Access Statistics for Emese Lazar

Author contact details at EconPapers.

Working Paper	File Downloads				Abstract Views
Working Paper	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	2	11	0	0	5	40
Analytic Moments for GARCH Processes	0	0	1	10	0	0	3	53
Analytic Moments for GARCH Processes	0	0	1	34	0	0	2	35
Asymmetries and Volatility Regimes in the European Equity Markets	0	0	0	32	0	0	0	74
Futures basis, inventory and commodity price volatility: An empirical analysis	0	0	0	104	1	3	11	320
Markov Switching GARCH Diffusion	0	0	0	82	0	0	1	165
Measures of Model Risk in Continuous-time Finance Models	0	0	0	11	1	2	2	19
Model Risk of Expected Shortfall	0	0	1	81	0	0	3	156
Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling	0	0	0	65	0	0	0	141
On The Continuous Limit of GARCH	0	0	0	67	0	0	0	189
Price Discovery of Credit Spreads in Tranquil and Crisis Periods	0	0	0	38	0	0	4	101
Rethinking Capital Structure Arbitrage	0	0	1	99	2	2	8	315
Symmetric Normal Mixture GARCH	0	0	0	39	0	0	0	115
The Continuous Limit of GARCH Processess	0	0	0	41	0	0	0	109
The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH	0	0	1	69	0	0	1	326
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	2	52
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	4	0	1	6	47
Total Working Papers	0	0	7	794	4	8	48	2,257

Journal Article	File Downloads				Abstract Views
Journal Article	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
Analytic moments for GJR-GARCH (1, 1) processes	0	1	1	12	3	5	10	80
Environmental performance and credit ratings: A transatlantic study	0	0	0	0	0	0	1	1
Forecasting VIX Using Filtered Historical Simulation*	0	0	2	8	0	0	2	18
Forecasting VaR using analytic higher moments for GARCH processes	0	0	0	22	0	0	2	78
Forecasting risk measures using intraday data in a generalized autoregressive score framework	0	0	0	4	0	0	3	44
Futures basis, inventory and commodity price volatility: An empirical analysis	0	0	0	43	0	0	2	242
Loss function-based change point detection in risk measures	0	0	1	2	0	0	2	6
Measures of Model Risk for Continuous-Time Finance Models*	0	0	0	0	0	0	2	2
Model risk in the over-the-counter market	0	0	0	1	0	0	3	8
Model risk of expected shortfall	0	0	1	20	0	3	6	83
Modelling Regime‐Specific Stock Price Volatility*	0	0	0	51	2	2	4	172
Normal mixture GARCH(1,1): applications to exchange rate modelling	0	0	0	566	0	2	9	1,402
Normal mixture GARCH(1,1): applications to exchange rate modelling	0	0	1	4	0	0	2	15
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels	0	0	0	0	1	1	3	4
Option Valuation with Normal Mixture GARCH Models	0	0	0	162	0	0	4	418
Price discovery of credit spreads in tranquil and crisis periods	0	0	0	11	2	3	4	75
The continuous limit of weak GARCH	0	0	0	0	0	0	1	10
Time varying price discovery	1	1	2	22	2	2	6	63
VaR and ES forecasting via recurrent neural network-based stateful models	1	1	10	14	3	9	25	33
Total Journal Articles	2	3	18	942	13	27	91	2,754

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Statistics updated 2025-08-05