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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
2812006
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
1002012
Information entropy and measures of market risk
DT Pele, E Lazar, A Dufour
Entropy 19 (5), 226, 2017
652017
Modelling regime‐specific stock price volatility
C Alexander, E Lazar
Oxford Bulletin of Economics and Statistics 71 (6), 761-797, 2009
512009
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
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
342020
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
292003
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
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
Model risk of expected shortfall
E Lazar, N Zhang
Journal of Banking & Finance 105, 74-93, 2019
232019
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
132021
Markov switching GARCH diffusion
C Alexander, E Lazaar
ICMA Centre Discussion Papers in Finance 1, 2008, 2008
102008
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
82012
Forecasting VIX using filtered historical simulation
Y Jiang, E Lazar
Journal of Financial Econometrics 20 (4), 655-680, 2022
72022
Normal Mixture GARCH (1, 1)
C Alexander, E Lazar
forthcoming in Journal of Applied Econometrics, 2004
72004
Option Valuation with Normal Mixture GARCH Models
B Alex, K Reg, L Emese
Studies in Nonlinear Dynamics & Econometrics 12 (2), 1-42, 2008
62008
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