Details about Andre Lucas

E-mail:
Homepage:	http://personal.vu.nl/a.lucas
Phone:	+31 20 598 6039
Postal address:	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 2019-10-07. Update your information in the RePEc Author Service.

Short-id: plu10

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Working Papers

2019

1. Observation-driven Models for Realized Variances and Overnight Returns
   Tinbergen Institute Discussion Papers, Tinbergen Institute
2. Risk endogeneity at the lender/investor-of-last-resort
   BIS Working Papers, Bank for International Settlements
   Also in Working Paper Series, European Central Bank (2019)
3. Time-varying tail behavior for realized kernels
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2018

4. Generalized Autoregressive Method of Moments
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)

2017

5. Bank business models at zero interest rates
   Working Paper Series, European Central Bank View citations (1)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) View citations (1)
   See also Journal Article in Journal of Business & Economic Statistics (2019)
6. Do Negative Interest Rates Make Banks Less Safe?
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
   Also in Working Paper Series, European Central Bank (2017) View citations (9)
   See also Journal Article in Economics Letters (2017)
7. Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting
   NBP Working Papers, Narodowy Bank Polski, Economic Research Department
8. Finite Sample Optimality of Score-Driven Volatility Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute
9. Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
10. Maximum Likelihood Estimation for Score-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (26)

2016

11. Accounting for Missing Values in Score-Driven Time-Varying Parameter Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article in Economics Letters (2016)
12. Global credit risk: world country and industry factors
    Working Paper Series, European Central Bank View citations (6)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015)
    See also Journal Article in Journal of Applied Econometrics (2017)
13. Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of Applied Econometrics (2017)
14. Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S
    Tinbergen Institute Discussion Papers, Tinbergen Institute
15. Network, Market, and Book-Based Systemic Risk Rankings
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article in Journal of Banking & Finance (2017)
16. Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
17. The information in systemic risk rankings
    Working Paper Series, European Central Bank View citations (8)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (5)
    See also Journal Article in Journal of Empirical Finance (2016)

2015

18. In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
19. 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 (1)
    See also Journal Article in International Journal of Forecasting (2016)
20. Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of the American Statistical Association (2017)
21. Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
22. Mixed Density based Copula Likelihood
    Tinbergen Institute Discussion Papers, Tinbergen Institute
23. Modeling financial sector joint tail risk in the euro area
    Working Paper Series, European Central Bank View citations (4)
    Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2015)
    See also Journal Article in Journal of Applied Econometrics (2017)
24. New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
25. Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (7)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (2)
    See also Journal Article in International Journal of Forecasting (2016)
26. The Dynamic Skellam Model with Applications
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

2014

27. Information Theoretic Optimality of Observation Driven Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)
28. 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 (4)
29. Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)
30. Optimal Formulations for Nonlinear Autoregressive Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
31. Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (15)
    Also in Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) View citations (6)
    See also Journal Article in Journal of Econometrics (2016)
32. Testing for Parameter Instability in Competing Modeling Frameworks
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
33. Time Varying Transition Probabilities for Markov Regime Switching Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
    See also Journal Article in Journal of Time Series Analysis (2017)

2013

34. A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
35. Conditional and joint credit risk
    Working Paper Series, European Central Bank View citations (2)
36. Conditional euro area sovereign default risk
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (8)
    See also Journal Article in Journal of Business & Economic Statistics (2014)
37. Observation driven mixed-measurement dynamic factor models with an application to credit risk
    Working Paper Series, European Central Bank View citations (7)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) View citations (2)
    See also Journal Article in The Review of Economics and Statistics (2014)
38. Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
39. 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 in Journal of International Money and Finance (2014)

2012

40. A New Semiparametric Volatility Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
41. Aggregating Credit and Market Risk: The Impact of Model Specification
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
42. Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (21)
43. 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 (25)
    See also Journal Article in Journal of Business & Economic Statistics (2012)
44. Long-Term versus Short-Term Contingencies in Asset Allocation
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of Financial and Quantitative Analysis (2017)
45. Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of Business & Economic Statistics (2015)
46. Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)
    See also Journal Article in The Review of Economics and Statistics (2016)
47. Regime switches in the volatility and correlation of financial institutions
    Working Paper Research, National Bank of Belgium View citations (5)
48. Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (13)

