Details about Andre Lucas
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Short-id: plu10
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Working Papers
2012
- A New Semiparametric Volatility Model
Tinbergen Institute Discussion Papers, Tinbergen Institute 
- Aggregating Credit and Market Risk: The Impact of Model Specification
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008
Working Paper Series, European Central Bank
See also Journal Article in Journal of Business & Economic Statistics (2012)
- Long-Term versus Short-Term Contingencies in Asset Allocation
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
- Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- Regime switches in the volatility and correlation of financial institutions
Working Paper Research, National Bank of Belgium View citations (3)
- Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
2011
- Blockholder Dispersion and Firm Value
Tinbergen Institute Discussion Papers, Tinbergen Institute
Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010)
See also Journal Article in Journal of Corporate Finance (2011)
- Long Memory Dynamics for Multivariate Dependence under Heavy Tails
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
- Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- Systemic risk diagnostics: coincident indicators and early warning signals
Working Paper Series, European Central Bank
2010
- A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions
Tinbergen Institute Discussion Papers, Tinbergen Institute
- A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
- Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?
Tinbergen Institute Discussion Papers, Tinbergen Institute
Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010)
- Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Risk Aversion under Preference Uncertainty
Tinbergen Institute Discussion Papers, Tinbergen Institute
Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010)
See also Journal Article in Finance Research Letters (2012)
- Systemic Risk Diagnostics
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Washington meets Wall Street: A closer examination of the presidential cycle puzzle
CFS Working Paper Series, Center for Financial Studies (CFS)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008)
- Why do investors sell losers? How adaptation to losses affects future capitulation decisions
CFS Working Paper Series, Center for Financial Studies (CFS)
2009
- A General Framework for Observation Driven Time-Varying Parameter Models
Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (5)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) View citations (1)
2008
- Forecasting Cross-Sections of Frailty-Correlated Default
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
- Global Loss Diversification in the Insurance Sector
Tinbergen Institute Discussion Papers, Tinbergen Institute
See also Journal Article in Insurance: Mathematics and Economics (2009)
2007
- Credit Cycles and Macro Fundamentals
CFS Working Paper Series, Center for Financial Studies View citations (3)
Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2006) View citations (5)
Tinbergen Institute Discussion Papers, Tinbergen Institute (2006) View citations (8)
See also Journal Article in Journal of Empirical Finance (2009)
- Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model
Tinbergen Institute Discussion Papers, Tinbergen Institute
See also Journal Article in Statistica Neerlandica (2008)
- Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models
Tinbergen Institute Discussion Papers, Tinbergen Institute
See also Journal Article in Journal of Forecasting (2008)
2006
- Modeling Portfolio Defaults using Hidden Markov Models with Covariates
Tinbergen Institute Discussion Papers, Tinbergen Institute
See also Journal Article in Econometrics Journal (2008)
- Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
2005
- A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
DNB Working Papers, Netherlands Central Bank, Research Department View citations (16)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) View citations (5)
See also Journal Article in Journal of Business & Economic Statistics (2008)
- The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
See also Journal Article in Journal of Econometrics (2008)
2003
- Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Business and Default Cycles for Credit Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
See also Journal Article in Journal of Applied Econometrics (2005)
- 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
- Discrete versus Continuous State Switching Models for Portfolio Credit Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
See also Journal Article in Journal of Banking & Finance (2006)
- Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
2002
- 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
- Explaining Hedge Fund Investment Styles by Loss Aversion
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
2001
- Stock Selection, Style Rotation, and Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
See also Journal Article in Journal of Empirical Finance (2002)
- Tail Behavior of Credit Loss Distributions for General Latent Factor Models
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
See also Journal Article in Applied Mathematical Finance (2003)
2000
- A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model
Tinbergen Institute Discussion Papers, Tinbergen Institute
Also in Discussion Papers, Department of Economics, University of York
See also Journal Article in Journal of Econometrics (2004)
- Analytic Decision Rules for Financial Stochastic Programs
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
See also Journal Article in Journal of the Royal Statistical Society Series B (2003)
1999
- A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
- 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 View citations (9)
See also Journal Article in Journal of Banking & Finance (2001)
- Arbitrage and sampling uncertainty in financial stochastic programming models
Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
- SETS, Arbitrage Activity, and Stock Price Dynamics
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
See also Journal Article in Journal of Banking & Finance (2000)
- Tail behavior of credit loss distributions
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
1998
- A Hybrid Joint Moment Ratio Test for Financial Time Series
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
- A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (2)
- Nut, gebruik en beperkingen van value-at-risk voor risicomanagement
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
- 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
- Short Patches of Outliers, ARCH and Volatility Modeling
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
See also Journal Article in Applied Financial Economics (2004)
- 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 View citations (2)
