Information Entropy and Measures of Market Risk. - Daniel Traian Pele; Emese Lazar; Alfonso Dufour (Entropy, 2017)

Modeling Expected Shortfall Using Tail Entropy. - Daniel Traian Pele; Emese Lazar; Miruna Mazurencu-Marinescu-Pele (Entropy, 2019)

Model risk in the over-the-counter market. - Emese Lazar; Shuyuan Qi (Eur. J. Oper. Res., 2022)

Loss function-based change point detection in risk measures. - Emese Lazar; Shixuan Wang; Xiaohan Xue (Eur. J. Oper. Res., 2023)