EconPapers    
Economics at your fingertips  
 

Details about Andre Lucas

E-mail:
Homepage:http://personal.vu.nl/a.lucas
Phone:+31 20 4446039
Postal address:FEWEB/FIN, Vrije Universiteit De Boelelaan 1105 1081HV Amsterdam THE NETHERLANDS
Workplace:Faculteit der Economische Wetenschappen en Bedrijfskunde (Faculty of Economic Sciences, Business Administration and Econometrics), Vrije Universiteit (VU University Amsterdam), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by Andre Lucas.

Last updated 2015-04-07. Update your information in the RePEc Author Service.

Short-id: plu10


Jump to Journal Articles

Working Papers

2014

  1. Spillover dynamics for systemic risk measurement using spatial financial time series models
    Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association Downloads View citations (1)

2013

  1. Conditional and joint credit risk
    Working Paper Series, European Central Bank Downloads View citations (1)
  2. Conditional euro area sovereign default risk
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2014)
  3. Observation driven mixed-measurement dynamic factor models with an application to credit risk
    Working Paper Series, European Central Bank Downloads View citations (2)
    See also Journal Article in The Review of Economics and Statistics (2014)
  4. Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads

    See also Journal Article in Journal of International Money and Finance (2014)

2012

  1. Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008
    Working Paper Series, European Central Bank Downloads View citations (7)
    See also Journal Article in Journal of Business & Economic Statistics (2012)
  2. Regime switches in the volatility and correlation of financial institutions
    Working Paper Research, National Bank of Belgium Downloads View citations (1)

2011

  1. Systemic risk diagnostics: coincident indicators and early warning signals
    Working Paper Series, European Central Bank Downloads View citations (16)

2010

  1. Blockholder dispersion and firm value
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads
    See also Journal Article in Journal of Corporate Finance (2011)
  2. Cash flow and discount rate risk in up and down markets: What is actually priced?
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads
    See also Journal Article in Journal of Financial and Quantitative Analysis (2012)
  3. Risk aversion under preference uncertainty
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads
    See also Journal Article in Finance Research Letters (2012)
  4. Why do investors sell losers? How adaptation to losses affects future capitulation decisions
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads

2009

  1. A General Framework for Observation Driven Time-Varying Parameter Models
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (6)

2006

  1. Credit cycles and macro fundamentals
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (9)
    See also Journal Article in Journal of Empirical Finance (2009)

2005

  1. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (17)
    See also Journal Article in Journal of Business & Economic Statistics (2008)

2003

  1. Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads

2002

  1. De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads

1999

  1. An analytic approach to credit risk of large corporate bond and loan portfolios
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
    See also Journal Article in Journal of Banking & Finance (2001)
  2. Arbitrage and sampling uncertainty in financial stochastic programming models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  3. Tail behavior of credit loss distributions
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads

1998

  1. A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
  2. Nut, gebruik en beperkingen van value-at-risk voor risicomanagement
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
  3. On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
  4. Testing backtesting: an evaluation of the Basle guidelines for backtesting internal risk management models of banks
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads

1997

  1. A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2000)
  2. Outlier robust cointegration analysis
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
  3. Semi-nonparametric cointegration testing
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
    See also Journal Article in Journal of Econometrics (2002)
  4. Stochastic processes, non-normal innovations, and the use of scaling ratios
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
  5. Strategic and tactical asset allocation and the effect of long-run equilibrium relations
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads

1996

  1. Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
  2. Testing for ARCH in the Presence of Additive Outliers
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article in Journal of Applied Econometrics (1999)
  3. Testing for Smooth Transition Nonlinearity in the Presence of Outliers
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (1999)

Undated

  1. A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model
    Discussion Papers, Department of Economics, University of York
    See also Journal Article in Journal of Econometrics (2004)

Journal Articles

2014

  1. Conditional Euro Area Sovereign Default Risk
    Journal of Business & Economic Statistics, 2014, 32, (2), 271-284 Downloads View citations (10)
    See also Working Paper (2013)
  2. Long memory dynamics for multivariate dependence under heavy tails
    Journal of Empirical Finance, 2014, 29, (C), 187-206 Downloads View citations (1)
  3. Nowcasting and forecasting global financial sector stress and credit market dislocation
    International Journal of Forecasting, 2014, 30, (3), 741-758 Downloads
  4. Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
    The Review of Economics and Statistics, 2014, 96, (5), 898-915 Downloads View citations (4)
    See also Working Paper (2013)
  5. Washington meets Wall Street: A closer examination of the presidential cycle puzzle
    Journal of International Money and Finance, 2014, 43, (C), 50-69 Downloads
    See also Working Paper (2013)

2013

  1. GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
    Journal of Applied Econometrics, 2013, 28, (5), 777-795 Downloads View citations (56)

2012

  1. Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?
    Journal of Financial and Quantitative Analysis, 2012, 47, (06), 1279-1301 Downloads View citations (4)
    See also Working Paper (2010)
  2. Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008
    Journal of Business & Economic Statistics, 2012, 30, (4), 521-532 Downloads View citations (7)
    See also Working Paper (2012)
  3. Risk aversion under preference uncertainty
    Finance Research Letters, 2012, 9, (1), 1-7 Downloads
    See also Working Paper (2010)

2011

  1. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Journal of Business & Economic Statistics, 2011, 29, (4), 552-563 Downloads View citations (23)
  2. Blockholder dispersion and firm value
    Journal of Corporate Finance, 2011, 17, (5), 1330-1339 Downloads View citations (2)
    See also Working Paper (2010)
  3. Modeling frailty-correlated defaults using many macroeconomic covariates
    Journal of Econometrics, 2011, 162, (2), 312-325 Downloads View citations (19)

