Štefan Lyócsa : Citation Profile

Are you Štefan Lyócsa?

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

12

H index

13

i10 index

339

Citations

RESEARCH PRODUCTION:

52

Articles

23

Papers

RESEARCH ACTIVITY:

   13 years (2009 - 2022). See details.
   Cites by year: 26
   Journals where Štefan Lyócsa has often published
   Relations with other researchers
   Recent citing documents: 175.    Total self citations: 39 (10.32 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ply50
   Updated: 2023-08-19    RAS profile: 2022-08-03    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Výrost, Tomáš (17)

Baumohl, Eduard (14)

Molnár, Peter (12)

Plíhal, Tomáš (6)

Širaňová, Mária (2)

Kočenda, Evžen (2)

Horvath, Roman (2)

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

Is cited by:

Molnár, Peter (7)

Shahzad, Syed Jawad Hussain (6)

Výrost, Tomáš (6)

GUPTA, RANGAN (6)

Baumohl, Eduard (5)

Fiszeder, Piotr (5)

Sensoy, Ahmet (5)

Deev, Oleg (3)

Wang, Gang-Jin (3)

Steel, Mark (3)

Panagiotidis, Theodore (3)

Cites to:

Bollerslev, Tim (114)

Andersen, Torben (73)

Molnár, Peter (66)

Diebold, Francis (64)

Patton, Andrew (56)

Engle, Robert (55)

Baumohl, Eduard (42)

Hansen, Peter (39)

Výrost, Tomáš (33)

Sheppard, Kevin (32)

Lunde, Asger (31)

Main data

Where Štefan Lyócsa has published?

Journals with more than one article published# docs
Finance Research Letters9
Physica A: Statistical Mechanics and its Applications6
Czech Journal of Economics and Finance (Finance a uver)4
Economic Modelling3
Applied Economics Letters3
Journal of International Financial Markets, Institutions and Money2
Eastern European Economics2
Applied Economics2
The North American Journal of Economics and Finance2
Applied Energy2
International Journal of Forecasting2
EconStor Open Access Articles and Book Chapters2

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 (2022 and 2021)

YearTitle of citing document
2023Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

Full description at Econpapers || Download paper

2021Portfolio optimization with idiosyncratic and systemic risks for financial networks. (2021). Han, Jihui ; Wang, Chao ; Chen, Lin ; Zhao, Longfeng ; Yang, Yajie. In: Papers. RePEc:arx:papers:2111.11286.

Full description at Econpapers || Download paper

2022Lead-lag detection and network clustering for multivariate time series with an application to the US equity market. (2022). Reinert, Gesine ; Cucuringu, Mihai ; Bennett, Stefanos. In: Papers. RePEc:arx:papers:2201.08283.

Full description at Econpapers || Download paper

2022Network analysis and Eurozone trade imbalances. (2022). Vellucci, Pierluigi ; Carnazza, Giovanni. In: Papers. RePEc:arx:papers:2209.09837.

Full description at Econpapers || Download paper

2021Asymmetric Impact of COVID-19 on Chinas Stock Market Volatility - Media Effect or Fact?. (2021). Li, Xin. In: Asian Economics Letters. RePEc:ayb:jrnael:47.

Full description at Econpapers || Download paper

2021The Influence of Uncertainty on Market Efficiency: Evidence from Selected European Financial Markets. (2021). Paskaleva, Mariya ; Stoykova, Ani. In: Economic Studies journal. RePEc:bas:econst:y:2021:i:8:p:175-198.

Full description at Econpapers || Download paper

2022Banking in the shadow of Bitcoin? The institutional adoption of cryptocurrencies. (2022). Zoss, Markus ; Orazem, Lovrenc ; Lewrick, Ulf ; Farag, Marc ; Auer, Raphael. In: BIS Working Papers. RePEc:bis:biswps:1013.

Full description at Econpapers || Download paper

2023The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57.

Full description at Econpapers || Download paper

2022Do stock markets play a role in determining COVID?19 economic stimulus? A cross?country analysis. (2022). Chaudhry, Sajid M ; Khalid, Usman ; Shafiullah, Muhammad. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:2:p:386-408.

Full description at Econpapers || Download paper

2023Banking in the Shadow of Bitcoin? The Institutional Adoption of Cryptocurrencies. (2023). Auer, Raphael A ; Zoss, Markus ; Orazem, Lovrenc ; Lewrick, Ulf ; Farag, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10355.

