Details about Štefan Lyócsa

Access statistics for papers by Štefan Lyócsa.

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Short-id: ply50

Working Papers

2021

1. YOLO trading: Riding with the herd during the GameStop episode
   EconStor Preprints, ZBW - Leibniz Information Centre for Economics View citations (2)
   See also Journal Article YOLO trading: Riding with the herd during the GameStop episode, Finance Research Letters, Elsevier (2022) View citations (8) (2022)

2020

2. Fear of the coronavirus and the stock markets
   EconStor Preprints, ZBW - Leibniz Information Centre for Economics View citations (31)
   See also Journal Article Fear of the coronavirus and the stock markets, Finance Research Letters, Elsevier (2020) View citations (35) (2020)

2018

3. Network-based asset allocation strategies
   EconStor Preprints, ZBW - Leibniz Information Centre for Economics
   See also Journal Article Network-based asset allocation strategies, The North American Journal of Economics and Finance, Elsevier (2019) View citations (16) (2019)
4. Social aspirations in European banks: peer-influenced risk behavior
   EconStor Preprints, ZBW - Leibniz Information Centre for Economics
   See also Journal Article Social aspirations in European banks: peer-influenced risk behaviour, Applied Economics Letters, Taylor & Francis Journals (2019) (2019)

2017

5. Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis
   MPRA Paper, University Library of Munich, Germany View citations (22)
   See also Journal Article Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis, Finance Research Letters, Elsevier (2017) View citations (22) (2017)
6. Networks of Volatility Spillovers among Stock Markets
   CESifo Working Paper Series, CESifo
   Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2016) View citations (2)
   See also Journal Article Networks of volatility spillovers among stock markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (32) (2018)

2016

7. Stock Market Contagion in Central and Eastern Europe: Unexpected Volatility and Extreme Co-exceedance
   Working Papers, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies)
   See also Journal Article Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance, The European Journal of Finance, Taylor & Francis Journals (2018) View citations (8) (2018)

2015

8. Predicting changes in the output of OECD countries: An international network perspective
   MPRA Paper, University Library of Munich, Germany
9. Return spillovers around the globe: A network approach
   Papers, arXiv.org View citations (2)
   See also Journal Article Return spillovers around the globe: A network approach, Economic Modelling, Elsevier (2019) View citations (13) (2019)

2014

10. Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment
    Papers, arXiv.org View citations (3)
    See also Journal Article Granger causality stock market networks: Temporal proximity and preferential attachment, Physica A: Statistical Mechanics and its Applications, Elsevier (2015) View citations (48) (2015)
11. How smooth is the stock market integration of CEE-3?
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan View citations (1)

2013

12. Volatility and dynamic conditional correlations of European emerging stock markets
    MPRA Paper, University Library of Munich, Germany View citations (1)

2012

13. Breakdowns and revivals: the long-run relationship between the stock market and real economic activity in the G-7 countries
    MPRA Paper, University Library of Munich, Germany
14. Constructing weekly returns based on daily stock market data: A puzzle for empirical research?
    MPRA Paper, University Library of Munich, Germany View citations (5)
15. Stock returns and real activity: the dynamic conditional lagged correlation approach
    MPRA Paper, University Library of Munich, Germany
16. Testing the covariance stationarity of CEE stocks
    MPRA Paper, University Library of Munich, Germany View citations (2)

2011

17. Are we able to capture the EU debt crisis? Evidence from PIIGGS countries in panel unit root framework
    MPRA Paper, University Library of Munich, Germany View citations (1)
18. On the relationship of persistence and number of breaks in volatility: new evidence for three CEE countries
    MPRA Paper, University Library of Munich, Germany View citations (2)
19. The instability of the correlation structure of the S&P 500
    MPRA Paper, University Library of Munich, Germany
20. Unit-root and stationarity testing with empirical application on industrial production of CEE-4 countries
    MPRA Paper, University Library of Munich, Germany View citations (4)

2010

21. Industry Concentration Dynamics and Structural Changes: The Case of Aerospace & Defence
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

2009

22. Stationarity of time series and the problem of spurious regression
    MPRA Paper, University Library of Munich, Germany View citations (10)

Journal Articles

2024

1. Forecasting of clean energy market volatility: The role of oil and the technology sector
   Energy Economics, 2024, 132, (C) View citations (1)
2. The tipping point of electricity price attention: When a problem becomes a problem
   Economics Letters, 2024, 235, (C)

