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Details about Andre Lucas

Homepage:http://sites.google.com/view/alucas
Phone:+31 20 598 6039
Postal address:Dept. Econometrics and Data Science School of Business and Economics Vrije Universiteit, De Boelelaan 1105 1081HV Amsterdam THE NETHERLANDS
Workplace:School of Business and Economics, Vrije Universiteit Amsterdam (VU University Amsterdam), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by Andre Lucas.

Last updated 2025-01-06. Update your information in the RePEc Author Service.

Short-id: plu10


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Working Papers

2024

  1. Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Financial Development and Fragility: A Clustering Analysis
    Policy Research Working Paper Series, The World Bank Downloads
  3. Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2023

  1. Consistency, distributional convergence, and optimality of score-driven filters
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Dynamic nonparametric clustering of multivariate panel data
    Working Paper Series, European Central Bank Downloads View citations (2)
    See also Journal Article Dynamic Nonparametric Clustering of Multivariate Panel Data*, Journal of Financial Econometrics, Oxford University Press (2024) Downloads (2024)
  3. Modeling extreme events:time-varying extreme tail shape
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (3)
    Also in Working Paper Series, European Central Bank (2021) Downloads View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2020) Downloads

    See also Journal Article Modeling Extreme Events: Time-Varying Extreme Tail Shape, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) Downloads View citations (1) (2024)
  4. Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)

2021

  1. COVID-19, Credit Risk and Macro Fundamentals
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Clustering Dynamics and Persistence for Financial Multivariate Panel Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Dynamic clustering of multivariate panel data
    Working Paper Series, European Central Bank Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2020) Downloads View citations (2)

    See also Journal Article Dynamic clustering of multivariate panel data, Journal of Econometrics, Elsevier (2023) Downloads (2023)

2019

  1. Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) Downloads View citations (15) (2021)
  2. Observation-driven Models for Realized Variances and Overnight Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Risk endogeneity at the lender/investor-of-last-resort
    Working Paper Series, European Central Bank Downloads View citations (1)
    Also in BIS Working Papers, Bank for International Settlements (2019) Downloads View citations (1)
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2019) Downloads View citations (1)

    See also Journal Article Risk endogeneity at the lender/investor-of-last-resort, Journal of Monetary Economics, Elsevier (2020) Downloads View citations (4) (2020)
  4. Time-varying tail behavior for realized kernels
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2018

  1. Generalized Autoregressive Method of Moments
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)

2017

  1. Bank business models at zero interest rates
    Working Paper Series, European Central Bank Downloads View citations (10)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (3)

    See also Journal Article Bank Business Models at Zero Interest Rates, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) Downloads View citations (21) (2019)
  2. Do Negative Interest Rates Make Banks Less Safe?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (45)
    Also in Working Paper Series, European Central Bank (2017) Downloads View citations (47)

    See also Journal Article Do negative interest rates make banks less safe?, Economics Letters, Elsevier (2017) Downloads View citations (45) (2017)
  3. Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting
    NBP Working Papers, Narodowy Bank Polski Downloads
  4. Finite Sample Optimality of Score-Driven Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  5. Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  6. Maximum Likelihood Estimation for Score-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (27)
    See also Journal Article Maximum likelihood estimation for score-driven models, Journal of Econometrics, Elsevier (2022) Downloads View citations (24) (2022)

2016

  1. Accounting for Missing Values in Score-Driven Time-Varying Parameter Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
    See also Journal Article Accounting for missing values in score-driven time-varying parameter models, Economics Letters, Elsevier (2016) Downloads View citations (6) (2016)
  2. Global credit risk: world country and industry factors
    Working Paper Series, European Central Bank Downloads View citations (8)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (2)

    See also Journal Article Global Credit Risk: World, Country and Industry Factors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) Downloads View citations (14) (2017)
  3. Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) Downloads View citations (1) (2017)
  4. Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  5. Network, Market, and Book-Based Systemic Risk Rankings
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article Network, market, and book-based systemic risk rankings, Journal of Banking & Finance, Elsevier (2017) Downloads View citations (21) (2017)
  6. Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)
  7. The information in systemic risk rankings
    Working Paper Series, European Central Bank Downloads View citations (29)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (6)

    See also Journal Article The information in systemic risk rankings, Journal of Empirical Finance, Elsevier (2016) Downloads View citations (26) (2016)