2009

  1. Credit cycles and macro fundamentals
    Journal of Empirical Finance, 2009, 16, (1), 42-54 Downloads View citations (28)
    See also Working Paper (2006)
  2. Global loss diversification in the insurance sector
    Insurance: Mathematics and Economics, 2009, 44, (3), 415-425 Downloads

2008

  1. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
    Journal of Business & Economic Statistics, 2008, 26, 510-525 Downloads View citations (15)
    See also Working Paper (2005)
  2. Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
    Statistica Neerlandica, 2008, 62, (1), 104-130 Downloads View citations (5)
  3. Hedging Large Portfolios of Options in Discrete Time
    Applied Mathematical Finance, 2008, 15, (3), 251-275 Downloads
  4. Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
    Econometrics Journal, 2008, 11, (1), 155-171 Downloads View citations (10)
  5. Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
    Journal of Forecasting, 2008, 27, (7), 566-586 Downloads View citations (1)
  6. The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds
    Journal of Business Finance & Accounting, 2008, 35, (1-2), 200-226 Downloads View citations (3)
  7. The multi-state latent factor intensity model for credit rating transitions
    Journal of Econometrics, 2008, 142, (1), 399-424 Downloads View citations (33)

2007

  1. Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
    Journal of Business & Economic Statistics, 2007, 25, 213-225 Downloads View citations (31)

2006

  1. Discrete versus continuous state switching models for portfolio credit risk
    Journal of Banking & Finance, 2006, 30, (1), 23-35 Downloads View citations (14)
  2. Who Controls the Plate? Isolating the Pitcher/Batter Subgame
    Journal of Quantitative Analysis in Sports, 2006, 2, (3), 1-10 Downloads

2005

  1. Business and default cycles for credit risk
    Journal of Applied Econometrics, 2005, 20, (2), 311-323 Downloads View citations (48)
  2. Deepening the Measuring of Technical Inefficiency in Private Farming in Georgia: Locally Parametric Regression
    International Journal of Applied Econometrics and Quantitative Studies, 2005, 2, (1), 115-138 Downloads
  3. Empirical credit cycles and capital buffer formation
    Journal of Banking & Finance, 2005, 29, (12), 3159-3179 Downloads View citations (28)

2004

  1. A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
    Journal of Econometrics, 2004, 119, (1), 45-71 Downloads
    See also Working Paper
  2. Short patches of outliers, ARCH and volatility modelling
    Applied Financial Economics, 2004, 14, (4), 221-231 Downloads View citations (6)

2003

  1. Comprehensive definitions of breakdown points for independent and dependent observations
    Journal of the Royal Statistical Society Series B, 2003, 65, (1), 81-94 Downloads View citations (18)
  2. Tail behaviour of credit loss distributions for general latent factor models
    Applied Mathematical Finance, 2003, 10, (4), 337-357 Downloads View citations (2)

2002

  1. 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, 2002, 26, (1), 201-202 Downloads
  2. Semi-nonparametric cointegration testing
    Journal of Econometrics, 2002, 108, (2), 253-280 Downloads View citations (10)
    See also Working Paper (1997)
  3. Stock selection, style rotation, and risk
    Journal of Empirical Finance, 2002, 9, (1), 1-34 Downloads View citations (4)

2001

  1. An analytic approach to credit risk of large corporate bond and loan portfolios
    Journal of Banking & Finance, 2001, 25, (9), 1635-1664 Downloads View citations (47)
    See also Working Paper (1999)
  2. Evaluating the Basle Guidelines for Backtesting Banks' Internal Risk Management Models
    Journal of Money, Credit and Banking, 2001, 33, (3), 826-46 View citations (5)

2000

  1. A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior
    Journal of Business & Economic Statistics, 2000, 18, (1), 31-39 View citations (1)
    See also Working Paper (1997)
  2. Quantiles for t-statistics based on M-estimators of unit roots
    Economics Letters, 2000, 67, (2), 131-137 Downloads View citations (3)
  3. SETS, arbitrage activity, and stock price dynamics
    Journal of Banking & Finance, 2000, 24, (8), 1289-1306 Downloads View citations (15)

1999

  1. Testing for ARCH in the Presence of Additive Outliers
    Journal of Applied Econometrics, 1999, 14, (5), 539-62 Downloads View citations (43)
    See also Working Paper (1996)
  2. Testing for Smooth Transition Nonlinearity in the Presence of Outliers
    Journal of Business & Economic Statistics, 1999, 17, (2), 217-35 View citations (29)
    See also Working Paper (1996)

1998

  1. Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
    Econometric Reviews, 1998, 17, (2), 185-214 Downloads View citations (13)
  2. Outlier Detection in Cointegration Analysis
    Journal of Business & Economic Statistics, 1998, 16, (4), 459-68 View citations (21)
  3. Outlier robust analysis of long-run marketing effects for weekly scanning data
    Journal of Econometrics, 1998, 89, (1-2), 293-315 Downloads View citations (10)

1997

  1. Cointegration Testing Using Pseudolikelihood Ratio Tests
    Econometric Theory, 1997, 13, (02), 149-169 Downloads View citations (25)

1995

  1. A note on the relationship between GARCH and symmetric stable processes
    Journal of Empirical Finance, 1995, 2, (3), 253-264 Downloads View citations (9)
  2. An outlier robust unit root test with an application to the extended Nelson-Plosser data
    Journal of Econometrics, 1995, 66, (1-2), 153-173 Downloads View citations (25)
  3. Classical and Bayesian aspects of robust unit root inference
    Journal of Econometrics, 1995, 69, (1), 27-59 Downloads View citations (10)
  4. Unit Root Tests Based on M Estimators
    Econometric Theory, 1995, 11, (02), 331-346 Downloads View citations (27)
 
Page updated 2015-04-27