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Normal mixture GARCH (1,1) : applications to exchange rate modelling

Alexander, Carol; Lazar, Emese - In: Journal of applied econometrics 21 (2006) 3, pp. 307-336

Persistent link: https://www.econbiz.de/10003315990

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

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

Analytic moments for GARCH processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - 2011

Persistent link: https://www.econbiz.de/10009375529

Time varying price discovery

Avino, Davide; Lazar, Emese; Varotto, Simone - In: Economics letters 126 (2015), pp. 18-21

Persistent link: https://www.econbiz.de/10011376376

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

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

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

Analytic moments for GJR-GARCH (1, 1) processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International journal of forecasting 37 (2021) 1, pp. 105-124

Persistent link: https://www.econbiz.de/10012692629

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