8
H index
8
i10 index
256
Citations
Emese Lazar : Citation Profile
University of Reading | RESEARCH PRODUCTION: 16 Articles 17 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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21 years (2003 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Emese Lazar. | Is cited by:
| Cites to:
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Main data
Where Emese Lazar has published?
| Journals with more than one article published | # docs |
|---|---|
| International Review of Financial Analysis | 3 |
| International Journal of Forecasting | 2 |
| European Journal of Operational Research | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading | 11 |
| MPRA Paper / University Library of Munich, Germany | 4 |
| Papers / arXiv.org | 2 |
Recent works citing Emese Lazar (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper |
| 2023 | Bayesian inference for a mixture double autoregressive model. (2023). Dong, Xiaogang ; Yu, Xinyang ; Zhang, Qingqing ; Yang, Kai. In: Statistica Neerlandica. RePEc:bla:stanee:v:77:y:2023:i:2:p:188-207. Full description at Econpapers || Download paper |
| 2023 | How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies. (2023). Huang, Jianglu ; Qi, Zikang ; Wang, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003923. Full description at Econpapers || Download paper |
| 2023 | Hedging pressure momentum and the predictability of oil futures returns. (2023). Zhang, Yaojie ; Wang, Yudong ; Chen, Chuang ; Yu, Dan. In: Economic Modelling. RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000263. Full description at Econpapers || Download paper |
| 2023 | Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578. Full description at Econpapers || Download paper |
| 2023 | Differences in carbon risk spillovers with green versus traditional assets: Evidence from a full distributional analysis. (2023). Liu, Yang ; Duan, Kun ; Huang, Yingying ; Yan, Cheng. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005479. Full description at Econpapers || Download paper |
| 2023 | An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145. Full description at Econpapers || Download paper |
| 2023 | From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures. (2023). Nedeltchev, Dragomir C ; Zaevski, Tsvetelin S. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001618. Full description at Econpapers || Download paper |
| 2023 | Tail risk forecasting of realized volatility CAViaR models. (2023). Watanabe, Toshiaki ; Hsu, Hsiao-Yun. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005050. Full description at Econpapers || Download paper |
| 2023 | Tracking speculative trading. (2023). Grob, Linus ; Boos, Dominik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000635. Full description at Econpapers || Download paper |
| 2023 | A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x. Full description at Econpapers || Download paper |
| 2023 | Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic. (2023). Stankov, Petar ; Mensi, Walid ; Enilov, Martin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000642. Full description at Econpapers || Download paper |
| 2023 | Wheat price volatility regimes over 140 years: An analysis of daily price ranges. (2023). Huss, Matthias ; Zimmermann, Heinz ; Haase, Marco. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000363. Full description at Econpapers || Download paper |
| 2023 | A method for predicting VaR by aggregating generalized distributions driven by the dynamic conditional score. (2023). Li, Handong ; Song, Shijia. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:203-214. Full description at Econpapers || Download paper |
| 2023 | Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189. Full description at Econpapers || Download paper |
| 2023 | Forecasting exchange rate: A bibliometric and content analysis. (2023). Junior, Eli Hadad ; de Souza, Camila. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:607-628. Full description at Econpapers || Download paper |
| 2023 | The Negative Pricing of the May 2020 WTI Contract. (2023). Miffre, Joelle ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Post-Print. RePEc:hal:journl:hal-03933797. Full description at Econpapers || Download paper |
| 2023 | The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126. Full description at Econpapers || Download paper |
| 2023 | The two-component Beta-t-QVAR-M-lev: a new forecasting model. (2023). Blazsek, Szabolcs ; Cardia, Michel Ferreira ; Sheng, Hsia Hua ; Fuerst, Franz ; Arestis, Philip. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00431-4. Full description at Econpapers || Download paper |
| 2023 | Less disagreement, better forecasts: Adjusted risk measures in the energy futures market. (2023). Xue, Xiaohan ; Gong, Yujing ; Zhang, Ning. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1332-1372. Full description at Econpapers || Download paper |
| 2023 | Commodity tail risks. (2023). Prokopczuk, Marcel ; Wursig, Christoph Matthias ; Moerke, Mathis ; Ammann, Manuel. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:168-197. Full description at Econpapers || Download paper |
Works by Emese Lazar:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2018 | Analytic Moments for GARCH Processes In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Analytic Moments for GARCH Processes.(2011) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | Measures of Model Risk in Continuous-time Finance Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Modelling Regime?Specific Stock Price Volatility* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 16 |
| 2008 | Option Valuation with Normal Mixture GARCH Models In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 24 |
| 2012 | Futures basis, inventory and commodity price volatility: An empirical analysis In: Economic Modelling. [Full Text][Citation analysis] | article | 44 |
| 2012 | Futures basis, inventory and commodity price volatility: An empirical analysis.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
| 2015 | Time varying price discovery In: Economics Letters. [Full Text][Citation analysis] | article | 19 |
| 2022 | Model risk in the over-the-counter market In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 1 |
| 2023 | Loss function-based change point detection in risk measures In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
| 2013 | Price discovery of credit spreads in tranquil and crisis periods In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 12 |
| 2012 | Price Discovery of Credit Spreads in Tranquil and Crisis Periods.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2013 | Forecasting VaR using analytic higher moments for GARCH processes In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 11 |
| 2024 | VaR and ES forecasting via recurrent neural network-based stateful models In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 0 |
| 2020 | Forecasting risk measures using intraday data in a generalized autoregressive score framework In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 11 |
| 2021 | Analytic moments for GJR-GARCH (1, 1) processes In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
| 2019 | Model risk of expected shortfall In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 8 |
| 2017 | Model Risk of Expected Shortfall.(2017) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2006 | Normal mixture GARCH(1,1): applications to exchange rate modelling In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 81 |
| 2004 | Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling.(2004) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 81 | paper | |
| 2006 | Normal mixture GARCH(1,1): applications to exchange rate modelling.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 81 | article | |
| 2022 | Forecasting VIX Using Filtered Historical Simulation* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2012 | Rethinking Capital Structure Arbitrage In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2011 | Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options.(2011) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2003 | Symmetric Normal Mixture GARCH In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 2 |
| 2004 | The Continuous Limit of GARCH Processess In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
| 2004 | The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 5 |
| 2005 | On The Continuous Limit of GARCH In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 7 |
| 2005 | Asymmetries and Volatility Regimes in the European Equity Markets In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 5 |
| 2008 | Markov Switching GARCH Diffusion In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 2 |
| 2011 | Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
| 2021 | The continuous limit of weak GARCH In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
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