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Information about:
André Lucas

Personal Details | Affiliation | Works
This is information that was supplied by André Lucas in registering through RePEc. If you are André Lucas , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: André
Middle Name:
Last Name: Lucas
Suffix:

RePEc Short-ID: plu10

Email:
Homepage: http://staff.feweb.vu.nl/alucas
Postal Address: FEWEB/FIN, Vrije Universiteit De Boelelaan 1105 1081HV Amsterdam THE NETHERLANDS
Phone: +31 20 4446039

Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute. [Downloadable!]

  2. Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest, 2007. "Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model," Tinbergen Institute Discussion Papers 07-027/4, Tinbergen Institute. [Downloadable!]
    Published as:

  3. Konrad Banachewicz & André Lucas, 2007. "Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models," Tinbergen Institute Discussion Papers 07-046/2, Tinbergen Institute. [Downloadable!]

  4. Andre Monteiro & Georgi V. Smirnov & Andre Lucas, 2006. "Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk," Tinbergen Institute Discussion Papers 06-024/2, Tinbergen Institute, revised 27 Mar 2006. [Downloadable!]

  5. Konrad Banachewicz & Aad van der Vaart & André Lucas, 2006. "Modeling Portfolio Defaults using Hidden Markov Models with Covariates," Tinbergen Institute Discussion Papers 06-094/2, Tinbergen Institute. [Downloadable!]
    Published as:

  6. Siem Jan Koopman & Roman Kraeussl & Andre Lucas & Andre Monteiro, 2006. "Credit Cycles and Macro Fundamentals," Tinbergen Institute Discussion Papers 06-023/2, Tinbergen Institute. [Downloadable!]
    Other versions:

  7. Siem Jan Koopman & André Lucas & André Monteiro, 2005. "The Multi-State Latent Factor Intensity Model for Credit Rating Transitions," Tinbergen Institute Discussion Papers 05-071/4, Tinbergen Institute, revised 04 Jul 2005. [Downloadable!]
    Published as:

  8. Siem Jan Koopman & André Lucas & Robert Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Tinbergen Institute Discussion Papers 05-060/4, Tinbergen Institute. [Downloadable!]
    Other versions:

  9. Bas Peeters & Cees L. Dert & André Lucas, 2003. "Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong," Tinbergen Institute Discussion Papers 03-090/2, Tinbergen Institute. [Downloadable!]

  10. Albert J. Menkveld & Siem Jan Koopman & André Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003. [Downloadable!]

  11. André Lucas & Pieter Klaassen, 2003. "Discrete versus Continuous State Switching Models for Portfolio Credit Risk," Tinbergen Institute Discussion Papers 03-075/2, Tinbergen Institute, revised 30 Sep 2003. [Downloadable!]
    Published as:

  12. Temel, Tugrul & Lucas, Andre, 2003. "Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression," Serie Research Memoranda 0007, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

  13. Siem Jan Koopman & André Lucas, 2003. "Business and Default Cycles for Credit Risk," Tinbergen Institute Discussion Papers 03-062/2, Tinbergen Institute, revised 09 Jan 2003. [Downloadable!]
    Published as:

  14. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute. [Downloadable!]

  15. Siem Jan Koopman & André Lucas & Pieter Klaassen, 2002. "Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation," Tinbergen Institute Discussion Papers 02-107/2, Tinbergen Institute. [Downloadable!]

  16. Lucas, Andre & Molenkamp, Jan Bertus & Siegmann, Arjen, 2002. "De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen," Serie Research Memoranda 0002, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

  17. André Lucas & Pieter Klaassen & Peter Spreij & Stefan Straetmans, 2001. "Tail Behavior of Credit Loss Distributions for General Latent Factor Models," Tinbergen Institute Discussion Papers 01-023/2, Tinbergen Institute. [Downloadable!]
    Published as:

  18. André Lucas & Ronald van Dijk & Teun Kloek, 2001. "Stock Selection, Style Rotation, and Risk," Tinbergen Institute Discussion Papers 01-021/2, Tinbergen Institute. [Downloadable!]
    Published as:

  19. Karim M. Abadir & Andre Lucas, 2000. "A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model," Tinbergen Institute Discussion Papers 00-033/4, Tinbergen Institute. [Downloadable!]
    Other versions:
    Published as:

  20. Marc G. Genton & André Lucas, 2000. "Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations," Tinbergen Institute Discussion Papers 00-040/2, Tinbergen Institute. [Downloadable!]
    Published as:

  21. Arjen H. Siegmann & André Lucas, 2000. "Analytic Decision Rules for Financial Stochastic Programs," Tinbergen Institute Discussion Papers 00-041/2, Tinbergen Institute. [Downloadable!]

  22. Lucas, Andr‚ & Klaassen, Pieter & Spreij, Peter, 1999. "An analytic approach to credit risk of large corporate bond and loan portfolios," Serie Research Memoranda 0018, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    Published as:

  23. Nick Taylor & Dick van Dijk & Philip Hans Franses & André Lucas, 1999. "SETS, Arbitrage Activity, and Stock Price Dynamics," Tinbergen Institute Discussion Papers 99-003/4, Tinbergen Institute. [Downloadable!]
    Published as:

  24. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute. [Downloadable!]