Full description at Econpapers || Download paper

2022Impact of European Union Social Policy during Pandemic on Household Income. (2022). Ciurea, Alina. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2022:i:3:p:117-124.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Energy storage to solve the diurnal, weekly, and seasonal mismatch and achieve zero-carbon electricity consumption in buildings. (2022). Zhang, Tao ; Liu, Xiaohua ; Kuang, Zhonghong ; Chen, QI. In: Applied Energy. RePEc:eee:appene:v:312:y:2022:i:c:s0306261922002008.

Full description at Econpapers || Download paper

2022Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment. (2022). Sensoy, Ahmet ; Almeida, Dora ; Dionisio, Andreia ; Akhtaruzzaman, MD ; Banerjee, Ameet Kumar. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:36:y:2022:i:c:s2214635022000703.

Full description at Econpapers || Download paper

2022Intraday Trading of Precious Metals Futures Using Algorithmic Systems. (2022). Gil, Cohen. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:154:y:2022:i:c:s0960077921010304.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022The impact of COVID-19 induced panic on stock market returns: A two-year experience. (2022). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio ; Cervantes, Paula. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:76:y:2022:i:c:p:1075-1097.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613.

Full description at Econpapers || Download paper

2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market. (2021). Jiang, Cuixia ; Li, Mengting ; Xu, Qifa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001224.

Full description at Econpapers || Download paper

2022Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions. (2022). Xie, Chi ; Feng, Yusen ; Wang, Gang-Jin ; Qian, Biyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000055.

Full description at Econpapers || Download paper

2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Liu, Fang ; Chen, Yajiao ; Zhou, Long ; Zhang, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432.

Full description at Econpapers || Download paper

2022The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets: Evidence from the time-frequency co-movements. (2022). Maitra, Debasish ; Dash, Saumya Ranjan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200064x.

Full description at Econpapers || Download paper

2022Multiscale features of extreme risk spillover networks among global stock markets. (2022). Zhu, Huiming ; You, Wanhai ; Zhao, Wanru ; Ren, Yinghua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001012.

Full description at Econpapers || Download paper

2022Dynamic volatility connectedness between industrial metal markets. (2022). Zhou, Zicheng ; Liu, Tangyong ; Xu, Jun ; Gong, XU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001498.

Full description at Econpapers || Download paper

2023Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723.

Full description at Econpapers || Download paper

2022Measuring the impact of digital exchange cyberattacks on Bitcoin Returns. (2022). Ah, Seung ; Milunovich, George. In: Economics Letters. RePEc:eee:ecolet:v:221:y:2022:i:c:s0165176522003676.

Full description at Econpapers || Download paper

2022Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective. (2022). Wang, Gang-Jin ; Xie, Chi ; Ling, Yu-Xiu. In: Emerging Markets Review. RePEc:eee:ememar:v:52:y:2022:i:c:s1566014122000292.

Full description at Econpapers || Download paper

2023Risk substitution in cryptocurrencies: Evidence from BRICS announcements. (2023). Pisera, Stefano ; Paltrinieri, Andrea ; Dreassi, Alberto ; Chiaramonte, Laura ; Alon, Ilan ; Goodell, John W. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122000553.

Full description at Econpapers || Download paper

2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

Full description at Econpapers || Download paper

2023Are cryptocurrencies a safe haven for stock investors? A regime-switching approach. (2023). Miu, Peter ; Li, Leon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:367-385.

Full description at Econpapers || Download paper

2021Linkages between the international crude oil market and the Chinese stock market: A BEKK-GARCH-AFD approach. (2021). Li, Jingyu ; Qian, Tao ; Liu, Ranran ; Xie, Qiwei. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003704.

Full description at Econpapers || Download paper

2022Intertemporal effects of imperfect competition through forward contracts in wholesale electricity markets. (2022). Gallego, Camilo A. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s014098832200024x.

Full description at Econpapers || Download paper

2022Energy security: Does systemic risk spillover matter? Evidence from China. (2022). Hu, Xin ; Lin, Renda ; Deng, Yuanyue ; Zhu, BO ; Chen, Pingshe. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322003930.

Full description at Econpapers || Download paper

2022Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective. (2022). Singh, Vipul Kumar ; Kumar, Pawan. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005138.

Full description at Econpapers || Download paper

2022Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model. (2022). Wang, LU ; Lai, Xiaodong ; Xia, Zhenglan ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005667.

Full description at Econpapers || Download paper

2023Attention to oil prices and its impact on the oil, gold and stock markets and their covariance. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s014098832300141x.

