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 1 11 3 3 6 44
Analytic Moments for GARCH Processes 0 0 0 10 5 8 12 63
Analytic Moments for GARCH Processes 0 0 0 34 3 7 11 45
Asymmetries and Volatility Regimes in the European Equity Markets 0 0 0 32 1 2 4 78
Futures basis, inventory and commodity price volatility: An empirical analysis 1 1 1 105 6 9 21 331
Markov Switching GARCH Diffusion 0 1 1 83 5 7 9 174
Measures of Model Risk in Continuous-time Finance Models 0 0 0 11 1 9 13 30
Model Risk of Expected Shortfall 0 0 1 81 5 8 13 166
Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling 0 0 0 65 0 2 4 145
On The Continuous Limit of GARCH 0 0 0 67 1 6 6 195
Price Discovery of Credit Spreads in Tranquil and Crisis Periods 0 1 2 40 5 8 11 110
Rethinking Capital Structure Arbitrage 0 0 0 99 8 11 19 331
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models 0 0 0 0 2 4 4 4
Symmetric Normal Mixture GARCH 0 0 0 39 0 3 4 119
The Continuous Limit of GARCH Processess 0 0 0 41 1 4 5 114
The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH 0 0 0 69 1 2 2 328
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 2 3 3 55
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 4 7 11 55
Total Working Papers 1 3 7 799 53 103 158 2,387

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 2 3 14 10 19 33 105
Environmental performance and credit ratings: A transatlantic study 0 1 1 1 3 8 12 12
Forecasting VIX Using Filtered Historical Simulation* 0 0 2 10 2 4 6 24
Forecasting VaR using analytic higher moments for GARCH processes 0 0 0 22 9 13 17 94
Forecasting risk measures using intraday data in a generalized autoregressive score framework 0 1 1 5 3 9 12 55
Futures basis, inventory and commodity price volatility: An empirical analysis 0 1 1 44 6 12 17 258
Loss function-based change point detection in risk measures 0 0 0 2 3 4 4 10
Measures of Model Risk for Continuous-Time Finance Models* 1 1 1 1 4 7 10 10
Model Risk of Volatility Models 0 0 0 0 3 6 8 8
Model risk in the over-the-counter market 0 0 0 1 2 3 4 11
Model risk of expected shortfall 0 0 1 20 6 8 15 94
Modelling Regime‐Specific Stock Price Volatility* 0 0 0 51 6 13 17 186
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 0 566 6 9 16 1,413
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 1 5 3 5 7 22
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels 0 0 0 0 6 11 22 25
Option Valuation with Normal Mixture GARCH Models 0 0 0 162 5 9 10 427
Price discovery of credit spreads in tranquil and crisis periods 0 0 0 11 2 3 6 78
The continuous limit of weak GARCH 0 0 0 0 0 0 1 10
Time varying price discovery 0 0 2 22 2 4 10 68
VaR and ES forecasting via recurrent neural network-based stateful models 0 1 7 16 3 7 30 49
Total Journal Articles 2 7 20 953 84 154 257 2,959

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Statistics updated 2026-02-12