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 Notre DameVerified email at nd.edu
Philip Hans FransesErasmus School of EconomicsVerified email at ese.eur.nl
Roman KräusslProfessor of Finance, Bayes Business School (ex-Cass) and Hoover Institution, Stanford UniversityVerified email at city.ac.uk
Xin ZhangSveriges RiksbankVerified email at riksbank.se
Dick van DijkProfessor of Financial Econometrics, Erasmus University RotterdamVerified email at ese.eur.nl
Anne OpschoorUniversitair docent, Vrije Universiteit AmsterdamVerified email at vu.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. StraetmansAssociate Professor of Finance, Maastricht University Verified 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
Marc G GentonAl-Khawarizmi Distinguished Professor of Statistics, KAUSTVerified email at kaust.edu.sa
H. Peter BoswijkProfessor of Financial Econometrics, University of AmsterdamVerified email at uva.nl
Karim Maher AbadirImperial College LondonVerified email at imperial.ac.uk
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	949	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	334	2011
Blockholder dispersion and firm value SJJ Konijn, R Kräussl, A Lucas Journal of Corporate Finance 17 (5), 1330-1339, 2011	252	2011
Business and default cycles for credit risk SJ Koopman, A Lucas Journal of Applied Econometrics 20 (2), 311-323, 2005	230	2005
Credit cycles and macro fundamentals SJ Koopman, R Kräussl, A Lucas, AB Monteiro Journal of Empirical Finance 16 (1), 42-54, 2009	224	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	206	2008
Conditional euro area sovereign default risk A Lucas, B Schwaab, X Zhang Journal of Business & Economic Statistics 32 (2), 271-284, 2014	189*	2014
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	186	2001
Extreme returns, downside risk, and optimal asset allocation A Lucas, P Klaassen Journal of Portfolio Management 25 (1), 71, 1998	173	1998
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	169	1999
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	162	2014
Modeling frailty-correlated defaults using many macroeconomic covariates SJ Koopman, A Lucas, B Schwaab Journal of Econometrics 162 (2), 312-325, 2011	158	2011
Information-theoretic optimality of observation-driven time series models for continuous responses F Blasques, SJ Koopman, A Lucas Biometrika 102 (2), 325-343, 2015	155	2015
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	152	2016
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	150	1999
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	142	2016
Unit root tests based on M estimators A Lucas Econometric Theory 11 (2), 331-346, 1995	131	1995
Robustness of the student t based M-estimator A Lucas Communications in Statistics-Theory and Methods 26 (5), 1165-1182, 1997	129	1997
A general framework for observation driven time-varying parameter models D Creal, SJ Koopman, A Lucas Tinbergen Institute Discussion paper, 2008	128	2008
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	116	2007

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