Full description at Econpapers || Download paper

2021Modelling the volatility of TOCOM energy futures: A regime switching realised volatility approach. (2021). Marsh, Ian W ; Huang, Chih-Yueh ; Alizadeh, Amir H. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319302063.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic. (2021). Lu, Tuantuan ; Wei, YU ; Tang, Yong ; Zhu, Pengfei. In: Energy. RePEc:eee:energy:v:231:y:2021:i:c:s036054422101197x.

Full description at Econpapers || Download paper

2022Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework. (2022). Suleman, Muhammad Tahir ; Niu, Zibo ; Liu, Yuanyuan ; Zhang, Hongwei ; Yin, Libo. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pa:s0360544221020272.

Full description at Econpapers || Download paper

2022The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021526.

Full description at Econpapers || Download paper

2022Forecasting automobile gasoline demand in Australia using machine learning-based regression. (2022). Hensher, David A ; Zhou, BO ; Li, Zheng. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pd:s0360544221025603.

Full description at Econpapers || Download paper

2021Business families in times of crises: The backbone of family firm resilience and continuity. (2021). Frank, Hermann ; Calabro, Andrea ; Suess-Reyes, Julia ; Minichilli, Alessandro. In: Journal of Family Business Strategy. RePEc:eee:fambus:v:12:y:2021:i:2:s1877858521000231.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Time-varying pattern causality inference in global stock markets. (2021). Liu, Siyao ; An, Sufang ; Gao, Xiangyun ; Wu, Tao. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001423.

Full description at Econpapers || Download paper

2021Hunting the quicksilver: Using textual news and causality analysis to predict market volatility. (2021). Dionisio, Andreia ; Banerjee, Ameet Kumar ; Mahapatra, Biplab ; Pradhan, H K. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001800.

Full description at Econpapers || Download paper

2022Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors. (2022). Downing, Gareth ; Semeyutin, Artur. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000503.

Full description at Econpapers || Download paper

2022Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach. (2022). Di, Zengru ; Tang, Renwu ; Chen, Zhihua ; Sun, Qingru ; Huang, Shupei ; Gao, Xiangyun ; Wang, ZE. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003118.

Full description at Econpapers || Download paper

2022Does investor sentiment predict bitcoin return and volatility? A quantile regression approach. (2022). Narada, P ; Ruwani, J M ; Dias, Ishanka K. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003337.

Full description at Econpapers || Download paper

2023Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136.

Full description at Econpapers || Download paper

2023Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets. (2023). Zhu, You ; Uddin, Gazi Salah ; Xie, Chi ; Feng, Yusen ; Wan, LI ; Wang, Gang-Jin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000340.

Full description at Econpapers || Download paper

2023Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence. (2023). Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521922002587.

Full description at Econpapers || Download paper

2021COVID-19 lockdowns, stimulus packages, travel bans, and stock returns. (2021). Bach, Dinh Hoang ; Narayan, Paresh Kumar ; Liu, Guangqiang. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s154461232030934x.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Impacts of COVID-19 outbreak on the spillovers between US and Chinese stock sectors. (2021). Vo, Xuan Vinh ; Mensi, Walid ; Hanif, Waqas. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612321000039.

Full description at Econpapers || Download paper

2021Brand equity and the Covid-19 stock market crash: Evidence from U.S. listed firms. (2021). Zhu, QI ; Yang, Shenggang ; Huang, Yuxuan. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000222.

Full description at Econpapers || Download paper

2021Who raised from the abyss? A comparison between cryptocurrency and stock market dynamics during the COVID-19 pandemic. (2021). Vidal-Tomas, David ; Caferra, Rocco. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000350.

Full description at Econpapers || Download paper

2021COVID-19: Fear of pandemic and short-term IPO performance. (2021). Saha, Pritam ; Mazumder, Sharif. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000581.

Full description at Econpapers || Download paper

2022Using a hedging network to minimize portfolio risk. (2022). Zareei, Abalfazl ; Moreno, David ; Mayoral, Silvia. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001252.

Full description at Econpapers || Download paper

2022COVID-19 and Tail-event Driven Network Risk in the Eurozone. (2022). Doukas, John A ; Foglia, Matteo ; Duc, Toan Luu. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001513.

Full description at Econpapers || Download paper

2022Impact of global health crisis and oil price shocks on stock markets in the GCC. (2022). Eissa, Mohamed Abdel-Aziz ; Zeitun, Rami ; al Refai, Hisham. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002117.

