Stefan Lyocsa

@muni.cz

Department of Finance
Faculty of Economics and Administration, Masaryk University

Stefan Lyocsa


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https://researchid.co/slyocsa

RESEARCH INTERESTS

My current research is concentrated around instabilities of the financial system, market risks and credit risk modeling on P2P lending markets.
72

Scopus Publications

2923

Scholar Citations

29

Scholar h-index

55

Scholar i10-index

Scopus Publications

RECENT SCHOLAR PUBLICATIONS

  • A Fuzzy Framework for Realized Volatility Prediction: Empirical Evidence From Equity Markets
    S Iqbal, Š Lyócsa
    Journal of Forecasting 45 (3), 1261-1291 , 2026
    2026
  • Has ChatGPT disrupted the Education Sector in the US?
    E Haugom, Š Lyócsa, M Halousková
    Social Science Computer Review 44 (2), 185-208 , 2026
    2026
    Citations: 5
  • Attention to renewable energy: A risk-factor for stocks is the renewable energy sector
    Š Lyócsa, J Tabaček
    Research in International Business and Finance, 103204 , 2025
    2025
    Citations: 1
  • α -threshold networks in credit risk models
    E Baumöhl, Š Lyócsa
    Quantitative Finance 25 (11), 1789-1811 , 2025
    2025
    Citations: 2
  • Cross-border and cross-regional electricity transmission: Is there a price impact in south Norway?
    V Bendiksen, LOF Løining, Š Lyócsa
    Energy Economics, 108878 , 2025
    2025
    Citations: 1
  • Peer-to-peer loan returns: heterogeneous effects across quantiles
    Š Lyócsa, P Vašaničová, O Deev
    Applied Economics Letters 32 (7), 960-965 , 2025
    2025
    Citations: 5
  • Forecasting US equity market volatility with attention and sentiment to the economy
    M Halousková, Š Lyócsa
    arXiv preprint arXiv:2503.19767 , 2025
    2025
    Citations: 6
  • The Robustness of Sentiment Factors in Quantitative Investment Strategies
    O Deev, Š Lyócsa, T Plíhal, D Stašek
    Masarykova univerzita , 2025
    2025
  • Do hurricanes cause storm on the stock market? The case of US energy companies
    R Horvath, A Kalistova, Š Lyócsa, M Miškufová, M Moravcova
    International Review of Financial Analysis 97, 103816 , 2025
    2025
    Citations: 6
  • What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty
    Š Lyócsa, N Todorova
    Energy Economics 140, 107980 , 2024
    2024
    Citations: 22
  • Macroeconomic environment and the future performance of loans: Evidence from three peer-to-peer platforms
    E Baumöhl, Š Lyócsa, P Vašaničová
    International Review of Financial Analysis 95, 103416 , 2024
    2024
    Citations: 9
  • Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I) relevance of implied volatility
    Š Lyócsa, T Plíhal, T Výrost
    International Journal of Forecasting 40 (4), 1275-1301 , 2024
    2024
    Citations: 9
  • Forecasting of clean energy market volatility: The role of oil and the technology sector
    Š Lyócsa, N Todorova
    Energy Economics 132, 107451 , 2024
    2024
    Citations: 25
  • The tipping point of electricity price attention: When a problem becomes a problem
    E Haugom, Š Lyócsa, M Halousková
    Economics Letters 235, 111547 , 2024
    2024
    Citations: 5
  • Liquidity Benchmarks and Proxies: Predicting Price Variation on the US Equity Market
    D Stašek, S Lyocsa
    Available at SSRN 4606040 , 2024
    2024
    Citations: 2
  • The US banking crisis in 2023: Intraday attention and price variation of banks at risk
    Š Lyócsa, M Halousková, E Haugom
    Finance Research Letters 57, 104209 , 2023
    2023
    Citations: 18
  • Using online job postings to predict key labour market indicators
    M Štefánik, Š Lyócsa, M Bilka
    Social Science Computer Review 41 (5), 1630-1649 , 2023
    2023
    Citations: 8
  • The tipping point of electricity price attention
    E Haugom, S Lyocsa, M Halousková
    Available at SSRN 4471745 , 2023
    2023
  • The financial impact of ChatGPT for the higher education industry in the US
    E Haugom, S Lyocsa, M Halousková
    SSRN Scholarly Paper. Rochester, NY. https://doi. org/10.2139/ssrn 4573714 , 2023
    2023
    Citations: 2
  • The looming crisis in the Chinese stock market? Left-tail exposure analysis of Chinese stocks to Evergrande
    O Deev, Š Lyócsa, T Výrost
    Finance Research Letters 49, 103154 , 2022
    2022
    Citations: 14

