Access Statistics for Emese Lazar

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL 0 0 0 11 0 0 6 46
Analytic Moments for GARCH Processes 0 0 0 34 0 1 15 50
Analytic Moments for GARCH Processes 0 0 0 10 0 2 14 67
Asymmetries and Volatility Regimes in the European Equity Markets 0 0 0 32 0 0 8 82
Futures basis, inventory and commodity price volatility: An empirical analysis 0 2 3 107 4 8 25 345
Markov Switching GARCH Diffusion 0 0 1 83 0 0 12 177
Measures of Model Risk in Continuous-time Finance Models 0 0 0 11 0 0 13 32
Model Risk of Expected Shortfall 0 0 0 81 0 0 12 168
Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling 0 0 0 65 0 3 12 153
On The Continuous Limit of GARCH 0 0 0 67 0 0 10 199
Price Discovery of Credit Spreads in Tranquil and Crisis Periods 1 1 3 41 1 1 17 118
Rethinking Capital Structure Arbitrage 0 0 0 99 0 2 22 337
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models 0 0 0 0 0 2 13 13
Symmetric Normal Mixture GARCH 0 0 0 39 0 1 7 122
The Continuous Limit of GARCH Processess 0 0 0 41 0 2 8 117
The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH 0 0 0 69 0 0 6 332
Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options 0 0 0 7 0 0 5 57
Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options 0 0 1 5 0 0 9 56
Total Working Papers 1 3 8 802 5 22 214 2,471

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Analytic moments for GJR-GARCH (1, 1) processes 0 1 3 15 0 2 27 107
Environmental performance and credit ratings: A transatlantic study 0 0 1 1 0 1 15 16
Forecasting VIX Using Filtered Historical Simulation* 0 0 2 10 1 2 11 29
Forecasting VaR using analytic higher moments for GARCH processes 0 0 0 22 0 3 24 102
Forecasting risk measures using intraday data in a generalized autoregressive score framework 1 1 2 6 2 3 23 67
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 44 5 10 33 275
Improving Implied Volatility Forecasts for American Options Using Neural Networks 0 0 0 0 0 1 1 1
Loss function-based change point detection in risk measures 0 0 0 2 0 1 6 12
Measures of Model Risk for Continuous-Time Finance Models* 0 1 2 2 0 4 13 15
Model Risk of Volatility Models 0 0 0 0 0 1 18 19
Model risk in the over-the-counter market 0 0 0 1 0 1 7 15
Model risk of expected shortfall 0 1 1 21 0 2 16 99
Modelling Regime‐Specific Stock Price Volatility* 0 0 0 51 0 0 20 192
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 2 568 0 1 17 1,419
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 1 5 1 1 9 24
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels 0 0 0 0 1 4 36 40
Option Valuation with Normal Mixture GARCH Models 0 0 0 162 0 1 13 431
Price discovery of credit spreads in tranquil and crisis periods 0 0 0 11 0 1 9 84
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models 0 0 0 0 1 2 2 2
The continuous limit of weak GARCH 0 0 0 0 0 0 0 10
Time varying price discovery 0 0 0 22 0 1 8 71
VaR and ES forecasting via recurrent neural network-based stateful models 0 0 6 20 0 8 39 72
Total Journal Articles 1 4 21 963 11 50 347 3,102

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Statistics updated 2026-08-07