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	1	10	0	1	5	39
Analytic Moments for GARCH Processes	0	0	1	10	0	2	3	53
Analytic Moments for GARCH Processes	0	0	1	34	0	1	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	0	7	13	316
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	0	0	1	17
Model Risk of Expected Shortfall	0	0	0	80	2	2	4	155
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	4	5	101
Rethinking Capital Structure Arbitrage	0	0	1	99	1	1	8	313
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	4	2	4	5	46
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	1	2	52
Total Working Papers	0	0	5	792	5	23	50	2,246

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	0	1	11	2	3	8	75
Environmental performance and credit ratings: A transatlantic study	0	0	0	0	1	1	1	1
Forecasting VIX Using Filtered Historical Simulation*	0	0	4	8	0	0	6	18
Forecasting VaR using analytic higher moments for GARCH processes	0	0	0	22	0	1	4	78
Forecasting risk measures using intraday data in a generalized autoregressive score framework	0	0	0	4	0	1	4	44
Futures basis, inventory and commodity price volatility: An empirical analysis	0	0	0	43	0	1	1	241
Loss function-based change point detection in risk measures	0	0	1	2	0	0	4	6
Measures of Model Risk for Continuous-Time Finance Models*	0	0	0	0	1	1	1	1
Model risk in the over-the-counter market	0	0	0	1	0	2	3	8
Model risk of expected shortfall	0	0	1	19	0	0	5	79
Modelling Regime‐Specific Stock Price Volatility*	0	0	0	51	0	0	1	169
Normal mixture GARCH(1,1): applications to exchange rate modelling	0	0	1	4	0	0	3	15
Normal mixture GARCH(1,1): applications to exchange rate modelling	0	0	0	566	1	1	6	1,398
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels	0	0	0	0	0	0	3	3
Option Valuation with Normal Mixture GARCH Models	0	0	0	162	0	1	3	417
Price discovery of credit spreads in tranquil and crisis periods	0	0	0	11	0	1	1	72
The continuous limit of weak GARCH	0	0	0	0	0	1	1	10
Time varying price discovery	0	1	1	21	0	4	4	61
VaR and ES forecasting via recurrent neural network-based stateful models	1	2	9	11	1	6	18	22
Total Journal Articles	1	3	18	936	6	24	77	2,718

Authors with papers registered in the RePEc Author Service.

Authors with no registered papers

LogEc provides access and usage statistics for services based on the RePEc data set.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-04-04