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Emese Lazar
Emese Lazar
University of Reading
Verified email at icmacentre.ac.uk
Title
Cited by
Cited by
Year
Normal mixture GARCH (1, 1): Applications to exchange rate modelling
C Alexander, E Lazar
Journal of Applied Econometrics 21 (3), 307-336, 2006
2822006
Futures basis, inventory and commodity price volatility: An empirical analysis
L Symeonidis, M Prokopczuk, C Brooks, E Lazar
Economic Modelling 29 (6), 2651-2663, 2012
1042012
Information entropy and measures of market risk
DT Pele, E Lazar, A Dufour
Entropy 19 (5), 226, 2017
672017
Modelling regime‐specific stock price volatility
C Alexander, E Lazar
Oxford Bulletin of Economics and Statistics 71 (6), 761-797, 2009
512009
Forecasting risk measures using intraday data in a generalized autoregressive score framework
E Lazar, X Xue
International Journal of Forecasting 36 (3), 1057-1072, 2020
362020
Forecasting VaR using analytic higher moments for GARCH processes
C Alexander, E Lazar, S Stanescu
International Review of Financial Analysis 30, 36-45, 2013
352013
Option valuation with normal mixture GARCH models
A Badescu, R Kulperger, E Lazar
Studies in Nonlinear Dynamics & Econometrics 12 (2), 2008
332008
Symmetric normal mixture GARCH
C Alexander, E Lazar
Discussion Papers in Finance 9, 2003
302003
Price discovery of credit spreads in tranquil and crisis periods
D Avino, E Lazar, S Varotto
International Review of Financial Analysis 30, 242-253, 2013
262013
Model risk of expected shortfall
E Lazar, N Zhang
Journal of Banking & Finance 105, 74-93, 2019
252019
Time varying price discovery
D Avino, E Lazar, S Varotto
Economics Letters 126, 18-21, 2015
252015
The equity index skew, market crashes and asymmetric normal mixture GARCH
C Alexander, E Lazar
ISMA Centre discussion papers in Finance 14, 2004
252004
Asymmetries and volatility regimes in the european equity market
C Alexander, E Lazar
ICMA Centre Discussion Papers in Finance 14, 2005
192005
On the continuous limit of GARCH
C Alexander, E Lazar
ICMA Centre Discussion Paper No. DP2005-13, 2005
172005
Analytic moments for GJR-GARCH (1, 1) processes
C Alexander, E Lazar, S Stanescu
International Journal of Forecasting 37 (1), 105-124, 2021
152021
Markov switching GARCH diffusion
C Alexander, E Lazaar
ICMA Centre Discussion Papers in Finance 1, 2008, 2008
102008
Forecasting VIX using filtered historical simulation
Y Jiang, E Lazar
Journal of Financial Econometrics 20 (4), 655-680, 2022
82022
Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options
D Avino, E Lazar, S Varotto
72012
Normal Mixture GARCH (1, 1)
C Alexander, E Lazar
forthcoming in Journal of Applied Econometrics, 2004
72004
Futures basis, scarcity and commodity price volatility: An empirical analysis
C Brooks, E Lazar, M Prokopczuk, L Symeonidis
Henley, University of Reading, ICMA Centre, 2011
62011
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