Dr Emese Lazar
Undergraduate Programme Area Director
Programme Director: MSc Financial Engineering
Associate Professor of Quantitative Finance
Specialisms
- Financial Econometrics,
- Market Risk,
- Volatility Modelling
Location
ICMA Centre, Whiteknights Campus
Emese received a PhD in Finance from the ICMA Centre, The University of Reading in 2006. Previously she obtained an MSc in Financial Engineering and Quantitative Analysis with a distinction from the ICMA Centre.
Emese’s research interests include: risk measurement and management, model risk, volatility and correlation models and their applications in Econometrics and in pricing structured products, as well as machine learning and applications in Finance. She has published in numerous journals such as Journal of Applied Econometrics, International Journal of Forecasting, Journal of Banking and Finance as well as Econometric Reviews. Emese presently teaches Market Risk and Derivatives Modelling.
Reference: Alexander, C. and Lazar, E. (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
Henley faculty authors:
Dr Emese Lazar
Reference: Alexander, C., Lazar, E. 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
Henley faculty authors:
Dr Emese Lazar
Reference: Lazar, E. and Qi, S. (2021) Model risk in the over-the-counter market. European Journal of Operational Research. ISSN 0377-2217 doi: https://doi.org/10.1016/j.ejor.2021.07.021
Henley faculty authors:
Dr Emese Lazar
Reference: Avino, D. and Lazar, E. (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
Henley faculty authors:
Dr Emese Lazar
Reference: Lazar, E. 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
Henley faculty authors:
Dr Emese Lazar
Reference: Lazar, E. and Zhang, N. (2020) Market risk measurement: preliminary lessons from the COVID-19 crisis. In: Billio, M. and Varotto, S. (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
Henley faculty authors:
Dr Emese Lazar
Reference: Jiang, Y. and Lazar, E. (2020) Forecasting VIX using filtered historical simulation. Journal of Financial Econometrics. ISSN 1479-8417 doi: https://doi.org/10.1093/jjfinec/nbaa041
Henley faculty authors:
Dr Emese Lazar
Reference: Lazar, E. 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
Henley faculty authors:
Dr Emese Lazar
Reference: Pele, D. T., Lazar, E. 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
Henley faculty authors:
Dr Emese Lazar
Reference: Pele, D. T., Lazar, E. and Dufour, A. (2017) Information entropy and measures of market risk. Entropy, 19 (5). 226. ISSN 1099-4300 doi: https://doi.org/10.3390/e19050226
Reference: Avino, D. , Lazar, E. and Varotto, S. (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
Reference: 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: https://doi.org/10.1016/j.irfa.2013.08.002
Reference: 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: https://doi.org/10.1016/j.irfa.2013.05.006
Henley faculty authors:
Dr Emese Lazar Carol Alexander- Silvia Stanescu
Reference: 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: https://doi.org/10.1016/j.econmod.2012.07.016 (http://www.sciencedirect.com/science/journal/02649993)
Reference: 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: https://doi.org/10.1111/j.1468-0084.2009.00563.x
Henley faculty authors:
Dr Emese Lazar C. Alexander
Reference: 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: https://doi.org/10.2202/1558-3708.1580
Henley faculty authors:
Dr Emese Lazar Alex Badescu- Reg Kulperger
Reference: 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: https://doi.org/10.1002/jae.849
Henley faculty authors:
Dr Emese Lazar Carol Alexander
Reference: 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.
Henley faculty authors:
Dr Emese Lazar Carol AlexanderDerivatives Modelling
The module is designed to provide an introduction to the models and pricing of interest rates and credit derivatives. It conveys the basic concepts and analytical methodology for the valuation...
Market Risk
The purpose of the module is to provide an understanding of the latest developments in banking regulations that are the main driving force behind changes in our approaches to risk...
Specialisms
- Financial Econometrics
- Market Risk
- Volatility Modelling
Location
ICMA Centre, Whiteknights Campus