Andre Lucas
Names
Identifer
Contact
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http://sites.google.com/view/alucas |
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Dept. Econometrics and Data Science
School of Business and Economics
Vrije Universiteit, De Boelelaan 1105
1081HV Amsterdam THE NETHERLANDS |
Affiliations
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Vrije Universiteit Amsterdam
/ School of Business and Economics (weight: 80%)
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Tinbergen Instituut (weight: 20%)
Research profile
author of:
- Nut, gebruik en beperkingen van Value-at-Risk voor risicomanagement (repec:ant:ecsots:v:53:y:1999:i:3:p:369-410)
by LUCAS, André - Outlier Detection in Cointegration Analysis (repec:bes:jnlbes:v:16:y:1998:i:4:p:459-68)
by Franses, Philip Hans & Lucas, Andre - Testing for Smooth Transition Nonlinearity in the Presence of Outliers (repec:bes:jnlbes:v:17:y:1999:i:2:p:217-35)
by Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre - A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior (repec:bes:jnlbes:v:18:y:2000:i:1:p:31-39)
by Lucas, Andre - Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods (repec:bes:jnlbes:v:25:y:2007:p:213-225)
by Menkveld, Albert J. & Koopman, Siem Jan & Lucas, Andre - A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk (repec:bes:jnlbes:v:26:y:2008:p:510-525)
by Koopman, Siem Jan & Lucas, André - Risk endogeneity at the lender/investor-of-last-resort (repec:bis:biswps:766)
by Diego Caballero & André Lucas & Bernd Schwaab & Xin Zhang - The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds (repec:bla:jbfnac:v:35:y:2008:i:1-2:p:200-226)
by André Lucas & Arjen Siegmann - Comprehensive definitions of breakdown points for independent and dependent observations (repec:bla:jorssb:v:65:y:2003:i:1:p:81-94)
by Marc G. Genton & André Lucas - Time-Varying Transition Probabilities for Markov Regime Switching Models (repec:bla:jtsera:v:38:y:2017:i:3:p:458-478)
by Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas - Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model (repec:bla:stanee:v:62:y:2008:i:1:p:104-130)
by Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor Van Der Geest - Unknown
- Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle (repec:crf:wpaper:13-4)
by Roman Kraussl & Andre Lucas & David R. Rijsbergen & Pieter Jelle van der Sluis & Evert B. Vrugt - Unit Root Tests Based on M Estimators (repec:cup:etheor:v:11:y:1995:i:02:p:331-346_00)
by Lucas, André - Cointegration Testing Using Pseudolikelihood Ratio Tests (repec:cup:etheor:v:13:y:1997:i:02:p:149-169_00)
by Lucas, André - Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced? (repec:cup:jfinqa:v:47:y:2012:i:06:p:1279-1301_00)
by Botshekan, Mahmoud & Kraeussl, Roman & Lucas, Andre - Long-Term versus Short-Term Contingencies in Asset Allocation (repec:cup:jfinqa:v:52:y:2017:i:05:p:2277-2303_00)
by Botshekan, Mahmoud & Lucas, André - Deepening the Measuring of Technical Inefficiency in Private Farming in Georgia: Locally Parametric Regression (repec:eaa:ijaeqs:v:2:y2005:i:1_6)
by Temel, T. & Lucas, A. - Systemic risk diagnostics: coincident indicators and early warning signals (repec:ecb:ecbwps:20111327)
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André - Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 (repec:ecb:ecbwps:20121459)
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André - Conditional and joint credit risk (repec:ecb:ecbwps:20131621)
by Schwaab, Bernd & Lucas, André & Zhang, Xin - Observation driven mixed-measurement dynamic factor models with an application to credit risk (repec:ecb:ecbwps:20131626)
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew - Modeling financial sector joint tail risk in the euro area (repec:ecb:ecbwps:20151837)
