Andre Lucas

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Soavtorji

Siem Jan KoopmanProfessor of Econometrics, Vrije Universiteit AmsterdamPreverjeni e-poštni naslov na vu.nl
Bernd SchwaabResearch Economist; European Central BankPreverjeni e-poštni naslov na ecb.int
Drew CrealUniversity of Illinois Urbana-ChampaignPreverjeni e-poštni naslov na illinois.edu
Philip Hans FransesErasmus School of EconomicsPreverjeni e-poštni naslov na ese.eur.nl
Roman KräusslProfessor of Finance, Bayes Business School, Hoover Institution at Stanford University, and CEPRPreverjeni e-poštni naslov na city.ac.uk
Anne OpschoorUniversitair docent, Vrije Universiteit AmsterdamPreverjeni e-poštni naslov na vu.nl
Xin ZhangSveriges RiksbankPreverjeni e-poštni naslov na riksbank.se
Dick van DijkProfessor of Financial Econometrics, Erasmus University RotterdamPreverjeni e-poštni naslov na ese.eur.nl
Julia SchaumburgProfessor of Econometric Methods and Applications, Vrije Universiteit AmsterdamPreverjeni e-poštni naslov na vu.nl
Arjen SiegmannProfessor, Vrije Universiteit AmsterdamPreverjeni e-poštni naslov na vu.nl
Peter SpreijUniversiteit van Amsterdam, Korteweg-de Vries Institute for MathematicsPreverjeni e-poštni naslov na uva.nl
Stefan T.M. StraetmansProfessor of Finance, Maastricht UniversityPreverjeni e-poštni naslov na maastrichtuniversity.nl
Rutger LitResearch fellow, VU AmsterdamPreverjeni e-poštni naslov na vu.nl
Albert J. MenkveldVrije Universiteit AmsterdamPreverjeni e-poštni naslov na vu.nl
Marcel ScharthUniversity of Sydney Business SchoolPreverjeni e-poštni naslov na sydney.edu.au
H. Peter BoswijkProfessor of Financial Econometrics, University of AmsterdamPreverjeni e-poštni naslov na uva.nl
Karim Maher AbadirImperial College LondonPreverjeni e-poštni naslov na imperial.ac.uk
Marc G GentonAl-Khawarizmi Distinguished Professor of Statistics, KAUSTPreverjeni e-poštni naslov na kaust.edu.sa
Katarzyna LasakUniversity of AmsterdamPreverjeni e-poštni naslov na uva.nl
Marcin ZamojskiUniversity of GothenburgPreverjeni e-poštni naslov na gu.se

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Andre Lucas

Vrije Universiteit Amsterdam and Tinbergen Institute

Preverjeni e-poštni naslov na vu.nl - Domača stran

Financial Econometrics Risk Econometrics


Naslov Razvrsti po navedbah Razvrsti po letniku Razvrsti po naslovu	Navedeno Navedeno	Leto
Generalized autoregressive score models with applications D Creal, SJ Koopman, A Lucas Journal of applied econometrics 28 (5), 777-795, 2013	1138	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	186	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	169*	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	154	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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