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	4	41
Analytic Moments for GARCH Processes	0	0	0	34	2	4	6	40
Analytic Moments for GARCH Processes	0	0	0	10	1	3	5	56
Asymmetries and Volatility Regimes in the European Equity Markets	0	0	0	32	0	2	2	76
Futures basis, inventory and commodity price volatility: An empirical analysis	0	0	0	104	2	4	15	324
Markov Switching GARCH Diffusion	1	1	1	83	1	3	3	168
Measures of Model Risk in Continuous-time Finance Models	0	0	0	11	4	5	8	25
Model Risk of Expected Shortfall	0	0	1	81	3	4	8	161
Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling	0	0	0	65	1	2	3	144
On The Continuous Limit of GARCH	0	0	0	67	1	1	1	190
Price Discovery of Credit Spreads in Tranquil and Crisis Periods	0	0	1	39	2	2	7	104
Rethinking Capital Structure Arbitrage	0	0	0	99	1	4	9	321
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models	0	0	0	0	1	1	1	1
Symmetric Normal Mixture GARCH	0	0	0	39	1	2	2	117
The Continuous Limit of GARCH Processess	0	0	0	41	1	1	2	111
The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH	0	0	0	69	0	0	0	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	1	1	5	0	1	6	48
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	1	52
Total Working Papers	1	2	6	797	21	39	83	2,305

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	1	1	2	13	6	11	20	92
Environmental performance and credit ratings: A transatlantic study	1	1	1	1	2	3	6	6
Forecasting VIX Using Filtered Historical Simulation*	0	0	2	10	1	1	3	21
Forecasting VaR using analytic higher moments for GARCH processes	0	0	0	22	2	5	6	83
Forecasting risk measures using intraday data in a generalized autoregressive score framework	0	0	0	4	3	4	7	49
Futures basis, inventory and commodity price volatility: An empirical analysis	1	1	1	44	3	6	9	249
Loss function-based change point detection in risk measures	0	0	0	2	1	1	2	7
Measures of Model Risk for Continuous-Time Finance Models*	0	0	0	0	3	4	6	6
Model Risk of Volatility Models	0	0	0	0	0	1	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	1	2	9	87
Modelling Regime‐Specific Stock Price Volatility*	0	0	0	51	4	5	8	177
Normal mixture GARCH(1,1): applications to exchange rate modelling	0	1	1	5	0	1	2	17
Normal mixture GARCH(1,1): applications to exchange rate modelling	0	0	0	566	3	4	10	1,407
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels	0	0	0	0	4	12	16	18
Option Valuation with Normal Mixture GARCH Models	0	0	0	162	1	1	4	419
Price discovery of credit spreads in tranquil and crisis periods	0	0	0	11	0	0	4	75
The continuous limit of weak GARCH	0	0	0	0	0	0	1	10
Time varying price discovery	0	0	2	22	1	2	8	65
VaR and ES forecasting via recurrent neural network-based stateful models	1	1	8	16	2	7	30	44
Total Journal Articles	4	5	18	950	37	70	156	2,842

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Statistics updated 2025-12-06