by Schwaab, Bernd & Lucas, André & Zhang, Xin - The information in systemic risk rankings (repec:ecb:ecbwps:20161875)
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Nucera, Federico - Global credit risk: world country and industry factors (repec:ecb:ecbwps:20161922)
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André - Bank business models at zero interest rates (repec:ecb:ecbwps:20172084)
by Lucas, André & Schaumburg, Julia & Schwaab, Bernd - Do negative interest rates make banks less safe? (repec:ecb:ecbwps:20172098)
by Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd - Risk endogeneity at the lender/investor-of-last-resort (repec:ecb:ecbwps:20192225)
by Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin - Modeling extreme events: time-varying extreme tail shape (repec:ecb:ecbwps:20212524)
by Schwaab, Bernd & Zhang, Xin & Lucas, André - Dynamic clustering of multivariate panel data (repec:ecb:ecbwps:20212577)
by Joao, Igor Custodio & Lucas, André & Schaumburg, Julia & Schwaab, Bernd - Dynamic nonparametric clustering of multivariate panel data (repec:ecb:ecbwps:20232780)
by Joao, Igor Custodio & Lucas, André & Schaumburg, Julia & Schwaab, Bernd - Modelling Portfolio Defaults Using Hidden Markov Models with Covariates (repec:ect:emjrnl:v:11:y:2008:i:1:p:155-171)
by Konrad Banachewicz & André Lucas & Aad van der Vaart - Blockholder dispersion and firm value (repec:eee:corfin:v:17:y:2011:i:5:p:1330-1339)
by Konijn, Sander J.J. & Kräussl, Roman & Lucas, Andre - Semiparametric score driven volatility models (repec:eee:csdana:v:100:y:2016:i:c:p:58-69)
by Blasques, Francisco & Ji, Jiangyu & Lucas, André - Accounting for missing values in score-driven time-varying parameter models (repec:eee:ecolet:v:148:y:2016:i:c:p:96-98)
by Lucas, André & Opschoor, Anne & Schaumburg, Julia - Do negative interest rates make banks less safe? (repec:eee:ecolet:v:159:y:2017:i:c:p:112-115)
by Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd - Quantiles for t-statistics based on M-estimators of unit roots (repec:eee:ecolet:v:67:y:2000:i:2:p:131-137)
by Abadir, Karim M. & Lucas, Andre - Semi-nonparametric cointegration testing (repec:eee:econom:v:108:y:2002:i:2:p:253-280)
by Boswijk, H. Peter & Lucas, Andre - A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model (repec:eee:econom:v:119:y:2004:i:1:p:45-71)
by Abadir, Karim M. & Lucas, Andre - The multi-state latent factor intensity model for credit rating transitions (repec:eee:econom:v:142:y:2008:i:1:p:399-424)
by Koopman, Siem Jan & Lucas, Andre & Monteiro, Andre - Modeling frailty-correlated defaults using many macroeconomic covariates (repec:eee:econom:v:162:y:2011:i:2:p:312-325)
by Koopman, Siem Jan & Lucas, André & Schwaab, Bernd - Spillover dynamics for systemic risk measurement using spatial financial time series models (repec:eee:econom:v:195:y:2016:i:2:p:211-223)
by Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia - Maximum likelihood estimation for score-driven models (repec:eee:econom:v:227:y:2022:i:2:p:325-346)
by Blasques, Francisco & van Brummelen, Janneke & Koopman, Siem Jan & Lucas, André - Dynamic clustering of multivariate panel data (repec:eee:econom:v:237:y:2023:i:2:s0304407622000689)
by Custodio João, Igor & Lucas, André & Schaumburg, Julia & Schwaab, Bernd - Time-Varying Parameters in Econometrics: The editor’s foreword (repec:eee:econom:v:237:y:2023:i:2:s0304407623001173)
by Blasques, F. & Harvey, A.C. & Koopman, S.J. & Lucas, A. - Observation-driven filtering of time-varying parameters using moment conditions (repec:eee:econom:v:238:y:2024:i:2:s0304407623003512)
by Creal, Drew & Koopman, Siem Jan & Lucas, André & Zamojski, Marcin - Dynamic partial correlation models (repec:eee:econom:v:241:y:2024:i:2:s0304407624000939)
by D’Innocenzo, Enzo & Lucas, Andre - An outlier robust unit root test with an application to the extended Nelson-Plosser data (repec:eee:econom:v:66:y:1995:i:1-2:p:153-173)