2015

  1. In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models, International Journal of Forecasting, Elsevier (2016) Downloads View citations (19) (2016)
  3. Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model, Journal of the American Statistical Association, Taylor & Francis Journals (2017) Downloads View citations (22) (2017)
  4. Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)
  5. Mixed Density based Copula Likelihood
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  6. Modeling financial sector joint tail risk in the euro area
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads
    Also in Working Paper Series, European Central Bank (2015) Downloads View citations (5)

    See also Journal Article Modeling Financial Sector Joint Tail Risk in the Euro Area, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) Downloads View citations (16) (2017)
  7. New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
  8. Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (9)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (3)

    See also Journal Article Score-driven exponentially weighted moving averages and Value-at-Risk forecasting, International Journal of Forecasting, Elsevier (2016) Downloads View citations (22) (2016)
  9. The Dynamic Skellam Model with Applications
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)

2014

  1. Information Theoretic Optimality of Observation Driven Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (14)
  2. Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (9)
  3. Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (9)
  4. Optimal Formulations for Nonlinear Autoregressive Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (14)
  5. Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (16)
    Also in VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) Downloads View citations (7)

    See also Journal Article Spillover dynamics for systemic risk measurement using spatial financial time series models, Journal of Econometrics, Elsevier (2016) Downloads View citations (71) (2016)
  6. Testing for Parameter Instability in Competing Modeling Frameworks
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  7. Time Varying Transition Probabilities for Markov Regime Switching Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (13)
    See also Journal Article Time-Varying Transition Probabilities for Markov Regime Switching Models, Journal of Time Series Analysis, Wiley Blackwell (2017) Downloads View citations (36) (2017)

2013

  1. A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  2. Conditional and joint credit risk
    Working Paper Series, European Central Bank Downloads View citations (2)
  3. Conditional euro area sovereign default risk
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (13)
    See also Journal Article Conditional Euro Area Sovereign Default Risk, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) Downloads View citations (103) (2014)
  4. Observation driven mixed-measurement dynamic factor models with an application to credit risk
    Working Paper Series, European Central Bank Downloads View citations (11)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads View citations (4)

    See also Journal Article Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk, The Review of Economics and Statistics, MIT Press (2014) Downloads View citations (80) (2014)
  5. Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  6. 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 Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads
    CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads

    See also Journal Article Washington meets Wall Street: A closer examination of the presidential cycle puzzle, Journal of International Money and Finance, Elsevier (2014) Downloads View citations (10) (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 View citations (2)
  3. Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (25)
  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 (38)
    See also Journal Article 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 (2012) Downloads View citations (35) (2012)
  5. Long-Term versus Short-Term Contingencies in Asset Allocation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article Long-Term versus Short-Term Contingencies in Asset Allocation, Journal of Financial and Quantitative Analysis, Cambridge University Press (2017) Downloads (2017)
  6. Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) Downloads View citations (27) (2015)
  7. Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (17)
    See also Journal Article Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models, The Review of Economics and Statistics, MIT Press (2016) Downloads View citations (73) (2016)
  8. Regime switches in the volatility and correlation of financial institutions
    Working Paper Research, National Bank of Belgium Downloads View citations (5)
  9. Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (14)

2011

  1. Blockholder Dispersion and Firm Value
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (64)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads View citations (1)

    See also Journal Article Blockholder dispersion and firm value, Journal of Corporate Finance, Elsevier (2011) Downloads View citations (62) (2011)
  2. Long Memory Dynamics for Multivariate Dependence under Heavy Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
    See also Journal Article Long memory dynamics for multivariate dependence under heavy tails, Journal of Empirical Finance, Elsevier (2014) Downloads View citations (29) (2014)
  3. Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (12)
  4. Systemic risk diagnostics: coincident indicators and early warning signals
    Working Paper Series, European Central Bank Downloads View citations (38)

2010

  1. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (21)
    See also Journal Article A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) Downloads View citations (162) (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 Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?, Journal of Financial and Quantitative Analysis, Cambridge University Press (2012) Downloads View citations (15) (2012)
  3. Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
  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 Risk aversion under preference uncertainty, Finance Research Letters, Elsevier (2012) Downloads View citations (1) (2012)
  5. Systemic Risk Diagnostics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (12)
  6. Why do investors sell losers? How adaptation to losses affects future capitulation decisions
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (1)

