FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies. Finance Research Letters Journal(2023): We examine the dynamic lower tail dependence and downside risk spillover between the FTX Token and seven major cryptocurrencies using Rotated Gumbel copula and GARCH copula quantile regression-based ∆CoVaR models. Daily data is analyzed from May 1, 2020 to December 31, 2022. The results show a strong evidence of risk spillover effects from FTX Token to crypto markets. Solana, followed by Cardano, displays the largest downside risk spillover. Tether and Bitcoin are affected at least by the FTX fallout, receiving the lowest downside risk spillovers. Furthermore, the dynamic risk spillover effects are heterogeneous over time and comparatively different for each cryptocurrency.

Dependence structure among rare earth and financial markets: A multiscale-vine copula approach. Resources Policy Journal(2023): This paper examines the dynamic upper and lower tail dependence across Rare Earth Metals, clean energy, gold, world equity, Base metals, and crude oil markets at various time scales. Firstly, raw return series are decomposed into various time scales using the maximum overlapping discrete wavelet transform method, then the time-varying pairwise dependencies, accounting for the impact of the covariate (in our case, the rare earth stock index), are analysed using vine-copula. This so called multiscale-vine copula approach is applied to daily data from June 25, 2009 to October 7, 2022, covering the Covid-19 outbreak. The results show that, for raw returns, the rare earth market moderates the positive dependence between world equity and clean energy markets. At the short-term time scale, unlike other pairwise dependencies, rare earth eases the dependency between clean energies. During the Covid-19 pandemic period, the rare earth stock index significantly affects the correlation of the gold and oil markets and makes them more resilient to global health shocks. At the mid-term time scale, the impact of the rare earth index is more pronounced, for both the entire sample and during the Covid-19 outbreak, as the dynamic dependencies of most indices, such as clean energy-world equity, base metals-world equity, and crude oil-clean energy, significantly decline after accounting for the influence of Rare Earth Metals. The main result at the long-term time scale is that the Covid-19 pandemic moderates the dependency of clean energy-gold even further when considering the impact of the rare earth stock index. In general, the rare earth stock index plays a significant role in easing the extent of dependency in the medium term during the entire sample and the pandemic. These findings provide some useful implications for heterogeneous investors and market participants operating at various time scales.

Inflation expectations and the stock-bond nexus in the US: hedging implications. The European Journal of Finance, (2024): This paper first examines the impact of inflation expectations on the correlation and tail-dependence between stock and Treasury (corporate) bond markets in the US and then assesses the portfolio and hedging implications. Using dynamic C-vine copula models, the results show in several cases a shift in the stock-bond nexus after conditioning on the levels of inflation expectations. The average dynamic tail-dependence between stocks and 10- and 30-year Treasury bonds becomes positive in the post-Covid era. High inflation expectations intensify the average tail-dependence between stocks and mid-term corporate bonds since the Covid-19 outbreak, and between stock and Treasury bonds from early 2020 to the beginning of the conflict between Russia and Ukraine. A hedging analysis shows that the hedging effectiveness improves after taking into account the impact of inflation expectations on stock-bond nexus, especially in the post-Covid-19 subperiod. This hedging effectiveness sustains after changing the proxy of inflation expectations.

Green bond, stock, cryptocurrency, and commodity markets: a multiscale analysis and portfolio implications, Financial Innovation (2025)

This paper examines the dependence, systemic risk spillover, return and volatility spillover, and portfolio implications across various timescales between the Green Bond (GB) and U.S. S&P 500 Stock (SP), Vanguard Total World Stock Index Fund (VT), Bitcoin (BTC), Ethereum (ETH), Ripple, OIL, and GOLD markets. The sample period is August 07, 2015–October 6, 2023, covering periods of instability during the COVID-19 pandemic and the Russia–Ukraine conflict. Using the wavelet–copula–conditional value-at-risk and wavelet-multivariate asymmetric-GARCH framework, our main results show that the systemic risk and return, volatility spillovers, and diversification opportunities are portfolio-specific and timescale-dependent. Specifically, there is a negative long-term correlation for the pairs GB-SP and GB-OIL, whereas the pair GB–GOLD pair is positively correlated in the short term. GB can mitigate the risk of other markets. In terms of the portfolio implications, GB weakly hedges BTC and ETH during normal and turbulent periods but has a strong ability to hedge VT in the short term and SP in the mid and long term. Regarding hedging effectiveness, the role of GB for GOLD and VT is noted.

FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies. Finance Research Letters Journal(2023): We examine the dynamic lower tail dependence and downside risk spillover between the FTX Token and seven major cryptocurrencies using Rotated Gumbel copula and GARCH copula quantile regression-based ∆CoVaR models. Daily data is analyzed from May 1, 2020 to December 31, 2022. The results show a strong evidence of risk spillover effects from FTX Token to crypto markets. Solana, followed by Cardano, displays the largest downside risk spillover. Tether and Bitcoin are affected at least by the FTX fallout, receiving the lowest downside risk spillovers. Furthermore, the dynamic risk spillover effects are heterogeneous over time and comparatively different for each cryptocurrency.