by Lucas, Andre - Classical and Bayesian aspects of robust unit root inference (repec:eee:econom:v:69:y:1995:i:1:p:27-59)
by Hoek, Henk & Lucas, Andre & van Dijk, Herman K. - Outlier robust analysis of long-run marketing effects for weekly scanning data (repec:eee:econom:v:89:y:1998:i:1-2:p:293-315)
by Franses, Philip Hans & Kloek, Teun & Lucas, Andre - Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence (repec:eee:ecosta:v:19:y:2021:i:c:p:47-57)
by Blasques, Francisco & Lucas, André & van Vlodrop, Andries C. - Credit cycles and macro fundamentals (repec:eee:empfin:v:16:y:2009:i:1:p:42-54)
by Koopman, Siem Jan & Kräussl, Roman & Lucas, André & Monteiro, André B. - A note on the relationship between GARCH and symmetric stable processes (repec:eee:empfin:v:2:y:1995:i:3:p:253-264)
by Groenendijk, Patrick A. & Lucas, Andre & de Vries, Casper G. - Long memory dynamics for multivariate dependence under heavy tails (repec:eee:empfin:v:29:y:2014:i:c:p:187-206)
by Janus, Paweł & Koopman, Siem Jan & Lucas, André - The information in systemic risk rankings (repec:eee:empfin:v:38:y:2016:i:pa:p:461-475)
by Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André - Stock selection, style rotation, and risk (repec:eee:empfin:v:9:y:2002:i:1:p:1-34)
by Lucas, Andre & van Dijk, Ronald & Kloek, Teun - Risk aversion under preference uncertainty (repec:eee:finlet:v:9:y:2012:i:1:p:1-7)
by Kräussl, Roman & Lucas, André & Siegmann, Arjen - Global loss diversification in the insurance sector (repec:eee:insuma:v:44:y:2009:i:3:p:415-425)
by Sheremet, Oleg & Lucas, André - Nowcasting and forecasting global financial sector stress and credit market dislocation (repec:eee:intfor:v:30:y:2014:i:3:p:741-758)
by Schwaab, Bernd & Koopman, Siem Jan & Lucas, André - Score-driven exponentially weighted moving averages and Value-at-Risk forecasting (repec:eee:intfor:v:32:y:2016:i:2:p:293-302)
by Lucas, André & Zhang, Xin - In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models (repec:eee:intfor:v:32:y:2016:i:3:p:875-887)
by Blasques, Francisco & Koopman, Siem Jan & Łasak, Katarzyna & Lucas, André - Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting (repec:eee:intfor:v:37:y:2021:i:2:p:622-633)
by Opschoor, Anne & Lucas, André - Time-varying variance and skewness in realized volatility measures (repec:eee:intfor:v:39:y:2023:i:2:p:827-840)
by Opschoor, Anne & Lucas, André - Covid-19, credit risk management modeling, and government support (repec:eee:jbfina:v:147:y:2023:i:c:s0378426622002187)
by Telg, Sean & Dubinova, Anna & Lucas, Andre - SETS, arbitrage activity, and stock price dynamics (repec:eee:jbfina:v:24:y:2000:i:8:p:1289-1306)
by Taylor, Nick & Dijk, Dick van & Franses, Philip Hans & Lucas, Andre - An analytic approach to credit risk of large corporate bond and loan portfolios (repec:eee:jbfina:v:25:y:2001:i:9:p:1635-1664)
by Lucas, Andre & Klaassen, Pieter & Spreij, Peter & Straetmans, Stefan - Erratum to "An analytic approach to credit risk of large corporate bond and loan portfolios" [Journal of Banking and Finance 25, no. 9, pp. 1635-1664] (repec:eee:jbfina:v:26:y:2002:i:1:p:201-202)
by Lucas, Andre & Klaassens, Pieter & Spreij, Peter & Straetmans, Stefan - Empirical credit cycles and capital buffer formation (repec:eee:jbfina:v:29:y:2005:i:12:p:3159-3179)
by Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter - Discrete versus continuous state switching models for portfolio credit risk (repec:eee:jbfina:v:30:y:2006:i:1:p:23-35)
by Lucas, Andre & Klaassen, Pieter - Network, market, and book-based systemic risk rankings (repec:eee:jbfina:v:78:y:2017:i:c:p:84-90)
by van de Leur, Michiel C.W. & Lucas, André & Seeger, Norman J. - Washington meets Wall Street: A closer examination of the presidential cycle puzzle (repec:eee:jimfin:v:43:y:2014:i:c:p:50-69)