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 (13)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads View citations (40)

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 View citations (1)
    See also Journal Article Global loss diversification in the insurance sector, Insurance: Mathematics and Economics, Elsevier (2009) Downloads View citations (2) (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 Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2008) Downloads View citations (4) (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 Quantile forecasting for credit risk management using possibly misspecified hidden Markov models, Journal of Forecasting, John Wiley & Sons, Ltd. (2008) Downloads View citations (2) (2008)

2006

  1. Credit Cycles and Macro Fundamentals
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2006) Downloads View citations (8)

    See also Journal Article Credit cycles and macro fundamentals, Journal of Empirical Finance, Elsevier (2009) Downloads View citations (67) (2009)
  2. Modeling Portfolio Defaults using Hidden Markov Models with Covariates
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article Modelling Portfolio Defaults Using Hidden Markov Models with Covariates, Econometrics Journal, Royal Economic Society (2008) View citations (15) (2008)
  3. Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)

2005

  1. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (11)
    See also Journal Article A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk, Journal of Business & Economic Statistics, American Statistical Association (2008) Downloads View citations (20) (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 The multi-state latent factor intensity model for credit rating transitions, Journal of Econometrics, Elsevier (2008) Downloads View citations (74) (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 Business and default cycles for credit risk, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) Downloads View citations (17) (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 (6)
    See also Journal Article Discrete versus continuous state switching models for portfolio credit risk, Journal of Banking & Finance, Elsevier (2006) Downloads View citations (16) (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 (6)

2001

  1. Stock Selection, Style Rotation, and Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article Stock selection, style rotation, and risk, Journal of Empirical Finance, Elsevier (2002) Downloads View citations (15) (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 Tail behaviour of credit loss distributions for general latent factor models, Applied Mathematical Finance, Taylor & Francis Journals (2003) Downloads View citations (8) (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 A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model, Journal of Econometrics, Elsevier (2004) Downloads View citations (1) (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 (2)
    See also Journal Article Comprehensive definitions of breakdown points for independent and dependent observations, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2003) Downloads View citations (34) (2003)

1999

  1. A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)
  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 View citations (13)
    See also Journal Article An analytic approach to credit risk of large corporate bond and loan portfolios, Journal of Banking & Finance, Elsevier (2001) Downloads View citations (59) (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 (1)
    See also Journal Article SETS, arbitrage activity, and stock price dynamics, Journal of Banking & Finance, Elsevier (2000) Downloads View citations (34) (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 (11)
  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 View citations (1)
  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
    See also Journal Article Nut, gebruik en beperkingen van Value-at-Risk voor risicomanagement, Economic and Social Journal (Economisch en Sociaal Tijdschrift), University of Antwerp, Faculty of Business and Economics (1999) Downloads (1999)
  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 (2)
    See also Journal Article Short patches of outliers, ARCH and volatility modelling, Applied Financial Economics, Taylor & Francis Journals (2004) Downloads View citations (18) (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 View citations (2)

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 A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior, Journal of Business & Economic Statistics, American Statistical Association (2000) View citations (4) (2000)
  2. Outlier robust cointegration analysis
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (6)
  3. Semi-nonparametric cointegration testing
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (7)
    See also Journal Article Semi-nonparametric cointegration testing, Journal of Econometrics, Elsevier (2002) Downloads View citations (10) (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 View citations (3)
  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 View citations (15)

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 View citations (1)
  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 View citations (2)
    See also Journal Article Testing for ARCH in the Presence of Additive Outliers, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1999) Downloads View citations (85) (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 (9)
    See also Journal Article Testing for Smooth Transition Nonlinearity in the Presence of Outliers, Journal of Business & Economic Statistics, American Statistical Association (1999) View citations (63) (1999)

Journal Articles

2024

  1. Dynamic Nonparametric Clustering of Multivariate Panel Data*
    Journal of Financial Econometrics, 2024, 22, (2), 335-374 Downloads
    See also Working Paper Dynamic nonparametric clustering of multivariate panel data, Working Paper Series (2023) Downloads View citations (2) (2023)
  2. Dynamic partial correlation models
    Journal of Econometrics, 2024, 241, (2) Downloads View citations (1)
  3. Heterogeneity and dynamics in network models
    Journal of Applied Econometrics, 2024, 39, (1), 150-173 Downloads
  4. Modeling Extreme Events: Time-Varying Extreme Tail Shape
    Journal of Business & Economic Statistics, 2024, 42, (3), 903-917 Downloads View citations (1)
    See also Working Paper Modeling extreme events:time-varying extreme tail shape, Working Paper Series (2023) Downloads View citations (3) (2023)
  5. Observation-driven filtering of time-varying parameters using moment conditions
    Journal of Econometrics, 2024, 238, (2) Downloads View citations (2)