  25. Lucas, Andr‚ & Straetmans, Stefan & Klaassen, Pieter, 1999. "Tail behavior of credit loss distributions," Serie Research Memoranda 0060, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

  26. AB Berkelaar & H Hoek & A Lucas, 1999. "Arbitrage and sampling uncertainty in financial stochastic programming models," Econometric Institute Report 147, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

  27. Lucas, Andr‚, 1998. "Nut, gebruik en beperkingen van value-at-risk voor risicomanagement," Serie Research Memoranda 0064, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

  28. Patrick A. Groenendijk & André Lucas & Casper G. de Vries, 1998. "A Hybrid Joint Moment Ratio Test for Financial Time Series," Tinbergen Institute Discussion Papers 98-104/2, Tinbergen Institute. [Downloadable!]

  29. Philip Hans Franses & Dick van Dijk & André Lucas, 1998. "Short Patches of Outliers, ARCH and Volatility Modeling," Tinbergen Institute Discussion Papers 98-057/4, Tinbergen Institute. [Downloadable!]
    Published as:

  30. Boswijk, H. Peter & Lucas, Andr‚ & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

  31. Lucas, Andr‚ & Dert, Cees L., 1998. "On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework," Serie Research Memoranda 0057, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

  32. Lucas, Andr‚, 1998. "Testing backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models of banks," Serie Research Memoranda 0001, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

  33. Franses, Philip Hans & Lucas, Andr‚, 1997. "Outlier robust cointegration analysis," Serie Research Memoranda 0045, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

  34. Lucas, Andr‚, 1997. "Strategic and tactical asset allocation and the effect of long-run equilibrium relations," Serie Research Memoranda 0042, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

  35. Lucas, Andr‚, 1997. "A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior," Serie Research Memoranda 0056, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    Published as:

  36. Boswijk, H. Peter & Lucas, Andr‚, 1997. "Semi-nonparametric cointegration testing," Serie Research Memoranda 0041, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    Published as:

  37. Groenendijk, Patrick A. & Lucas, Andr‚ & Vries, Casper G. de, 1997. "Stochastic processes, non-normal innovations, and the use of scaling ratios," Serie Research Memoranda 0058, Free University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

  38. Dijk, Dick van & Franses, Philip Hans & Lucas, Andr•, 1996. "Testing for smooth transition nonlinearity in the presence of outliers," Econometric Institute Report 56, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Published as:

  39. Franses, P.H. & Kloek, T. & Lucas, A., 1996. "Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data," Papers 9646/a, Erasmus University of Rotterdam - Econometric Institute.

  40. Dijk, Dick van & Franses, Philip Hans & Lucas, Andr•, 1996. "Testing for ARCH in the presence of additive outliers," Econometric Institute Report 59, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
    Published as:

Articles

  1. Konrad Banachewicz & André Lucas & Aad van der Vaart, 2008. "Modelling Portfolio Defaults Using Hidden Markov Models with Covariates," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 155-171, 03. [Downloadable!] (restricted)
    Other versions:

  2. Koopman, Siem Jan & Lucas, Andre & Monteiro, Andre, 2008. "The multi-state latent factor intensity model for credit rating transitions," Journal of Econometrics, Elsevier, vol. 127(1), pages 399-424, January. [Downloadable!] (restricted)
    Other versions:

  3. Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor van der Geest, 2008. "Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 104-130. [Downloadable!] (restricted)
    Other versions:

  4. André Lucas & Arjen Siegmann, 2008. "The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 35(1-2), pages 200-226. [Downloadable!] (restricted)

  5. Lucas, Andre & Klaassen, Pieter, 2006. "Discrete versus continuous state switching models for portfolio credit risk," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 23-35, January. [Downloadable!] (restricted)
    Other versions:

  6. Temel, T. & Lucas, A., 2005. "Deepening the Measuring of Technical Inefficiency in Private Farming in Georgia: Locally Parametric Regression," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(1), pages 115-138. [Downloadable!]

  7. Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter, 2005. "Empirical credit cycles and capital buffer formation," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3159-3179, December. [Downloadable!] (restricted)

  8. André Lucas & Siem Jan Koopman, 2005. "Business and default cycles for credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 311-323. [Downloadable!]
    Other versions:

  9. Abadir, Karim M. & Lucas, Andre, 2004. "A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model," Journal of Econometrics, Elsevier, vol. 119(1), pages 45-71, March. [Downloadable!] (restricted)
    Other versions:

  10. Philip Hans Franses & Dick van Dijk & André Lucas, 2004. "Short patches of outliers, ARCH and volatility modelling," Applied Financial Economics, Taylor and Francis Journals, vol. 14(4), pages 221-231, January. [Downloadable!] (restricted)
    Other versions:

  11. André Lucas & Pieter Klaassen & Peter Spreij & Stefan Straetmans, 2003. "Tail behaviour of credit loss distributions for general latent factor models," Applied Mathematical Finance, Taylor and Francis Journals, vol. 10(4), pages 337-357, December. [Downloadable!] (restricted)
    Other versions:

