FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies. Finance Research, Letters Journal (2023): We examine how the risk associated with FTX Token has been transmitted to seven major cryptocurrencies, focusing on dynamic dependence in the lower band and the spread of loss risk. For the analysis, we used the Rotated Gumbel Dome and GARCH Dome Quantile Regression based on ∆CoVaR models. We monitored daily data from May 1, 2020 to December 31, 2022. The results clearly prove that the collapse of FTX has affected the cryptocurrency markets. Solana and Cardano cryptocurrencies have seen the most significant risk impacts, with Solana being the most affected. In contrast, Tether and Bitcoin have seen the least losses due to the collapse of FTX. However, the transfer of risk has changed over time, and its impact has been different for each cryptocurrency.

Dependence structure among rare earth and financial markets: A multiscale-vine copula approach. Resources Policy Journal(2023): This article examines the dynamic upstream and downstream dependencies between the markets for Rare Earth Metals, Clean Energy, Gold, World Capital, Base Metals, and Oil over different time horizons. First, the raw yield data is spread over different time scales using the Maximum Overlapping Discrete Wavelet Transform method. Subsequently, time-variable pair dependencies are analyzed, taking into account the influence of the covariate (in this case the Rare Earth Stock Index) using vine-copula. This approach is applied to daily data from 25 June 2009 to 7 October 2022, including the period of the Covid-19 pandemic. The results show that the Rare Earth Metals market mitigates the positive correlation between the world's capital and clean energy markets. In the short term, it weakens the interconnection between the different clean energy segments, unlike other pair dependencies. During the Covid-19 pandemic, the Rare Earth Stock Index had a significant impact on the correlation between gold and oil, increasing their resilience to global economic shocks. In the medium term, the impact of the Rare Earth Stock Index has been even more pronounced, with dynamic dependencies between multiple indices such as clean energy world capital, base metals world capital, and oil clean energy. Long-term results show that the Covid-19 pandemic has further mitigated the dependence between clean energy and gold, taking into account the Rare Earth Stock Index. Overall, the analysis suggests that the Rare Earth Stock Index plays a significant role in reducing dependencies in the medium term, not only under normal conditions, but also during periods of crisis. These findings are important for investors and market participants operating on different timeframes.

Inflation expectations and the stock-bond nexus in the US: hedging implications. The European Journal of

Finance, (2024): Inflation expectations and the stock-bond nexus in the US: hedging implications. The European Journal of Finance, (2024): This article examines the impact of inflation expectations on the correlation and dependence between US equity and government or corporate bonds, and then assesses the implications for portfolio and hedging. Using dynamic C-vine copula models, the results suggest that inflation expectations can significantly affect the relationship between stocks and bonds. Taking into account the level of inflation expectations, there is a shift in the link between stocks and bonds in some cases. The average dynamic terminal dependence between stocks and 10- and 30-year government bonds is becoming positive in the post-Covid era. In addition, elevated inflation expectations have been strengthening the link between equities and medium-term corporate bonds since the outbreak of the Covid-19 pandemic, as well as between equities and government bonds from the beginning of 2020 until the beginning of the conflict between Russia and Ukraine. Hedging analysis shows that the effectiveness of hedging strategies increases after taking into account the impact of inflation expectations on the relationship between stocks and bonds, especially in the post-Covid-19 period. This improved efficiency persists even after the change in the proxy variables for inflation expectations, suggesting the robustness of the results.

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 how the risk associated with FTX Token has been transmitted to seven major cryptocurrencies, focusing on dynamic dependence in the lower band and the spread of loss risk. For the analysis, we used the Rotated Gumbel Dome and GARCH Dome Quantile Regression based on ∆CoVaR models. We monitored daily data from May 1, 2020 to December 31, 2022. The results clearly prove that the collapse of FTX has affected the cryptocurrency markets. Solana and Cardano cryptocurrencies have seen the most significant risk impacts, with Solana being the most affected. In contrast, Tether and Bitcoin have seen the least losses due to the collapse of FTX. However, the transfer of risk has changed over time, and its impact has been different for each cryptocurrency.

Dependence structure among rare earth and financial markets: A multiscale-vine copula approach. Resources Policy Journal(2023): This article examines the dynamic upstream and downstream dependencies between the markets for Rare Earth Metals, Clean Energy, Gold, World Capital, Base Metals, and Oil over different time horizons. First, the raw yield data is spread over different time scales using the Maximum Overlapping Discrete Wavelet Transform method. Subsequently, time-variable pair dependencies are analyzed, taking into account the influence of the covariate (in this case the Rare Earth Stock Index) using vine-copula. This approach is applied to daily data from 25 June 2009 to 7 October 2022, including the period of the Covid-19 pandemic. The results show that the Rare Earth Metals market mitigates the positive correlation between the world's capital and clean energy markets. In the short term, it weakens the interconnection between the different clean energy segments, unlike other pair dependencies. During the Covid-19 pandemic, the Rare Earth Stock Index had a significant impact on the correlation between gold and oil, increasing their resilience to global economic shocks. In the medium term, the impact of the Rare Earth Stock Index has been even more pronounced, with dynamic dependencies between multiple indices such as clean energy world capital, base metals world capital, and oil clean energy. Long-term results show that the Covid-19 pandemic has further mitigated the dependence between clean energy and gold, taking into account the Rare Earth Stock Index. Overall, the analysis suggests that the Rare Earth Stock Index plays a significant role in reducing dependencies in the medium term, not only under normal conditions, but also during periods of crisis. These findings are important for investors and market participants operating on different timeframes.

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 taildependence

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 midterm

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. F inance 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 Quotations

Ako klimatická politika a strategické správanie môžu zabezpečiť finančnú stabilitu; VV-MVP-24-0395; Hlavný riešiteľ, 2025–2028

Tento výskum sa zameriava na tranzitné riziká vyplývajúce z klimatických politík, najmä na vplyv uhlíkových daní na jednotlivé hospodárske sektory, finančnú zraniteľnosť podnikov a bankový sektor. Konkrétne má navrhovaný výskumný projekt za cieľ posúdiť ekonomické dôsledky klimatickej politiky kombináciou troch modelových prístupov: ekonometrického modelovania, modelov vypočítateľnej všeobecnej rovnováhy a teórie hier. Vychádzajúc z najnovších vedeckých poznatkov projekt prehĺbi teoretické východiská a uskutoční empirický výskum prínosný pre tvorcov hospodárskych politík. Jedinečnosť projektu spočíva v jeho zameraní na malú otvorenú ekonomiku, ktorá má obmedzený globálny klimatický vplyv, no zároveň si musí zachovať medzinárodnú konkurencieschopnosť pri dodržiavaní národných a nadnárodných klimatických regulácií.

Od oceňovania uhlíka k finančnej stabilite: Kvantitatívne hodnotenie vplyvov klimatickej politiky na bankovníctvo a priemysel na Slovensku; VEGA, 1/0523/26, Hlavný riešiteľ, 2026–2028