← All authors Emese Lazar University of Reading (from arXiv:2010.08113, 2020) · ORCID · OpenAlex
23 papers in scope · 23 published · 1 on the econ.EM arXiv · 517 citations · h-index 10 (over the papers listed here)
Papers (1 of 23)
Improving Implied Volatility Forecasts for American Options Using Neural Networks
published 2026 · Journal of Futures Markets
with Haitong Jiang, Miriam Marra
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models
published 2025 · Journal of Business and Economic Statistics · first circulated 2024
Environmental performance and credit ratings: A transatlantic study
published 2024 · International Review of Financial Analysis · 6 citations
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels
published 2024 · Journal of commodity markets · 6 citations · first circulated 2023
VaR and ES forecasting via recurrent neural network-based stateful models
published 2024 · International Review of Financial Analysis · 6 citations
with Zhiguo Qiu, Keiichi Nakata
published 2024 · Journal of Financial Econometrics · 3 citations · first circulated 2020
Loss function-based change point detection in risk measures
published 2023 · European Journal of Operational Research · 9 citations
Model Risk of Volatility Models
published 2022 · Econometrics and Statistics · 1 citations
with Ning Zhang
Model risk in the over-the-counter market
published 2021 · European Journal of Operational Research · 10 citations
Forecasting VIX Using Filtered Historical Simulation
published 2020 · Journal of Financial Econometrics · 7 citations
with Yushuang Jiang
The continuous limit of weak GARCH
published 2020 · Econometric Reviews
with Carol Alexander
Practical Applications of Rethinking Capital Structure Arbitrage: A Price Discovery Perspective
published 2020 · The Journal of Alternative Investments · 2 citations · first circulated 2012
with Davide Avino
Forecasting risk measures using intraday data in a generalized autoregressive score framework
published 2020 · International Journal of Forecasting · 41 citations · first circulated 2019
with Xiaohan Xue
Modeling Expected Shortfall Using Tail Entropy
published 2019 · Entropy · 4 citations
with Daniel Traian Pele, Miruna Mazurencu-Marinescu-Pele
Model risk of expected shortfall
published 2019 · Journal of Banking & Finance · 28 citations · first circulated 2017
with Ning Zhang
Information Entropy and Measures of Market Risk
published 2017 · Entropy · 47 citations
with Daniel Traian Pele, Alfonso Dufour
Time varying price discovery
published 2014 · Economics Letters · 22 citations · first circulated 2013
with Davide Avino, Simone Varotto
Price discovery of credit spreads in tranquil and crisis periods
published 2013 · International Review of Financial Analysis · 4 citations · first circulated 2011
with Davide Avino, Simone Varotto
Forecasting VaR using analytic higher moments for GARCH processes
published 2013 · International Review of Financial Analysis · 34 citations · first circulated 2011
with Carol Alexander, Silvia Stanescu
Futures basis, inventory and commodity price volatility: An empirical analysis
published 2012 · Economic Modelling · 13 citations
with Lazaros Symeonidis, Marcel Prokopczuk, Chris Brooks
Modelling Regime‐Specific Stock Price Volatility*
published 2009 · Oxford Bulletin of Economics and Statistics · 43 citations
with Carol Alexander
Option Valuation with Normal Mixture GARCH Models
published 2008 · Studies in Nonlinear Dynamics and Econometrics · 45 citations
with Alexandru Badescu, Reg Kulperger
Normal mixture GARCH(1,1): applications to exchange rate modelling
published 2006 · Journal of Applied Econometrics · 186 citations · first circulated 2004
with Carol Alexander, Carol Alexandra
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