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Details about Štefan Lyócsa

E-mail:
Postal address:Faculty of Management, University of Prešov, Konštantínova 16, 08001 Prešov, Slovakia
Workplace:Fakulta Manažmentu (Faculty of Management), Prešovská Univerzita (Presov University), (more information at EDIRC)
Ekonomicko-správní fakulta (Faculty of Economics and Business Administration), Masarykova Univerzita (Masaryk University), (more information at EDIRC)

Access statistics for papers by Štefan Lyócsa.

Last updated 2021-04-08. Update your information in the RePEc Author Service.

Short-id: ply50


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Working Papers

2021

  1. YOLO trading: Riding with the herd during the GameStop episode
    EconStor Preprints, ZBW - Leibniz Information Centre for Economics Downloads

2020

  1. Fear of the coronavirus and the stock markets
    EconStor Preprints, ZBW - Leibniz Information Centre for Economics Downloads View citations (3)
    See also Journal Article in Finance Research Letters (2020)

2018

  1. Network-based asset allocation strategies
    EconStor Preprints, ZBW - Leibniz Information Centre for Economics Downloads
    See also Journal Article in The North American Journal of Economics and Finance (2019)
  2. Social aspirations in European banks: peer-influenced risk behavior
    EconStor Preprints, ZBW - Leibniz Information Centre for Economics Downloads
    See also Journal Article in Applied Economics Letters (2019)

2017

  1. Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Finance Research Letters (2017)
  2. Networks of Volatility Spillovers among Stock Markets
    CESifo Working Paper Series, CESifo Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2016) Downloads View citations (1)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)

2016

  1. 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) Downloads
    See also Journal Article in The European Journal of Finance (2018)

2015

  1. Predicting changes in the output of OECD countries: An international network perspective
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Return spillovers around the globe: A network approach
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Economic Modelling (2019)

2014

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

2013

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

2012

  1. 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 Downloads
  2. Constructing weekly returns based on daily stock market data: A puzzle for empirical research?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
  3. Stock returns and real activity: the dynamic conditional lagged correlation approach
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Testing the covariance stationarity of CEE stocks
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2011

  1. 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 Downloads
  2. On the relationship of persistence and number of breaks in volatility: new evidence for three CEE countries
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  3. The instability of the correlation structure of the S&P 500
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Unit-root and stationarity testing with empirical application on industrial production of CEE-4 countries
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2010

  1. 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 Downloads

2009

  1. Stationarity of time series and the problem of spurious regression
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)

Journal Articles

2021

  1. A tale of tails: New evidence on the growth-return nexus
    Finance Research Letters, 2021, 38, (C) Downloads
  2. Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?
    International Review of Economics & Finance, 2021, 71, (C), 811-829 Downloads
  3. Predicting risk in energy markets: Low-frequency data still matter
    Applied Energy, 2021, 282, (PA) Downloads View citations (1)
  4. Residual electricity demand: An empirical investigation
    Applied Energy, 2021, 283, (C) Downloads

2020

  1. Connectedness of financial institutions in Europe: A network approach across quantiles
    Physica A: Statistical Mechanics and its Applications, 2020, 550, (C) Downloads View citations (2)
  2. Fear of the coronavirus and the stock markets
    Finance Research Letters, 2020, 36, (C) Downloads View citations (3)
    See also Working Paper (2020)
  3. Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
    Journal of Economic Dynamics and Control, 2020, 119, (C) Downloads
  4. Quantile dependence of tourism activity between Southern European countries
    Applied Economics Letters, 2020, 27, (3), 206-212 Downloads View citations (1)
  5. Stock market oscillations during the corona crash: The role of fear and uncertainty
    Finance Research Letters, 2020, 36, (C) Downloads View citations (2)
  6. 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 Downloads View citations (1)
  7. What drives U.S. financial sector volatility? A Bayesian model averaging perspective
    Research in International Business and Finance, 2020, 51, (C) Downloads