2023

  1. Covid-19, credit risk management modeling, and government support
    Journal of Banking & Finance, 2023, 147, (C) Downloads View citations (1)
  2. Dynamic clustering of multivariate panel data
    Journal of Econometrics, 2023, 237, (2) Downloads
    See also Working Paper Dynamic clustering of multivariate panel data, Working Paper Series (2021) Downloads (2021)
  3. Time-Varying Parameters in Econometrics: The editor’s foreword
    Journal of Econometrics, 2023, 237, (2) Downloads
  4. Time-varying variance and skewness in realized volatility measures
    International Journal of Forecasting, 2023, 39, (2), 827-840 Downloads View citations (1)

2022

  1. Maximum likelihood estimation for score-driven models
    Journal of Econometrics, 2022, 227, (2), 325-346 Downloads View citations (24)
    See also Working Paper Maximum Likelihood Estimation for Score-Driven Models, Tinbergen Institute Discussion Papers (2017) Downloads View citations (27) (2017)

2021

  1. Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
    Journal of Business & Economic Statistics, 2021, 39, (4), 1066-1079 Downloads View citations (15)
    See also Working Paper Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings, Tinbergen Institute Discussion Papers (2019) Downloads (2019)
  2. Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence
    Econometrics and Statistics, 2021, 19, (C), 47-57 Downloads View citations (4)
  3. Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting
    International Journal of Forecasting, 2021, 37, (2), 622-633 Downloads View citations (2)

2020

  1. Nonlinear autoregressive models with optimality properties
    Econometric Reviews, 2020, 39, (6), 559-578 Downloads View citations (3)
  2. Risk endogeneity at the lender/investor-of-last-resort
    Journal of Monetary Economics, 2020, 116, (C), 283-297 Downloads View citations (4)
    See also Working Paper Risk endogeneity at the lender/investor-of-last-resort, Working Paper Series (2019) Downloads View citations (1) (2019)

2019

  1. Bank Business Models at Zero Interest Rates
    Journal of Business & Economic Statistics, 2019, 37, (3), 542-555 Downloads View citations (21)
    See also Working Paper Bank business models at zero interest rates, Working Paper Series (2017) Downloads View citations (10) (2017)
  2. Fractional Integration and Fat Tails for Realized Covariance Kernels
    Journal of Financial Econometrics, 2019, 17, (1), 66-90 Downloads View citations (7)

2018

  1. A stochastic recurrence equations approach for score driven correlation models
    Econometric Reviews, 2018, 37, (2), 166-181 Downloads View citations (6)
  2. Amendments and Corrections
    Biometrika, 2018, 105, (3), 753-753 Downloads
  3. Dynamic discrete copula models for high‐frequency stock price changes
    Journal of Applied Econometrics, 2018, 33, (7), 966-985 Downloads View citations (6)
  4. New HEAVY Models for Fat-Tailed Realized Covariances and Returns
    Journal of Business & Economic Statistics, 2018, 36, (4), 643-657 Downloads View citations (39)