2011

49. Blockholder Dispersion and Firm Value
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (23)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010) View citations (1)
    See also Journal Article in Journal of Corporate Finance (2011)
50. Long Memory Dynamics for Multivariate Dependence under Heavy Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article in Journal of Empirical Finance (2014)
51. Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (11)
52. Systemic risk diagnostics: coincident indicators and early warning signals
    Working Paper Series, European Central Bank View citations (27)

2010

53. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (16)
    See also Journal Article in Journal of Business & Economic Statistics (2011)
54. 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 in Journal of Financial and Quantitative Analysis (2012)
55. Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
56. Risk Aversion under Preference Uncertainty
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010)
    See also Journal Article in Finance Research Letters (2012)
57. Systemic Risk Diagnostics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (11)
58. 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

59. 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 (8)

2008

60. Forecasting Cross-Sections of Frailty-Correlated Default
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
61. Global Loss Diversification in the Insurance Sector
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article in Insurance: Mathematics and Economics (2009)

2007

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

2006

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

2005

67. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
    DNB Working Papers, Netherlands Central Bank, Research Department View citations (13)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2008)
68. The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article in Journal of Econometrics (2008)

2003

69. Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong
    Tinbergen Institute Discussion Papers, Tinbergen Institute
70. Business and Default Cycles for Credit Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of Applied Econometrics (2005)
71. 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
72. Discrete versus Continuous State Switching Models for Portfolio Credit Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article in Journal of Banking & Finance (2006)
73. Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
    Tinbergen Institute Discussion Papers, Tinbergen Institute

2002

74. 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
75. Explaining Hedge Fund Investment Styles by Loss Aversion
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
76. Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)

2001

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

2000

79. A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Discussion Papers, Department of Economics, University of York
    See also Journal Article in Journal of Econometrics (2004)
80. Analytic Decision Rules for Financial Stochastic Programs
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
81. Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of the Royal Statistical Society Series B (2003)

1999

82. A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
83. 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 (11)
    See also Journal Article in Journal of Banking & Finance (2001)
84. Arbitrage and sampling uncertainty in financial stochastic programming models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
85. SETS, Arbitrage Activity, and Stock Price Dynamics
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of Banking & Finance (2000)
86. Tail behavior of credit loss distributions
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics

1998

87. A Hybrid Joint Moment Ratio Test for Financial Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
88. A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (2)
89. 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 in Economic and Social Journal (Economisch en Sociaal Tijdschrift) (1999)
90. 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
91. Short Patches of Outliers, ARCH and Volatility Modeling
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article in Applied Financial Economics (2004)
92. 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

93. A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
    See also Journal Article in Journal of Business & Economic Statistics (2000)
94. Outlier robust cointegration analysis
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (2)
95. Semi-nonparametric cointegration testing
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (7)
    See also Journal Article in Journal of Econometrics (2002)
96. Stochastic processes, non-normal innovations, and the use of scaling ratios
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (1)
97. 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 (12)

1996

98. 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
99. Testing for ARCH in the Presence of Additive Outliers
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    See also Journal Article in Journal of Applied Econometrics (1999)
100. 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 (8)
     See also Journal Article in Journal of Business & Economic Statistics (1999)

Undated

101. Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
     Tinbergen Institute Discussion Papers, Tinbergen Institute

Journal Articles

2019

1. Bank Business Models at Zero Interest Rates
   Journal of Business & Economic Statistics, 2019, 37, (3), 542-555
   See also Working Paper (2017)
2. Fractional Integration and Fat Tails for Realized Covariance Kernels
   Journal of Financial Econometrics, 2019, 17, (1), 66-90

