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André Lucas

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First Name:André
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Last Name:Lucas
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RePEc Short-ID:plu10
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Homepage:http://personal.vu.nl/a.lucas
Postal Address:FEWEB/FIN, Vrije Universiteit De Boelelaan 1105 1081HV Amsterdam THE NETHERLANDS
Phone:+31 20 4446039
Location: Amsterdam, Netherlands
Homepage: http://www.feweb.vu.nl/
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Handle: RePEc:edi:fewvunl (more details at EDIRC)
Location: Amsterdam, Netherlands
Homepage: http://www.tinbergen.nl/
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Phone: +31 (0)20 525 1600
Fax: +31 (0)20 551 3555
Postal: Gustav Mahlerplein 117, 1082 MS Amsterdam
Handle: RePEc:edi:tinbenl (more details at EDIRC)
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  1. Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2015. "Global Credit Risk: World, Country and Industry Factors," Tinbergen Institute Discussion Papers 15-029/III/DSF87, Tinbergen Institute.
  2. Kazim Azam & Andre Lucas, 2015. "Mixed Density based Copula Likelihood," Tinbergen Institute Discussion Papers 15-003/IV/DSF084, Tinbergen Institute.
  3. Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & Andr� Lucas, 2015. "In-Sample Bounds for Time-Varying Parameters of Observation Driven Models," Tinbergen Institute Discussion Papers 15-027/III, Tinbergen Institute.
  4. Siem Jan Koopman & Rutger Lit & Andr� Lucas, 2015. "Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions," Tinbergen Institute Discussion Papers 15-037/III/DSF90, Tinbergen Institute.
  5. Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2014. "Spillover dynamics for systemic risk measurement using spatial financial time series models," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100632, Verein für Socialpolitik / German Economic Association.
  6. Istv�n Barra & Lennart Hoogerheide & Siem Jan Koopman & Andr� Lucas, 2014. "Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers 14-118/III, Tinbergen Institute.
  7. Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties," Tinbergen Institute Discussion Papers 14-074/III, Tinbergen Institute.
  8. Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014. "Maximum Likelihood Estimation for Generalized Autoregressive Score Models," Tinbergen Institute Discussion Papers 14-029/III, Tinbergen Institute, revised 19 Apr 2014.
  9. Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Information Theoretic Optimality of Observation driven Time Series Models," Tinbergen Institute Discussion Papers 14-046/III, Tinbergen Institute.
  10. Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014. "Time Varying Transition Probabilities for Markov Regime Switching Models," Tinbergen Institute Discussion Papers 14-072/III, Tinbergen Institute.
  11. Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas, 2014. "Testing for Parameter Instability in Competing Modeling Frameworks," Tinbergen Institute Discussion Papers 14-010/IV/DSF71, Tinbergen Institute.
  12. Andr� Lucas & Xin Zhang, 2014. "Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting," Tinbergen Institute Discussion Papers 14-092/IV/DSF77, Tinbergen Institute, revised 19 Aug 2014.
  13. Pawel Janus & Andr� Lucas & Anne Opschoor, 2014. "New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels," Tinbergen Institute Discussion Papers 14-073/IV, Tinbergen Institute.
  14. Siem Jan Koopman & Rutger Lit & Andr� Lucas, 2014. "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers 14-032/IV/DSF73, Tinbergen Institute.
  15. Francisco Blasques & Siem Jan Koopman & Andr� Lucas, 2014. "Optimal Formulations for Nonlinear Autoregressive Processes," Tinbergen Institute Discussion Papers 14-103/III, Tinbergen Institute.
  16. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
  17. Creal, Drew & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2013. "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series 1626, European Central Bank.
  18. Andre Lucas & Bernd Schwaab & Xin Zhang, 2013. "Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics," Tinbergen Institute Discussion Papers 13-063/IV/DSF56, Tinbergen Institute, revised 13 Oct 2014.
  19. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional euro area sovereign default risk," Working Paper Series 269, Sveriges Riksbank (Central Bank of Sweden).