2017

  1. Community Driven Development and Structural Disadvantage: Interrogating the Social Turn in Development Programming in Indonesia
    Journal of Development Studies, 2017, 53, (12), 1988-2004 Downloads View citations (3)
  2. Do negative interest rates make banks less safe?
    Economics Letters, 2017, 159, (C), 112-115 Downloads View citations (45)
    See also Working Paper Do Negative Interest Rates Make Banks Less Safe?, Tinbergen Institute Discussion Papers (2017) Downloads View citations (45) (2017)
  3. Global Credit Risk: World, Country and Industry Factors
    Journal of Applied Econometrics, 2017, 32, (2), 296-317 Downloads View citations (14)
    See also Working Paper Global credit risk: world country and industry factors, Working Paper Series (2016) Downloads View citations (8) (2016)
  4. Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model
    Journal of the American Statistical Association, 2017, 112, (520), 1490-1503 Downloads View citations (22)
    See also Working Paper Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model, Tinbergen Institute Discussion Papers (2015) Downloads (2015)
  5. Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models
    Journal of Applied Econometrics, 2017, 32, (5), 1003-1026 Downloads View citations (1)
    See also Working Paper Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models, Tinbergen Institute Discussion Papers (2016) Downloads (2016)
  6. Long-Term versus Short-Term Contingencies in Asset Allocation
    Journal of Financial and Quantitative Analysis, 2017, 52, (5), 2277-2303 Downloads
    See also Working Paper Long-Term versus Short-Term Contingencies in Asset Allocation, Tinbergen Institute Discussion Papers (2012) Downloads (2012)
  7. Modeling Financial Sector Joint Tail Risk in the Euro Area
    Journal of Applied Econometrics, 2017, 32, (1), 171-191 Downloads View citations (16)
    See also Working Paper Modeling financial sector joint tail risk in the euro area, Working Paper Series (2015) Downloads (2015)
  8. Network, market, and book-based systemic risk rankings
    Journal of Banking & Finance, 2017, 78, (C), 84-90 Downloads View citations (21)
    See also Working Paper Network, Market, and Book-Based Systemic Risk Rankings, Tinbergen Institute Discussion Papers (2016) Downloads View citations (2) (2016)
  9. Testing for Parameter Instability across Different Modeling Frameworks
    Journal of Financial Econometrics, 2017, 15, (2), 223-246 Downloads View citations (8)
  10. Time-Varying Transition Probabilities for Markov Regime Switching Models
    Journal of Time Series Analysis, 2017, 38, (3), 458-478 Downloads View citations (36)
    See also Working Paper Time Varying Transition Probabilities for Markov Regime Switching Models, Tinbergen Institute Discussion Papers (2014) Downloads View citations (13) (2014)

2016

  1. Accounting for missing values in score-driven time-varying parameter models
    Economics Letters, 2016, 148, (C), 96-98 Downloads View citations (6)
    See also Working Paper Accounting for Missing Values in Score-Driven Time-Varying Parameter Models, Tinbergen Institute Discussion Papers (2016) Downloads View citations (5) (2016)
  2. In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
    International Journal of Forecasting, 2016, 32, (3), 875-887 Downloads View citations (19)
    See also Working Paper In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models, Tinbergen Institute Discussion Papers (2015) Downloads View citations (2) (2015)
  3. Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
    The Review of Economics and Statistics, 2016, 98, (1), 97-110 Downloads View citations (73)
    See also Working Paper Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models, Tinbergen Institute Discussion Papers (2012) Downloads View citations (17) (2012)
  4. Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
    International Journal of Forecasting, 2016, 32, (2), 293-302 Downloads View citations (22)
    See also Working Paper Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting, Working Paper Series (2015) Downloads View citations (9) (2015)
  5. Semiparametric score driven volatility models
    Computational Statistics & Data Analysis, 2016, 100, (C), 58-69 Downloads View citations (5)
  6. Spillover dynamics for systemic risk measurement using spatial financial time series models
    Journal of Econometrics, 2016, 195, (2), 211-223 Downloads View citations (71)
    See also Working Paper Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models, Tinbergen Institute Discussion Papers (2014) Downloads View citations (16) (2014)
  7. The information in systemic risk rankings
    Journal of Empirical Finance, 2016, 38, (PA), 461-475 Downloads View citations (26)
    See also Working Paper The information in systemic risk rankings, Working Paper Series (2016) Downloads View citations (29) (2016)

2015

  1. Information-theoretic optimality of observation-driven time series models for continuous responses
    Biometrika, 2015, 102, (2), 325-343 Downloads View citations (94)
  2. Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models
    Journal of Business & Economic Statistics, 2015, 33, (1), 114-127 Downloads View citations (27)
    See also Working Paper Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models, Tinbergen Institute Discussion Papers (2012) Downloads View citations (1) (2012)