by Kräussl, Roman & Lucas, André & Rijsbergen, David R. & van der Sluis, Pieter Jelle & Vrugt, Evert B. - Risk endogeneity at the lender/investor-of-last-resort (repec:eee:moneco:v:116:y:2020:i:c:p:283-297)
by Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin - Testing for Smooth Transition Nonlinearity in the Presence of Outliers (repec:ems:eureir:1382)
by van Dijk, D.J.C. & Franses, Ph.H.B.F. & Lucas, A. - Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data (repec:ems:eureir:1390)
by Franses, Ph.H.B.F. & Kloek, T. & Lucas, A. - Testing for ARCH in the Presence of Additive Outliers (repec:ems:eureir:1395)
by van Dijk, D.J.C. & Franses, Ph.H.B.F. & Lucas, A. - Arbitrage and sampling uncertainty in financial stochastic programming models (repec:ems:eureir:1589)
by Berkelaar, A.B. & Hoek, H. & Lucas, A. - Conditional euro area sovereign default risk (repec:hhs:rbnkwp:0269)
by Lucas, André & Schwaab, Bernd & Zhang, Xin - Modeling financial sector joint tail risk in the euro area (repec:hhs:rbnkwp:0308)
by Lucas, André & Schwaab, Bernd & Zhang, Xin - Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting (repec:hhs:rbnkwp:0309)
by Lucas, André & Zhang, Xin - Risk endogeneity at the lender/investor-of-last-resort (repec:hhs:rbnkwp:0382)
by Caballero, Diego & Lucas, Andr e & Schwaab, Bernd & Zhang, Xin - Modeling extreme events:time-varying extreme tail shape (repec:hhs:rbnkwp:0399)
by Schwaab, Bernd & Zhang, Xin & Lucas, André & D’Innocenzo, Enzo - Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter (repec:hhs:rbnkwp:0446)
by D’Innocenzo, Enzo & Lucas, André & Schwaab, Bernd & Zhang, Xin - A General Framework for Observation Driven Time-Varying Parameter Models (repec:hst:ghsdps:gd08-038)
by Drew Creal & Siem Jan Koopman & Andre Lucas - Discrete-Time Financial Planning Models Under Loss-Averse Preferences (repec:inm:oropre:v:53:y:2005:i:3:p:403-414)
by Arjen Siegmann & André Lucas - Testing for ARCH in the Presence of Additive Outliers (repec:jae:japmet:v:14:y:1999:i:5:p:539-62)
by van Dijk, Dick & Franses, Philip Hans & Lucas, Andre - Business and default cycles for credit risk (repec:jae:japmet:v:20:y:2005:i:2:p:311-323)
by André Lucas & Siem Jan Koopman - Quantile forecasting for credit risk management using possibly misspecified hidden Markov models (repec:jof:jforec:v:27:y:2008:i:7:p:566-586)
by Konrad Banachewicz & André Lucas - Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle (repec:luc:wpaper:13-4)
by Roman Kraussl & Andre Lucas & David R. Rijsbergen & Pieter Jelle van der Sluis & Evert B. Vrugt - Evaluating the Basle Guidelines for Backtesting Banks' Internal Risk Management Models (repec:mcb:jmoncb:v:33:y:2001:i:3:p:826-46)
by Lucas, Andre - Regime switches in the volatility and correlation of financial institutions (repec:nbb:reswpp:201210-227)
by Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas - Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting (repec:nbp:nbpmis:258)
by Siem Koopman & André Lucas & Marcin Zamojski - Information-theoretic optimality of observation-driven time series models for continuous responses (repec:oup:biomet:v:102:y:2015:i:2:p:325-343.)
by F. Blasques & S. J. Koopman & A. Lucas - Amendments and Corrections (repec:oup:biomet:v:105:y:2018:i:3:p:753-753.)
by F Blasques & S J Koopman & A Lucas - Testing for Parameter Instability across Different Modeling Frameworks (repec:oup:jfinec:v:15:y:2017:i:2:p:223-246.)
by Francesco Calvori & Drew Creal & Siem Jan Koopman & André Lucas - Fractional Integration and Fat Tails for Realized Covariance Kernels (repec:oup:jfinec:v:17:y:2019:i:1:p:66-90.)
by Anne Opschoor & André Lucas - Dynamic Nonparametric Clustering of Multivariate Panel Data (repec:oup:jfinec:v:22:y:2024:i:2:p:335-374.)
by Igor Custodio João & Julia Schaumburg & André Lucas & Bernd Schwaab - The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices (repec:oup:jfinec:v:23:y:2025:i:2:p:177-190.)