  12. Marc G. Genton & André Lucas, 2003. "Comprehensive definitions of breakdown points for independent and dependent observations," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 81-94. [Downloadable!] (restricted)
    Other versions:

  13. Lucas, Andre & van Dijk, Ronald & Kloek, Teun, 2002. "Stock selection, style rotation, and risk," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 1-34, January. [Downloadable!] (restricted)
    Other versions:

  14. Boswijk, H. Peter & Lucas, Andre, 2002. "Semi-nonparametric cointegration testing," Journal of Econometrics, Elsevier, vol. 108(2), pages 253-280, June. [Downloadable!] (restricted)
    Other versions:

  15. Lucas, Andre & Klaassens, Pieter & Spreij, Peter & Straetmans, Stefan, 2002. "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]," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 201-202, January. [Downloadable!] (restricted)

  16. Lucas, Andre, 2001. "Evaluating the Basle Guidelines for Backtesting Banks' Internal Risk Management Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(3), pages 826-46, August.

  17. Lucas, Andre & Klaassen, Pieter & Spreij, Peter & Straetmans, Stefan, 2001. "An analytic approach to credit risk of large corporate bond and loan portfolios," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1635-1664, September. [Downloadable!] (restricted)
    Other versions:

  18. Taylor, Nick & Dijk, Dick van & Franses, Philip Hans & Lucas, Andre, 2000. "SETS, arbitrage activity, and stock price dynamics," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1289-1306, August. [Downloadable!] (restricted)
    Other versions:

  19. Abadir, Karim M. & Lucas, Andre, 2000. "Quantiles for t-statistics based on M-estimators of unit roots," Economics Letters, Elsevier, vol. 67(2), pages 131-137, May. [Downloadable!] (restricted)

  20. Lucas, Andre, 2000. "A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 31-39, January.
    Other versions:

  21. Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 217-35, April.
    Other versions:

  22. van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999. "Testing for ARCH in the Presence of Additive Outliers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 539-62, Sept.-Oct. [Downloadable!]
    Other versions:

  23. Franses, Philip Hans & Kloek, Teun & Lucas, Andre, 1998. "Outlier robust analysis of long-run marketing effects for weekly scanning data," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 293-315, November. [Downloadable!] (restricted)

  24. André Lucas, 1998. "Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods," Econometric Reviews, Taylor and Francis Journals, vol. 17(2), pages 185-214. [Downloadable!] (restricted)

  25. Franses, Philip Hans & Lucas, Andre, 1998. "Outlier Detection in Cointegration Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 459-68, October.

  26. Groenendijk, Patrick A. & Lucas, Andre & de Vries, Casper G., 1995. "A note on the relationship between GARCH and symmetric stable processes," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 253-264, September. [Downloadable!] (restricted)

  27. Lucas, Andre, 1995. "An outlier robust unit root test with an application to the extended Nelson-Plosser data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 153-173. [Downloadable!] (restricted)

  28. Hoek, Henk & Lucas, Andre & van Dijk, Herman K., 1995. "Classical and Bayesian aspects of robust unit root inference," Journal of Econometrics, Elsevier, vol. 69(1), pages 27-59, September. [Downloadable!] (restricted)

  29. Heij Christiaan & Kloek Teun & Lucas André, 1992. "Positivity conditions for stochastic state space modelling of time series," Econometric Reviews, Taylor and Francis Journals, vol. 11(3), pages 379-396. [Downloadable!] (restricted)

NEP Fields

27 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (2) 2006-03-25 2007-03-17
  2. NEP-CBA: Central Banking (1) 2006-03-25
  3. NEP-CFN: Corporate Finance (5) 1999-02-08 2001-05-02 2002-12-17 2003-10-12 2004-04-25 Author is listed
  4. NEP-ECM: Econometrics (8) 1999-05-03 2000-06-29 2000-06-29 2002-03-27 2005-12-01 2006-04-22 2007-05-26 2007-07-07 Author is listed
  5. NEP-ETS: Econometric Time Series (8) 1999-02-08 1999-05-03 2000-06-29 2002-03-14 2002-03-14 2002-03-14 2005-12-01 2007-05-26 Author is listed
  6. NEP-FIN: Finance (10) 1999-05-03 2000-01-31 2000-07-27 2001-05-02 2003-09-14 2003-10-12 2004-04-25 2005-12-01 2006-03-25 2006-04-22 Author is listed
  7. NEP-FMK: Financial Markets (2) 2001-05-02 2006-03-25
  8. NEP-FOR: Forecasting (1) 2007-07-07
  9. NEP-IAS: Insurance Economics (1) 2002-03-14
  10. NEP-INO: Innovation (1) 2003-05-29
  11. NEP-MAC: Macroeconomics (2) 2003-09-14 2006-03-25
  12. NEP-MFD: Microfinance (1) 2002-12-17
  13. NEP-RMG: Risk Management (2) 2006-04-22 2007-07-07
  14. NEP-URE: Urban & Real Estate Economics (1) 2007-05-26
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This page was last updated on 2008-7-4.

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