Andre Lucas

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Siem Jan KoopmanProfessor of Econometrics, Vrije Universiteit AmsterdamVerified email at vu.nl
Bernd SchwaabResearch Economist; European Central BankVerified email at ecb.int
Drew CrealUniversity of Illinois Urbana-ChampaignVerified email at illinois.edu
Philip Hans FransesErasmus School of EconomicsVerified email at ese.eur.nl
Roman KräusslProfessor of Finance, Bayes Business School, Hoover Institution at Stanford University, and CEPRVerified email at city.ac.uk
Anne OpschoorUniversitair docent, Vrije Universiteit AmsterdamVerified email at vu.nl
Xin ZhangSveriges RiksbankVerified email at riksbank.se
Dick van DijkProfessor of Financial Econometrics, Erasmus University RotterdamVerified email at ese.eur.nl
Julia SchaumburgProfessor of Econometric Methods and Applications, Vrije Universiteit AmsterdamVerified email at vu.nl
Arjen SiegmannProfessor, Vrije Universiteit AmsterdamVerified email at vu.nl
Peter SpreijUniversiteit van Amsterdam, Korteweg-de Vries Institute for MathematicsVerified email at uva.nl
Stefan T.M. StraetmansProfessor of Finance, Maastricht UniversityVerified email at maastrichtuniversity.nl
Rutger LitResearch fellow, VU AmsterdamVerified email at vu.nl
Albert J. MenkveldVrije Universiteit AmsterdamVerified email at vu.nl
Marcel ScharthUniversity of Sydney Business SchoolVerified email at sydney.edu.au
H. Peter BoswijkProfessor of Financial Econometrics, University of AmsterdamVerified email at uva.nl
Karim Maher AbadirImperial College LondonVerified email at imperial.ac.uk
Marc G GentonAl-Khawarizmi Distinguished Professor of Statistics, KAUSTVerified email at kaust.edu.sa
Katarzyna LasakUniversity of AmsterdamVerified email at uva.nl
Marcin ZamojskiUniversity of GothenburgVerified email at gu.se

Andre Lucas

Vrije Universiteit Amsterdam and Tinbergen Institute

Verified email at vu.nl - Homepage

Financial Econometrics Risk Econometrics


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Generalized autoregressive score models with applications D Creal, SJ Koopman, A Lucas Journal of applied econometrics 28 (5), 777-795, 2013	1136	2013
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations D Creal, SJ Koopman, A Lucas Journal of Business & Economic Statistics 29 (4), 552-563, 2011	368	2011
Blockholder dispersion and firm value SJJ Konijn, R Kräussl, A Lucas Journal of corporate finance 17 (5), 1330-1339, 2011	285	2011
Business and default cycles for credit risk SJ Koopman, A Lucas Journal of Applied Econometrics 20 (2), 311-323, 2005	236	2005
Credit cycles and macro fundamentals SJ Koopman, R Kräussl, A Lucas, AB Monteiro Journal of Empirical Finance 16 (1), 42-54, 2009	234	2009
The multi-state latent factor intensity model for credit rating transitions SJ Koopman, A Lucas, A Monteiro Journal of Econometrics 142 (1), 399-424, 2008	218	2008
Conditional euro area sovereign default risk A Lucas, B Schwaab, X Zhang Journal of Business & Economic Statistics 32 (2), 271-284, 2014	199	2014
Information-theoretic optimality of observation-driven time series models for continuous responses F Blasques, SJ Koopman, A Lucas Biometrika 102 (2), 325-343, 2015	195	2015
An analytic approach to credit risk of large corporate bond and loan portfolios A Lucas, P Klaassen, P Spreij, S Straetmans Journal of Banking & Finance 25 (9), 1635-1664, 2001	190	2001
Predicting time-varying parameters with parameter-driven and observation-driven models SJ Koopman, A Lucas, M Scharth Review of Economics and Statistics 98 (1), 97-110, 2016	184	2016
Observation-driven mixed-measurement dynamic factor models with an application to credit risk D Creal, B Schwaab, SJ Koopman, A Lucas Review of Economics and Statistics 96 (5), 898-915, 2014	182	2014
Spillover dynamics for systemic risk measurement using spatial financial time series models F Blasques, SJ Koopman, A Lucas, J Schaumburg Journal of Econometrics 195 (2), 211-223, 2016	171	2016
Testing for ARCH in the presence of additive outliers D Van Dijk, PH Franses, A Lucas Journal of Applied Econometrics 14 (5), 539-562, 1999	171	1999
Extreme returns, downside risk, and optimal asset allocation A Lucas, P Klaassen Journal of Portfolio Management 25 (1), 71, 1998	171	1998
Maximum likelihood estimation for score-driven models F Blasques, J van Brummelen, SJ Koopman, A Lucas Journal of Econometrics 227 (2), 325-346, 2022	168*	2022
Modeling frailty-correlated defaults using many macroeconomic covariates SJ Koopman, A Lucas, B Schwaab Journal of Econometrics 162 (2), 312-325, 2011	167	2011
A general framework for observation driven time-varying parameter models D Creal, SJ Koopman, A Lucas Tinbergen Institute Discussion Paper, 2008	153	2008
Testing for smooth transition nonlinearity in the presence of outliers DV Dijk, PH Franses, A Lucas Journal of Business & Economic Statistics 17 (2), 217-235, 1999	151	1999
Unit root tests based on M estimators A Lucas Econometric Theory 11 (2), 331-346, 1995	137	1995
Time‐varying transition probabilities for Markov regime switching models M Bazzi, F Blasques, SJ Koopman, A Lucas Journal of Time Series Analysis 38 (3), 458-478, 2017	135	2017

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