Emese Lazar : Citation Profile

Are you Emese Lazar?

University of Reading

8

H index

7

i10 index

251

Citations

RESEARCH PRODUCTION:

16

Articles

17

Papers

RESEARCH ACTIVITY:

   21 years (2003 - 2024). See details.
   Cites by year: 11
   Journals where Emese Lazar has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 9 (3.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla1124
   Updated: 2024-11-04    RAS profile: 2024-06-08    
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Relations with other researchers

Works with:

Wang, Shixuan (2)

Alexander, Carol (2)

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

Is cited by:

Ielpo, Florian (14)

Haas, Markus (13)

Lalaharison, Hanjarivo (11)

Mittnik, Stefan (10)

GUEGAN, Dominique (7)

Rombouts, Jeroen (6)

Stentoft, Lars (6)

Kouretas, Georgios (5)

Ghassan, Hassan (4)

Ñíguez Grau, Trino (4)

Sévi, Benoît (4)

Cites to:

Bollerslev, Tim (27)

Engle, Robert (26)

Alexander, Carol (12)

Bauwens, Luc (11)

Jagannathan, Ravi (9)

Patton, Andrew (8)

Horvath, Lajos (7)

Bos, Charles (7)

Danielsson, Jon (7)

Laurent, Sébastien (7)

van Dijk, Herman (7)

Main data

Where Emese Lazar has published?

Journals with more than one article published# docs
International Review of Financial Analysis3
European Journal of Operational Research2
International Journal of Forecasting2

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 (2024 and 2023)

YearTitle of citing document
2023.

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2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2023Bayesian 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.

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2023How 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.

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2023Hedging 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.

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2023Forecasting 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.

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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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2023Differences 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.

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2023An 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.

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2023From 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.

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2023Tail 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.

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

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2023Tracking speculative trading. (2023). Grob, Linus ; Boos, Dominik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000635.

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2023A 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.

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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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2023Does 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.

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2023Wheat 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.

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2023A 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.

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2023Skewness 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.

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2023Forecasting 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.

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

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2023The 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.

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2023The 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.

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2023The 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.

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2023Forecasting value at risk and expected shortfall using high?frequency data of domestic and international stock markets. (2022). Wang, Man ; Cheng, Yihan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:8:p:1595-1607.

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2023Less 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.

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2023Commodity 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.

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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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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
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]		article46
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: 46		paper
2015Time varying price discovery In: Economics Letters.
[Full Text][Citation analysis]		article19
2022Model risk in the over-the-counter market In: European Journal of Operational Research.
[Full Text][Citation analysis]		article4
2023Loss function-based change point detection in risk measures In: European Journal of Operational Research.
[Full Text][Citation analysis]		article0
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]		article11
2024VaR and ES forecasting via recurrent neural network-based stateful models In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article0
2020Forecasting risk measures using intraday data in a generalized autoregressive score framework In: International Journal of Forecasting.
[Full Text][Citation analysis]		article13
2021Analytic moments for GJR-GARCH (1, 1) processes In: International Journal of Forecasting.
[Full Text][Citation analysis]		article4
2019Model risk of expected shortfall In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article8
2017Model 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
2024On the estimation of Value-at-Risk and Expected Shortfall at extreme levels In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article1
2006Normal mixture GARCH(1,1): applications to exchange rate modelling In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article82
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: 82		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: 82		article
2022Forecasting VIX Using Filtered Historical Simulation* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
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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