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

---

Jump to Journal Articles Chapters

Working Papers

2024

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

2023

4. Consistency, distributional convergence, and optimality of score-driven filters
   Tinbergen Institute Discussion Papers, Tinbergen Institute
5. Dynamic nonparametric clustering of multivariate panel data
   Working Paper Series, European Central Bank View citations (2)
   See also Journal Article Dynamic Nonparametric Clustering of Multivariate Panel Data*, Journal of Financial Econometrics, Oxford University Press (2024) (2024)
6. Modeling extreme events:time-varying extreme tail shape
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (3)
   Also in Working Paper Series, European Central Bank (2021) View citations (1)
   Tinbergen Institute Discussion Papers, Tinbergen Institute (2020)
   See also Journal Article Modeling Extreme Events: Time-Varying Extreme Tail Shape, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (1) (2024)
7. Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)

2021

8. COVID-19, Credit Risk and Macro Fundamentals
   Tinbergen Institute Discussion Papers, Tinbergen Institute
9. Clustering Dynamics and Persistence for Financial Multivariate Panel Data
   Tinbergen Institute Discussion Papers, Tinbergen Institute
10. Dynamic clustering of multivariate panel data
    Working Paper Series, European Central Bank
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2020) View citations (2)
    See also Journal Article Dynamic clustering of multivariate panel data, Journal of Econometrics, Elsevier (2023) (2023)

2019

11. Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    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) View citations (16) (2021)
12. Observation-driven Models for Realized Variances and Overnight Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute
13. Risk endogeneity at the lender/investor-of-last-resort
    Working Paper Series, European Central Bank View citations (1)
    Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2019) View citations (1)
    BIS Working Papers, Bank for International Settlements (2019) View citations (1)
    See also Journal Article Risk endogeneity at the lender/investor-of-last-resort, Journal of Monetary Economics, Elsevier (2020) View citations (4) (2020)
14. Time-varying tail behavior for realized kernels
    Tinbergen Institute Discussion Papers, Tinbergen Institute

2018

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

2017

16. Bank business models at zero interest rates
    Working Paper Series, European Central Bank View citations (10)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) View citations (3)
    See also Journal Article Bank Business Models at Zero Interest Rates, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) View citations (21) (2019)
17. Do Negative Interest Rates Make Banks Less Safe?
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (45)
    Also in Working Paper Series, European Central Bank (2017) View citations (47)
    See also Journal Article Do negative interest rates make banks less safe?, Economics Letters, Elsevier (2017) View citations (45) (2017)
18. Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting
    NBP Working Papers, Narodowy Bank Polski
19. Finite Sample Optimality of Score-Driven Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
20. Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
21. Maximum Likelihood Estimation for Score-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (27)
    See also Journal Article Maximum likelihood estimation for score-driven models, Journal of Econometrics, Elsevier (2022) View citations (24) (2022)

2016

22. Accounting for Missing Values in Score-Driven Time-Varying Parameter Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    See also Journal Article Accounting for missing values in score-driven time-varying parameter models, Economics Letters, Elsevier (2016) View citations (6) (2016)
23. Global credit risk: world country and industry factors
    Working Paper Series, European Central Bank View citations (8)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (2)
    See also Journal Article Global Credit Risk: World, Country and Industry Factors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (14) (2017)
24. Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    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) View citations (1) (2017)
25. Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
26. Network, Market, and Book-Based Systemic Risk Rankings
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article Network, market, and book-based systemic risk rankings, Journal of Banking & Finance, Elsevier (2017) View citations (21) (2017)
27. Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
28. The information in systemic risk rankings
    Working Paper Series, European Central Bank View citations (29)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (6)
    See also Journal Article The information in systemic risk rankings, Journal of Empirical Finance, Elsevier (2016) View citations (30) (2016)

2015

29. In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
30. In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute 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) View citations (19) (2016)
31. Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    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) View citations (22) (2017)
32. Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
33. Mixed Density based Copula Likelihood
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
34. Modeling financial sector joint tail risk in the euro area
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
    Also in Working Paper Series, European Central Bank (2015) 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) View citations (16) (2017)
35. New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
36. Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (9)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (3)
    See also Journal Article Score-driven exponentially weighted moving averages and Value-at-Risk forecasting, International Journal of Forecasting, Elsevier (2016) View citations (22) (2016)
37. The Dynamic Skellam Model with Applications
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)

