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Loss function-based change point detection in risk measures
Lazar, Emese; Wang, Shixuan; Xue, Xiaohan - In: European journal of operational research : EJOR 310 (2023) 1, pp. 415-431
Persistent link: https://www.econbiz.de/10014340186
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Environmental performance and credit ratings : a transatlantic study
Hu, Haoshen; Lazar, Emese; Pan, Jingqi; Wang, Shixuan - 2024
Persistent link: https://www.econbiz.de/10015152884
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Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL
Alexander, Carol - 2011
It is widely accepted that some of the most accurate predictions of aggregated asset returns are based on an appropriately specified GARCH process. As the forecast horizon is greater than the frequency of the GARCH model, such predictions either require time-consuming simulations or they can be...
Persistent link: https://www.econbiz.de/10013125613
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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
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Which market drives credit spreads in tranquil and crisis periods? : an analysis of the contribution to price discovery of bonds, CDS, stocks and options
Avino, Davide; Lazar, Emese; Varotto, Simone - 2011
Persistent link: https://www.econbiz.de/10009375465
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Analytic approximations to GARCH aggregated returns distributions with applications to VaR and ETL
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - 2011
Persistent link: https://www.econbiz.de/10009375528
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Analytic moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - 2011
Persistent link: https://www.econbiz.de/10009375529
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Option valuation with normal mixture GARCH models
Badescu, Alex; Kulperger, Reg; Lazar, Emese - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 2, pp. 1-40
Persistent link: https://www.econbiz.de/10009513631
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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
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Price discovery of credit spreads in tranquil and crisis periods
Avino, Davide; Lazar, Emese; Varotto, Simone - In: International review of financial analysis 30 (2013), pp. 242-253
Persistent link: https://www.econbiz.de/10010461553