2 papers
econ.EM2020
Measures of Model Risk in Continuous-time Finance Models
Emese Lazar, Shuyuan Qi, Radu Tunaru
Measuring model risk is required by regulators on financial and insurance markets. We separate model risk into parameter estimation risk and model specification risk, and we propos…
q-fin.ST2018
Analytic Moments for GARCH Processes
Carol Alexander, Emese Lazar, Silvia Stanescu
For a GJR-GARCH specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and…