2014

38. Information Theoretic Optimality of Observation Driven Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)
39. Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)
40. Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)
41. Optimal Formulations for Nonlinear Autoregressive Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)
42. Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (16)
    Also in VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) View citations (7)
    See also Journal Article Spillover dynamics for systemic risk measurement using spatial financial time series models, Journal of Econometrics, Elsevier (2016) View citations (72) (2016)
43. Testing for Parameter Instability in Competing Modeling Frameworks
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
44. Time Varying Transition Probabilities for Markov Regime Switching Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (13)
    See also Journal Article Time-Varying Transition Probabilities for Markov Regime Switching Models, Journal of Time Series Analysis, Wiley Blackwell (2017) View citations (36) (2017)

2013

45. A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
46. Conditional and joint credit risk
    Working Paper Series, European Central Bank View citations (2)
47. Conditional euro area sovereign default risk
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (13)
    See also Journal Article Conditional Euro Area Sovereign Default Risk, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) View citations (103) (2014)
48. Observation driven mixed-measurement dynamic factor models with an application to credit risk
    Working Paper Series, European Central Bank View citations (11)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) 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) View citations (80) (2014)
49. Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
50. Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2010)
    See also Journal Article Washington meets Wall Street: A closer examination of the presidential cycle puzzle, Journal of International Money and Finance, Elsevier (2014) View citations (10) (2014)

2012

51. A New Semiparametric Volatility Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
52. Aggregating Credit and Market Risk: The Impact of Model Specification
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
53. Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (25)
54. Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008
    Working Paper Series, European Central Bank 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) View citations (35) (2012)
55. Long-Term versus Short-Term Contingencies in Asset Allocation
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Long-Term versus Short-Term Contingencies in Asset Allocation, Journal of Financial and Quantitative Analysis, Cambridge University Press (2017) (2017)
56. Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute 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) View citations (27) (2015)
57. Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute 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) View citations (74) (2016)
58. Regime switches in the volatility and correlation of financial institutions
    Working Paper Research, National Bank of Belgium View citations (5)
59. Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)

2011

60. Blockholder Dispersion and Firm Value
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (64)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010) View citations (1)
    See also Journal Article Blockholder dispersion and firm value, Journal of Corporate Finance, Elsevier (2011) View citations (62) (2011)
61. Long Memory Dynamics for Multivariate Dependence under Heavy Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    See also Journal Article Long memory dynamics for multivariate dependence under heavy tails, Journal of Empirical Finance, Elsevier (2014) View citations (31) (2014)
62. Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)
63. Systemic risk diagnostics: coincident indicators and early warning signals
    Working Paper Series, European Central Bank View citations (38)

2010

64. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Tinbergen Institute Discussion Papers, Tinbergen Institute 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) View citations (163) (2011)
65. 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)
    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) View citations (15) (2012)
66. Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
67. 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 Risk aversion under preference uncertainty, Finance Research Letters, Elsevier (2012) View citations (1) (2012)
68. Systemic Risk Diagnostics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)
69. Why do investors sell losers? How adaptation to losses affects future capitulation decisions
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)

2009

70. 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 (13)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) View citations (40)

2008

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

2007

73. Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    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) View citations (4) (2008)
74. Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Quantile forecasting for credit risk management using possibly misspecified hidden Markov models, Journal of Forecasting, John Wiley & Sons, Ltd. (2008) View citations (2) (2008)

2006

75. Credit Cycles and Macro Fundamentals
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2006) View citations (8)
    See also Journal Article Credit cycles and macro fundamentals, Journal of Empirical Finance, Elsevier (2009) View citations (67) (2009)
76. Modeling Portfolio Defaults using Hidden Markov Models with Covariates
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Modelling Portfolio Defaults Using Hidden Markov Models with Covariates, Econometrics Journal, Royal Economic Society (2008) View citations (15) (2008)
77. Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)

2005

78. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute 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) View citations (20) (2008)
79. The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
    See also Journal Article The multi-state latent factor intensity model for credit rating transitions, Journal of Econometrics, Elsevier (2008) View citations (74) (2008)

2003

80. Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong
    Tinbergen Institute Discussion Papers, Tinbergen Institute
81. Business and Default Cycles for Credit Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
    See also Journal Article Business and default cycles for credit risk, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (98) (2005)
82. 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
83. Discrete versus Continuous State Switching Models for Portfolio Credit Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
    See also Journal Article Discrete versus continuous state switching models for portfolio credit risk, Journal of Banking & Finance, Elsevier (2006) View citations (16) (2006)
84. Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)