  20. Francisco Blasques & Andre Lucas & Erkki Silde, 2013. "Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models," Tinbergen Institute Discussion Papers 13-097/IV/DSF59, Tinbergen Institute.
  21. Mahmoud Botshekan & Andre Lucas, 2012. "Long-Term versus Short-Term Contingencies in Asset Allocation," Tinbergen Institute Discussion Papers 12-053/2/DSF34, Tinbergen Institute.
  22. Andre Lucas & Bastiaan Verhoef, 2012. "Aggregating Credit and Market Risk: The Impact of Model Specification," Tinbergen Institute Discussion Papers 12-057/2/DSF36, Tinbergen Institute.
  23. Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2012. "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," Tinbergen Institute Discussion Papers 12-020/4, Tinbergen Institute.
  24. Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2012. "Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes," Tinbergen Institute Discussion Papers 12-059/4, Tinbergen Institute.
  25. Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas, 2012. "Regime switches in the volatility and correlation of financial institutions," Working Paper Research 227, National Bank of Belgium.
  26. Jiangyu Ji & Andre Lucas, 2012. "A New Semiparametric Volatility Model," Tinbergen Institute Discussion Papers 12-055/2/DSF35, Tinbergen Institute.
  27. Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2012. "Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008," Working Paper Series 1459, European Central Bank.
  28. Pawel Janus & Siem Jan Koopman & Andr� Lucas, 2011. "Long Memory Dynamics for Multivariate Dependence under Heavy Tails," Tinbergen Institute Discussion Papers 11-175/2/DSF28, Tinbergen Institute.
  29. Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2011. "Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers 11-057/4, Tinbergen Institute, revised 27 Jan 2012.
  30. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
  31. Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011. "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails," Tinbergen Institute Discussion Papers 11-078/2/DSF22, Tinbergen Institute.
  32. Xin Zhang & Bernd Schwaab & Andre Lucas, 2011. "Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk," Tinbergen Institute Discussion Papers 11-176/2/DSF29, Tinbergen Institute, revised 28 Jun 2012.
  33. Botshekan, Mahmoud & Kräussl, Roman & Lucas, André, 2010. "Cash flow and discount rate risk in up and down markets: What is actually priced?," CFS Working Paper Series 2010/20, Center for Financial Studies (CFS).
  34. Kräussl, Roman & Lucas, André & Siegmann, Arjen, 2010. "Risk aversion under preference uncertainty," CFS Working Paper Series 2010/24, Center for Financial Studies (CFS).
  35. Mahmoud Botshekan & Roman Kraeussl & Andre Lucas, 2010. "Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?," Tinbergen Institute Discussion Papers 10-116/2/DSF 3, Tinbergen Institute.
  36. Konijn, Sander J. J. & Kräussl, Roman & Lucas, André, 2010. "Blockholder dispersion and firm value," CFS Working Paper Series 2010/05, Center for Financial Studies (CFS).
  37. Bernd Schwaab & Andre Lucas & Siem Jan Koopman, 2010. "Systemic Risk Diagnostics," Tinbergen Institute Discussion Papers 10-104/2/DSF 2, Tinbergen Institute, revised 29 Nov 2010.
  38. Roman Kraeussl & Andre Lucas & Arjen Siegmann, 2010. "Risk Aversion under Preference Uncertainty," Tinbergen Institute Discussion Papers 10-117/2/DSF 4, Tinbergen Institute.
  39. Kräussl, Roman & Lucas, André & Rijsbergen, David R. & van der Sluis, Pieter Jelle & Vrugt, Evert B., 2010. "Washington meets Wall Street: A closer examination of the presidential cycle puzzle," CFS Working Paper Series 2010/06, Center for Financial Studies (CFS).
  40. Drew Creal & Siem Jan Koopman & Andr� Lucas, 2010. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Tinbergen Institute Discussion Papers 10-032/2, Tinbergen Institute.
  41. Lee, Carmen & Kräussl, Roman & Lucas, André & Paas, Leo, 2010. "Why do investors sell losers? How adaptation to losses affects future capitulation decisions," CFS Working Paper Series 2010/23, Center for Financial Studies (CFS).
