Details about Emese Lazar

Access statistics for papers by Emese Lazar.

Last updated 2025-01-07. Update your information in the RePEc Author Service.

Short-id: pla1124

Working Papers

2020

1. Measures of Model Risk in Continuous-time Finance Models
   Papers, arXiv.org

2018

2. Analytic Moments for GARCH Processes
   Papers, arXiv.org
   Also in ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2011) View citations (2)

2017

3. Model Risk of Expected Shortfall
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
   See also Journal Article Model risk of expected shortfall, Journal of Banking & Finance, Elsevier (2019) View citations (9) (2019)

2012

4. Futures basis, inventory and commodity price volatility: An empirical analysis
   MPRA Paper, University Library of Munich, Germany View citations (44)
   See also Journal Article Futures basis, inventory and commodity price volatility: An empirical analysis, Economic Modelling, Elsevier (2012) View citations (46) (2012)
5. Price Discovery of Credit Spreads in Tranquil and Crisis Periods
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Price discovery of credit spreads in tranquil and crisis periods, International Review of Financial Analysis, Elsevier (2013) View citations (13) (2013)
6. Rethinking Capital Structure Arbitrage
   MPRA Paper, University Library of Munich, Germany View citations (2)
7. Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options
   MPRA Paper, University Library of Munich, Germany View citations (1)
   Also in ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2011) View citations (1)

2011

8. Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading

2008

9. Markov Switching GARCH Diffusion
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)

2005

10. Asymmetries and Volatility Regimes in the European Equity Markets
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (6)
11. On The Continuous Limit of GARCH
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (7)

2004

12. Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
    See also Journal Article Normal mixture GARCH(1,1): applications to exchange rate modelling, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (19) (2006)
13. The Continuous Limit of GARCH Processess
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
14. The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (6)

2003

15. Symmetric Normal Mixture GARCH
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)

Journal Articles

2024

1. Environmental performance and credit ratings: A transatlantic study
   International Review of Financial Analysis, 2024, 96, (PB)
2. Measures of Model Risk for Continuous-Time Finance Models*
   Journal of Financial Econometrics, 2024, 22, (5), 1456-1481
3. On the estimation of Value-at-Risk and Expected Shortfall at extreme levels
   Journal of Commodity Markets, 2024, 34, (C) View citations (2)
4. VaR and ES forecasting via recurrent neural network-based stateful models
   International Review of Financial Analysis, 2024, 92, (C) View citations (1)

2023

5. Loss function-based change point detection in risk measures
   European Journal of Operational Research, 2023, 310, (1), 415-431

2022

6. Forecasting VIX Using Filtered Historical Simulation*
   (A GARCH Option Pricing Model with Filtered Historical Simulation)
   Journal of Financial Econometrics, 2022, 20, (4), 655-680 View citations (1)
7. Model risk in the over-the-counter market
   European Journal of Operational Research, 2022, 298, (2), 769-784 View citations (5)

2021

8. Analytic moments for GJR-GARCH (1, 1) processes
   International Journal of Forecasting, 2021, 37, (1), 105-124 View citations (5)
9. The continuous limit of weak GARCH
   Econometric Reviews, 2021, 40, (2), 197-216

2020

10. Forecasting risk measures using intraday data in a generalized autoregressive score framework
    International Journal of Forecasting, 2020, 36, (3), 1057-1072 View citations (14)

2019

11. Model risk of expected shortfall
    Journal of Banking & Finance, 2019, 105, (C), 74-93 View citations (9)
    See also Working Paper Model Risk of Expected Shortfall, ICMA Centre Discussion Papers in Finance (2017) (2017)

2015

12. Time varying price discovery
    Economics Letters, 2015, 126, (C), 18-21 View citations (18)

2013

13. Forecasting VaR using analytic higher moments for GARCH processes
    International Review of Financial Analysis, 2013, 30, (C), 36-45 View citations (13)
14. Price discovery of credit spreads in tranquil and crisis periods
    International Review of Financial Analysis, 2013, 30, (C), 242-253 View citations (13)
    See also Working Paper Price Discovery of Credit Spreads in Tranquil and Crisis Periods, MPRA Paper (2012) View citations (1) (2012)

2012

15. Futures basis, inventory and commodity price volatility: An empirical analysis
    Economic Modelling, 2012, 29, (6), 2651-2663 View citations (46)
    See also Working Paper Futures basis, inventory and commodity price volatility: An empirical analysis, MPRA Paper (2012) View citations (44) (2012)

2009

16. Modelling Regime‐Specific Stock Price Volatility*
    Oxford Bulletin of Economics and Statistics, 2009, 71, (6), 761-797 View citations (19)

2008

17. Option Valuation with Normal Mixture GARCH Models
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (2), 42 View citations (24)

2006

18. Normal mixture GARCH(1,1): applications to exchange rate modelling
    Journal of Applied Econometrics, 2006, 21, (3), 307-336 View citations (19)
    Also in Journal of Applied Econometrics, 2006, 21, (3), 307-336 (2006) View citations (86)
    See also Working Paper Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling, ICMA Centre Discussion Papers in Finance (2004) (2004)