2002

85. 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
86. Explaining Hedge Fund Investment Styles by Loss Aversion
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
87. Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)

2001

88. Stock Selection, Style Rotation, and Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Stock selection, style rotation, and risk, Journal of Empirical Finance, Elsevier (2002) View citations (15) (2002)
89. Tail Behavior of Credit Loss Distributions for General Latent Factor Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute 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) View citations (8) (2003)

2000

90. 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 A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model, Journal of Econometrics, Elsevier (2004) View citations (1) (2004)
91. Analytic Decision Rules for Financial Stochastic Programs
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
92. Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations
    Tinbergen Institute Discussion Papers, Tinbergen Institute 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) View citations (34) (2003)

1999

93. A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
94. 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 (13)
    See also Journal Article An analytic approach to credit risk of large corporate bond and loan portfolios, Journal of Banking & Finance, Elsevier (2001) View citations (59) (2001)
95. Arbitrage and sampling uncertainty in financial stochastic programming models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
96. SETS, Arbitrage Activity, and Stock Price Dynamics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article SETS, arbitrage activity, and stock price dynamics, Journal of Banking & Finance, Elsevier (2000) View citations (34) (2000)
97. Tail behavior of credit loss distributions
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics

1998

98. A Hybrid Joint Moment Ratio Test for Financial Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (11)
99. 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 (1)
100. Nut, gebruik en beperkingen van value-at-risk voor risicomanagement
     Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
     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) (1999)
101. 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
102. Short Patches of Outliers, ARCH and Volatility Modeling
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
     See also Journal Article Short patches of outliers, ARCH and volatility modelling, Applied Financial Economics, Taylor & Francis Journals (2004) View citations (18) (2004)
103. 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

104. 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 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)
105. Outlier robust cointegration analysis
     Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (6)
106. Semi-nonparametric cointegration testing
     Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (7)
     See also Journal Article Semi-nonparametric cointegration testing, Journal of Econometrics, Elsevier (2002) View citations (10) (2002)
107. 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 (3)
108. 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 (15)

1996

109. 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)
110. Testing for ARCH in the Presence of Additive Outliers
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute 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) View citations (85) (1999)
111. Testing for Smooth Transition Nonlinearity in the Presence of Outliers
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute 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
   See also Working Paper Dynamic nonparametric clustering of multivariate panel data, Working Paper Series (2023) View citations (2) (2023)
2. Dynamic partial correlation models
   Journal of Econometrics, 2024, 241, (2) View citations (1)
3. Heterogeneity and dynamics in network models
   Journal of Applied Econometrics, 2024, 39, (1), 150-173
4. Modeling Extreme Events: Time-Varying Extreme Tail Shape
   Journal of Business & Economic Statistics, 2024, 42, (3), 903-917 View citations (1)
   See also Working Paper Modeling extreme events:time-varying extreme tail shape, Working Paper Series (2023) View citations (3) (2023)
5. Observation-driven filtering of time-varying parameters using moment conditions
   Journal of Econometrics, 2024, 238, (2) View citations (2)

2023

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

2022

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

2021

11. Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
    Journal of Business & Economic Statistics, 2021, 39, (4), 1066-1079 View citations (16)
    See also Working Paper Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings, Tinbergen Institute Discussion Papers (2019) (2019)
12. Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence
    Econometrics and Statistics, 2021, 19, (C), 47-57 View citations (4)
13. 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 View citations (2)

2020

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

2019

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

2018

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

2017

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

2016

32. Accounting for missing values in score-driven time-varying parameter models
    Economics Letters, 2016, 148, (C), 96-98 View citations (6)
    See also Working Paper Accounting for Missing Values in Score-Driven Time-Varying Parameter Models, Tinbergen Institute Discussion Papers (2016) View citations (5) (2016)
33. 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 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) View citations (2) (2015)
34. Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
    The Review of Economics and Statistics, 2016, 98, (1), 97-110 View citations (74)
    See also Working Paper Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models, Tinbergen Institute Discussion Papers (2012) View citations (17) (2012)
35. Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
    International Journal of Forecasting, 2016, 32, (2), 293-302 View citations (22)
    See also Working Paper Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting, Working Paper Series (2015) View citations (9) (2015)
36. Semiparametric score driven volatility models
    Computational Statistics & Data Analysis, 2016, 100, (C), 58-69 View citations (5)
37. Spillover dynamics for systemic risk measurement using spatial financial time series models
    Journal of Econometrics, 2016, 195, (2), 211-223 View citations (72)
    See also Working Paper Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models, Tinbergen Institute Discussion Papers (2014) View citations (16) (2014)
38. The information in systemic risk rankings
    Journal of Empirical Finance, 2016, 38, (PA), 461-475 View citations (30)
    See also Working Paper The information in systemic risk rankings, Working Paper Series (2016) View citations (29) (2016)