by Anne Opschoor & André Lucas & Luca Rossini - Fat Tails and the Effect on Optimal Asset Allocations (repec:pal:palchp:978-0-333-99276-0_14)
by André Lucas & Pieter Klaassen - Short patches of outliers, ARCH and volatility modelling (repec:taf:apfiec:v:14:y:2004:i:4:p:221-231)
by Philip Hans Franses & Dick van Dijk & Andre Lucas - Tail behaviour of credit loss distributions for general latent factor models (repec:taf:apmtfi:v:10:y:2003:i:4:p:337-357)
by Andre Lucas & Pieter Klaassen & Peter Spreij & Stefan Straetmans - Hedging Large Portfolios of Options in Discrete Time (repec:taf:apmtfi:v:15:y:2008:i:3:p:251-275)
by B. Peeters & C. L. Dert & A. Lucas - Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods (repec:taf:emetrv:v:17:y:1998:i:2:p:185-214)
by Andre Lucas - A stochastic recurrence equations approach for score driven correlation models (repec:taf:emetrv:v:37:y:2018:i:2:p:166-181)
by Francisco Blasques & André Lucas & Erkki Silde - Nonlinear autoregressive models with optimality properties (repec:taf:emetrv:v:39:y:2020:i:6:p:559-578)
by Francisco Blasques & Siem Jan Koopman & André Lucas - Community Driven Development and Structural Disadvantage: Interrogating the Social Turn in Development Programming in Indonesia (repec:taf:jdevst:v:53:y:2017:i:12:p:1988-2004)
by J.F. McCARTHY & D.J. Steenbergen & C. Warren & G. Acciaioli & G. Baker & A. Lucas & V. Rambe - Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model (repec:taf:jnlasa:v:112:y:2017:i:520:p:1490-1503)
by Siem Jan Koopman & Rutger Lit & André Lucas - A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (repec:taf:jnlbes:v:29:y:2011:i:4:p:552-563)
by Drew Creal & Siem Jan Koopman & André Lucas - Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 (repec:taf:jnlbes:v:30:y:2012:i:4:p:521-532)
by Siem Jan Koopman & André Lucas & Bernd Schwaab - Conditional Euro Area Sovereign Default Risk (repec:taf:jnlbes:v:32:y:2014:i:2:p:271-284)
by André Lucas & Bernd Schwaab & Xin Zhang - Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models (repec:taf:jnlbes:v:33:y:2015:i:1:p:114-127)
by Siem Jan Koopman & André Lucas & Marcel Scharth - New HEAVY Models for Fat-Tailed Realized Covariances and Returns (repec:taf:jnlbes:v:36:y:2018:i:4:p:643-657)
by Anne Opschoor & Pawel Janus & André Lucas & Dick Van Dijk - Bank Business Models at Zero Interest Rates (repec:taf:jnlbes:v:37:y:2019:i:3:p:542-555)
by André Lucas & Julia Schaumburg & Bernd Schwaab - Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings (repec:taf:jnlbes:v:39:y:2021:i:4:p:1066-1079)
by Anne Opschoor & André Lucas & István Barra & Dick van Dijk - Modeling Extreme Events: Time-Varying Extreme Tail Shape (repec:taf:jnlbes:v:42:y:2024:i:3:p:903-917)
by Enzo D’Innocenzo & André Lucas & Bernd Schwaab & Xin Zhang - Short Patches of Outliers, ARCH and Volatility Modeling (repec:tin:wpaper:19980057)
by Philip Hans Franses & Dick van Dijk & André Lucas - A Hybrid Joint Moment Ratio Test for Financial Time Series (repec:tin:wpaper:19980104)
by Patrick A. Groenendijk & André Lucas & Casper G. de Vries - SETS, Arbitrage Activity, and Stock Price Dynamics (repec:tin:wpaper:19990003)
by Nick Taylor & Dick van Dijk & Philip Hans Franses & André Lucas - A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests (repec:tin:wpaper:19990012)
by H. Peter Boswijk & Andre Lucas & Nick Taylor - A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model (repec:tin:wpaper:20000033)
by Karim M. Abadir & Andre Lucas - Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations (repec:tin:wpaper:20000040)
by Marc G. Genton & André Lucas - Analytic Decision Rules for Financial Stochastic Programs (repec:tin:wpaper:20000041)
by Arjen H. Siegmann & André Lucas - Stock Selection, Style Rotation, and Risk (repec:tin:wpaper:20010021)
by André Lucas & Ronald van Dijk & Teun Kloek - Tail Behavior of Credit Loss Distributions for General Latent Factor Models (repec:tin:wpaper:20010023)
by André Lucas & Pieter Klaassen & Peter Spreij & Stefan Straetmans - Explaining Hedge Fund Investment Styles by Loss Aversion (repec:tin:wpaper:20020046)
by Arjen Siegmann & André Lucas - Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation (repec:tin:wpaper:20020107)
by Siem Jan Koopman & André Lucas & Pieter Klaassen - Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence (repec:tin:wpaper:20030037)
by Albert J. Menkveld & Siem Jan Koopman & André Lucas - Business and Default Cycles for Credit Risk (repec:tin:wpaper:20030062)
by Siem Jan Koopman & André Lucas - Discrete versus Continuous State Switching Models for Portfolio Credit Risk (repec:tin:wpaper:20030075)
by André Lucas & Pieter Klaassen - Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong (repec:tin:wpaper:20030090)
by Bas Peeters & Cees L. Dert & André Lucas - A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk (repec:tin:wpaper:20050060)
