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Andre Lucas
Andre Lucas
Vrije Universiteit Amsterdam and Tinbergen Institute
Verified email at vu.nl - Homepage
Title
Cited by
Cited by
Year
Generalized autoregressive score models with applications
D Creal, SJ Koopman, A Lucas
Journal of Applied Econometrics 28 (5), 777-795, 2013
7802013
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
2752011
Blockholder dispersion and firm value
SJJ Konijn, R Kräussl, A Lucas
Journal of Corporate Finance 17 (5), 1330-1339, 2011
2232011
Business and default cycles for credit risk
SJ Koopman, A Lucas
Journal of Applied Econometrics 20 (2), 311-323, 2005
2192005
Credit cycles and macro fundamentals
SJ Koopman, R Kräussl, A Lucas, AB Monteiro
Journal of Empirical Finance 16 (1), 42-54, 2009
2092009
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
1962008
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
1872001
Conditional euro area sovereign default risk
A Lucas, B Schwaab, X Zhang
Journal of Business & Economic Statistics 32 (2), 271-284, 2014
170*2014
Extreme returns, downside risk, and optimal asset allocation
A Lucas, P Klaassen
Journal of Portfolio Management 25 (1), 71, 1998
1691998
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
1641999
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
1441999
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
1412014
Modeling frailty-correlated defaults using many macroeconomic covariates
SJ Koopman, A Lucas, B Schwaab
Journal of Econometrics 162 (2), 312-325, 2011
1402011
Information-theoretic optimality of observation-driven time series models for continuous responses
F Blasques, SJ Koopman, A Lucas
Biometrika 102 (2), 325-343, 2015
1292015
Unit root tests based on M estimators
A Lucas
Econometric Theory 11 (2), 331-346, 1995
1271995
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
1252016
Robustness of the student t based M-estimator
A Lucas
Communications in Statistics-Theory and Methods 26 (5), 1165-1182, 1997
1171997
A general framework for observation driven time-varying parameter models
D Creal, SJ Koopman, A Lucas
Tinbergen Institute Discussion paper, 2008
1112008
Modeling around-the-clock price discovery for cross-listed stocks using state space methods
AJ Menkveld, SJ Koopman, A Lucas
Journal of Business & Economic Statistics 25 (2), 213-225, 2007
1092007
An outlier robust unit root test with an application to the extended Nelson-Plosser data
A Lucas
Journal of Econometrics 66 (1-2), 153-173, 1995
1031995
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Articles 1–20