2015

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

2014

41. Conditional Euro Area Sovereign Default Risk
    Journal of Business & Economic Statistics, 2014, 32, (2), 271-284 View citations (103)
    See also Working Paper Conditional euro area sovereign default risk, Working Paper Series (2013) View citations (13) (2013)
42. Long memory dynamics for multivariate dependence under heavy tails
    Journal of Empirical Finance, 2014, 29, (C), 187-206 View citations (31)
    See also Working Paper Long Memory Dynamics for Multivariate Dependence under Heavy Tails, Tinbergen Institute Discussion Papers (2011) View citations (5) (2011)
43. Nowcasting and forecasting global financial sector stress and credit market dislocation
    International Journal of Forecasting, 2014, 30, (3), 741-758 View citations (6)
44. Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
    The Review of Economics and Statistics, 2014, 96, (5), 898-915 View citations (80)
    See also Working Paper Observation driven mixed-measurement dynamic factor models with an application to credit risk, Working Paper Series (2013) View citations (11) (2013)
45. Washington meets Wall Street: A closer examination of the presidential cycle puzzle
    Journal of International Money and Finance, 2014, 43, (C), 50-69 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) (2013)

2013

46. GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
    Journal of Applied Econometrics, 2013, 28, (5), 777-795 View citations (501)

2012

47. 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 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) (2010)
48. 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 (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) View citations (38) (2012)
49. Risk aversion under preference uncertainty
    Finance Research Letters, 2012, 9, (1), 1-7 View citations (1)
    See also Working Paper Risk Aversion under Preference Uncertainty, Tinbergen Institute Discussion Papers (2010) (2010)

2011

50. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Journal of Business & Economic Statistics, 2011, 29, (4), 552-563 View citations (163)
    See also Working Paper A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations, Tinbergen Institute Discussion Papers (2010) View citations (21) (2010)
51. Blockholder dispersion and firm value
    Journal of Corporate Finance, 2011, 17, (5), 1330-1339 View citations (62)
    See also Working Paper Blockholder Dispersion and Firm Value, Tinbergen Institute Discussion Papers (2011) View citations (64) (2011)
52. Modeling frailty-correlated defaults using many macroeconomic covariates
    Journal of Econometrics, 2011, 162, (2), 312-325 View citations (90)

2009

53. Credit cycles and macro fundamentals
    Journal of Empirical Finance, 2009, 16, (1), 42-54 View citations (67)
    See also Working Paper Credit Cycles and Macro Fundamentals, Tinbergen Institute Discussion Papers (2006) View citations (2) (2006)
54. Global loss diversification in the insurance sector
    Insurance: Mathematics and Economics, 2009, 44, (3), 415-425 View citations (2)
    See also Working Paper Global Loss Diversification in the Insurance Sector, Tinbergen Institute Discussion Papers (2008) View citations (1) (2008)

2008

55. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
    Journal of Business & Economic Statistics, 2008, 26, 510-525 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) View citations (11) (2005)
56. Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model
    Statistica Neerlandica, 2008, 62, (1), 104-130 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) (2007)
57. Hedging Large Portfolios of Options in Discrete Time
    Applied Mathematical Finance, 2008, 15, (3), 251-275
58. 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) (2006)
59. Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
    Journal of Forecasting, 2008, 27, (7), 566-586 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) (2007)
60. 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 (5)
61. The multi-state latent factor intensity model for credit rating transitions
    Journal of Econometrics, 2008, 142, (1), 399-424 View citations (74)
    See also Working Paper The Multi-State Latent Factor Intensity Model for Credit Rating Transitions, Tinbergen Institute Discussion Papers (2005) View citations (10) (2005)

2007

62. 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 (45)