1997
- 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
See also Journal Article in Journal of Business & Economic Statistics (2000)
- Outlier robust cointegration analysis
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (2)
- Semi-nonparametric cointegration testing
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (11)
See also Journal Article in Journal of Econometrics (2002)
- Stochastic processes, non-normal innovations, and the use of scaling ratios
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (1)
- 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 View citations (8)
1996
- Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data
Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
- Testing for ARCH in the Presence of Additive Outliers
Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations (8)
See also Journal Article in Journal of Applied Econometrics (1999)
- Testing for Smooth Transition Nonlinearity in the Presence of Outliers
Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations (8)
See also Journal Article in Journal of Business & Economic Statistics (1999)
Journal Articles
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, 2012, 30, (4), 521-532 View citations (1)
See also Working Paper (2012)
- Risk aversion under preference uncertainty
Finance Research Letters, 2012, 9, (1), 1-7
See also Working Paper (2010)
2011
- Blockholder dispersion and firm value
Journal of Corporate Finance, 2011, 17, (5), 1330-1339
See also Working Paper (2011)
- Modeling frailty-correlated defaults using many macroeconomic covariates
Journal of Econometrics, 2011, 162, (2), 312-325 View citations (3)
2009
- Credit cycles and macro fundamentals
Journal of Empirical Finance, 2009, 16, (1), 42-54 View citations (13)
See also Working Paper (2007)
- Global loss diversification in the insurance sector
Insurance: Mathematics and Economics, 2009, 44, (3), 415-425
See also Working Paper (2008)
2008
- A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
Journal of Business & Economic Statistics, 2008, 26, 510-525 View citations (9)
See also Working Paper (2005)
- Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
Statistica Neerlandica, 2008, 62, (1), 104-130 View citations (3)
See also Working Paper (2007)
- Hedging Large Portfolios of Options in Discrete Time
Applied Mathematical Finance, 2008, 15, (3), 251-275
- Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
Econometrics Journal, 2008, 11, (1), 155-171 View citations (6)
See also Working Paper (2006)
- Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Journal of Forecasting, 2008, 27, (7), 566-586
See also Working Paper (2007)
- The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds
Journal of Business Finance & Accounting, 2008, 35, (1-2), 200-226 View citations (3)
- The multi-state latent factor intensity model for credit rating transitions
Journal of Econometrics, 2008, 142, (1), 399-424 View citations (18)
See also Working Paper (2005)
2007
- Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
Journal of Business & Economic Statistics, 2007, 25, 213-225 View citations (15)
2006
- Discrete versus continuous state switching models for portfolio credit risk
Journal of Banking & Finance, 2006, 30, (1), 23-35 View citations (11)
See also Working Paper (2003)
- Who Controls the Plate? Isolating the Pitcher/Batter Subgame
Journal of Quantitative Analysis in Sports, 2006, 2, (3), 1-10
2005
- Business and default cycles for credit risk
Journal of Applied Econometrics, 2005, 20, (2), 311-323 View citations (34)
See also Working Paper (2003)
- 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
- Empirical credit cycles and capital buffer formation
Journal of Banking & Finance, 2005, 29, (12), 3159-3179 View citations (22)
2004
- A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Journal of Econometrics, 2004, 119, (1), 45-71
See also Working Paper (2000)
- Short patches of outliers, ARCH and volatility modelling
Applied Financial Economics, 2004, 14, (4), 221-231 View citations (5)
See also Working Paper (1998)
2003
- Comprehensive definitions of breakdown points for independent and dependent observations
Journal of the Royal Statistical Society Series B, 2003, 65, (1), 81-94 View citations (10)
See also Working Paper (2000)
- Tail behaviour of credit loss distributions for general latent factor models
Applied Mathematical Finance, 2003, 10, (4), 337-357 View citations (1)
See also Working Paper (2001)
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, 2002, 26, (1), 201-202
- Semi-nonparametric cointegration testing
Journal of Econometrics, 2002, 108, (2), 253-280 View citations (8)
See also Working Paper (1997)
- Stock selection, style rotation, and risk
Journal of Empirical Finance, 2002, 9, (1), 1-34 View citations (4)
See also Working Paper (2001)
2001
- An analytic approach to credit risk of large corporate bond and loan portfolios
Journal of Banking & Finance, 2001, 25, (9), 1635-1664 View citations (40)
See also Working Paper (1999)
- Evaluating the Basle Guidelines for Backtesting Banks' Internal Risk Management Models
Journal of Money, Credit and Banking, 2001, 33, (3), 826-46 View citations (2)
2000
- 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)
- Quantiles for t-statistics based on M-estimators of unit roots
Economics Letters, 2000, 67, (2), 131-137 View citations (3)
- SETS, arbitrage activity, and stock price dynamics
Journal of Banking & Finance, 2000, 24, (8), 1289-1306 View citations (14)
See also Working Paper (1999)
1999
- Testing for ARCH in the Presence of Additive Outliers
Journal of Applied Econometrics, 1999, 14, (5), 539-62 View citations (38)
See also Working Paper (1996)
- Testing for Smooth Transition Nonlinearity in the Presence of Outliers
Journal of Business & Economic Statistics, 1999, 17, (2), 217-35 View citations (22)
See also Working Paper (1996)
1998
- Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
Econometric Reviews, 1998, 17, (2), 185-214 View citations (10)
- Outlier Detection in Cointegration Analysis
Journal of Business & Economic Statistics, 1998, 16, (4), 459-68 View citations (13)
- Outlier robust analysis of long-run marketing effects for weekly scanning data
Journal of Econometrics, 1998, 89, (1-2), 293-315 View citations (15)
1997
- Cointegration Testing Using Pseudolikelihood Ratio Tests
Econometric Theory, 1997, 13, (02), 149-169 View citations (23)
1995
- A note on the relationship between GARCH and symmetric stable processes
Journal of Empirical Finance, 1995, 2, (3), 253-264 View citations (9)
- An outlier robust unit root test with an application to the extended Nelson-Plosser data
Journal of Econometrics, 1995, 66, (1-2), 153-173 View citations (23)
- Classical and Bayesian aspects of robust unit root inference
Journal of Econometrics, 1995, 69, (1), 27-59 View citations (9)
- Unit Root Tests Based on M Estimators
Econometric Theory, 1995, 11, (02), 331-346 View citations (24)
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