  42. Siem Jan Koopman & Andre Lucas & Bernd Schwaab, 2010. "Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective," Tinbergen Institute Discussion Papers 10-004/2, Tinbergen Institute, revised 24 Aug 2010.
  43. Sander J.J. Konijn & Roman Kraeussl & Andre Lucas, 2009. "Blockholder Dispersion and Firm Value," Tinbergen Institute Discussion Papers 09-113/2, Tinbergen Institute, revised 03 Jan 2011.
  44. Drew Creal & Siem Jan Koopman & Andre Lucas, 2009. "A General Framework for Observation Driven Time-Varying Parameter Models," Global COE Hi-Stat Discussion Paper Series gd08-038, Institute of Economic Research, Hitotsubashi University.
  45. Carmen Lee & Roman Kraeussl & Andr� Lucas & Leonard J. Paas, 2008. "A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions," Tinbergen Institute Discussion Papers 08-112/2, Tinbergen Institute, revised 02 Sep 2013.
  46. Oleg Sheremet & Andr� Lucas, 2008. "Global Loss Diversification in the Insurance Sector," Tinbergen Institute Discussion Papers 08-086/2, Tinbergen Institute.
  47. Siem Jan Koopman & Andr� Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute.
  48. R. Kraeussl & A. Lucas & D. Rijsbergen & P.J. van der Sluis & E. Vrugt, 2008. "Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle," Tinbergen Institute Discussion Papers 08-101/2, Tinbergen Institute.
  49. Konrad Banachewicz & Andr� Lucas, 2007. "Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models," Tinbergen Institute Discussion Papers 07-046/2, Tinbergen Institute.
  50. Siem Jan Koopman & Andr� 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.
  51. Konrad Banachewicz & Aad van der Vaart & Andr� Lucas, 2006. "Modeling Portfolio Defaults using Hidden Markov Models with Covariates," Tinbergen Institute Discussion Papers 06-094/2, Tinbergen Institute.
  52. 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.
  53. Siem Jan Koopman & Roman Kraeussl & Andre Lucas & Andre Monteiro, 2006. "Credit Cycles and Macro Fundamentals," Tinbergen Institute Discussion Papers 06-023/2, Tinbergen Institute.
  54. Koopman, Siem Jan & Kräussl, Roman & Lucas, André, 2006. "Credit cycles and macro fundamentals," CFS Working Paper Series 2006/33, Center for Financial Studies (CFS).
  55. Siem Jan Koopman & Andr� Lucas & Robert J. Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," DNB Working Papers 055, Netherlands Central Bank, Research Department.
  56. Siem Jan Koopman & Andr� Lucas & Andr� 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.
  57. Siem Jan Koopman & Andr� 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.
  58. Bas Peeters & Cees L. Dert & Andr� 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.
  59. Albert J. Menkveld & Siem Jan Koopman & Andr� 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.
  60. 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.
  61. Siem Jan Koopman & Andr� Lucas, 2003. "Business and Default Cycles for Credit Risk," Tinbergen Institute Discussion Papers 03-062/2, Tinbergen Institute, revised 09 Jan 2003.
  62. Temel, Tugrul & Lucas, Andre, 2003. "Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression," Serie Research Memoranda 0007, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  63. 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, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  64. Arjen Siegmann & Andr� Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute.
  65. 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.
  66. 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.
  67. André Lucas & Ronald van Dijk & Teun Kloek, 2001. "Stock Selection, Style Rotation, and Risk," Tinbergen Institute Discussion Papers 01-021/2, Tinbergen Institute.
  68. 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.
  69. Arjen H. Siegmann & André Lucas, 2000. "Analytic Decision Rules for Financial Stochastic Programs," Tinbergen Institute Discussion Papers 00-041/2, Tinbergen Institute.
  70. 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.
  71. 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.
  72. Berkelaar, A.B. & Hoek, H. & Lucas, A., 1999. "Arbitrage and sampling uncertainty in financial stochastic programming models," Econometric Institute Research Papers EI 9919-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  73. 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.