2018

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

2017

7. Community Driven Development and Structural Disadvantage: Interrogating the Social Turn in Development Programming in Indonesia
   Journal of Development Studies, 2017, 53, (12), 1988-2004
8. Do negative interest rates make banks less safe?
   Economics Letters, 2017, 159, (C), 112-115 View citations (6)
   See also Working Paper (2017)
9. Global Credit Risk: World, Country and Industry Factors
   Journal of Applied Econometrics, 2017, 32, (2), 296-317
   See also Working Paper (2016)
10. Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model
    Journal of the American Statistical Association, 2017, 112, (520), 1490-1503 View citations (2)
    See also Working Paper (2015)
11. 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 (2016)
12. Long-Term versus Short-Term Contingencies in Asset Allocation
    Journal of Financial and Quantitative Analysis, 2017, 52, (05), 2277-2303
    See also Working Paper (2012)
13. Modeling Financial Sector Joint Tail Risk in the Euro Area
    Journal of Applied Econometrics, 2017, 32, (1), 171-191 View citations (4)
    See also Working Paper (2015)
14. Network, market, and book-based systemic risk rankings
    Journal of Banking & Finance, 2017, 78, (C), 84-90 View citations (4)
    See also Working Paper (2016)
15. Testing for Parameter Instability across Different Modeling Frameworks
    Journal of Financial Econometrics, 2017, 15, (2), 223-246 View citations (1)
16. Time-Varying Transition Probabilities for Markov Regime Switching Models
    Journal of Time Series Analysis, 2017, 38, (3), 458-478 View citations (1)
    See also Working Paper (2014)

2016

17. Accounting for missing values in score-driven time-varying parameter models
    Economics Letters, 2016, 148, (C), 96-98 View citations (1)
    See also Working Paper (2016)
18. 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 (7)
    See also Working Paper (2015)
19. Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
    The Review of Economics and Statistics, 2016, 98, (1), 97-110 View citations (20)
    See also Working Paper (2012)
20. Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
    International Journal of Forecasting, 2016, 32, (2), 293-302 View citations (5)
    See also Working Paper (2015)
21. Semiparametric score driven volatility models
    Computational Statistics & Data Analysis, 2016, 100, (C), 58-69 View citations (2)
22. Spillover dynamics for systemic risk measurement using spatial financial time series models
    Journal of Econometrics, 2016, 195, (2), 211-223 View citations (9)
    See also Working Paper (2014)
23. The information in systemic risk rankings
    Journal of Empirical Finance, 2016, 38, (PA), 461-475 View citations (9)
    See also Working Paper (2016)

2015

24. Information-theoretic optimality of observation-driven time series models for continuous responses
    Biometrika, 2015, 102, (2), 325-343 View citations (33)
25. Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models
    Journal of Business & Economic Statistics, 2015, 33, (1), 114-127 View citations (16)
    See also Working Paper (2012)

2014

26. Conditional Euro Area Sovereign Default Risk
    Journal of Business & Economic Statistics, 2014, 32, (2), 271-284 View citations (62)
    See also Working Paper (2013)
27. Long memory dynamics for multivariate dependence under heavy tails
    Journal of Empirical Finance, 2014, 29, (C), 187-206 View citations (16)
    See also Working Paper (2011)
28. Nowcasting and forecasting global financial sector stress and credit market dislocation
    International Journal of Forecasting, 2014, 30, (3), 741-758 View citations (5)
29. 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 (35)
    See also Working Paper (2013)
30. 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 (4)
    See also Working Paper (2013)

2013

31. GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
    Journal of Applied Econometrics, 2013, 28, (5), 777-795 View citations (206)

2012

32. Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?
    Journal of Financial and Quantitative Analysis, 2012, 47, (06), 1279-1301 View citations (11)
    See also Working Paper (2010)
33. 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 (23)
    See also Working Paper (2012)
34. Risk aversion under preference uncertainty
    Finance Research Letters, 2012, 9, (1), 1-7
    See also Working Paper (2010)

2011

35. A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    Journal of Business & Economic Statistics, 2011, 29, (4), 552-563 View citations (78)
    See also Working Paper (2010)
36. Blockholder dispersion and firm value
    Journal of Corporate Finance, 2011, 17, (5), 1330-1339 View citations (25)
    See also Working Paper (2011)
37. Modeling frailty-correlated defaults using many macroeconomic covariates
    Journal of Econometrics, 2011, 162, (2), 312-325 View citations (53)