Full description at Econpapers || Download paper

2022COVID–19 media coverage and ESG leader indices. (2022). Umar, Zaghum ; Boubaker, Sabri ; Akhtaruzzaman, MD. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002440.

Full description at Econpapers || Download paper

2022Novel alternative assets within a transmission mechanism of volatility spillovers: The role of SPACs. (2022). Pergeris, Georgios ; Koutsokostas, Drosos ; Papathanasiou, Spyros. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005419.

Full description at Econpapers || Download paper

2022Stablecoins versus traditional cryptocurrencies in response to interbank rates. (2022). , Quan ; Anh, Thu Thi ; Nguyen, Thanh Cong ; Vu, Thai. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000654.

Full description at Econpapers || Download paper

2022Central bank speeches and digital currency competition. (2022). Scharnowski, Stefan. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003038.

Full description at Econpapers || Download paper

2022The looming crisis in the Chinese stock market? Left-tail exposure analysis of Chinese stocks to Evergrande. (2022). Vrost, Toma ; Lyocsa, Tefan ; Deev, Oleg. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003762.

Full description at Econpapers || Download paper

2022The Russo-Ukrainian war and financial markets: the role of dependence on Russian commodities. (2022). Sene, Babacar ; Bassene, Theophile ; Marcelin, Isaac ; Lo, Gaye-Del. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004007.

Full description at Econpapers || Download paper

2022The Russia-Ukraine conflict and volatility risk of commodity markets. (2022). Shao, Zhiquan ; Fang, YI. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s154461232200455x.

Full description at Econpapers || Download paper

2022The role of investor attention in global asset price variation during the invasion of Ukraine. (2022). Horvath, Matu ; Staek, Daniel ; Halouskova, Martina. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004755.

Full description at Econpapers || Download paper

2023S&P volatility, VIX, and asymptotic volatility estimates. (2023). Christie-David, Rohan ; Chatrath, Arjun ; Bonaparte, Yosef. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005694.

Full description at Econpapers || Download paper

2023Which component of air quality index drives stock price volatility in China: a decomposition-based forecasting method. (2023). Wu, Rui ; Peng, Lijuan ; Zhang, LI ; Yu, Jize. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005839.

Full description at Econpapers || Download paper

2023Climate policy uncertainty and stock market volatility: Evidence from different sectors. (2023). Li, Bin ; Lv, Wendai. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006821.

Full description at Econpapers || Download paper

2023Introducing the Cryptocurrency VIX: CVIX?. (2023). Bonaparte, Yosef. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000867.

Full description at Econpapers || Download paper

2023Climate risks and realized volatility of major commodity currency exchange rates. (2023). GUPTA, RANGAN ; Pierdzioch, Christian ; Cepni, Oguzhan ; Bonato, Matteo. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000519.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness. (2022). Angelini, Eliana ; Addi, Abdelhamid ; Foglia, Matteo. In: Global Finance Journal. RePEc:eee:glofin:v:51:y:2022:i:c:s1044028321000752.

Full description at Econpapers || Download paper

2022Euclidean (dis)similarity in financial network analysis. (2022). Esmalifalak, Hamidreza. In: Global Finance Journal. RePEc:eee:glofin:v:53:y:2022:i:c:s1044028321000144.

Full description at Econpapers || Download paper

2022Pandemic-induced fear and stock market returns: Evidence from China. (2022). Fang, Tong ; Liu, Peng ; Su, Zhi. In: Global Finance Journal. RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000429.

Full description at Econpapers || Download paper

2023Heterogenous responses of stock markets to covid related news and sentiments: Evidence from the 1st year of pandemic. (2023). Wohar, Mark ; Kamal, Javed Bin. In: International Economics. RePEc:eee:inteco:v:173:y:2023:i:c:p:68-85.

Full description at Econpapers || Download paper

2022Does the world smile together? A network analysis of global index option implied volatilities. (2022). Tang, Jing ; Ryu, Doojin ; Han, Qian ; Chen, Jing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443121002018.

Full description at Econpapers || Download paper

2022The size of good and bad volatility shocks does matter for spillovers. (2022). Bouri, Elie ; Harb, Etienne. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001020.

Full description at Econpapers || Download paper

2023The connectedness between meme tokens, meme stocks, and other asset classes: Evidence from a quantile connectedness approach. (2023). Yousaf, Imran ; Goodell, John W ; Pham, Linh. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001664.