MOST CITED SCHOLAR PUBLICATIONS

  • Fear of the coronavirus and the stock markets
    Š Lyócsa, E Baumöhl, T Výrost, P Molnár
    Finance research letters 36, 101735 , 2020
    2020
    Citations: 313
  • Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
    Š Lyócsa, P Molnár, T Plíhal, M Širaňová
    Journal of Economic Dynamics and Control 119, 103980 , 2020
    2020
    Citations: 197
  • Granger causality stock market networks: Temporal proximity and preferential attachment
    T Výrost, Š Lyócsa, E Baumöhl
    Physica A: Statistical Mechanics and its Applications 427, 262-276 , 2015
    2015
    Citations: 141
  • YOLO trading: Riding with the herd during the GameStop episode
    Š Lyócsa, E Baumöhl, T Výrost
    Finance Research Letters 46, 102359 , 2022
    2022
    Citations: 140
  • Networks of volatility spillovers among stock markets
    E Baumöhl, E Kočenda, Š Lyócsa, T Výrost
    Physica A: Statistical Mechanics and its Applications 490, 1555-1574 , 2018
    2018
    Citations: 103
  • Determinants of Commercial Banks' Efficiency: Evidence from 11 CEE Countries*
    D Pancurová, S Lyócsa
    Finance a Uver 63 (2), 152 , 2013
    2013
    Citations: 95
  • Stock market volatility forecasting: Do we need high-frequency data?
    Š Lyócsa, P Molnár, T Výrost
    International Journal of Forecasting 37 (3), 1092-1110 , 2021
    2021
    Citations: 92
  • Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis
    E Baumöhl, Š Lyócsa
    Finance Research Letters 23, 152-164 , 2017
    2017
    Citations: 91
  • Stock market oscillations during the corona crash: The role of fear and uncertainty
    Š Lyócsa, P Molnár
    Finance Research Letters 36, 101707 , 2020
    2020
    Citations: 88
  • Volatility and dynamic conditional correlations of worldwide emerging and frontier markets
    E Baumöhl, Š Lyócsa
    Economic Modelling 38, 175-183 , 2014
    2014
    Citations: 87
  • Asymmetric volatility in equity markets around the world
    JB Horpestad, Š Lyócsa, P Molnár, TB Olsen
    The North American Journal of Economics and Finance 48, 540-554 , 2019
    2019
    Citations: 86
  • Network-based asset allocation strategies
    T Výrost, Š Lyócsa, E Baumöhl
    The North American Journal of Economics and Finance 47, 516-536 , 2019
    2019
    Citations: 78
  • Stationarity of time series and the problem of spurious regression
    E Baumöhl, Š Lyócsa
    MPRA Paper 27926 , 2009
    2009
    Citations: 78
  • Russia’s ruble during the onset of the Russian invasion of Ukraine in early 2022: the role of implied volatility and attention
    Š Lyócsa, T Plíhal
    Finance Research Letters 48, 102995 , 2022
    2022
    Citations: 76
  • Stock market networks: The dynamic conditional correlation approach
    Š Lyócsa, T Výrost, E Baumöhl
    Physica A: Statistical Mechanics and its Applications 391 (16), 4147-4158 , 2012
    2012
    Citations: 69
  • Default or profit scoring credit systems? Evidence from European and US peer-to-peer lending markets
    Š Lyócsa, P Vašaničová, B Hadji Misheva, MD Vateha
    Financial Innovation 8 (1), 32 , 2022
    2022
    Citations: 64
  • Return spillovers around the globe: A network approach
    Š Lyócsa, T Výrost, E Baumöhl
    Economic Modelling 77, 133-146 , 2019
    2019
    Citations: 57
  • On the evaluation of Six Sigma projects
    M Tkáč, Š Lyócsa
    Quality and reliability engineering international 26 (1), 115-124 , 2010
    2010
    Citations: 57
  • Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance
    R Horváth, Š Lyócsa, E Baumöhl
    The European Journal of Finance 24 (5), 391-412 , 2018
    2018
    Citations: 52
  • Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds
    Š Lyócsa, P Molnár
    Energy 155, 462-473 , 2018
    2018
    Citations: 46