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On the Estimation of Value-At-Risk and Expected Shortfall at Extreme Levels

Lazar, Emese; Pan, Jingqi; Wang, Shixuan - 2023

The estimation of risk at extreme levels of significance (such as 0.1%) can be crucial to capture the losses during market downturns, such as the global financial crisis and the COVID-19 market crash. For many existing models, it is challenging to estimate risk at extreme levels of significance....

Persistent link: https://www.econbiz.de/10014355583

Modelling regime-specific stock price volatility

Alexander, Carol; Lazar, Emese - In: Oxford bulletin of economics and statistics 71 (2009) 6, pp. 761-797

Persistent link: https://www.econbiz.de/10003898987

Futures basis, scarcity and commodity price volatility : an empirical analysis

Brooks, Chris; Lazar, Emese; Prokopczuk, Marcel; … - 2011

Persistent link: https://www.econbiz.de/10009375426

Futures basis, inventory and commodity price volatility : an empirical analysis

Symeonidis, Lazaros; Prokopczuk, Marcel; Brooks, Chris; … - In: Economic modelling 29 (2012) 6, pp. 2651-2663

Persistent link: https://www.econbiz.de/10009673627

Forecasting VaR using analytic higher moments for GARCH processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45

Persistent link: https://www.econbiz.de/10010460001

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

The continuous limit of weak GARCH

Alexander, Carol; Lazar, Emese - In: Econometric reviews 40 (2021) 2, pp. 197-216

Persistent link: https://www.econbiz.de/10012483807

Forecasting VIX using filtered historical simulation

Jiang, Yushuang; Lazar, Emese - In: Journal of financial econometrics 20 (2022) 4, pp. 655-680

Persistent link: https://www.econbiz.de/10013349149

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

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