Andre Lucas
Andre Lucas
Vrije Universiteit Amsterdam and Tinbergen Institute
Verified email at vu.nl - Homepage
Title
Cited by
Cited by
Year
Combining sources of preference data
D Hensher, J Louviere, J Swait
Journal of Econometrics 89 (1-2), 197-221, 1998
5501998
Generalized autoregressive score models with applications
D Creal, SJ Koopman, A Lucas
Journal of Applied Econometrics 28 (5), 777-795, 2013
5242013
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
D Creal, SJ Koopman, A Lucas
Journal of Business & Economic Statistics 29 (4), 552-563, 2011
2052011
Credit cycles and macro fundamentals
SJ Koopman, R Kräussl, A Lucas, AB Monteiro
Journal of Empirical Finance 16 (1), 42-54, 2009
1752009
Business and default cycles for credit risk
SJ Koopman, A Lucas
Journal of Applied Econometrics 20 (2), 311-323, 2005
1742005
An analytic approach to credit risk of large corporate bond and loan portfolios
A Lucas, P Klaassen, P Spreij, S Straetmans
Journal of Banking & Finance 25 (9), 1635-1664, 2001
1712001
Blockholder dispersion and firm value
SJJ Konijn, R Kräussl, A Lucas
Journal of Corporate Finance 17 (5), 1330-1339, 2011
1632011
The multi-state latent factor intensity model for credit rating transitions
SJ Koopman, A Lucas, A Monteiro
Journal of Econometrics 142 (1), 399-424, 2008
1612008
Extreme returns, downside risk, and optimal asset allocation
A Lucas, P Klaassen
Journal of Portfolio Management 25 (1), 71, 1998
1561998
Testing for ARCH in the presence of additive outliers
D Van Dijk, PH Franses, A Lucas
Journal of Applied Econometrics 14 (5), 539-562, 1999
1551999
Conditional euro area sovereign default risk
A Lucas, B Schwaab, X Zhang
Journal of Business & Economic Statistics 32 (2), 271-284, 2014
145*2014
Testing for smooth transition nonlinearity in the presence of outliers
DV Dijk, PH Franses, A Lucas
Journal of Business & Economic Statistics 17 (2), 217-235, 1999
1341999
Unit root tests based on M estimators
A Lucas
Econometric Theory, 331-346, 1995
1141995
Modeling frailty-correlated defaults using many macroeconomic covariates
SJ Koopman, A Lucas, B Schwaab
Journal of Econometrics 162 (2), 312-325, 2011
1132011
Robustness of the student t based M-estimator
A Lucas
Communications in Statistics-Theory and Methods 26 (5), 1165-1182, 1997
1081997
Observation-driven mixed-measurement dynamic factor models with an application to credit risk
D Creal, B Schwaab, SJ Koopman, A Lucas
Review of Economics and Statistics 96 (5), 898-915, 2014
1052014
Empirical credit cycles and capital buffer formation
SJ Koopman, A Lucas, P Klaassen
Journal of Banking & Finance 29 (12), 3159-3179, 2005
952005
Comprehensive definitions of breakdown points for independent and dependent observations
MG Genton, A Lucas
Journal of the Royal Statistical Society: Series B (Statistical Methodology …, 2003
952003
An outlier robust unit root test with an application to the extended Nelson-Plosser data
A Lucas
Journal of Econometrics 66 (1-2), 153-173, 1995
951995
Modeling around-the-clock price discovery for cross-listed stocks using state space methods
AJ Menkveld, SJ Koopman, A Lucas
Journal of Business & Economic Statistics 25 (2), 213-225, 2007
942007
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Articles 1–20