Emese Lazar

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UNLABELLED Propofol and thiopental have been used clinically in combination for induction of anesthesia. Studies suggest that this mixture has synergistic activity, recovery characteristics similar to propofol alone, and bactericidal effects on multiple organisms. It may therefore be both clinically useful and cost-effective. In this study, we examined the(More)
The skewness in physical distributions of equity index returns and the implied volatility skew in the risk neutral measure are subjects of extensive academic research. Much attention is now being focused on models that are able to capture time-varying conditional skewness and kurtosis. For this reason normal mixture GARCH(1,1) models have become very(More)
It is well known that the capital structure arbitrage strategy generated negative Sharpe ratios over the period 2005-2009. In this paper we introduce four new alternative strategies that, while still based on the discrepancy between the CDS market spread and its equity-implied spread, exploit the information provided by the time-varying price discovery of(More)
We show how multivariate GARCH models can be used to generate a time-varying “information share” (Hasbrouck, 1995) to represent the changing patterns of price discovery in closely related securities. As an application we look at the credit spreads obtained from the credit default swap (CDS), bond, equity and option markets. Using data on Marks & Spencer Plc(More)
In this paper we investigate the relationship between the information entropy of the distribution of intraday returns and intraday and daily measures of market risk. Using data on the EUR/JPY exchange rate, we find a negative relationship between entropy and intraday Value-at-Risk, and also between entropy and intraday Expected Shortfall. This relationship(More)
a r t i c l e i n f o JEL classification: C53 G17 Keywords: GARCH Higher conditional moments Approximate predictive distributions Value-at-Risk S&P 500 Treasury bill rate Euro–US dollar exchange rate It is widely accepted that some of the most accurate Value-at-Risk (VaR) estimates are based on an appropriately specified GARCH process. But when the forecast(More)
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