2014

  1. Conditional Euro Area Sovereign Default Risk
    Journal of Business & Economic Statistics, 2014, 32, (2), 271-284 Downloads View citations (103)
    See also Working Paper Conditional euro area sovereign default risk, Working Paper Series (2013) Downloads View citations (13) (2013)
  2. Long memory dynamics for multivariate dependence under heavy tails
    Journal of Empirical Finance, 2014, 29, (C), 187-206 Downloads View citations (29)
    See also Working Paper Long Memory Dynamics for Multivariate Dependence under Heavy Tails, Tinbergen Institute Discussion Papers (2011) Downloads View citations (5) (2011)
  3. Nowcasting and forecasting global financial sector stress and credit market dislocation
    International Journal of Forecasting, 2014, 30, (3), 741-758 Downloads View citations (6)
  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 (80)
    See also Working Paper Observation driven mixed-measurement dynamic factor models with an application to credit risk, Working Paper Series (2013) Downloads View citations (11) (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 View citations (10)
    See also Working Paper Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle, LSF Research Working Paper Series (2013) Downloads (2013)

2013

  1. GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
    Journal of Applied Econometrics, 2013, 28, (5), 777-795 Downloads View citations (499)

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, (6), 1279-1301 Downloads View citations (15)
    See also Working Paper Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?, Tinbergen Institute Discussion Papers (2010) Downloads (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 (35)
    See also Working Paper Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008, Working Paper Series (2012) Downloads View citations (38) (2012)
  3. Risk aversion under preference uncertainty
    Finance Research Letters, 2012, 9, (1), 1-7 Downloads View citations (1)
    See also Working Paper Risk Aversion under Preference Uncertainty, Tinbergen Institute Discussion Papers (2010) Downloads (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 (162)
    See also Working Paper A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations, Tinbergen Institute Discussion Papers (2010) Downloads View citations (21) (2010)
  2. Blockholder dispersion and firm value
    Journal of Corporate Finance, 2011, 17, (5), 1330-1339 Downloads View citations (62)
    See also Working Paper Blockholder Dispersion and Firm Value, Tinbergen Institute Discussion Papers (2011) Downloads View citations (64) (2011)
  3. Modeling frailty-correlated defaults using many macroeconomic covariates
    Journal of Econometrics, 2011, 162, (2), 312-325 Downloads View citations (90)

2009

  1. Credit cycles and macro fundamentals
    Journal of Empirical Finance, 2009, 16, (1), 42-54 Downloads View citations (67)
    See also Working Paper Credit Cycles and Macro Fundamentals, Tinbergen Institute Discussion Papers (2006) Downloads View citations (2) (2006)
  2. Global loss diversification in the insurance sector
    Insurance: Mathematics and Economics, 2009, 44, (3), 415-425 Downloads View citations (2)
    See also Working Paper Global Loss Diversification in the Insurance Sector, Tinbergen Institute Discussion Papers (2008) Downloads View citations (1) (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 (20)
    See also Working Paper A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk, Tinbergen Institute Discussion Papers (2005) Downloads View citations (11) (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 Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model, Tinbergen Institute Discussion Papers (2007) Downloads (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 View citations (15)
    See also Working Paper Modeling Portfolio Defaults using Hidden Markov Models with Covariates, Tinbergen Institute Discussion Papers (2006) Downloads (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 (2)
    See also Working Paper Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models, Tinbergen Institute Discussion Papers (2007) Downloads (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 (5)
  7. The multi-state latent factor intensity model for credit rating transitions
    Journal of Econometrics, 2008, 142, (1), 399-424 Downloads View citations (74)
    See also Working Paper The Multi-State Latent Factor Intensity Model for Credit Rating Transitions, Tinbergen Institute Discussion Papers (2005) Downloads View citations (10) (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 (44)

2006

  1. Discrete versus continuous state switching models for portfolio credit risk
    Journal of Banking & Finance, 2006, 30, (1), 23-35 Downloads View citations (16)
    See also Working Paper Discrete versus Continuous State Switching Models for Portfolio Credit Risk, Tinbergen Institute Discussion Papers (2003) Downloads View citations (6) (2003)

2005

  1. Business and default cycles for credit risk
    Journal of Applied Econometrics, 2005, 20, (2), 311-323 Downloads View citations (17)
    Also in Journal of Applied Econometrics, 2005, 20, (2), 311-323 (2005) Downloads View citations (98)

    See also Working Paper Business and Default Cycles for Credit Risk, Tinbergen Institute Discussion Papers (2003) Downloads View citations (4) (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. Discrete-Time Financial Planning Models Under Loss-Averse Preferences
    Operations Research, 2005, 53, (3), 403-414 Downloads View citations (10)
  4. Empirical credit cycles and capital buffer formation
    Journal of Banking & Finance, 2005, 29, (12), 3159-3179 Downloads View citations (37)

