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 2 6 46
Analytic Moments for GARCH Processes 0 0 0 34 0 2 14 49
Analytic Moments for GARCH Processes 0 0 0 10 2 3 14 67
Asymmetries and Volatility Regimes in the European Equity Markets 0 0 0 32 0 2 8 82
Futures basis, inventory and commodity price volatility: An empirical analysis 2 2 3 107 4 9 22 341
Markov Switching GARCH Diffusion 0 0 1 83 0 2 12 177
Measures of Model Risk in Continuous-time Finance Models 0 0 0 11 0 2 14 32
Model Risk of Expected Shortfall 0 0 0 81 0 2 12 168
Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling 0 0 0 65 2 6 11 152
On The Continuous Limit of GARCH 0 0 0 67 0 3 10 199
Price Discovery of Credit Spreads in Tranquil and Crisis Periods 0 0 2 40 0 5 16 117
Rethinking Capital Structure Arbitrage 0 0 0 99 0 3 22 335
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models 0 0 0 0 1 8 12 12
Symmetric Normal Mixture GARCH 0 0 0 39 0 2 6 121
The Continuous Limit of GARCH Processess 0 0 0 41 1 2 7 116
The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH 0 0 0 69 0 4 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 1 5 0 0 9 56
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 2 5 57
Total Working Papers 2 2 7 801 10 59 206 2,459

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 1 1 3 15 2 2 30 107
Environmental performance and credit ratings: A transatlantic study 0 0 1 1 1 1 15 16
Forecasting VIX Using Filtered Historical Simulation* 0 0 2 10 1 4 10 28
Forecasting VaR using analytic higher moments for GARCH processes 0 0 0 22 3 8 24 102
Forecasting risk measures using intraday data in a generalized autoregressive score framework 0 0 1 5 0 5 20 64
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 44 2 8 25 267
Loss function-based change point detection in risk measures 0 0 0 2 1 2 6 12
Measures of Model Risk for Continuous-Time Finance Models* 1 1 2 2 4 5 13 15
Model Risk of Volatility Models 0 0 0 0 1 9 19 19
Model risk in the over-the-counter market 0 0 0 1 1 4 7 15
Model risk of expected shortfall 0 0 0 20 1 4 16 98
Modelling Regime‐Specific Stock Price Volatility* 0 0 0 51 0 5 22 192
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 1 5 0 1 8 23
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 1 2 568 1 5 17 1,419
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels 0 0 0 0 2 10 35 38
Option Valuation with Normal Mixture GARCH Models 0 0 0 162 1 4 13 431
Price discovery of credit spreads in tranquil and crisis periods 0 0 0 11 1 6 12 84
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models 0 0 0 0 1 1 1 1
The continuous limit of weak GARCH 0 0 0 0 0 0 0 10
Time varying price discovery 0 0 1 22 1 3 10 71
VaR and ES forecasting via recurrent neural network-based stateful models 0 4 7 20 7 19 47 71
Total Journal Articles 2 7 21 961 31 106 350 3,083

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Statistics updated 2026-06-04