Stefan Lyocsa

Masaryk University - Department of finance

Lipova 41a

Brno, 60200

Czech Republic

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 35,031

SSRN RANKINGS

Top 35,031

in Total Papers Downloads

1,520

SSRN CITATIONS

4

CROSSREF CITATIONS

7

Scholarly Papers (16)

1.

Stationarity of Time Series and the Problem of Spurious Regression

Number of pages: 15 Posted: 16 Oct 2009 Last Revised: 02 Nov 2009
Eduard Baumohl and Stefan Lyocsa
University of Economics in Bratislava and Masaryk University - Department of finance
Downloads 461 (71,607)
Citation 3

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stationarity, time series data, various unit root tests, spurious regression, the R-squared and the Durbin – Watson statistics rule of thumb, CEE stock markets

2.

Industry Classification: Review, Hurdles and Methodologies

Number of pages: 14 Posted: 06 Oct 2009 Last Revised: 10 Jan 2011
Stefan Lyocsa and Tomas Vyrost
Masaryk University - Department of finance and University of Economics in Bratislava
Downloads 214 (164,165)

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Industry classification, SIC, NAICS, GICS, NACE, relational vector space model, stock markets

3.

Unit-Root and Stationarity Testing with Empirical Application on Industrial Production of CEE-4 Countries

Number of pages: 29 Posted: 18 Mar 2011
Stefan Lyocsa, Tomas Vyrost and Eduard Baumohl
Masaryk University - Department of finance, University of Economics in Bratislava and University of Economics in Bratislava
Downloads 149 (225,711)
Citation 1

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Unit-Root, Stationarity, Simulation based unit root tests

4.

Finding Support for Innovations in Quality Improvement Initiatives: Hidden Costs and Benefits

Number of pages: 10 Posted: 04 Nov 2009 Last Revised: 29 Jul 2014
Michal Tkac and Stefan Lyocsa
University of Economics in Bratislava - Faculty of Business Economics and Masaryk University - Department of finance
Downloads 122 (264,109)

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hidden costs, innovations, cost benefit analysis, cost of quality, Six Sigma

5.

Volatility Forecasting of Strategically Linked Commodity ETFs: Gold - Silver

Number of pages: 21 Posted: 09 Sep 2016 Last Revised: 11 Sep 2016
Stefan Lyocsa and Peter Molnár
Masaryk University - Department of finance and University of Stavanger
Downloads 118 (270,545)
Citation 1

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realized volatility, forecasting, gold, silver, ETF

6.

The Effect of Non-Trading Days on Volatility Forecasts in Equity Markets

Forthcoming, Finance Research Letters
Number of pages: 19 Posted: 15 Jul 2017
Stefan Lyocsa and Peter Molnár
Masaryk University - Department of finance and University of Stavanger
Downloads 89 (326,897)

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realized volatility, volatility forecasting, non-trading days

7.

Networks of Volatility Spillovers Among Stock Markets

CESifo Working Paper Series No. 6476
Number of pages: 34 Posted: 13 Jun 2017
University of Economics in Bratislava, Charles University in Prague - Institute of Economic Studies, Masaryk University - Department of finance and University of Economics in Bratislava
Downloads 85 (336,386)
Citation 1

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Volatility Spillovers, Stock Markets, Shock Transmission, Granger Causality Network, Spatial Regression, Financial Crisis

8.

On the Relationship of Persistence and Number of Breaks in Volatility: New Evidence for Three CEE Countries

Number of pages: 9 Posted: 09 Jan 2011
Tomas Vyrost, Eduard Baumohl and Stefan Lyocsa
University of Economics in Bratislava, University of Economics in Bratislava and Masaryk University - Department of finance
Downloads 67 (384,926)
Citation 1

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volatility persistence, GARCH model, ICSS procedure, CEE stock markets

9.

Measuring Web Searching Task Efficiency: An Imprecise Data Envelopment Analysis Approach

Number of pages: 12 Posted: 02 Apr 2012
Masaryk University - Department of finance, University of Economics in Bratislava - Faculty of Business Economics, University of Economics in Bratislava and University of Economics in Bratislava
Downloads 56 (420,886)

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web searching, web searching efficiency, data envelopment analysis, imprecise data envelopment analysis, web searching task types

10.

Volatility Forecasting of Non-Ferrous Metal Futures: Covariances, Covariates or Combinations?

Number of pages: 35 Posted: 22 Sep 2017
Stefan Lyocsa, Peter Molnár and Neda Todorova
Masaryk University - Department of finance, University of Stavanger and Griffith University
Downloads 43 (470,847)
Citation 1

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Industrial metals, LME futures market, Volatility forecasting, Multivariate HAR, Volatility spillovers, Bayesian model averaging

11.

Exploiting Dependence: Day-Ahead Volatility Forecasting for Crude Oil and Natural Gas Exchange-Traded Funds

Number of pages: 25 Posted: 24 May 2018
Stefan Lyocsa and Peter Molnár
Masaryk University - Department of finance and University of Stavanger
Downloads 37 (497,505)

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oil, natural gas, volatility forecasting, high-frequency data, ETF

12.

Asymmetric Volatility in Equity Markets Around the World

Forthcoming in North American Journal of Economics and Finance
Number of pages: 31 Posted: 08 Aug 2018
University of Stavanger - Business School, Masaryk University - Department of finance, University of Stavanger and University of Stavanger
Downloads 35 (506,931)
Citation 1

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asymmetric volatility, high-frequency, realized volatility, HAR, GARCH, forecasting

13.

Default or Profit Scoring Credit Systems? Evidence from an Emerging High-Risk P2P Loan Market.

Number of pages: 42 Posted: 10 Sep 2020
Stefan Lyocsa and Petra Vašaničová
Masaryk University - Department of finance and University of Prešov
Downloads 18 (607,598)

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profit scoring; credit scoring; financial intermediation; P2P; fintech;

14.

Impact of Wind and Solar Production on Electricity Prices: Quantile Regression Approach

Number of pages: 38 Posted: 13 Aug 2019
University of Science and Technology (NTNU), Masaryk University - Department of finance and University of Stavanger
Downloads 16 (620,957)

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price modelling, wind, solar, renewables, quantile regression

15.

Central Bank Announcements and Realized Volatility of Stock Markets in G7 Countries

Forthcoming in Journal of International Financial Markets, Institutions & Money
Number of pages: 33 Posted: 01 Nov 2018
Stefan Lyocsa, Peter Molnár and Tomáš Plíhal
Masaryk University - Department of finance, University of Stavanger and Masaryk University - Faculty of Economics and Administration
Downloads 10 (663,873)

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Target Interest Rate, Realized Volatility, Central Banks, High-Frequency Data, Monetary Policy

16.

How Smooth Is the Stock Market Integration of CEE-3?

William Davidson Institute Working Paper No. 1079
Posted: 28 Sep 2014
Eduard Baumohl and Stefan Lyocsa
University of Economics in Bratislava and Masaryk University - Department of finance

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stock market integration; dynamic conditional correlations; CEE-3 countries; smooth transition model