110 citations · 120 across the 2 of their papers we have counts for
3 papers
q-fin.GN2022★ 10 cited
Russia's Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention
Štefan Lyócsa, Tomáš Plíhal
The onset of the Russo-Ukrainian crisis has led to the rapid depreciation of the Russian ruble. In this study, we model intraday price fluctuations of the USD/RUB and the EUR/RUB e…
econ.GN2015
Return spillovers around the globe: A network approach
Stefan Lyocsa, Tomas Vyrost, Eduard Baumohl
Using a rolling windows analysis of filtered and aligned stock index returns from 40 countries during the period 2006-2014, we construct Granger causality networks and investigate…
q-fin.GN2014★ 110 cited
Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment
Tomáš Výrost, Štefan Lyócsa, Eduard Baumöhl
The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December…