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Asymmetric volatility in equity markets around the world

Horpestad, Jone B.; Lyócsa, Štefan; Molnár, Peter; … - In: The North American journal of economics and finance : a … 48 (2019), pp. 540-554

Persistent link: https://www.econbiz.de/10012120304

Central bank announcements and realized volatility of stock markets in G7 countries

Lyócsa, Štefan; Molnár, Peter; Plíhal, Tomáš - In: Journal of international financial markets, … 58 (2019), pp. 117-135

Persistent link: https://www.econbiz.de/10012127844

Impact of wind and solar production on electricity prices : quantile regression approach

Do, Linh Phuong Catherine; Lyócsa, Štefan; Molnár, Peter - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1752-1768

Persistent link: https://www.econbiz.de/10012214770

The effect of non-trading days on volatility forecasts in equity markets

Lyócsa, Štefan; Molnár, Peter - In: Finance research letters 23 (2017), pp. 39-49

Persistent link: https://www.econbiz.de/10011808350

Volatility forecasting of non-ferrous metal futures : covariances, covariates or combinations?

Lyócsa, Štefan; Molnár, Peter; Todorova, Neda - In: Journal of international financial markets, … 51 (2017), pp. 228-247

Persistent link: https://www.econbiz.de/10011896310

Stock market volatility forecasting : do we need high-frequency data?

Lyócsa, Štefan; Molnár, Peter; Výrost, Tomáš - In: International journal of forecasting 37 (2021) 3, pp. 1092-1110

Persistent link: https://www.econbiz.de/10012794812

Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin

Lyócsa, Štefan; Molnár, Peter; Plíhal, Tomáš; … - In: Journal of economic dynamics & control 119 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012503775

High-low range in GARCH models of stock return volatility

Molnár, Peter - In: Applied economics 48 (2016) 49/51, pp. 4977-4991

Persistent link: https://www.econbiz.de/10011641414

Volatility and dynamic conditional correlations of worldwide emerging and frontier markets

Baumöhl, Eduard; Lyócsa, Štefan - In: Economic Modelling 38 (2014) C, pp. 175-183

This study examines the relationship between time-varying correlations and conditional volatility among 32 worldwide emerging and frontier stock markets and the MSCI World stock market index from January 2000 to December 2012. Correlations are estimated in the standard and asymmetric dynamic...

Persistent link: https://www.econbiz.de/10011048880

Growth-returns nexus: Evidence from three Central and Eastern European countries

Lyócsa, Štefan - In: Economic Modelling 42 (2014) C, pp. 343-355

Using a sample of monthly data from January 1996 to December 2012, we provide new evidence on the unidirectional Granger causality from real stock market returns to real economic activity in three Central and Eastern European countries: the Czech Republic, Hungary, and Poland. By employing the...

Persistent link: https://www.econbiz.de/10011048929