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 1 2 6 46
Analytic Moments for GARCH Processes 0 0 0 10 1 2 12 65
Analytic Moments for GARCH Processes 0 0 0 34 1 4 14 49
Asymmetries and Volatility Regimes in the European Equity Markets 0 0 0 32 0 4 8 82
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 105 1 6 20 337
Markov Switching GARCH Diffusion 0 0 1 83 2 3 12 177
Measures of Model Risk in Continuous-time Finance Models 0 0 0 11 2 2 15 32
Model Risk of Expected Shortfall 0 0 0 81 1 2 12 168
Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling 0 0 0 65 3 5 9 150
On The Continuous Limit of GARCH 0 0 0 67 2 4 10 199
Price Discovery of Credit Spreads in Tranquil and Crisis Periods 0 0 2 40 5 7 16 117
Rethinking Capital Structure Arbitrage 0 0 0 99 2 4 22 335
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models 0 0 0 0 3 7 11 11
Symmetric Normal Mixture GARCH 0 0 0 39 2 2 6 121
The Continuous Limit of GARCH Processess 0 0 0 41 1 1 6 115
The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH 0 0 0 69 4 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 1 10 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 1 2 5 57
Total Working Papers 0 0 5 799 32 62 200 2,449

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 0 3 14 0 0 30 105
Environmental performance and credit ratings: A transatlantic study 0 0 1 1 0 3 14 15
Forecasting VIX Using Filtered Historical Simulation* 0 0 2 10 3 3 9 27
Forecasting VaR using analytic higher moments for GARCH processes 0 0 0 22 4 5 21 99
Forecasting risk measures using intraday data in a generalized autoregressive score framework 0 0 1 5 4 9 20 64
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 44 1 7 23 265
Loss function-based change point detection in risk measures 0 0 0 2 1 1 5 11
Measures of Model Risk for Continuous-Time Finance Models* 0 0 1 1 1 1 9 11
Model Risk of Volatility Models 0 0 0 0 8 10 18 18
Model risk in the over-the-counter market 0 0 0 1 2 3 6 14
Model risk of expected shortfall 0 0 0 20 1 3 17 97
Modelling Regime‐Specific Stock Price Volatility* 0 0 0 51 2 6 22 192
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 1 5 1 1 8 23
Normal mixture GARCH(1,1): applications to exchange rate modelling 1 2 2 568 4 5 18 1,418
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels 0 0 0 0 5 11 33 36
Option Valuation with Normal Mixture GARCH Models 0 0 0 162 1 3 12 430
Price discovery of credit spreads in tranquil and crisis periods 0 0 0 11 4 5 11 83
The continuous limit of weak GARCH 0 0 0 0 0 0 0 10
Time varying price discovery 0 0 1 22 2 2 9 70
VaR and ES forecasting via recurrent neural network-based stateful models 3 4 7 20 6 15 40 64
Total Journal Articles 4 6 20 959 50 93 325 3,052

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Statistics updated 2026-05-06