Emese Lazar

University of Reading - ICMA Centre

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

SCHOLARLY PAPERS

11

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3,120

SSRN CITATIONS
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Top 29,010

in Total Papers Citations

15

CROSSREF CITATIONS

15

Scholarly Papers (11)

1.

Normal Mixture Garch(1,1): Applications to Exchange Rate Modelling

ISMA Centre Finance Discussion Paper No. 2004-06
Number of pages: 83 Posted: 23 Jun 2004
Carol Alexander and Emese Lazar
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 865 (39,474)
Citation 11

Abstract:

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Volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasticity, GARCH models

2.

Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis

Economic Modelling, Vol. 29, No. 6, 2012
Number of pages: 36 Posted: 25 Oct 2011 Last Revised: 02 Jan 2013
Essex Business School, University of Essex, University of Reading - ICMA CentreLeibniz Universit├Ąt Hannover - Faculty of Economics and Management, University of Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 518 (76,982)
Citation 8

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Forward curves, scarcity, commodity price volatility, theory of storage, convenience yield

3.

On the Continuous Limit of GARCH

ICMA Centre Discussion Paper No. DP2005-13
Number of pages: 20 Posted: 27 Jul 2004
Carol Alexander and Emese Lazar
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 460 (88,644)
Citation 6

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GARCH diffusion, stochastic volatility, time aggregation, continuous limit

4.

Symmetric Normal Mixture GARCH

Number of pages: 47 Posted: 10 May 2004
Emese Lazar and Carol Alexander
University of Reading - ICMA Centre and University of Sussex Business School
Downloads 434 (94,823)
Citation 1

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volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasicity, GARCH models

5.

Analytic Moments for GARCH Processes

ICMA Centre Discussion Papers in Finance DP 2011-07
Number of pages: 59 Posted: 04 Nov 2010 Last Revised: 14 Apr 2011
Carol Alexander, Emese Lazar and Silvia Stanescu
University of Sussex Business School, University of Reading - ICMA Centre and University of Kent - Kent Business School
Downloads 254 (168,836)

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approximate predictive distributions, conditional and unconditional moments, GARCH, kurtosis, skewness, simulation

6.

Price Discovery of Credit Spreads in Tranquil and Crisis Periods

International Review of Financial Analysis, Vol. 30, pp. 242-253, 2013
Number of pages: 30 Posted: 12 Jul 2011 Last Revised: 07 Mar 2019
Davide E. Avino, Emese Lazar and Simone Varotto
University of LiverpoolFinancial Mathematics and Computation Cluster, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 189 (222,463)
Citation 1

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credit spreads, price discovery, volatility spillovers, credit and equity derivatives, information flow

7.

Forecasting Risk Measures Using Intraday Data in a Generalized Autoregressive Score (GAS) Framework

International Journal of Forecasting, Vol. 36, No. 3, 2020
Number of pages: 32 Posted: 13 Jun 2019 Last Revised: 28 Dec 2020
Emese Lazar and Xiaohan Xue
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 143 (280,579)
Citation 1

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Value-at-Risk, Expected Shortfall, Generalized Autoregressive Score (GAS) Dynamics, Realized Variance, Intraday Data, Risk Forecasting

8.

Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL

ICMA Centre Discussion Papers in Finance DP 2011-08
Number of pages: 28 Posted: 13 May 2011
Carol Alexander, Emese Lazar and Silvia Stanescu
University of Sussex Business School, University of Reading - ICMA Centre and University of Kent - Kent Business School
Downloads 133 (296,669)
Citation 1

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GARCH, higher conditional moments, approximate predictive distributions, Value-at-Risk, Conditional VaR, Expected tail loss, Expected shortfall

9.

Time Varying Price Discovery

Economics Letters, Vol. 126, pp. 18-21, 2015
Number of pages: 9 Posted: 11 Sep 2014 Last Revised: 07 Mar 2019
Davide E. Avino, Emese Lazar and Simone Varotto
University of LiverpoolFinancial Mathematics and Computation Cluster, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 122 (316,429)
Citation 1

Abstract:

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credit spreads, price discovery, multivariate GARCH

10.

Modelling Regime-Specific Stock Price Volatility

Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 6, pp. 761-797, December 2009
Number of pages: 37 Posted: 20 Oct 2009
Carol Alexander and Emese Lazar
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 2 (877,089)

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11.

Rethinking Capital Structure Arbitrage: A Price Discovery Perspective

Journal of Alternative Investments, Vol. 22, pp. 75-91, 2020, https://jai.pm-research.com/content/22/4/75
Posted: 02 Jun 2012 Last Revised: 24 May 2020
Davide E. Avino and Emese Lazar
University of LiverpoolFinancial Mathematics and Computation Cluster and University of Reading - ICMA Centre

Abstract:

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credit spreads, price discovery, credit derivatives, information flow, convergence trading, financial crisis, limit of arbitrage