Details about Andre Lucas
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Short-id: plu10
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Working Papers
2024
- Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Financial Development and Fragility: A Clustering Analysis
Policy Research Working Paper Series, The World Bank
- Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter
Tinbergen Institute Discussion Papers, Tinbergen Institute
2023
- Consistency, distributional convergence, and optimality of score-driven filters
Tinbergen Institute Discussion Papers, Tinbergen Institute
- 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)
- 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)
- Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
2021
- COVID-19, Credit Risk and Macro Fundamentals
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Clustering Dynamics and Persistence for Financial Multivariate Panel Data
Tinbergen Institute Discussion Papers, Tinbergen Institute
- 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
- 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 (15) (2021)
- Observation-driven Models for Realized Variances and Overnight Returns
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Risk endogeneity at the lender/investor-of-last-resort
Working Paper Series, European Central Bank View citations (1)
Also in BIS Working Papers, Bank for International Settlements (2019) View citations (1) Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (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)
- Time-varying tail behavior for realized kernels
Tinbergen Institute Discussion Papers, Tinbergen Institute
2018
- Generalized Autoregressive Method of Moments
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
2017
- 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)
- 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)
- Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting
NBP Working Papers, Narodowy Bank Polski
- Finite Sample Optimality of Score-Driven Volatility Models
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- 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
- 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)
- 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)
- 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)
- Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- 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)
- Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
- 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 (26) (2016)
2015
- In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
Tinbergen Institute Discussion Papers, Tinbergen Institute
- 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)
- 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)
- Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
- Mixed Density based Copula Likelihood
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- 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)
- New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
- 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)
- The Dynamic Skellam Model with Applications
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
2014
- Information Theoretic Optimality of Observation Driven Time Series Models
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)
- 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)
- Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)
- Optimal Formulations for Nonlinear Autoregressive Processes
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)
- 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 (71) (2016)
- Testing for Parameter Instability in Competing Modeling Frameworks
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
- 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
- A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- Conditional and joint credit risk
Working Paper Series, European Central Bank View citations (2)
- 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)
- 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)
- Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- 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
- A New Semiparametric Volatility Model
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Aggregating Credit and Market Risk: The Impact of Model Specification
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (25)
- 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)
- 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)
- 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)
- 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 (73) (2016)
- Regime switches in the volatility and correlation of financial institutions
Working Paper Research, National Bank of Belgium View citations (5)
- Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)
2011
- 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)
- 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 (29) (2014)
- Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)
- Systemic risk diagnostics: coincident indicators and early warning signals
Working Paper Series, European Central Bank View citations (38)
2010
- 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 (162) (2011)
- 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)
- Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
- 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)
- Systemic Risk Diagnostics
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)
- 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
- 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
- Forecasting Cross-Sections of Frailty-Correlated Default
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
- Global Loss Diversification in the Insurance Sector
Tinbergen Institute Discussion Papers, Tinbergen Institute 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
- 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)
- 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
- 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)
- 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)
- Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
2005
- 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)
- 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
- Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Business and Default Cycles for Credit Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
See also Journal Article Business and default cycles for credit risk, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (17) (2005)
- Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
- Discrete versus Continuous State Switching Models for Portfolio Credit Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (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)
- Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
2002
- De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
- Explaining Hedge Fund Investment Styles by Loss Aversion
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
2001
- Stock Selection, Style Rotation, and Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute 
See also Journal Article Stock selection, style rotation, and risk, Journal of Empirical Finance, Elsevier (2002) View citations (15) (2002)
- Tail Behavior of Credit Loss Distributions for General Latent Factor Models
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
See also Journal Article Tail behaviour of credit loss distributions for general latent factor models, Applied Mathematical Finance, Taylor & Francis Journals (2003) View citations (8) (2003)
2000
- A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model
Tinbergen Institute Discussion Papers, Tinbergen Institute 
Also in Discussion Papers, Department of Economics, University of York
See also Journal Article A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model, Journal of Econometrics, Elsevier (2004) View citations (1) (2004)
- Analytic Decision Rules for Financial Stochastic Programs
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (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
- A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
- 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)
- Arbitrage and sampling uncertainty in financial stochastic programming models
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
- 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)
- Tail behavior of credit loss distributions
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
1998
- A Hybrid Joint Moment Ratio Test for Financial Time Series
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (11)
- 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)
- 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)
- On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
- Short Patches of Outliers, ARCH and Volatility Modeling
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
See also Journal Article Short patches of outliers, ARCH and volatility modelling, Applied Financial Economics, Taylor & Francis Journals (2004) View citations (18) (2004)
- Testing backtesting: an evaluation of the Basle guidelines for backtesting internal risk management models of banks
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (2)
1997
- A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 