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 View citations (1)
    See also Working Paper A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model, Tinbergen Institute Discussion Papers (2000) Downloads (2000)
  2. Short patches of outliers, ARCH and volatility modelling
    Applied Financial Economics, 2004, 14, (4), 221-231 Downloads View citations (18)
    See also Working Paper Short Patches of Outliers, ARCH and Volatility Modeling, Tinbergen Institute Discussion Papers (1998) Downloads View citations (2) (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 (34)
    See also Working Paper Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations, Tinbergen Institute Discussion Papers (2000) Downloads View citations (2) (2000)
  2. Tail behaviour of credit loss distributions for general latent factor models
    Applied Mathematical Finance, 2003, 10, (4), 337-357 Downloads View citations (8)
    See also Working Paper Tail Behavior of Credit Loss Distributions for General Latent Factor Models, Tinbergen Institute Discussion Papers (2001) Downloads View citations (3) (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 View citations (3)
  2. Semi-nonparametric cointegration testing
    Journal of Econometrics, 2002, 108, (2), 253-280 Downloads View citations (10)
    See also Working Paper Semi-nonparametric cointegration testing, Serie Research Memoranda (1997) Downloads View citations (7) (1997)
  3. Stock selection, style rotation, and risk
    Journal of Empirical Finance, 2002, 9, (1), 1-34 Downloads View citations (15)
    See also Working Paper Stock Selection, Style Rotation, and Risk, Tinbergen Institute Discussion Papers (2001) Downloads (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 (59)
    See also Working Paper An analytic approach to credit risk of large corporate bond and loan portfolios, Serie Research Memoranda (1999) Downloads View citations (13) (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 (21)

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 (4)
    See also Working Paper A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior, Serie Research Memoranda (1997) Downloads (1997)
  2. Quantiles for t-statistics based on M-estimators of unit roots
    Economics Letters, 2000, 67, (2), 131-137 Downloads View citations (5)
  3. SETS, arbitrage activity, and stock price dynamics
    Journal of Banking & Finance, 2000, 24, (8), 1289-1306 Downloads View citations (34)
    See also Working Paper SETS, Arbitrage Activity, and Stock Price Dynamics, Tinbergen Institute Discussion Papers (1999) Downloads View citations (1) (1999)

1999

  1. Nut, gebruik en beperkingen van Value-at-Risk voor risicomanagement
    Economic and Social Journal (Economisch en Sociaal Tijdschrift), 1999, 53, (3), 369-410 Downloads
    See also Working Paper Nut, gebruik en beperkingen van value-at-risk voor risicomanagement, Serie Research Memoranda (1998) Downloads (1998)
  2. Testing for ARCH in the Presence of Additive Outliers
    Journal of Applied Econometrics, 1999, 14, (5), 539-62 Downloads View citations (85)
    See also Working Paper Testing for ARCH in the Presence of Additive Outliers, Econometric Institute Research Papers (1996) Downloads View citations (2) (1996)
  3. Testing for Smooth Transition Nonlinearity in the Presence of Outliers
    Journal of Business & Economic Statistics, 1999, 17, (2), 217-35 View citations (63)
    See also Working Paper Testing for Smooth Transition Nonlinearity in the Presence of Outliers, Econometric Institute Research Papers (1996) Downloads View citations (9) (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 (18)
  2. Outlier Detection in Cointegration Analysis
    Journal of Business & Economic Statistics, 1998, 16, (4), 459-68 View citations (33)
  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 (14)

1997

  1. Cointegration Testing Using Pseudolikelihood Ratio Tests
    Econometric Theory, 1997, 13, (2), 149-169 Downloads View citations (33)

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 (12)
  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 (48)
  3. Classical and Bayesian aspects of robust unit root inference
    Journal of Econometrics, 1995, 69, (1), 27-59 Downloads View citations (20)
  4. Unit Root Tests Based on M Estimators
    Econometric Theory, 1995, 11, (2), 331-346 Downloads View citations (51)

Chapters

2001

  1. Fat Tails and the Effect on Optimal Asset Allocations
    Palgrave Macmillan
 
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