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Items where Author is "Lazar, Dr Emese"

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Number of items: 7.

Alexander, C., Lazar, E. and Stanescu, S. (2013) Forecasting VaR using analytic higher moments for GARCH processes. International Review of Financial Analysis, 30. pp. 36-45. ISSN 1057-5219 doi: 10.1016/j.irfa.2013.05.006

Avino, D., Lazar, E. and Varotto, S. (2013) Price discovery of credit spreads in tranquil and crisis periods. International Review of Financial Analysis, 30. pp. 242-253. ISSN 1057-5219 doi: 10.1016/j.irfa.2013.08.002

Symeonidis, L., Prokopczuk, M., Brooks, C. and Lazar, E. (2012) Futures basis, inventory and commodity price volatility: an empirical analysis. Economic Modelling, 29 (6). pp. 2651-2663. ISSN 0264-9993 doi: 10.1016/j.econmod.2012.07.016 (http://www.sciencedirect.com/science/journal/02649993)

Alexander, C. and Lazar, E. (2009) Modelling regime-specific stock price volatility. Oxford Bulletin of Economics and Statistics, 71 (6). pp. 761-797. ISSN 1468-0084 doi: 10.1111/j.1468-0084.2009.00563.x

Badescu, A., Kulperger, R. and Lazar, E. (2008) Option valuation with normal mixture GARCH models. Studies in nonlinear dynamics & econometrics, 12 (2). 5. ISSN 1558-3708 doi: 10.2202/1558-3708.1580

Alexander, C. and Lazar, E. (2006) Normal mixture GARCH(1,1): applications to exchange rate modelling. Journal of Applied Econometrics, 21 (3). pp. 307-336. ISSN 1099-1255 doi: 10.1002/jae.849

Alexander, C. and Lazar, E. (2004) Time aggregation of normal mixture GARCH models. In: Second international IASTED conference on financial engineering and applications, 8-10 November, 2004, Massachusetts Institute of Technology, Cambridge, USA.

This list was generated on Sun Oct 26 03:44:56 2014 GMT.

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