanced markets? Evidence from copulas. (2017). ALAGIDEDE, PAUL ; Mensah, Jones Odei. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:1-10.

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2019Return spillovers around the globe: A network approach. (2019). Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:133-146.

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2019Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:540-554.

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2018Directional predictability of implied volatility: From crude oil to developed and emerging stock markets. (2018). Bouri, Elie ; Hussain, Syed Jawad ; Roubaud, David ; Lien, Donald. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:65-79.

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2018The volatility-volume relationship in the LME futures market for industrial metals. (2018). Clements, Adam ; Todorova, Neda. In: Resources Policy. RePEc:eee:jrpoli:v:58:y:2018:i:c:p:111-124.

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2017Conditional dependence between international stock markets: A long memory GARCH-copula model approach. (2017). Mokni, Khaled ; Mansouri, Faysal. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:116-131.

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2017Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods. (2017). Lahmiri, Salim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:405-414.

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2017Asymmetric MF-DCCA method based on risk conduction and its application in the Chinese and foreign stock markets. (2017). Xu, Wei ; Cao, Guangxi ; Li, Qingchen ; Han, Yan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:119-130.

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2017Cointegration and causal linkages in fertilizer markets across different regimes. (2017). Lahmiri, Salim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:181-189.

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2017Features of spillover networks in international financial markets: Evidence from the G20 countries. (2017). Liu, Xueyong ; Wen, Shaobo ; Feng, Sida ; Chen, Zhihua ; An, Haizhong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:265-278.

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2018Dynamics and causalities of atmospheric and oceanic data identified by complex networks and Granger causality analysis. (2018). Charakopoulos, A K ; Karakasidis, T E ; Katsouli, G A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:436-453.

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2018Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market. (2018). Yu, Honghai ; Sun, Wencong ; Fang, Libing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:931-940.

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2018SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test. (2018). Ruan, Qingsong ; Yang, Haiquan ; Lv, Dayong ; Zhang, Manqian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:1009-1022.

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2018Assessing the relevance of individual characteristics for the structure of similarity networks in new social strata in Shanghai. (2018). Wang, Luo-Qing ; Xu, Yong-Xiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:881-889.

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2019Identifying influential nodes based on fluctuation conduction network model. (2019). Wang, ZE ; Chen, Zhihua ; Sun, Qingru ; Liu, Xueyong ; Tang, Renwu ; Gao, Xiangyun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:355-369.

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2019The stability of Chinese stock network and its mechanism. (2019). Zhang, Weiping ; Zhuang, Xintian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:748-761.

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2019The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks. (2019). Park, Jin Suk ; Newaz, Mohammad Khaleq. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:79-94.

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2018Technical Efficiency of Banks in Central and Eastern Europe. (2018). Horvatova, Eva. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:3:p:66-:d:158478.

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2018Transport Infrastructure Development, Public Performance and Long-Run Economic Growth: A Case Study for the Eu-28 Countries. (2018). Cigu, Elena ; Toader, Elena ; Gavrilu, Anca Florentina ; AGHEORGHIESEI, Daniela Tatiana . In: Sustainability. RePEc:gam:jsusta:v:11:y:2018:i:1:p:67-:d:192688.

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2019Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis. (2019). Lu, Yaxian ; Liu, Lihong ; Yang, Longguang. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:2:p:396-:d:197566.

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2018Model Averaging and its Use in Economics. (2018). Steel, Mark. In: MPRA Paper. RePEc:pra:mprapa:90110.

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2018Time-Varying Risk Aversion and Realized Gold Volatility. (2018). GUPTA, RANGAN ; Demirer, Riza ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:201881.

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2018On the determinants of bitcoin returns: a LASSO approach. (2018). Vravosinos, Orestis ; Stengos, Thanasis ; Panagiotidis, Theodore. In: Working Paper series. RePEc:rim:rimwps:18-14.

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2018The effects of markets, uncertainty and search intensity on bitcoin returns. (2018). Vravosinos, Orestis ; Stengos, Thanasis ; Panagiotidis, Theodore. In: Working Paper series. RePEc:rim:rimwps:18-39.

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2019Quantile information share. (2019). Lien, Donald ; Wang, Zijun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:38-55.

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2019Quantile coherency networks of international stock markets. (2019). Baumohl, Eduard ; Hussain, Syed Jawad. In: EconStor Preprints. RePEc:zbw:esprep:194568.

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2017Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433.

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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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2015Return spillovers around the globe: A network approach In: Papers.
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2014Stability of the “returns-growth” relationship in G7: The dynamic conditional lagged correlation approach In: Borsa Istanbul Review.
[Full Text][Citation analysis]		article0
2017Networks of Volatility Spillovers among Stock Markets In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper4
2018Networks of volatility spillovers among stock markets.(2018) In: Physica A: Statistical Mechanics and its Applications.
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2016Networks of volatility spillovers among stock markets.(2016) In: KIER Working Papers.
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2014Volatility and dynamic conditional correlations of worldwide emerging and frontier markets In: Economic Modelling.
[Full Text][Citation analysis]		article8
2014Growth-returns nexus: Evidence from three Central and Eastern European countries In: Economic Modelling.
[Full Text][Citation analysis]		article0
2019Network-based asset allocation strategies In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article0
2018Network-based asset allocation strategies.(2018) In: EconStor Preprints.
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2015Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs In: Economic Systems.
[Full Text][Citation analysis]		article1
2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds In: Energy.
[Full Text][Citation analysis]		article0
2017Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis In: Finance Research Letters.
[Full Text][Citation analysis]		article3
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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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations? In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article5
2019Central bank announcements and realized volatility of stock markets in G7 countries In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article0
2012Stock market networks: The dynamic conditional correlation approach In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article11
2018Scale-free distribution of firm-size distribution in emerging economies In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		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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2013Determinants of Commercial Banks’ Efficiency: Evidence from 11 CEE Countries In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]		article3
2014Risk-Return Convergence in CEE Stock Markets: Structural Breaks and Market Volatility In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]		article1
2016Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]		article0
2010Industry Concentration Dynamics and Structural Changes: The Case of Aerospace & Defence In: Working Papers IES.
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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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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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2009Stationarity of time series and the problem of spurious regression In: MPRA Paper.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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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2012Testing the covariance stationarity of CEE stocks In: MPRA Paper.
[Full Text][Citation analysis]		paper2
2013Volatility and dynamic conditional correlations of European emerging stock markets In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2015Predicting changes in the output of OECD countries: An international network perspective In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2011Shift contagion with endogenously detected volatility breaks: the case of CEE stock markets In: Applied Economics Letters.
[Full Text][Citation analysis]		article1
2016What drives intermediation costs? A case of tennis betting market In: Applied Economics.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]		article1
2014How smooth is the stock market integration of CEE-3? In: William Davidson Institute Working Papers Series.
[Full Text][Citation analysis]		paper1
2012The Real Convergence of CEE Countries: A Study of Real GDP per capita In: EconStor Open Access Articles.
[Full Text][Citation analysis]		article0
2013What Drives the Stock Market Integration in the CEE-3? In: EconStor Open Access Articles.
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2018Social aspirations in European banks: peer-influenced risk behavior In: EconStor Preprints.
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