2023

3. The US banking crisis in 2023: Intraday attention and price variation of banks at risk
   Finance Research Letters, 2023, 57, (C) View citations (3)

2022

4. Default or profit scoring credit systems? Evidence from European and US peer-to-peer lending markets
   Financial Innovation, 2022, 8, (1), 1-21 View citations (5)
5. New Credit Drivers: Results from a Small Open Economy
   Eastern European Economics, 2022, 60, (1), 79-112 View citations (1)
6. Nominal and discretionary household income convergence: The effect of a crisis in a small open economy
   Structural Change and Economic Dynamics, 2022, 61, (C), 18-31 View citations (1)
7. Return adjusted charge ratios: What drives fees and costs of pension schemes?
   Finance Research Letters, 2022, 48, (C)
8. Russia’s ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention
   Finance Research Letters, 2022, 48, (C) View citations (11)
9. The looming crisis in the Chinese stock market? Left-tail exposure analysis of Chinese stocks to Evergrande
   Finance Research Letters, 2022, 49, (C) View citations (2)
10. YOLO trading: Riding with the herd during the GameStop episode
    Finance Research Letters, 2022, 46, (PA) View citations (8)
    See also Working Paper YOLO trading: Riding with the herd during the GameStop episode, EconStor Preprints (2021) View citations (2) (2021)

2021

11. A tale of tails: New evidence on the growth-return nexus
    Finance Research Letters, 2021, 38, (C) View citations (3)
12. FX market volatility modelling: Can we use low-frequency data?
    Finance Research Letters, 2021, 40, (C) View citations (3)
13. Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?
    International Review of Economics & Finance, 2021, 71, (C), 811-829 View citations (7)
14. Predicting risk in energy markets: Low-frequency data still matter
    Applied Energy, 2021, 282, (PA) View citations (7)
15. Residual electricity demand: An empirical investigation
    Applied Energy, 2021, 283, (C) View citations (5)
16. Stock market volatility forecasting: Do we need high-frequency data?
    International Journal of Forecasting, 2021, 37, (3), 1092-1110 View citations (17)
17. What drives volatility of the U.S. oil and gas firms?
    Energy Economics, 2021, 100, (C) View citations (3)

2020

18. Connectedness of financial institutions in Europe: A network approach across quantiles
    Physica A: Statistical Mechanics and its Applications, 2020, 550, (C) View citations (17)
19. Fear of the coronavirus and the stock markets
    Finance Research Letters, 2020, 36, (C) View citations (35)
    See also Working Paper Fear of the coronavirus and the stock markets, EconStor Preprints (2020) View citations (31) (2020)
20. Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
    Journal of Economic Dynamics and Control, 2020, 119, (C) View citations (48)
21. Quantile dependence of tourism activity between Southern European countries
    Applied Economics Letters, 2020, 27, (3), 206-212 View citations (1)
22. Stock market oscillations during the corona crash: The role of fear and uncertainty
    Finance Research Letters, 2020, 36, (C) View citations (20)
23. Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?
    International Journal of Forecasting, 2020, 36, (2), 628-645 View citations (13)
24. What drives U.S. financial sector volatility? A Bayesian model averaging perspective
    Research in International Business and Finance, 2020, 51, (C)

2019

25. Asymmetric volatility in equity markets around the world
    The North American Journal of Economics and Finance, 2019, 48, (C), 540-554 View citations (20)
26. Central bank announcements and realized volatility of stock markets in G7 countries
    Journal of International Financial Markets, Institutions and Money, 2019, 58, (C), 117-135 View citations (1)
27. Impact of wind and solar production on electricity prices: Quantile regression approach
    Journal of the Operational Research Society, 2019, 70, (10), 1752-1768 View citations (6)
28. Interconnectedness of international tourism demand in Europe: A cross-quantilogram network approach
    Physica A: Statistical Mechanics and its Applications, 2019, 526, (C)
29. Network-based asset allocation strategies
    The North American Journal of Economics and Finance, 2019, 47, (C), 516-536 View citations (16)
    See also Working Paper Network-based asset allocation strategies, EconStor Preprints (2018) (2018)
30. Return spillovers around the globe: A network approach
    Economic Modelling, 2019, 77, (C), 133-146 View citations (13)
    See also Working Paper Return spillovers around the globe: A network approach, Papers (2015) View citations (2) (2015)
31. Social aspirations in European banks: peer-influenced risk behaviour
    Applied Economics Letters, 2019, 26, (6), 473-479
    See also Working Paper Social aspirations in European banks: peer-influenced risk behavior, EconStor Preprints (2018) (2018)

