Emese Lazar : Citation Profile

University of Reading

9

H index

9

i10 index

295

Citations

RESEARCH PRODUCTION:

20

Articles

18

Papers

RESEARCH ACTIVITY:

   22 years (2003 - 2025). See details.
   Cites by year: 13
   Journals where Emese Lazar has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 9 (2.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla1124
   Updated: 2025-12-20    RAS profile: 2025-11-12    
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Relations with other researchers

Works with:

Alexander, Carol (2)

Wang, Shixuan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Emese Lazar.

Is cited by:

Haas, Markus (16)

Ielpo, Florian (14)

Lalaharison, Hanjarivo (11)

Mittnik, Stefan (10)

GUEGAN, Dominique (7)

Rombouts, Jeroen (6)

Stentoft, Lars (6)

Cheung, Yin-Wong (5)

Kouretas, Georgios (5)

Ghassan, Hassan (4)

Ñíguez Grau, Trino (4)

Cites to:

Bollerslev, Tim (35)

Engle, Robert (34)

Bauwens, Luc (21)

Danielsson, Jon (16)

Jagannathan, Ravi (13)

Alexander, Carol (13)

Patton, Andrew (11)

Manganelli, Simone (9)

van Dijk, Herman (9)

Hansen, Peter (9)

Diebold, Francis (9)

Main data

Where Emese Lazar has published?

Journals with more than one article published# docs
International Review of Financial Analysis4
Journal of Financial Econometrics2
International Journal of Forecasting2
European Journal of Operational Research2

Working Papers Series with more than one paper published# docs
ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading11
MPRA Paper / University Library of Munich, Germany4
Papers / arXiv.org2

Recent works citing Emese Lazar (2025 and 2024)

YearTitle of citing document
2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012.

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2024Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches. (2024). Desheng, Wu Dash ; Ahmad, Touqeer ; Ur, Shafique ; Karamoozian, Amirhossein. In: Papers. RePEc:arx:papers:2407.15766.

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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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2024Financial stability policy and downside risk in stock returns. (2024). Yang, Jianlei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001219.

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2025The divergence of China’s prices under economic policy uncertainty shock: A time-varying perspective. (2025). Zhang, Yuan ; Xue, Ning ; Long, Shaobo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002705.

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2025Portfolio tail risk forecasting for international financial assets: A GARCH-MIDAS-R-Vine copula model. (2025). Yao, Yinhong ; Chen, Xiuwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000257.

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2024Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212.

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2024Unexpected opportunities in misspecified predictive regressions. (2024). Deguest, Romain ; Coqueret, Guillaume. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:686-700.

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2025A new lattice approach for risk-minimization hedging under generalized autoregressive conditional heteroskedasticity models. (2025). Wang, Chen ; Ma, Junmei ; Xu, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:1021-1035.

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2025On the valuation of legacy power production in liberalized markets via option-pricing. (2025). Ehrenmann, Andreas ; Abada, Ibrahim ; Belkhouja, Mustapha. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:3:p:1005-1024.

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2024Index tracking using shapley additive explanations and one-dimensional pointwise convolutional autoencoders. (2024). de Smedt, Johannes ; Zhang, Yanyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004198.

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2024Can asymmetry, long memory, and current return information improve crude oil volatility prediction? ——Evidence from ASHARV-MIDAS model. (2024). Chen, Zhenlong ; Hao, Xiaozhen ; Liu, Junjie. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004501.

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2025New bounds for tail risk measures. (2025). Len, Ngel ; Guez, Trino-Manuel ; Carnero, Ngeles M. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001527.

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2025Environmental responsibility governance: Local environmental legislation influence on corporate environmental investment decisions. (2025). Paraman, Pradeep ; Dong, Yifei ; Hu, Yuge. In: Finance Research Letters. RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325005136.

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2024Global power and Stock market co-movements: A study of G20 markets. (2024). Gupta, Rakesh ; Selvanathan, E A ; Haddad, Sama. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324001005.

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2024Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX. (2024). Conlon, Thomas ; Corbet, Shaen ; Hou, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000064.

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2024Limit-hitting exciting effects: Modeling jump dependencies in stock markets adhering to daily price-limit rules. (2024). Qi, Shuyuan ; Chen, Jian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:163:y:2024:i:c:s0378426624001018.

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2025Macroeconomics, geopolitical risk, and resource commodity price bubbles. (2025). Wu, Haipeng ; Chen, Yiming ; Li, Beibei ; Mao, Xuefeng. In: Resources Policy. RePEc:eee:jrpoli:v:101:y:2025:i:c:s0301420725000200.

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2025A novel credit model risk measure: Do more data lead to lower model risk?. (2025). de Genaro, Alan ; Yoshida, Valter T ; Schiozer, Rafael. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976925000018.

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2024On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model. (2024). Alexiou, Constantinos ; Yao, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1054-1072.

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2024Recursive Estimation of the Expectile-Based Shortfall in Functional Ergodic Time Series. (2024). Almulhim, Fatimah A ; Alamari, Mohammed B ; Rachdi, Mustapha ; Laksaci, Ali. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:24:p:3956-:d:1545194.

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2025Hierarchical Vector Mixtures for Electricity Day-Ahead Market Prices Scenario Generation. (2025). Mari, Carlo ; Lucheroni, Carlo. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:17:p:2852-:d:1741787.

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2024Test of Volatile Behaviors with the Asymmetric Stochastic Volatility Model: An Implementation on Nasdaq-100. (2024). Suleymanov, Elchin ; Yagubov, Ulvi ; Gubadli, Magsud. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:5:p:76-:d:1388278.