  74. Lucas, André & Klaassen, Pieter & Spreij, Peter, 1999. "An analytic approach to credit risk of large corporate bond and loan portfolios," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  75. Lucas, André & Straetmans, Stefan & Klaassen, Pieter, 1999. "Tail behavior of credit loss distributions," Serie Research Memoranda 0060, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  76. Lucas, André, 1998. "Testing backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models of banks," Serie Research Memoranda 0001, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  77. 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.
  78. 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.
  79. Lucas, André, 1998. "Nut, gebruik en beperkingen van value-at-risk voor risicomanagement," Serie Research Memoranda 0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  80. Boswijk, H. Peter & Lucas, André & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  81. Lucas, André & Dert, Cees L., 1998. "On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework," Serie Research Memoranda 0057, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  82. Groenendijk, Patrick A. & Lucas, André & Vries, Casper G. de, 1997. "Stochastic processes, non-normal innovations, and the use of scaling ratios," Serie Research Memoranda 0058, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  83. Lucas, André, 1997. "A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior," Serie Research Memoranda 0056, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  84. Boswijk, H. Peter & Lucas, André, 1997. "Semi-nonparametric cointegration testing," Serie Research Memoranda 0041, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  85. Lucas, André, 1997. "Strategic and tactical asset allocation and the effect of long-run equilibrium relations," Serie Research Memoranda 0042, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  86. Franses, Philip Hans & Lucas, André, 1997. "Outlier robust cointegration analysis," Serie Research Memoranda 0045, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  87. Franses, Ph.H.B.F. & Kloek, T. & Lucas, A., 1996. "Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data," Econometric Institute Research Papers EI 9646-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  88. van Dijk, D.J.C. & Franses, Ph.H.B.F. & Lucas, A., 1996. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Econometric Institute Research Papers EI 9622-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  89. van Dijk, D.J.C. & Franses, Ph.H.B.F. & Lucas, A., 1996. "Testing for ARCH in the Presence of Additive Outliers," Econometric Institute Research Papers EI 9659-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  90. Karim M. Abadir & André Lucas, . "A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model," Discussion Papers 00/21, Department of Economics, University of York.
  1. Kräussl, Roman & Lucas, André & Rijsbergen, David R. & van der Sluis, Pieter Jelle & Vrugt, Evert B., 2014. "Washington meets Wall Street: A closer examination of the presidential cycle puzzle," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 50-69.
  2. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2014. "Nowcasting and forecasting global financial sector stress and credit market dislocation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 741-758.
  3. Drew Creal & Bernd Schwaab & Siem Jan Koopman & André Lucas, 2014. "Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 898-915, December.
  4. André Lucas & Bernd Schwaab & Xin Zhang, 2014. "Conditional Euro Area Sovereign Default Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 271-284, April.
  5. Janus, Paweł & Koopman, Siem Jan & Lucas, André, 2014. "Long memory dynamics for multivariate dependence under heavy tails," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 187-206.
  6. Drew Creal & Siem Jan Koopman & André Lucas, 2013. "Generalized Autoregressive Score Models With Applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 777-795, 08.
  7. Kräussl, Roman & Lucas, André & Siegmann, Arjen, 2012. "Risk aversion under preference uncertainty," Finance Research Letters, Elsevier, vol. 9(1), pages 1-7.
  8. Botshekan, Mahmoud & Kraeussl, Roman & Lucas, Andre, 2012. "Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(06), pages 1279-1301, December.
  9. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2012. "Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 521-532, May.
  10. Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2011. "Modeling frailty-correlated defaults using many macroeconomic covariates," Journal of Econometrics, Elsevier, vol. 162(2), pages 312-325, June.
  11. Drew Creal & Siem Jan Koopman & André Lucas, 2011. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 552-563, October.
  12. Konijn, Sander J.J. & Kräussl, Roman & Lucas, Andre, 2011. "Blockholder dispersion and firm value," Journal of Corporate Finance, Elsevier, vol. 17(5), pages 1330-1339.