Full description at Econpapers || Download paper

2023European stock market volatility connectedness: The role of country and sector membership. (2023). Uribe, Jorge ; Guillen, Montserrat ; Vidal-Llana, Xenxo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001688.

Full description at Econpapers || Download paper

2023Which COVID-19 information really impacts stock markets?. (2023). Brzeszczynski, Janusz ; Brzeszczyski, Janusz ; Bwanya, Princess Rutendo ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443122000749.

Full description at Econpapers || Download paper

2023Cryptocurrency regulation and market quality. (2023). Clancey-Shang, Danjue ; Griffith, Todd. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000124.

Full description at Econpapers || Download paper

2022Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models. (2022). Hou, Chenghan ; Ji, Qiang ; Klein, Tony ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:51-73.

Full description at Econpapers || Download paper

2021Feverish sentiment and global equity markets during the COVID-19 pandemic. (2021). Foglia, Matteo ; Duc, Toan Luu ; Angelini, Eliana ; Nasir, Muhammad Ali. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:188:y:2021:i:c:p:1088-1108.

Full description at Econpapers || Download paper

2022High policy uncertainty and low implied market volatility: An academic puzzle?. (2022). Wei, Xiaopeng ; Dang, Huong Dieu ; Biakowski, Jdrzej. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:3:p:1185-1208.

Full description at Econpapers || Download paper

2021The dynamics of oil on China’s commodity sectors: What can we learn from a quantile perspective?. (2021). Wu, Bi-Bo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:23:y:2021:i:c:s2405851320300350.

Full description at Econpapers || Download paper

2022An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting. (2022). Wang, Shixuan ; Liu, Zhenya ; Han, Xuyuan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000222.

Full description at Econpapers || Download paper

2022Does the Russia-Ukraine war lead to currency asymmetries? A US dollar tale. (2022). Pandey, Dharen ; Chortane, Sana Gaied. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000263.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Can dimensional reduction technology make better use of the information of uncertainty indices when predicting volatility of Chinese crude oil futures?. (2022). Chen, Zhonglu ; Li, Xiafei ; Bai, Jiancheng ; Yan, Xiang. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005286.

Full description at Econpapers || Download paper

2022Impact of Russian-Ukraine war on clean energy, conventional energy, and metal markets: Evidence from event study approach. (2022). Yousaf, Imran ; Riaz, Yasir ; Umar, Muhammad. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004093.

Full description at Econpapers || Download paper

2022Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis. (2022). Kang, Sang Hoon ; Vo, Xuan Vinh ; Alomari, Mohammad ; al Rababa, Abdel Razzaq ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004196.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Štefan Lyócsa:

