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Model risk of expected shortfall
Lazar, Emese; Zhang, Ning - In: Journal of banking & finance 105 (2019), pp. 74-93
Persistent link: https://www.econbiz.de/10012163809
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Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese; Xue, Xiaohan - In: International journal of forecasting 36 (2020) 3, pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
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VaR and ES forecasting via recurrent neural network-based stateful models
Qiu, Zhiguo; Lazar, Emese; Nakata, Keiichi - In: International review of financial analysis 92 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
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On the estimation of Value-at-Risk and Expected Shortfall at extreme levels
Lazar, Emese; Pan, Jingqi; Wang, Shixuan - In: Journal of commodity markets : JCM 34 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014548240
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Model risk in the over-the-counter market
Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
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Measures of model risk for continuous-time finance models
Lazar, Emese; Qi, Shuyuan; Tunaru, Radu - 2024
Persistent link: https://www.econbiz.de/10015338808
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Hedging the risk of an energy futures portfolio
Alexander, Carol - In: Risk management in commodity markets : from shipping to …, (pp. 117-127). 2008
Persistent link: https://www.econbiz.de/10003787695
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Value at risk models
Alexander, Carol - 2008
Persistent link: https://www.econbiz.de/10003758439
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Practical financial econometrics
Alexander, Carol - 2008
Persistent link: https://www.econbiz.de/10003710762
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Quantitative methods in finance
Alexander, Carol - 2008
Persistent link: https://www.econbiz.de/10003690818