  13. Sheremet, Oleg & Lucas, André, 2009. "Global loss diversification in the insurance sector," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 415-425, June.
  14. Koopman, Siem Jan & Kräussl, Roman & Lucas, André & Monteiro, André B., 2009. "Credit cycles and macro fundamentals," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 42-54, January.
  15. Koopman, Siem Jan & Lucas, André, 2008. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 510-525.
  16. B. Peeters & C. L. Dert & A. Lucas, 2008. "Hedging Large Portfolios of Options in Discrete Time," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(3), pages 251-275.
  17. Konrad Banachewicz & André Lucas, 2008. "Quantile forecasting for credit risk management using possibly misspecified hidden Markov models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 566-586.
  18. Koopman, Siem Jan & Lucas, Andre & Monteiro, Andre, 2008. "The multi-state latent factor intensity model for credit rating transitions," Journal of Econometrics, Elsevier, vol. 142(1), pages 399-424, January.
  19. 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.
  20. 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.
  21. André Lucas & Arjen Siegmann, 2008. "The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1-2), pages 200-226.
  22. Menkveld, Albert J. & Koopman, Siem Jan & Lucas, Andre, 2007. "Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 213-225, April.
  23. 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.
  24. Alamar Benjamin & Ma Jeff & Desjardins Gabriel M & Ruprecht Lucas, 2006. "Who Controls the Plate? Isolating the Pitcher/Batter Subgame," Journal of Quantitative Analysis in Sports, De Gruyter, vol. 2(3), pages 1-10, July.
  25. 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.
  26. 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.
  27. 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.
  28. Philip Hans Franses & Dick van Dijk & Andre Lucas, 2004. "Short patches of outliers, ARCH and volatility modelling," Applied Financial Economics, Taylor & Francis Journals, vol. 14(4), pages 221-231.
  29. 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.
  30. Andre Lucas & Pieter Klaassen & Peter Spreij & Stefan Straetmans, 2003. "Tail behaviour of credit loss distributions for general latent factor models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(4), pages 337-357.
  31. 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.
  32. Boswijk, H. Peter & Lucas, Andre, 2002. "Semi-nonparametric cointegration testing," Journal of Econometrics, Elsevier, vol. 108(2), pages 253-280, June.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. Andre Lucas, 1998. "Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods," Econometric Reviews, Taylor & Francis Journals, vol. 17(2), pages 185-214.
  43. 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.
  44. 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.
  45. Lucas, André, 1997. "Cointegration Testing Using Pseudolikelihood Ratio Tests," Econometric Theory, Cambridge University Press, vol. 13(02), pages 149-169, April.
  46. 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.
  47. Lucas, André, 1995. "Unit Root Tests Based on M Estimators," Econometric Theory, Cambridge University Press, vol. 11(02), pages 331-346, February.
  48. 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.
  49. 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.
9 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (6) 2011-04-23 2012-09-16 2012-10-20 2013-06-30 2014-04-05 2014-04-05. Author is listed
  2. NEP-CBA: Central Banking (2) 2011-04-23 2013-06-30
  3. NEP-ECM: Econometrics (5) 2005-12-01 2009-04-18 2012-09-16 2012-10-20 2015-02-16. Author is listed
  4. NEP-EEC: European Economics (1) 2013-06-30
  5. NEP-ETS: Econometric Time Series (3) 2005-12-01 2009-04-18 2012-10-20. Author is listed
  6. NEP-FIN: Finance (1) 2005-12-01
  7. NEP-FOR: Forecasting (1) 2009-04-18
  8. NEP-MAC: Macroeconomics (1) 2013-12-15
  9. NEP-ORE: Operations Research (1) 2011-04-23
  10. NEP-POL: Positive Political Economics (1) 2013-12-15
  11. NEP-RMG: Risk Management (7) 2011-04-23 2012-09-16 2012-10-20 2013-06-30 2014-04-05 2014-04-05 2015-02-16. Author is listed
  12. NEP-URE: Urban & Real Estate Economics (1) 2015-02-16
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