by Siem Jan Koopman & André Lucas & Robert Daniels - The Multi-State Latent Factor Intensity Model for Credit Rating Transitions (repec:tin:wpaper:20050071)
by Siem Jan Koopman & André Lucas & André Monteiro - Credit Cycles and Macro Fundamentals (repec:tin:wpaper:20060023)
by Siem Jan Koopman & Roman Kraeussl & Andre Lucas & Andre Monteiro - Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk (repec:tin:wpaper:20060024)
by Andre Monteiro & Georgi V. Smirnov & Andre Lucas - Modeling Portfolio Defaults using Hidden Markov Models with Covariates (repec:tin:wpaper:20060094)
by Konrad Banachewicz & Aad van der Vaart & André Lucas - Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model (repec:tin:wpaper:20070027)
by Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest - Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models (repec:tin:wpaper:20070046)
by Konrad Banachewicz & André Lucas - Forecasting Cross-Sections of Frailty-Correlated Default (repec:tin:wpaper:20080029)
by Siem Jan Koopman & André Lucas & Bernd Schwaab - Global Loss Diversification in the Insurance Sector (repec:tin:wpaper:20080086)
by Oleg Sheremet & André Lucas - Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle (repec:tin:wpaper:20080101)
by R. Kraeussl & A. Lucas & D. Rijsbergen & P.J. van der Sluis & E. Vrugt - A General Framework for Observation Driven Time-Varying Parameter Models (repec:tin:wpaper:20080108)
by Drew Creal & Siem Jan Koopman & André Lucas - A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions (repec:tin:wpaper:20080112)
by Carmen Lee & Roman Kraeussl & André Lucas & Leonard J. Paas - Blockholder Dispersion and Firm Value (repec:tin:wpaper:20090113)
by Sander J.J. Konijn & Roman Kraeussl & Andre Lucas - Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective (repec:tin:wpaper:20100004)
by Siem Jan Koopman & Andre Lucas & Bernd Schwaab - A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (repec:tin:wpaper:20100032)
by Drew Creal & Siem Jan Koopman & André Lucas - Systemic Risk Diagnostics (repec:tin:wpaper:20100104)
by Bernd Schwaab & Andre Lucas & Siem Jan Koopman - Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced? (repec:tin:wpaper:20100116)
by Mahmoud Botshekan & Roman Kraeussl & Andre Lucas - Risk Aversion under Preference Uncertainty (repec:tin:wpaper:20100117)
by Roman Kraeussl & Andre Lucas & Arjen Siegmann - Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (repec:tin:wpaper:20110042)
by Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas - Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models (repec:tin:wpaper:20110057)
by Siem Jan Koopman & Andre Lucas & Marcel Scharth - Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails (repec:tin:wpaper:20110078)
by Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas - Long Memory Dynamics for Multivariate Dependence under Heavy Tails (repec:tin:wpaper:20110175)
by Pawel Janus & Siem Jan Koopman & André Lucas - Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk (repec:tin:wpaper:20110176)
by Xin Zhang & Bernd Schwaab & Andre Lucas - Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models (repec:tin:wpaper:20120020)
by Siem Jan Koopman & Andre Lucas & Marcel Scharth - Long-Term versus Short-Term Contingencies in Asset Allocation (repec:tin:wpaper:20120053)
by Mahmoud Botshekan & Andre Lucas - A New Semiparametric Volatility Model (repec:tin:wpaper:20120055)
by Jiangyu Ji & Andre Lucas - Aggregating Credit and Market Risk: The Impact of Model Specification (repec:tin:wpaper:20120057)
by Andre Lucas & Bastiaan Verhoef - Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes (repec:tin:wpaper:20120059)
by Francisco Blasques & Siem Jan Koopman & Andre Lucas - Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics (repec:tin:wpaper:20130063)
by Andre Lucas & Bernd Schwaab & Xin Zhang - Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models (repec:tin:wpaper:20130097)
by Francisco Blasques & Andre Lucas & Erkki Silde - Testing for Parameter Instability in Competing Modeling Frameworks (repec:tin:wpaper:20140010)
by Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas - Maximum Likelihood Estimation for Score-Driven Models (repec:tin:wpaper:20140029)
by Francisco Blasques & Siem Jan Koopman & Andre Lucas - The Dynamic Skellam Model with Applications (repec:tin:wpaper:20140032)
by Siem Jan Koopman & Rutger Lit & André Lucas - Information Theoretic Optimality of Observation Driven Time Series Models (repec:tin:wpaper:20140046)
by Francisco Blasques & Siem Jan Koopman & André Lucas - Time Varying Transition Probabilities for Markov Regime Switching Models (repec:tin:wpaper:20140072)
by Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas - New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels (repec:tin:wpaper:20140073)
