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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 2014-10-04. Update your information in the RePEc Author Service.

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Working Papers

2014

  1. Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  3. New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  4. Time Varying Transition Probabilities for Markov Regime Switching Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2013

  1. A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Conditional and joint credit risk
    Working Paper Series, European Central Bank Downloads
  3. 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)
  4. Observation driven mixed-measurement dynamic factor models with an application to credit risk
    Working Paper Series, European Central Bank Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads View citations (4)
  5. 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
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads

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

2012

  1. A New Semiparametric Volatility Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Aggregating Credit and Market Risk: The Impact of Model Specification
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
  4. 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 (3)
    See also Journal Article in Journal of Business & Economic Statistics (2012)
  5. Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  6. Long-Term versus Short-Term Contingencies in Asset Allocation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  7. Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)
  8. Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)
  9. Regime switches in the volatility and correlation of financial institutions
    Working Paper Research, National Bank of Belgium Downloads
  10. Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2011

  1. Blockholder Dispersion and Firm Value
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads

    See also Journal Article in Journal of Corporate Finance (2011)
  2. Long Memory Dynamics for Multivariate Dependence under Heavy Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  3. Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (8)
  4. Systemic risk diagnostics: coincident indicators and early warning signals
    Working Paper Series, European Central Bank Downloads View citations (15)

2010

  1. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)
    See also Journal Article in Journal of Business & Economic Statistics (2011)
  2. Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads

    See also Journal Article in Journal of Financial and Quantitative Analysis (2012)
  3. Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  4. Risk Aversion under Preference Uncertainty
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads

    See also Journal Article in Finance Research Letters (2012)
  5. Systemic Risk Diagnostics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
  6. 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)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads View citations (1)

2008

  1. Forecasting Cross-Sections of Frailty-Correlated Default
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
  2. Global Loss Diversification in the Insurance Sector
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2009)

2007

  1. Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Statistica Neerlandica (2008)
  2. Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Forecasting (2008)

2006

  1. Credit Cycles and Macro Fundamentals
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2006) Downloads View citations (5)

    See also Journal Article in Journal of Empirical Finance (2009)
  2. Modeling Portfolio Defaults using Hidden Markov Models with Covariates
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Econometrics Journal (2008)
  3. Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)

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 (16)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) Downloads View citations (5)

    See also Journal Article in Journal of Business & Economic Statistics (2008)
  2. The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (2008)

2003

  1. Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Business and Default Cycles for Credit Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2005)
  3. 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
  4. Discrete versus Continuous State Switching Models for Portfolio Credit Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article in Journal of Banking & Finance (2006)
  5. Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)

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
  2. Explaining Hedge Fund Investment Styles by Loss Aversion
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  3. Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)

2001

  1. Stock Selection, Style Rotation, and Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Journal of Empirical Finance (2002)
  2. Tail Behavior of Credit Loss Distributions for General Latent Factor Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    See also Journal Article in Applied Mathematical Finance (2003)

2000

  1. A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Discussion Papers, Department of Economics, University of York

    See also Journal Article in Journal of Econometrics (2004)
  2. Analytic Decision Rules for Financial Stochastic Programs
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  3. Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2003)

1999

  1. A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
  2. 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)
  3. Arbitrage and sampling uncertainty in financial stochastic programming models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  4. SETS, Arbitrage Activity, and Stock Price Dynamics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)
    See also Journal Article in Journal of Banking & Finance (2000)
  5. Tail behavior of credit loss distributions
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads

1998

  1. A Hybrid Joint Moment Ratio Test for Financial Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)
  2. A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
  3. Nut, gebruik en beperkingen van value-at-risk voor risicomanagement
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
  4. 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
  5. Short Patches of Outliers, ARCH and Volatility Modeling
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)
    See also Journal Article in Applied Financial Economics (2004)
  6. 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)

Journal Articles

2014

  1. Conditional Euro Area Sovereign Default Risk
    Journal of Business & Economic Statistics, 2014, 32, (2), 271-284 Downloads
    See also Working Paper (2013)
  2. Nowcasting and forecasting global financial sector stress and credit market dislocation
    International Journal of Forecasting, 2014, 30, (3), 741-758 Downloads
  3. 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 (32)

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 (2)
    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 (4)
    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
    See also Working Paper (2010)
  2. Blockholder dispersion and firm value
    Journal of Corporate Finance, 2011, 17, (5), 1330-1339 Downloads View citations (1)
    See also Working Paper (2011)
  3. Modeling frailty-correlated defaults using many macroeconomic covariates
    Journal of Econometrics, 2011, 162, (2), 312-325 Downloads View citations (15)

2009

  1. Credit cycles and macro fundamentals
    Journal of Empirical Finance, 2009, 16, (1), 42-54 Downloads View citations (24)
    See also Working Paper (2006)
  2. Global loss diversification in the insurance sector
    Insurance: Mathematics and Economics, 2009, 44, (3), 415-425 Downloads
    See also Working Paper (2008)

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 (11)
    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 (4)
    See also Working Paper (2007)
  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)
    See also Working Paper (2006)
  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)
    See also Working Paper (2007)
  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 (26)
    See also Working Paper (2005)

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 (25)

2006

  1. Discrete versus continuous state switching models for portfolio credit risk
    Journal of Banking & Finance, 2006, 30, (1), 23-35 Downloads View citations (11)
    See also Working Paper (2003)
  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 (45)
    See also Working Paper (2003)
  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 (27)

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 (2000)
  2. Short patches of outliers, ARCH and volatility modelling
    Applied Financial Economics, 2004, 14, (4), 221-231 Downloads View citations (6)
    See also Working Paper (1998)

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 (11)
    See also Working Paper (2000)
  2. Tail behaviour of credit loss distributions for general latent factor models
    Applied Mathematical Finance, 2003, 10, (4), 337-357 Downloads View citations (1)
    See also Working Paper (2001)

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 (8)
    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)
    See also Working Paper (2001)

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 (42)
    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 (14)
    See also Working Paper (1999)

1999

  1. Testing for ARCH in the Presence of Additive Outliers
    Journal of Applied Econometrics, 1999, 14, (5), 539-62 Downloads View citations (41)
    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 (27)
    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 (20)
  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 (11)
  4. Unit Root Tests Based on M Estimators
    Econometric Theory, 1995, 11, (02), 331-346 Downloads View citations (26)
 
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