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 1 6 47
Analytic Moments for GARCH Processes 0 0 0 34 2 3 16 52
Analytic Moments for GARCH Processes 0 0 0 10 0 0 14 67
Asymmetries and Volatility Regimes in the European Equity Markets 0 0 0 32 1 1 9 83
Futures basis, inventory and commodity price volatility: An empirical analysis 1 1 4 108 3 7 28 348
Markov Switching GARCH Diffusion 0 0 1 83 1 1 13 178
Measures of Model Risk in Continuous-time Finance Models 0 0 0 11 1 1 13 33
Model Risk of Expected Shortfall 0 0 0 81 0 0 11 168
Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling 0 0 0 65 0 1 11 153
On The Continuous Limit of GARCH 0 0 0 67 0 0 10 199
Price Discovery of Credit Spreads in Tranquil and Crisis Periods 0 1 2 41 1 2 17 119
Rethinking Capital Structure Arbitrage 0 0 0 99 1 3 21 338
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models 0 0 0 0 0 1 13 13
Symmetric Normal Mixture GARCH 0 0 0 39 1 2 8 123
The Continuous Limit of GARCH Processess 0 0 0 41 0 1 7 117
The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH 0 0 0 69 1 1 7 333
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 1 1 10 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 0 7 0 0 5 57
Total Working Papers 1 2 8 803 14 26 219 2,485

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 15 1 1 27 108
Environmental performance and credit ratings: A transatlantic study 0 0 1 1 0 0 13 16
Forecasting VIX Using Filtered Historical Simulation* 1 1 1 11 4 5 13 33
Forecasting VaR using analytic higher moments for GARCH processes 0 0 0 22 0 0 24 102
Forecasting risk measures using intraday data in a generalized autoregressive score framework 0 1 2 6 0 3 22 67
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 44 3 11 35 278
Improving Implied Volatility Forecasts for American Options Using Neural Networks 0 0 0 0 0 0 1 1
Loss function-based change point detection in risk measures 0 0 0 2 0 0 6 12
Measures of Model Risk for Continuous-Time Finance Models* 0 0 2 2 0 0 13 15
Model Risk of Volatility Models 0 0 0 0 2 2 20 21
Model risk in the over-the-counter market 0 0 0 1 1 1 8 16
Model risk of expected shortfall 0 1 1 21 0 1 14 99
Modelling Regime‐Specific Stock Price Volatility* 0 0 0 51 1 1 21 193
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 2 568 0 0 16 1,419
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 1 5 1 2 9 25
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels 0 0 0 0 1 3 35 41
Option Valuation with Normal Mixture GARCH Models 0 0 0 162 1 1 14 432
Price discovery of credit spreads in tranquil and crisis periods 0 0 0 11 2 2 11 86
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models 0 0 0 0 0 1 2 2
The continuous limit of weak GARCH 0 0 0 0 0 0 0 10
Time varying price discovery 0 0 0 22 1 1 9 72
VaR and ES forecasting via recurrent neural network-based stateful models 2 2 7 22 4 5 39 76
Total Journal Articles 3 5 21 966 22 40 352 3,124

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Statistics updated 2026-09-10