by Pawel Janus & André Lucas & Anne Opschoor & Dick J.C. van Dijk - Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties (repec:tin:wpaper:20140074)
by Francisco Blasques & Siem Jan Koopman & André Lucas - Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting (repec:tin:wpaper:20140092)
by André Lucas & Xin Zhang - Optimal Formulations for Nonlinear Autoregressive Processes (repec:tin:wpaper:20140103)
by Francisco Blasques & Siem Jan Koopman & André Lucas - Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models (repec:tin:wpaper:20140107)
by Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg - Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models (repec:tin:wpaper:20140118)
by István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas - Mixed Density based Copula Likelihood (repec:tin:wpaper:20150003)
by Kazim Azam & Andre Lucas - In-Sample Bounds for Time-Varying Parameters of Observation Driven Models (repec:tin:wpaper:20150027)
by Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas - Global Credit Risk: World, Country and Industry Factors (repec:tin:wpaper:20150029)
by Bernd Schwaab & Siem Jan Koopman & André Lucas - Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions (repec:tin:wpaper:20150037)
by Siem Jan Koopman & Rutger Lit & André Lucas - The Information in Systemic Risk Rankings (repec:tin:wpaper:20150070)
by Federico Nucera & Bernd Schwaab & Siem Jan Koopman & André Lucas - Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model (repec:tin:wpaper:20150076)
by Siem Jan Koopman & Rutger Lit & Andre Lucas - In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models (repec:tin:wpaper:20150083)
by Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas - Generalized Autoregressive Method of Moments (repec:tin:wpaper:20150138)
by Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski - Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S (repec:tin:wpaper:20160051)
by Siem Jan Koopman & Rutger Lit & Andre Lucas - Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads (repec:tin:wpaper:20160064)
by Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann - Bank Business Models at Zero Interest Rates (repec:tin:wpaper:20160066)
by Andre Lucas & Julia Schaumburg & Bernd Schwaab - Accounting for Missing Values in Score-Driven Time-Varying Parameter Models (repec:tin:wpaper:20160067)
by Andre Lucas & Anne Opschoor & Julia Schaumburg - Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns (repec:tin:wpaper:20160069)
by Andre Lucas & Anne Opschoor - Network, Market, and Book-Based Systemic Risk Rankings (repec:tin:wpaper:20160074)
by Michiel C.W. van de Leur & Andre Lucas - Do Negative Interest Rates Make Banks Less Safe? (repec:tin:wpaper:20170041)
by Federico Nucera & Andre Lucas & Julia Schaumburg & Bernd Schwaab - Finite Sample Optimality of Score-Driven Volatility Models (repec:tin:wpaper:20170111)
by Francisco (F.) Blasques & Andre (A.) Lucas & Andries van Vlodrop - Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings (repec:tin:wpaper:20190013)
by Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk - Time-varying tail behavior for realized kernels (repec:tin:wpaper:20190051)
by Anne Opschoor & André Lucas - Observation-driven Models for Realized Variances and Overnight Returns (repec:tin:wpaper:20190052)
by Anne Opschoor & André Lucas - Dynamic clustering of multivariate panel data (repec:tin:wpaper:20200009)
by André Lucas & Julia Schaumburg & Bernd Schwaab - Modeling extreme events: time-varying extreme tail shape (repec:tin:wpaper:20200076)
by Bernd Schwaab & Xin Zhang & Andre Lucas - Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution (repec:tin:wpaper:20210010)
by Andre Lucas & Anne Opschoor & Luca Rossini - Clustering Dynamics and Persistence for Financial Multivariate Panel Data (repec:tin:wpaper:20210040)
by Igor Custodio João & Andre Lucas & Julia Schaumburg - COVID-19, Credit Risk and Macro Fundamentals (repec:tin:wpaper:20210059)
by Anna Dubinova & Andre Lucas & Sean Telg - Consistency, distributional convergence, and optimality of score-driven filters (repec:tin:wpaper:20230051)
by Eric A. Beutner & Yicong Lin & Andre Lucas - Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution (repec:tin:wpaper:20240049)
by Anne Opschoor & Dewi Peerlings & Luca Rossini & Andre Lucas - Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter (repec:tin:wpaper:20240069)
by Enzo D'Innocenzo & Andre Lucas & Bernd Schwaab & Xin Zhang - Copula tensor count autoregressions for modeling multidimensional integer-valued time series (repec:tin:wpaper:20250004)
by Mirko Armillotta & Paolo Gorgi & André Lucas - Functional Location-Scale Models with Robust Observation-Driven Dynamics (repec:tin:wpaper:20250027)
by Yicong Lin & André Lucas - Improving Score-Driven Density Forecasts with an Application to Implied Volatility Surface Dynamics (repec:tin:wpaper:20250036)