YearTitleTypeCited
2014Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment In: Papers.
[Full Text][Citation analysis]		paper36
2015Granger causality stock market networks: Temporal proximity and preferential attachment.(2015) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36		article
2015Return spillovers around the globe: A network approach In: Papers.
[Full Text][Citation analysis]		paper13
2019Return spillovers around the globe: A network approach.(2019) In: Economic Modelling.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		article
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]		paper26
2018Networks of volatility spillovers among stock markets.(2018) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		article
2016Networks of volatility spillovers among stock markets.(2016) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		paper
2021Predicting risk in energy markets: Low-frequency data still matter In: Applied Energy.
[Full Text][Citation analysis]		article5
2021Residual electricity demand: An empirical investigation In: Applied Energy.
[Full Text][Citation analysis]		article5
2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article23
2014Volatility and dynamic conditional correlations of worldwide emerging and frontier markets In: Economic Modelling.
[Full Text][Citation analysis]		article14
2014Growth-returns nexus: Evidence from three Central and Eastern European countries In: Economic Modelling.
[Full Text][Citation analysis]		article4
2019Network-based asset allocation strategies In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article10
2018Network-based asset allocation strategies.(2018) In: EconStor Preprints.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2019Asymmetric volatility in equity markets around the world In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article9
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
2021What drives volatility of the U.S. oil and gas firms? In: Energy Economics.
[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]		article12
2017Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis In: Finance Research Letters.
[Full Text][Citation analysis]		article17
2017Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis.(2017) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		paper
2017The effect of non-trading days on volatility forecasts in equity markets In: Finance Research Letters.
[Full Text][Citation analysis]		article3
2020Stock market oscillations during the corona crash: The role of fear and uncertainty In: Finance Research Letters.
[Full Text][Citation analysis]		article16
2020Fear of the coronavirus and the stock markets In: Finance Research Letters.
[Full Text][Citation analysis]		article23
2020Fear of the coronavirus and the stock markets.(2020) In: EconStor Preprints.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2021A tale of tails : New evidence on the growth-return nexus In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2021FX market volatility modelling: Can we use low-frequency data? In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2022YOLO trading: Riding with the herd during the GameStop episode In: Finance Research Letters.
[Full Text][Citation analysis]		article4
2021YOLO trading: Riding with the herd during the GameStop episode.(2021) In: EconStor Preprints.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2022Return adjusted charge ratios: What drives fees and costs of pension schemes? In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2022Russia’s ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention In: Finance Research Letters.
[Full Text][Citation analysis]		article9
2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations? In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article14
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
2020Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks? In: International Journal of Forecasting.
[Full Text][Citation analysis]		article5
2021Stock market volatility forecasting: Do we need high-frequency data? In: International Journal of Forecasting.
[Full Text][Citation analysis]		article5
2012Stock market networks: The dynamic conditional correlation approach In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article15
2018Scale-free distribution of firm-size distribution in emerging economies In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article2
2019Interconnectedness of international tourism demand in Europe: A cross-quantilogram network approach In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article0
2020Connectedness of financial institutions in Europe: A network approach across quantiles In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article13
2021Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter? In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article1
2020What drives U.S. financial sector volatility? A Bayesian model averaging perspective In: Research in International Business and Finance.
[Full Text][Citation analysis]		article0
2022Nominal and discretionary household income convergence: The effect of a crisis in a small open economy In: Structural Change and Economic Dynamics.
[Full Text][Citation analysis]		article1
2011Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]		article1
2013Determinants of Commercial Banks’ Efficiency: Evidence from 11 CEE Countries In: Czech Journal of Economics and Finance (Finance a uver).
[Full Text][Citation analysis]		article7
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]		article3
2010Industry Concentration Dynamics and Structural Changes: The Case of Aerospace & Defence In: Working Papers IES.
[Full Text][Citation analysis]		paper0
2018Stock Market Contagion: a New Approach In: Open Economies Review.
[Full Text][Citation analysis]		article2
2011The Stock Markets and Real Economic Activity In: Eastern European Economics.
[Full Text][Citation analysis]		article3
2022New Credit Drivers: Results from a Small Open Economy In: Eastern European Economics.
[Full Text][Citation analysis]		article0
2016Stock Market Contagion in Central and Eastern Europe: Unexpected Volatility and Extreme Co-exceedance In: Working Papers.
[Full Text][Citation analysis]		paper5
2018Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance.(2018) In: The European Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2009Stationarity of time series and the problem of spurious regression In: MPRA Paper.
[Full Text][Citation analysis]		paper4
2011On the relationship of persistence and number of breaks in volatility: new evidence for three CEE countries In: MPRA Paper.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper1
2011The instability of the correlation structure of the S&P 500 In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2012Breakdowns and revivals: the long-run relationship between the stock market and real economic activity in the G-7 countries In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2012Stock returns and real activity: the dynamic conditional lagged correlation approach In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2012Constructing weekly returns based on daily stock market data: A puzzle for empirical research? In: MPRA Paper.
[Full Text][Citation analysis]		paper1
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
2022Default or profit scoring credit systems? Evidence from European and US peer-to-peer lending markets In: Financial Innovation.
[Full Text][Citation analysis]		article0
2011Shift contagion with endogenously detected volatility breaks: the case of CEE stock markets In: Applied Economics Letters.
[Full Text][Citation analysis]		article2
2019Social aspirations in European banks: peer-influenced risk behaviour In: Applied Economics Letters.
[Full Text][Citation analysis]		article0
2018Social aspirations in European banks: peer-influenced risk behavior.(2018) In: EconStor Preprints.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2020Quantile dependence of tourism activity between Southern European countries 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]		article1
2018To bet or not to bet: a reality check for tennis betting market efficiency In: Applied Economics.
[Full Text][Citation analysis]		article2
2016Volatility forecasting of strategically linked commodity ETFs: gold-silver In: Quantitative Finance.
[Full Text][Citation analysis]		article6
2019Impact of wind and solar production on electricity prices: Quantile regression approach In: Journal of the Operational Research Society.
[Full Text][Citation analysis]		article3
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 and Book Chapters.
[Full Text][Citation analysis]		article1
2013What Drives the Stock Market Integration in the CEE-3? In: EconStor Open Access Articles and Book Chapters.
[Full Text][Citation analysis]		article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 3 2023. Contact: CitEc Team