2019

  1. Asymmetric volatility in equity markets around the world
    The North American Journal of Economics and Finance, 2019, 48, (C), 540-554 Downloads View citations (5)
  2. 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 Downloads
  3. Impact of wind and solar production on electricity prices: Quantile regression approach
    Journal of the Operational Research Society, 2019, 70, (10), 1752-1768 Downloads
  4. Interconnectedness of international tourism demand in Europe: A cross-quantilogram network approach
    Physica A: Statistical Mechanics and its Applications, 2019, 526, (C) Downloads
  5. Network-based asset allocation strategies
    The North American Journal of Economics and Finance, 2019, 47, (C), 516-536 Downloads View citations (1)
    See also Working Paper (2018)
  6. Return spillovers around the globe: A network approach
    Economic Modelling, 2019, 77, (C), 133-146 Downloads View citations (5)
    See also Working Paper (2015)
  7. Social aspirations in European banks: peer-influenced risk behaviour
    Applied Economics Letters, 2019, 26, (6), 473-479 Downloads
    See also Working Paper (2018)

2018

  1. Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds
    Energy, 2018, 155, (C), 462-473 Downloads
  2. Networks of volatility spillovers among stock markets
    Physica A: Statistical Mechanics and its Applications, 2018, 490, (C), 1555-1574 Downloads View citations (15)
    See also Working Paper (2017)
  3. Scale-free distribution of firm-size distribution in emerging economies
    Physica A: Statistical Mechanics and its Applications, 2018, 508, (C), 501-505 Downloads
  4. Stock Market Contagion: a New Approach
    Open Economies Review, 2018, 29, (3), 547-577 Downloads
  5. Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance
    The European Journal of Finance, 2018, 24, (5), 391-412 Downloads View citations (4)
    See also Working Paper (2016)
  6. To bet or not to bet: a reality check for tennis betting market efficiency
    Applied Economics, 2018, 50, (20), 2251-2272 Downloads

2017

  1. Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis
    Finance Research Letters, 2017, 23, (C), 152-164 Downloads View citations (4)
    See also Working Paper (2017)
  2. The effect of non-trading days on volatility forecasts in equity markets
    Finance Research Letters, 2017, 23, (C), 39-49 Downloads
  3. Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?
    Journal of International Financial Markets, Institutions and Money, 2017, 51, (C), 228-247 Downloads View citations (11)

2016

  1. 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 Downloads View citations (6)
  2. Volatility forecasting of strategically linked commodity ETFs: gold-silver
    Quantitative Finance, 2016, 16, (12), 1809-1822 Downloads View citations (2)
  3. What drives intermediation costs? A case of tennis betting market
    Applied Economics, 2016, 48, (22), 2037-2053 Downloads View citations (1)

2015

  1. Granger causality stock market networks: Temporal proximity and preferential attachment
    Physica A: Statistical Mechanics and its Applications, 2015, 427, (C), 262-276 Downloads View citations (23)
    See also Working Paper (2014)
  2. 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 Downloads View citations (1)

2014

  1. Growth-returns nexus: Evidence from three Central and Eastern European countries
    Economic Modelling, 2014, 42, (C), 343-355 Downloads
  2. 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 Downloads View citations (1)
  3. Stability of the “returns-growth” relationship in G7: The dynamic conditional lagged correlation approach
    Borsa Istanbul Review, 2014, 14, (1), 48-56 Downloads
  4. Volatility and dynamic conditional correlations of worldwide emerging and frontier markets
    Economic Modelling, 2014, 38, (C), 175-183 Downloads View citations (14)

2013

  1. Determinants of Commercial Banks’ Efficiency: Evidence from 11 CEE Countries
    Czech Journal of Economics and Finance (Finance a uver), 2013, 63, (2), 152-179 Downloads View citations (5)
  2. What Drives the Stock Market Integration in the CEE-3?
    EconStor Open Access Articles, 2013, 67-81 Downloads View citations (1)

2012

  1. Stock market networks: The dynamic conditional correlation approach
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (16), 4147-4158 Downloads View citations (15)
  2. The Real Convergence of CEE Countries: A Study of Real GDP per capita
    EconStor Open Access Articles, 2012, 642-656 Downloads

2011

  1. Shift contagion with endogenously detected volatility breaks: the case of CEE stock markets
    Applied Economics Letters, 2011, 18, (12), 1103-1109 Downloads View citations (5)
  2. The Stock Markets and Real Economic Activity
    Eastern European Economics, 2011, 49, (4), 6-23 Downloads View citations (2)
  3. 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 Downloads View citations (1)
 
Page updated 2021-04-13