2018

32. Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds
    Energy, 2018, 155, (C), 462-473 View citations (20)
33. Networks of volatility spillovers among stock markets
    Physica A: Statistical Mechanics and its Applications, 2018, 490, (C), 1555-1574 View citations (32)
    See also Working Paper Networks of Volatility Spillovers among Stock Markets, CESifo Working Paper Series (2017) (2017)
34. Scale-free distribution of firm-size distribution in emerging economies
    Physica A: Statistical Mechanics and its Applications, 2018, 508, (C), 501-505 View citations (3)
35. Stock Market Contagion: a New Approach
    Open Economies Review, 2018, 29, (3), 547-577 View citations (4)
36. Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance
    The European Journal of Finance, 2018, 24, (5), 391-412 View citations (8)
    See also Working Paper Stock Market Contagion in Central and Eastern Europe: Unexpected Volatility and Extreme Co-exceedance, Working Papers (2016) (2016)
37. To bet or not to bet: a reality check for tennis betting market efficiency
    Applied Economics, 2018, 50, (20), 2251-2272 View citations (3)

2017

38. Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis
    Finance Research Letters, 2017, 23, (C), 152-164 View citations (22)
    See also Working Paper Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis, MPRA Paper (2017) View citations (22) (2017)
39. The effect of non-trading days on volatility forecasts in equity markets
    Finance Research Letters, 2017, 23, (C), 39-49 View citations (6)
40. Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?
    Journal of International Financial Markets, Institutions and Money, 2017, 51, (C), 228-247 View citations (22)

2016

41. Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland
    Czech Journal of Economics and Finance (Finance a uver), 2016, 66, (5), 453-475 View citations (7)
42. Volatility forecasting of strategically linked commodity ETFs: gold-silver
    Quantitative Finance, 2016, 16, (12), 1809-1822 View citations (12)
43. What drives intermediation costs? A case of tennis betting market
    Applied Economics, 2016, 48, (22), 2037-2053 View citations (2)

2015

44. Granger causality stock market networks: Temporal proximity and preferential attachment
    Physica A: Statistical Mechanics and its Applications, 2015, 427, (C), 262-276 View citations (48)
    See also Working Paper Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment, Papers (2014) View citations (3) (2014)
45. Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs
    Economic Systems, 2015, 39, (2), 253-268 View citations (1)

2014

46. Growth-returns nexus: Evidence from three Central and Eastern European countries
    Economic Modelling, 2014, 42, (C), 343-355 View citations (5)
47. Risk-Return Convergence in CEE Stock Markets: Structural Breaks and Market Volatility
    Czech Journal of Economics and Finance (Finance a uver), 2014, 64, (5), 352-373 View citations (1)
48. Stability of the “returns-growth” relationship in G7: The dynamic conditional lagged correlation approach
    Borsa Istanbul Review, 2014, 14, (1), 48-56
49. Volatility and dynamic conditional correlations of worldwide emerging and frontier markets
    Economic Modelling, 2014, 38, (C), 175-183 View citations (19)

2013

50. Determinants of Commercial Banks’ Efficiency: Evidence from 11 CEE Countries
    Czech Journal of Economics and Finance (Finance a uver), 2013, 63, (2), 152-179 View citations (7)
51. What Drives the Stock Market Integration in the CEE-3?
    EconStor Open Access Articles and Book Chapters, 2013, 61, (1), 67-81 View citations (1)

2012

52. Stock market networks: The dynamic conditional correlation approach
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (16), 4147-4158 View citations (23)
53. The Real Convergence of CEE Countries: A Study of Real GDP per capita
    EconStor Open Access Articles and Book Chapters, 2012, 60, (6), 642-656 View citations (1)

2011

54. Shift contagion with endogenously detected volatility breaks: the case of CEE stock markets
    Applied Economics Letters, 2011, 18, (12), 1103-1109 View citations (8)
55. The Stock Markets and Real Economic Activity
    Eastern European Economics, 2011, 49, (4), 6-23 View citations (5)
56. Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group
    Czech Journal of Economics and Finance (Finance a uver), 2011, 61, (6), 530-544 View citations (2)