See also Journal Article 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)
- Outlier robust cointegration analysis
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (6)
- 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)
- 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)
- 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
- 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)
- 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)
- 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
- 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)
- Dynamic partial correlation models
Journal of Econometrics, 2024, 241, (2) View citations (1)
- Heterogeneity and dynamics in network models
Journal of Applied Econometrics, 2024, 39, (1), 150-173
- 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)
- Observation-driven filtering of time-varying parameters using moment conditions
Journal of Econometrics, 2024, 238, (2) View citations (2)
2023
- Covid-19, credit risk management modeling, and government support
Journal of Banking & Finance, 2023, 147, (C) View citations (1)
- 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)
- Time-Varying Parameters in Econometrics: The editor’s foreword
Journal of Econometrics, 2023, 237, (2)
- Time-varying variance and skewness in realized volatility measures
International Journal of Forecasting, 2023, 39, (2), 827-840 View citations (1)
2022
- 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
- Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
Journal of Business & Economic Statistics, 2021, 39, (4), 1066-1079 View citations (15)
See also Working Paper Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings, Tinbergen Institute Discussion Papers (2019) (2019)
- Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence
Econometrics and Statistics, 2021, 19, (C), 47-57 View citations (4)
- 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
- Nonlinear autoregressive models with optimality properties
Econometric Reviews, 2020, 39, (6), 559-578 View citations (3)
- 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
- 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)
- Fractional Integration and Fat Tails for Realized Covariance Kernels
Journal of Financial Econometrics, 2019, 17, (1), 66-90 View citations (7)
2018
- A stochastic recurrence equations approach for score driven correlation models
Econometric Reviews, 2018, 37, (2), 166-181 View citations (6)
- Amendments and Corrections
Biometrika, 2018, 105, (3), 753-753
- Dynamic discrete copula models for high‐frequency stock price changes
Journal of Applied Econometrics, 2018, 33, (7), 966-985 View citations (6)
- New HEAVY Models for Fat-Tailed Realized Covariances and Returns
Journal of Business & Economic Statistics, 2018, 36, (4), 643-657 View citations (39)
2017
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- Testing for Parameter Instability across Different Modeling Frameworks
Journal of Financial Econometrics, 2017, 15, (2), 223-246 View citations (8)
- 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
- 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)
- 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)
- Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
The Review of Economics and Statistics, 2016, 98, (1), 97-110 View citations (73)
See also Working Paper Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models, Tinbergen Institute Discussion Papers (2012) View citations (17) (2012)
- 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)
- Semiparametric score driven volatility models
Computational Statistics & Data Analysis, 2016, 100, (C), 58-69 View citations (5)
- Spillover dynamics for systemic risk measurement using spatial financial time series models
Journal of Econometrics, 2016, 195, (2), 211-223 View citations (71)
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)
- The information in systemic risk rankings
Journal of Empirical Finance, 2016, 38, (PA), 461-475 View citations (26)
See also Working Paper The information in systemic risk rankings, Working Paper Series (2016) View citations (29) (2016)
2015
- Information-theoretic optimality of observation-driven time series models for continuous responses
Biometrika, 2015, 102, (2), 325-343 View citations (94)
- 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
- 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)
- Long memory dynamics for multivariate dependence under heavy tails
Journal of Empirical Finance, 2014, 29, (C), 187-206 View citations (29)
See also Working Paper Long Memory Dynamics for Multivariate Dependence under Heavy Tails, Tinbergen Institute Discussion Papers (2011) View citations (5) (2011)
- Nowcasting and forecasting global financial sector stress and credit market dislocation
International Journal of Forecasting, 2014, 30, (3), 741-758 View citations (6)
- 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)
- 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
- GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
Journal of Applied Econometrics, 2013, 28, (5), 777-795 View citations (499)
2012
- 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)
- 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)
- 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
- A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Journal of Business & Economic Statistics, 2011, 29, (4), 552-563 View citations (162)
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)
- 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)
- Modeling frailty-correlated defaults using many macroeconomic covariates
Journal of Econometrics, 2011, 162, (2), 312-325 View citations (90)
2009
- 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)
- 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
- 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)
- 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)
- Hedging Large Portfolios of Options in Discrete Time
Applied Mathematical Finance, 2008, 15, (3), 251-275
- Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
Econometrics Journal, 2008, 11, (1), 155-171 View citations (15)
See also Working Paper Modeling Portfolio Defaults using Hidden Markov Models with Covariates, Tinbergen Institute Discussion Papers (2006) (2006)
- 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)
- 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)
- 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
- 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 (44)
2006
- 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
- Business and default cycles for credit risk
Journal of Applied Econometrics, 2005, 20, (2), 311-323 View citations (17)
Also in Journal of Applied Econometrics, 2005, 20, (2), 311-323 (2005) View citations (98)
See also Working Paper Business and Default Cycles for Credit Risk, Tinbergen Institute Discussion Papers (2003) View citations (4) (2003)
- Deepening the Measuring of Technical Inefficiency in Private Farming in Georgia: Locally Parametric Regression
International Journal of Applied Econometrics and Quantitative Studies, 2005, 2, (1), 115-138
- Discrete-Time Financial Planning Models Under Loss-Averse Preferences
Operations Research, 2005, 53, (3), 403-414 View citations (10)
- Empirical credit cycles and capital buffer formation
Journal of Banking & Finance, 2005, 29, (12), 3159-3179 View citations (37)
2004
- 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)
- 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
- 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)
- 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
- 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)
- 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)
- 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
- 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)
- 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
- 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)
- Quantiles for t-statistics based on M-estimators of unit roots
Economics Letters, 2000, 67, (2), 131-137 View citations (5)
- 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
- 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)
- 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)
- 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
- Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
Econometric Reviews, 1998, 17, (2), 185-214 View citations (18)
- Outlier Detection in Cointegration Analysis
Journal of Business & Economic Statistics, 1998, 16, (4), 459-68 View citations (33)
- 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
- Cointegration Testing Using Pseudolikelihood Ratio Tests
Econometric Theory, 1997, 13, (2), 149-169 View citations (33)
1995
- A note on the relationship between GARCH and symmetric stable processes
Journal of Empirical Finance, 1995, 2, (3), 253-264 View citations (12)
- 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 (48)
- Classical and Bayesian aspects of robust unit root inference
Journal of Econometrics, 1995, 69, (1), 27-59 View citations (20)
- Unit Root Tests Based on M Estimators
Econometric Theory, 1995, 11, (2), 331-346 View citations (51)
Chapters
2001
- Fat Tails and the Effect on Optimal Asset Allocations
Palgrave Macmillan
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