2006

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

2005

64. Business and default cycles for credit risk
    Journal of Applied Econometrics, 2005, 20, (2), 311-323 View citations (98)
    Also in Journal of Applied Econometrics, 2005, 20, (2), 311-323 (2005) View citations (17)
    See also Working Paper Business and Default Cycles for Credit Risk, Tinbergen Institute Discussion Papers (2003) View citations (4) (2003)
65. 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
66. Discrete-Time Financial Planning Models Under Loss-Averse Preferences
    Operations Research, 2005, 53, (3), 403-414 View citations (10)
67. Empirical credit cycles and capital buffer formation
    Journal of Banking & Finance, 2005, 29, (12), 3159-3179 View citations (38)

2004

68. A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
    Journal of Econometrics, 2004, 119, (1), 45-71 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) (2000)
69. Short patches of outliers, ARCH and volatility modelling
    Applied Financial Economics, 2004, 14, (4), 221-231 View citations (18)
    See also Working Paper Short Patches of Outliers, ARCH and Volatility Modeling, Tinbergen Institute Discussion Papers (1998) View citations (2) (1998)

2003

70. 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 (34)
    See also Working Paper Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations, Tinbergen Institute Discussion Papers (2000) View citations (2) (2000)
71. Tail behaviour of credit loss distributions for general latent factor models
    Applied Mathematical Finance, 2003, 10, (4), 337-357 View citations (8)
    See also Working Paper Tail Behavior of Credit Loss Distributions for General Latent Factor Models, Tinbergen Institute Discussion Papers (2001) View citations (3) (2001)

2002

72. 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 View citations (3)
73. Semi-nonparametric cointegration testing
    Journal of Econometrics, 2002, 108, (2), 253-280 View citations (10)
    See also Working Paper Semi-nonparametric cointegration testing, Serie Research Memoranda (1997) View citations (7) (1997)
74. Stock selection, style rotation, and risk
    Journal of Empirical Finance, 2002, 9, (1), 1-34 View citations (15)
    See also Working Paper Stock Selection, Style Rotation, and Risk, Tinbergen Institute Discussion Papers (2001) (2001)

2001

75. An analytic approach to credit risk of large corporate bond and loan portfolios
    Journal of Banking & Finance, 2001, 25, (9), 1635-1664 View citations (59)
    See also Working Paper An analytic approach to credit risk of large corporate bond and loan portfolios, Serie Research Memoranda (1999) View citations (13) (1999)
76. 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

77. 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) (1997)
78. Quantiles for t-statistics based on M-estimators of unit roots
    Economics Letters, 2000, 67, (2), 131-137 View citations (5)
79. SETS, arbitrage activity, and stock price dynamics
    Journal of Banking & Finance, 2000, 24, (8), 1289-1306 View citations (34)
    See also Working Paper SETS, Arbitrage Activity, and Stock Price Dynamics, Tinbergen Institute Discussion Papers (1999) View citations (1) (1999)

1999

80. Nut, gebruik en beperkingen van Value-at-Risk voor risicomanagement
    Economic and Social Journal (Economisch en Sociaal Tijdschrift), 1999, 53, (3), 369-410
    See also Working Paper Nut, gebruik en beperkingen van value-at-risk voor risicomanagement, Serie Research Memoranda (1998) (1998)
81. Testing for ARCH in the Presence of Additive Outliers
    Journal of Applied Econometrics, 1999, 14, (5), 539-62 View citations (85)
    See also Working Paper Testing for ARCH in the Presence of Additive Outliers, Econometric Institute Research Papers (1996) View citations (2) (1996)
82. 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) View citations (9) (1996)

1998

83. Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
    Econometric Reviews, 1998, 17, (2), 185-214 View citations (18)
84. Outlier Detection in Cointegration Analysis
    Journal of Business & Economic Statistics, 1998, 16, (4), 459-68 View citations (33)
85. Outlier robust analysis of long-run marketing effects for weekly scanning data
    Journal of Econometrics, 1998, 89, (1-2), 293-315 View citations (14)

1997

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

1995

87. A note on the relationship between GARCH and symmetric stable processes
    Journal of Empirical Finance, 1995, 2, (3), 253-264 View citations (12)
88. 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 (49)
89. Classical and Bayesian aspects of robust unit root inference
    Journal of Econometrics, 1995, 69, (1), 27-59 View citations (20)
90. Unit Root Tests Based on M Estimators
    Econometric Theory, 1995, 11, (2), 331-346 View citations (51)

Chapters

2001

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