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2024Unexpected opportunities in misspecified predictive regressions. (2024). Deguest, Romain ; Coqueret, Guillaume. In: Post-Print. RePEc:hal:journl:hal-04595355.

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2024Bayesian Inference for Mixed Gaussian GARCH-Type Model by Hamiltonian Monte Carlo Algorithm. (2024). Liang, Rubing ; Xia, Qiang ; Qin, Binbin. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10337-4.

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2025Extreme Risk Connectedness in China’s Stock Market: Fresh Insights from Time-Varying General Dynamic Factor Models. (2025). Jin, Xiaoye. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10779-y.

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2024Domestic and Global Causes for Exchange Rate Volatility: Evidence From Turkey. (2024). Altun, Omer ; Ozkaya, Ata. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:2:p:21582440241243200.

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2025Integrating metals and minerals into climate-economic models: a review. (2025). Safarzynska, Karolina ; Kryvyy, Taras. In: Climatic Change. RePEc:spr:climat:v:178:y:2025:i:7:d:10.1007_s10584-025-03966-9.

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2024An evaluation of the adequacy of Lévy and extreme value tail risk estimates. (2024). Hassan, M. Kabir ; Mozumder, Sharif. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00614-6.

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2025An automated adaptive trading system for enhanced performance of emerging market portfolios. (2025). Tudor, Cristiana ; Sova, Robert. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00754-3.

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2025The US Quantitative Easing Monetary Policy and Commodities’ Prices. (2025). Yao, Wei. In: Other publications TiSEM. RePEc:tiu:tiutis:185d14d3-9dc2-4276-82ec-e2d59b3d693f.

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2024Tail risk forecasting with semiparametric regression models by incorporating overnight information. (2024). Shau, Weihsuan ; Koike, Takaaki. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1492-1512.

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2024Can intraday data improve the joint estimation and prediction of risk measures? Evidence from a variety of realized measures. (2024). Wu, Zhimin ; Cai, Guanghui. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:1956-1974.

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2024Hedging pressure and oil volatility: Insurance versus liquidity demands. (2024). Wang, Jianxin ; Nikitopoulos, Christina Sklibosios ; Thomas, Alice Carole. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:252-280.

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2024Risky times: Seasonality and event risk of commodities. (2024). Boos, Dominik. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:767-783.

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2025The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets. (2025). Triantafyllou, Athanasios ; Bermpei, Theodora. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:4:p:289-307.

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2025Commodity Price Crash Risk and Crash Risk Contagion. (2025). Jain, Prachi ; Maitra, Debasish. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:4:p:343-378.

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Works by Emese Lazar:

YearTitleTypeCited
2018Analytic Moments for GARCH Processes In: Papers.
[Full Text][Citation analysis]		paper0
2011Analytic 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
2020Measures of Model Risk in Continuous-time Finance Models In: Papers.
[Full Text][Citation analysis]		paper0
2009Modelling Regime‐Specific Stock Price Volatility* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article18
2008Option Valuation with Normal Mixture GARCH Models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article24
2012Futures basis, inventory and commodity price volatility: An empirical analysis In: Economic Modelling.
[Full Text][Citation analysis]		article53
2012Futures basis, inventory and commodity price volatility: An empirical analysis.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 53		paper
2015Time varying price discovery In: Economics Letters.
[Full Text][Citation analysis]		article19
2025Model Risk of Volatility Models In: Econometrics and Statistics.
[Full Text][Citation analysis]		article0
2022Model risk in the over-the-counter market In: European Journal of Operational Research.
[Full Text][Citation analysis]		article5
2023Loss function-based change point detection in risk measures In: European Journal of Operational Research.
[Full Text][Citation analysis]		article1
2013Price discovery of credit spreads in tranquil and crisis periods In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article13
2012Price Discovery of Credit Spreads in Tranquil and Crisis Periods.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2013Forecasting VaR using analytic higher moments for GARCH processes In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article13
2024VaR and ES forecasting via recurrent neural network-based stateful models In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article1
2024Environmental performance and credit ratings: A transatlantic study In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article1
2020Forecasting risk measures using intraday data in a generalized autoregressive score framework In: International Journal of Forecasting.
[Full Text][Citation analysis]		article14
2021Analytic moments for GJR-GARCH (1, 1) processes In: International Journal of Forecasting.
[Full Text][Citation analysis]		article8
2019Model risk of expected shortfall In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
2017Model Risk of Expected Shortfall.(2017) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2024On the estimation of Value-at-Risk and Expected Shortfall at extreme levels In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article2
2025Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models In: Post-Print.
[Citation analysis]		paper0
2006Normal mixture GARCH(1,1): applications to exchange rate modelling In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article84
2004Normal 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: 84		paper
2006Normal 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: 84		article
2022Forecasting VIX Using Filtered Historical Simulation* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2024Measures of Model Risk for Continuous-Time Finance Models* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2012Rethinking Capital Structure Arbitrage In: MPRA Paper.
[Full Text][Citation analysis]		paper2
2012Which 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]		paper2
2011Which 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
2003Symmetric Normal Mixture GARCH In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2004The Continuous Limit of GARCH Processess In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2004The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper5
2005On The Continuous Limit of GARCH In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper7
2005Asymmetries and Volatility Regimes in the European Equity Markets In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper5
2008Markov Switching GARCH Diffusion In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2011Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2021The continuous limit of weak GARCH In: Econometric Reviews.
[Full Text][Citation analysis]		article0

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