by Xia Zou & Yicong Lin & André Lucas - Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics (repec:tin:wpaper:20250037)
by Yonas Khanna & André Lucas & Norman Seeger - Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes (repec:tin:wpaper:20250039)
by Daan Schoemaker & André Lucas & Anne Opschoor - Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers (repec:tin:wpaper:20250042)
by Yicong Lin & André Lucas & Shiqi Ye - Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (repec:tpr:restat:v:96:y:2014:i:5:p:898-915)
by Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andr� Lucas - Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models (repec:tpr:restat:v:98:y:2016:i:1:p:97-110)
by Siem Jan Koopman & André Lucas & Marcel Scharth - Semi-nonparametric cointegration testing (repec:vua:wpaper:1997-41)
by Boswijk, H. Peter & Lucas, André - Strategic and tactical asset allocation and the effect of long-run equilibrium relations (repec:vua:wpaper:1997-42)
by Lucas, André - Outlier robust cointegration analysis (repec:vua:wpaper:1997-45)
by Franses, Philip Hans & Lucas, André - A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior (repec:vua:wpaper:1997-56)
by Lucas, André - Stochastic processes, non-normal innovations, and the use of scaling ratios (repec:vua:wpaper:1997-58)
by Groenendijk, Patrick A. & Lucas, André & Vries, Casper G. de - Testing backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models of banks (repec:vua:wpaper:1998-1)
by Lucas, André - On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework (repec:vua:wpaper:1998-57)
by Lucas, André & Dert, Cees L. - A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests (repec:vua:wpaper:1998-62)
by Boswijk, H. Peter & Lucas, André & Taylor, Nick - Nut, gebruik en beperkingen van value-at-risk voor risicomanagement (repec:vua:wpaper:1998-64)
by Lucas, André - An analytic approach to credit risk of large corporate bond and loan portfolios (repec:vua:wpaper:1999-18)
by Lucas, André & Klaassen, Pieter & Spreij, Peter - Tail behavior of credit loss distributions (repec:vua:wpaper:1999-60)
by Lucas, André & Straetmans, Stefan & Klaassen, Pieter - De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen (repec:vua:wpaper:2002-2)
by Lucas, Andre & Molenkamp, Jan Bertus & Siegmann, Arjen - Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression (repec:vua:wpaper:2003-7)
by Temel, Tugrul & Lucas, Andre - Financial Development and Fragility : A Clustering Analysis (repec:wbk:wbrwps:10850)
by João,Igor Custodio & Calice,Pietro & Lucas,Andre & Schaumburg,Julia - Business and default cycles for credit risk (repec:wly:japmet:v:20:y:2005:i:2:p:311-323)
by Siem Jan Koopman & André Lucas - Generalized Autoregressive Score Models With Applications (repec:wly:japmet:v:28:y:2013:i:5:p:777-795)
by Drew Creal & Siem Jan Koopman & André Lucas - Modeling Financial Sector Joint Tail Risk in the Euro Area (repec:wly:japmet:v:32:y:2017:i:1:p:171-191)
by André Lucas & Bernd Schwaab & Xin Zhang - Global Credit Risk: World, Country and Industry Factors (repec:wly:japmet:v:32:y:2017:i:2:p:296-317)
by Bernd Schwaab & Siem Jan Koopman & André Lucas - Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models (repec:wly:japmet:v:32:y:2017:i:5:p:1003-1026)
by István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas - Dynamic discrete copula models for high‐frequency stock price changes (repec:wly:japmet:v:33:y:2018:i:7:p:966-985)
by Siem Jan Koopman & Rutger Lit & André Lucas & Anne Opschoor - Heterogeneity and dynamics in network models (repec:wly:japmet:v:39:y:2024:i:1:p:150-173)
by Enzo D'Innocenzo & André Lucas & Anne Opschoor & Xingmin Zhang - A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model (repec:yor:yorken:00/21)
by Karim M. Abadir & André Lucas - Credit cycles and macro fundamentals (repec:zbw:cfswop:200633)
by Koopman, Siem Jan & Kräussl, Roman & Lucas, André - Blockholder dispersion and firm value (repec:zbw:cfswop:201005)
by Konijn, Sander J. J. & Kräussl, Roman & Lucas, André - Washington meets Wall Street: A closer examination of the presidential cycle puzzle (repec:zbw:cfswop:201006)
by Kräussl, Roman & Lucas, André & Rijsbergen, David R. & van der Sluis, Pieter Jelle & Vrugt, Evert B. - Cash flow and discount rate risk in up and down markets: What is actually priced? (repec:zbw:cfswop:201020)
by Botshekan, Mahmoud & Kräussl, Roman & Lucas, André - Why do investors sell losers? How adaptation to losses affects future capitulation decisions (repec:zbw:cfswop:201023)
by Lee, Carmen & Kräussl, Roman & Lucas, André & Paas, Leo - Risk aversion under preference uncertainty (repec:zbw:cfswop:201024)
by Kräussl, Roman & Lucas, André & Siegmann, Arjen - Spillover dynamics for systemic risk measurement using spatial financial time series models (repec:zbw:vfsc14:100632)
by Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia