Emese Lazar
Names
Identifer
Contact
Affiliations
-
University of Reading
/ Henley Business School
/ ICMA Centre for Financial Markets
Research profile
author of:
- Analytic Moments for GARCH Processes (RePEc:arx:papers:1808.09666)
by Carol Alexander & Emese Lazar & Silvia Stanescu - Measures of Model Risk in Continuous-time Finance Models (RePEc:arx:papers:2010.08113)
by Emese Lazar & Shuyuan Qi & Radu Tunaru - Modelling Regime‐Specific Stock Price Volatility (RePEc:bla:obuest:v:71:y:2009:i:6:p:761-797)
by Carol Alexander & Emese Lazar - Option Valuation with Normal Mixture GARCH Models (RePEc:bpj:sndecm:v:12:y:2008:i:2:n:5)
by Badescu Alex & Kulperger Reg & Lazar Emese - Futures basis, inventory and commodity price volatility: An empirical analysis (RePEc:eee:ecmode:v:29:y:2012:i:6:p:2651-2663)
by Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese - Time varying price discovery (RePEc:eee:ecolet:v:126:y:2015:i:c:p:18-21)
by Avino, Davide & Lazar, Emese & Varotto, Simone - Model risk in the over-the-counter market (RePEc:eee:ejores:v:298:y:2022:i:2:p:769-784)
by Lazar, Emese & Qi, Shuyuan - Loss function-based change point detection in risk measures (RePEc:eee:ejores:v:310:y:2023:i:1:p:415-431)
by Lazar, Emese & Wang, Shixuan & Xue, Xiaohan - Price discovery of credit spreads in tranquil and crisis periods (RePEc:eee:finana:v:30:y:2013:i:c:p:242-253)
by Avino, Davide & Lazar, Emese & Varotto, Simone - Forecasting VaR using analytic higher moments for GARCH processes (RePEc:eee:finana:v:30:y:2013:i:c:p:36-45)
by Alexander, Carol & Lazar, Emese & Stanescu, Silvia - VaR and ES forecasting via recurrent neural network-based stateful models (RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000346)
by Qiu, Zhiguo & Lazar, Emese & Nakata, Keiichi - Forecasting risk measures using intraday data in a generalized autoregressive score framework (RePEc:eee:intfor:v:36:y:2020:i:3:p:1057-1072)
by Lazar, Emese & Xue, Xiaohan - Analytic moments for GJR-GARCH (1, 1) processes (RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124)
by Alexander, Carol & Lazar, Emese & Stanescu, Silvia - Model risk of expected shortfall (RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93)
by Lazar, Emese & Zhang, Ning - On the estimation of Value-at-Risk and Expected Shortfall at extreme levels (RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000102)
by Lazar, Emese & Pan, Jingqi & Wang, Shixuan - Normal mixture GARCH(1,1): applications to exchange rate modelling (RePEc:jae:japmet:v:21:y:2006:i:3:p:307-336)
by Emese Lazar & Carol Alexander - Forecasting VIX Using Filtered Historical Simulation
[A GARCH Option Pricing Model with Filtered Historical Simulation] (RePEc:oup:jfinec:v:20:y:2022:i:4:p:655-680.)
by Yushuang Jiang & Emese Lazar - Futures basis, inventory and commodity price volatility: An empirical analysis (RePEc:pra:mprapa:39903)
by Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese - Price Discovery of Credit Spreads in Tranquil and Crisis Periods (RePEc:pra:mprapa:42847)
by Avino, Davide & Lazar, Emese & Varotto, Simone - Rethinking Capital Structure Arbitrage (RePEc:pra:mprapa:42850)
by Avino, Davide & Lazar, Emese - Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options (RePEc:pra:mprapa:56781)
by Avino, Davide & Lazar, Emese & Varotto, Simone - Symmetric Normal Mixture GARCH (RePEc:rdg:icmadp:icma-dp2003-09)
by Carol Alexandra & Emese Lazar - Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling (RePEc:rdg:icmadp:icma-dp2004-05)
by Carol Alexandra & Emese Lazar - The Continuous Limit of GARCH Processess (RePEc:rdg:icmadp:icma-dp2004-09)
by Carol Alexandra & Emese Lazar - The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH (RePEc:rdg:icmadp:icma-dp2004-13)
by Carol Alexandra & Emese Lazar - On The Continuous Limit of GARCH (RePEc:rdg:icmadp:icma-dp2005-13)
by Carol Alexandra & Emese Lazar - Asymmetries and Volatility Regimes in the European Equity Markets (RePEc:rdg:icmadp:icma-dp2005-14)
by Carol Alexandra & Emese Lazar - Markov Switching GARCH Diffusion (RePEc:rdg:icmadp:icma-dp2008-01)
by Carol Alexander & Emese Lazar - Analytic Moments for GARCH Processes (RePEc:rdg:icmadp:icma-dp2011-07)
by Carol Alexander & Emese Lazar & Silvia Stanescu - Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL (RePEc:rdg:icmadp:icma-dp2011-08)
by Carol Alexander & Emese Lazar & Silvia Stanescu - Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options (RePEc:rdg:icmadp:icma-dp2011-17)
by Davide Avino & Emese Lazar & Simone Varotto - Model Risk of Expected Shortfall (RePEc:rdg:icmadp:icma-dp2017-10)
by Emese Lazar & Ning Zhang - The continuous limit of weak GARCH (RePEc:taf:emetrv:v:40:y:2021:i:2:p:197-216)
by Carol Alexander & Emese Lazar - Normal mixture GARCH(1,1): applications to exchange rate modelling (RePEc:wly:japmet:v:21:y:2006:i:3:p:307-336)
by Carol Alexander & Emese Lazar