Number of items: 23.
2024
Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754, Pan, J. and Wang, S.
ORCID: https://orcid.org/0000-0003-2113-5521
(2024)
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels.
Journal of Commodity Markets, 34.
100391.
ISSN 2405-8513
doi: https://doi.org/10.1016/j.jcomm.2024.100391
Qiu, Z., Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754 and Nakata, K.
ORCID: https://orcid.org/0000-0002-7986-6012
(2024)
VaR and ES forecasting via recurrent neural network-based stateful models.
International Review of Financial Analysis, 92.
103102.
ISSN 1873-8079
doi: https://doi.org/10.1016/j.irfa.2024.103102
Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754, Qi, S. and Tunaru, R.
(2024)
Measures of model risk for continuous-time finance models.
Journal of Financial Econometrics.
ISSN 1479-8417
(In Press)
2023
Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754, Wang, S.
ORCID: https://orcid.org/0000-0003-2113-5521 and Xue, X.
(2023)
Loss function-based change point detection in risk measures.
European Journal of Operational Research, 310 (1).
pp. 415-431.
ISSN 0377-2217
doi: https://doi.org/10.1016/j.ejor.2023.03.033
2022
Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754 and Zhang, N.
(2022)
Model risk of volatility models.
Econometrics and Statistics.
ISSN 2452-3062
doi: https://doi.org/10.1016/j.ecosta.2022.06.002
Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754 and Qi, S.
(2022)
Model risk in the over-the-counter market.
European Journal of Operational Research, 298 (2).
pp. 769-784.
ISSN 0377-2217
doi: https://doi.org/10.1016/j.ejor.2021.07.021
Jiang, Y. and Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754
(2022)
Forecasting VIX using filtered historical simulation.
Journal of Financial Econometrics, 20 (4).
pp. 665-680.
ISSN 1479-8417
doi: https://doi.org/10.1093/jjfinec/nbaa041
2021
Alexander, C., Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754 and Stanescu, S.
(2021)
Analytic moments for GJR-GARCH (1,1) processes.
International Journal of Forecasting, 37 (1).
pp. 105-124.
ISSN 0169-2070
doi: https://doi.org/10.1016/j.ijforecast.2020.03.005
Alexander, C. and Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754
(2021)
The continuous limit of weak GARCH.
Econometric Reviews, 40 (2).
pp. 197-216.
ISSN 1532-4168
doi: https://doi.org/10.1080/07474938.2020.1799592
2020
Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754 and Xue, X.
(2020)
Forecasting risk measures using intraday data in a
generalized autoregressive score (GAS) framework.
International Journal of Forecasting, 36 (3).
pp. 1057-1072.
ISSN 0169-2070
doi: https://doi.org/10.1016/j.ijforecast.2019.10.007
Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754 and Zhang, N.
(2020)
Market risk measurement: preliminary
lessons from the COVID-19 crisis.
In: Billio, M. and Varotto, S.
ORCID: https://orcid.org/0000-0001-5328-5327 (eds.)
A New World Post COVID-19 Lessons for Business, the Finance Industry and Policy Makers.
Innovation in Business, Economics & Finance 1.
Edizioni Ca'Foscari, pp. 97-107.
ISBN 9788869694424
doi: https://doi.org/10.30687/978-88-6969-442-4/007
Avino, D. and Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754
(2020)
Rethinking capital structure arbitrage: a price discovery perspective.
The Journal of Alternative Investments, 22 (4).
pp. 75-91.
ISSN 1520-3255
doi: https://doi.org/10.3905/jai.2020.1.093
2019
Pele, D. T., Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754 and Mazurencu-Marinescu-Pele, M.
(2019)
Modelling expected shortfall using tail entropy.
Entropy, 21 (12).
1204.
ISSN 1099-4300
doi: https://doi.org/10.3390/e21121204
Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754 and Zhang, N.
(2019)
Model risk of expected shortfall.
Journal of Banking and Finance, 105.
pp. 74-93.
ISSN 0378-4266
doi: https://doi.org/10.1016/j.jbankfin.2019.05.017
2017
Pele, D. T., Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754 and Dufour, A.
ORCID: https://orcid.org/0000-0003-0519-648X
(2017)
Information entropy and measures of market risk.
Entropy, 19 (5).
226.
ISSN 1099-4300
doi: https://doi.org/10.3390/e19050226
2015
Avino, D., Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754 and Varotto, S.
ORCID: https://orcid.org/0000-0001-5328-5327
(2015)
Time varying price discovery.
Economics Letters, 126.
pp. 18-21.
ISSN 0165-1765
doi: https://doi.org/10.1016/j.econlet.2014.09.030
2013
Alexander, C., Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754 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: https://doi.org/10.1016/j.irfa.2013.05.006
Avino, D., Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754 and Varotto, S.
ORCID: https://orcid.org/0000-0001-5328-5327
(2013)
Price discovery of credit spreads in tranquil and crisis periods.
International Review of Financial Analysis, 30.
pp. 242-253.
ISSN 1057-5219
doi: https://doi.org/10.1016/j.irfa.2013.08.002
2012
Symeonidis, L., Prokopczuk, M., Brooks, C.
ORCID: https://orcid.org/0000-0002-2668-1153 and Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754
(2012)
Futures basis, inventory and commodity price volatility: an empirical analysis.
Economic Modelling, 29 (6).
pp. 2651-2663.
ISSN 0264-9993
doi: https://doi.org/10.1016/j.econmod.2012.07.016
(http://www.sciencedirect.com/science/journal/02649993)
2009
Alexander, C. and Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754
(2009)
Modelling regime-specific stock price volatility.
Oxford Bulletin of Economics and Statistics, 71 (6).
pp. 761-797.
ISSN 1468-0084
doi: https://doi.org/10.1111/j.1468-0084.2009.00563.x
2008
Badescu, A., Kulperger, R. and Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754
(2008)
Option valuation with normal mixture GARCH models.
Studies in nonlinear dynamics & econometrics, 12 (2).
5.
ISSN 1558-3708
doi: https://doi.org/10.2202/1558-3708.1580
2006
Alexander, C. and Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754
(2006)
Normal mixture GARCH(1,1): applications to exchange rate modelling.
Journal of Applied Econometrics, 21 (3).
pp. 307-336.
ISSN 1099-1255
doi: https://doi.org/10.1002/jae.849
2004
Alexander, C. and Lazar, E.
ORCID: https://orcid.org/0000-0002-8761-0754
(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 Sat Aug 31 23:35:58 2024 UTC.