Dependence structure among rare earth and financial markets: A multiscale-vine copula approach. Resources Policy Journal(2023): This paper examines the dynamic upper and lower tail dependence across Rare Earth Metals, clean energy, gold, world equity, Base metals, and crude oil markets at various time scales. Firstly, raw return series are decomposed into various time scales using the maximum overlapping discrete wavelet transform method, then the time-varying pairwise dependencies, accounting for the impact of the covariate (in our case, the rare earth stock index), are analysed using vine-copula. This so called multiscale-vine copula approach is applied to daily data from June 25, 2009 to October 7, 2022, covering the Covid-19 outbreak. The results show that, for raw returns, the rare earth market moderates the positive dependence between world equity and clean energy markets. At the short-term time scale, unlike other pairwise dependencies, rare earth eases the dependency between clean energies. During the Covid-19 pandemic period, the rare earth stock index significantly affects the correlation of the gold and oil markets and makes them more resilient to global health shocks. At the mid-term time scale, the impact of the rare earth index is more pronounced, for both the entire sample and during the Covid-19 outbreak, as the dynamic dependencies of most indices, such as clean energy-world equity, base metals-world equity, and crude oil-clean energy, significantly decline after accounting for the influence of Rare Earth Metals. The main result at the long-term time scale is that the Covid-19 pandemic moderates the dependency of clean energy-gold even further when considering the impact of the rare earth stock index. In general, the rare earth stock index plays a significant role in easing the extent of dependency in the medium term during the entire sample and the pandemic. These findings provide some useful implications for heterogeneous investors and market participants operating at various time scales.

Inflation expectations and the stock-bond nexus in the US: hedging implications. The European Journal of Finance, (2024): This paper first examines the impact of inflation expectations on the correlation and tail-dependence between stock and Treasury (corporate) bond markets in the US and then assesses the portfolio and hedging implications. Using dynamic C-vine copula models, the results show in several cases a shift in the stock-bond nexus after conditioning on the levels of inflation expectations. The average dynamic tail-dependence between stocks and 10- and 30-year Treasury bonds becomes positive in the post-Covid era. High inflation expectations intensify the average tail-dependence between stocks and mid-term corporate bonds since the Covid-19 outbreak, and between stock and Treasury bonds from early 2020 to the beginning of the conflict between Russia and Ukraine. A hedging analysis shows that the hedging effectiveness improves after taking into account the impact of inflation expectations on stock-bond nexus, especially in the post-Covid-19 subperiod. This hedging effectiveness sustains after changing the proxy of inflation expectations.

Green bond, stock, cryptocurrency, and commodity markets: a multiscale analysis and portfolio implications (2025). Financial Innovation.

This paper examines the dependence, systemic risk spillover, return and volatility spillover, and portfolio implications across various timescales between the Green Bond (GB) and U.S. S&P 500 Stock (SP), Vanguard Total World Stock Index Fund (VT), Bitcoin (BTC), Ethereum (ETH), Ripple, OIL, and GOLD markets. The sample period is August 07, 2015–October 6, 2023, covering periods of instability during the COVID-19 pandemic and the Russia–Ukraine conflict. Using the wavelet–copula–conditional value-at-risk and wavelet-multivariate asymmetric-GARCH framework, our main results show that the systemic risk and return, volatility spillovers, and diversification opportunities are portfolio-specific and timescale-dependent. Specifically, there is a negative long-term correlation for the pairs GB-SP and GB-OIL, whereas the pair GB–GOLD pair is positively correlated in the short term. GB can mitigate the risk of other markets. In terms of the portfolio implications, GB weakly hedges BTC and ETH during normal and turbulent periods but has a strong ability to hedge VT in the short term and SP in the mid and long term. Regarding hedging effectiveness, the role of GB for GOLD and VT is noted.

FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies. Finance Research Letters Journal(2023): 59 citations

Dependence structure among rare earth and financial markets: A multiscale-vine copula approach. Resources Policy Journal (2023): 27 citations

Green bond, stock, cryptocurrency, and commodity markets: a multiscale analysis and portfolio implications, Financial Innovation journal (2025): 12 citations

Inflation expectations and the stock-bond nexus in the US: hedging implications, European Journal of Finance (2025): 7 Citations

How climate policy and strategic behaviour can ensure financial stability; VV-MVP-24-0395; Principal Investigator, 2025-2028

This research focuses on the transition risks posed by climate policies, particularly the impact of carbon taxes on different economic sectors, financial vulnerability of firms and the banking sector. Specifically, the proposed research project aims to assess the economic effects of climate policy by combining three models: econometric modelling, computable general equilibrium models, and game theory. Building on state-of-the-art research, this project will enhance the theoretical background and conduct empirical research beneficial for policy practitioners. The project's uniqueness lies in its focus on a small open economy, which has limited global climate impact but must remain internationally competitive while adhering to national and supranational climate regulations. 

From Carbon Pricing to Financial Stability: A Quantitative Assessment of Climate Policy Impacts on Banking and Industry in Slovakia; VEGA, 1/0523/26, Principal Investigator, 2026-2028