2009

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

2008

40. A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
    Journal of Business & Economic Statistics, 2008, 26, 510-525 View citations (14)
    See also Working Paper (2005)
41. 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 (2007)
42. Hedging Large Portfolios of Options in Discrete Time
    Applied Mathematical Finance, 2008, 15, (3), 251-275
43. Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
    Econometrics Journal, 2008, 11, (1), 155-171 View citations (11)
    See also Working Paper (2006)
44. 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 (2007)
45. 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)
    Also in Journal of Business Finance & Accounting, 2008, 35, (1‐2), 200-226 (2008)
46. The multi-state latent factor intensity model for credit rating transitions
    Journal of Econometrics, 2008, 142, (1), 399-424 View citations (53)
    See also Working Paper (2005)

2007

47. 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 (30)

2006

48. Discrete versus continuous state switching models for portfolio credit risk
    Journal of Banking & Finance, 2006, 30, (1), 23-35 View citations (13)
    See also Working Paper (2003)

2005

49. Business and default cycles for credit risk
    Journal of Applied Econometrics, 2005, 20, (2), 311-323 View citations (72)
    See also Working Paper (2003)
50. 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
51. Discrete-Time Financial Planning Models Under Loss-Averse Preferences
    Operations Research, 2005, 53, (3), 403-414 View citations (6)
52. Empirical credit cycles and capital buffer formation
    Journal of Banking & Finance, 2005, 29, (12), 3159-3179 View citations (35)

2004

53. A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
    Journal of Econometrics, 2004, 119, (1), 45-71
    See also Working Paper (2000)
54. Short patches of outliers, ARCH and volatility modelling
    Applied Financial Economics, 2004, 14, (4), 221-231 View citations (14)
    See also Working Paper (1998)

2003

55. 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 (20)
    See also Working Paper (2000)
56. Tail behaviour of credit loss distributions for general latent factor models
    Applied Mathematical Finance, 2003, 10, (4), 337-357 View citations (7)
    See also Working Paper (2001)

2002

57. 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
58. Semi-nonparametric cointegration testing
    Journal of Econometrics, 2002, 108, (2), 253-280 View citations (8)
    See also Working Paper (1997)
59. Stock selection, style rotation, and risk
    Journal of Empirical Finance, 2002, 9, (1), 1-34 View citations (10)
    See also Working Paper (2001)

2001

60. An analytic approach to credit risk of large corporate bond and loan portfolios
    Journal of Banking & Finance, 2001, 25, (9), 1635-1664 View citations (50)
    See also Working Paper (1999)
61. Evaluating the Basle Guidelines for Backtesting Banks' Internal Risk Management Models
    Journal of Money, Credit and Banking, 2001, 33, (3), 826-46 View citations (10)

2000

62. 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 (1997)
63. Quantiles for t-statistics based on M-estimators of unit roots
    Economics Letters, 2000, 67, (2), 131-137 View citations (4)
64. SETS, arbitrage activity, and stock price dynamics
    Journal of Banking & Finance, 2000, 24, (8), 1289-1306 View citations (24)
    See also Working Paper (1999)

1999

65. 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 (1998)
66. Testing for ARCH in the Presence of Additive Outliers
    Journal of Applied Econometrics, 1999, 14, (5), 539-62 View citations (73)
    See also Working Paper (1996)
67. Testing for Smooth Transition Nonlinearity in the Presence of Outliers
    Journal of Business & Economic Statistics, 1999, 17, (2), 217-35 View citations (46)
    See also Working Paper (1996)

1998

68. Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
    Econometric Reviews, 1998, 17, (2), 185-214 View citations (14)
69. Outlier Detection in Cointegration Analysis
    Journal of Business & Economic Statistics, 1998, 16, (4), 459-68 View citations (27)
70. 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

71. Cointegration Testing Using Pseudolikelihood Ratio Tests
    Econometric Theory, 1997, 13, (02), 149-169 View citations (30)

1995

72. A note on the relationship between GARCH and symmetric stable processes
    Journal of Empirical Finance, 1995, 2, (3), 253-264 View citations (13)
73. 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 (42)
74. Classical and Bayesian aspects of robust unit root inference
    Journal of Econometrics, 1995, 69, (1), 27-59 View citations (14)
75. Unit Root Tests Based on M Estimators
    Econometric Theory, 1995, 11, (02), 331-346 View citations (41)