| Normal mixture GARCH (1, 1): Applications to exchange rate modelling C Alexander, E Lazar Journal of Applied Econometrics 21 (3), 307-336, 2006 | 289 | 2006 |
| Futures basis, inventory and commodity price volatility: An empirical analysis L Symeonidis, M Prokopczuk, C Brooks, E Lazar Economic Modelling 29 (6), 2651-2663, 2012 | 109 | 2012 |
| Information entropy and measures of market risk DT Pele, E Lazar, A Dufour Entropy 19 (5), 226, 2017 | 72 | 2017 |
| Modelling regime‐specific stock price volatility C Alexander, E Lazar Oxford Bulletin of Economics and Statistics 71 (6), 761-797, 2009 | 51 | 2009 |
| Forecasting risk measures using intraday data in a generalized autoregressive score framework E Lazar, X Xue International Journal of Forecasting 36 (3), 1057-1072, 2020 | 44 | 2020 |
| Forecasting VaR using analytic higher moments for GARCH processes C Alexander, E Lazar, S Stanescu International Review of Financial Analysis 30, 36-45, 2013 | 36 | 2013 |
| Model risk of expected shortfall E Lazar, N Zhang Journal of Banking & Finance 105, 74-93, 2019 | 35 | 2019 |
| Option valuation with normal mixture GARCH models A Badescu, R Kulperger, E Lazar Studies in Nonlinear Dynamics & Econometrics 12 (2), 2008 | 33 | 2008 |
| Symmetric normal mixture GARCH C Alexander, E Lazar Discussion Papers in Finance 9, 2003 | 29 | 2003 |
| Time varying price discovery D Avino, E Lazar, S Varotto Economics Letters 126, 18-21, 2015 | 27 | 2015 |
| Price discovery of credit spreads in tranquil and crisis periods D Avino, E Lazar, S Varotto International Review of Financial Analysis 30, 242-253, 2013 | 26 | 2013 |
| The equity index skew, market crashes and asymmetric normal mixture GARCH C Alexander, E Lazar ISMA Centre discussion papers in Finance 14, 2004 | 26 | 2004 |
| Analytic moments for GJR-GARCH (1, 1) processes C Alexander, E Lazar, S Stanescu International Journal of Forecasting 37 (1), 105-124, 2021 | 24 | 2021 |
| Asymmetries and volatility regimes in the european equity market C Alexander, E Lazar ICMA Centre Discussion Papers in Finance 14, 2005 | 19 | 2005 |
| On the continuous limit of GARCH C Alexander, E Lazar ICMA Centre Discussion Paper No. DP2005-13, 2005 | 18 | 2005 |
| Forecasting vix using filtered historical simulation Y Jiang, E Lazar Journal of Financial Econometrics 20 (4), 655-680, 2022 | 11 | 2022 |
| Markov switching GARCH diffusion C Alexander, E Lazaar ICMA Centre Discussion Papers in Finance 1, 2008, 2008 | 10 | 2008 |
| On the estimation of Value-at-Risk and Expected Shortfall at extreme levels E Lazar, J Pan, S Wang Journal of Commodity Markets 34, 100391, 2024 | 8 | 2024 |
| The continuous limit of weak GARCH C Alexander, E Lazar Econometric Reviews 40 (2), 197-216, 2021 | 7 | 2021 |
| Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options D Avino, E Lazar, S Varotto | 7 | 2012 |
