.
Lucas, Andre's
Scholarly Papers
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Aggregate Statistics
Total Downloads
9,266
Total
Citations
185
1.
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
1,065
(8,387)
7
hedge funds, performance measurement, loss aversion, behavioral finance
2.
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
790
(13,403)
30
credit cycles, business cycles, defaults, credit risk, procyclicality, multivariate unobserved component models
3.
Peeters, Bas VU University Amsterdam - Faculty of Economics and Business Administration
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Dert, Cees L. VU University Amsterdam - Faculty of Economics and Business Administration
598
(20,060)
Option hedging, discrete time, portfolio approach, preference free valuation, hedging errors, Arbitrage Pricing Theory
4.
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Klaassen, Pieter ABN-Amro Bank, The Netherlands
529
(23,710)
13
credit risk, pro-cyclicality, capital requirements, dynamic models, common factors, credit cycles, time varying parameters
5.
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
455
(28,897)
2
loss aversion, hedge funds, performance measurement, behavioral finance
6.
Menkveld, Albert J. VU University Amsterdam
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Posted:
06 Aug 03
Last Revised:
18 Jan 12
365
(38,156)
18
7.
Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals
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Schwaab, Bernd European Central Bank (ECB) - Directorate General Research
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Posted:
03 Dec 10
Last Revised:
19 Apr 11
327
(43,588)
3
Schwaab, Bernd European Central Bank (ECB) - Directorate General Research
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
157
3
financial crisis, systemic risk, credit portfolio models, frailty-correlated defaults, state space methods
Schwaab, Bernd European Central Bank (ECB) - Directorate General Research
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
170
3
financial crisis, systemic risk, credit portfolio models, frailty-correlated defaults, state space methods
8.
Koopman, Siem Jan VU University Amsterdam
Kräussl, Roman Universite du Luxembourg - Luxembourg School of Finance
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Monteiro, Andre A. Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)
Posted:
14 Mar 06
Last Revised:
07 Apr 11
322
(44,369)
16
Credit cycles, Business cycles, Bank lending conditions, Unobserved component models, Intensity models
9.
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
van Dijk, Ronald affiliation not provided to SSRN
Kloek, Teun Erasmus University
Posted:
05 May 97
Last Revised:
16 Feb 09
318
(45,055)
2
10.
The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds
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Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Posted:
24 May 07
Last Revised:
15 Feb 08
299
(48,423)
2
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
18
2
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
281
2
hedge funds, portfolio optimization, downside risk, expected shortfall
11.
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
284
(51,418)
1
downside-risk, stochastic programming, asset allocation, value-at-risk, time diversification, asset/liability management.
12.
Botshekan, Mahmoud VU University Amsterdam
Kräussl, Roman Universite du Luxembourg - Luxembourg School of Finance
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Posted:
19 Mar 10
Last Revised:
02 Mar 13
252
(58,792)
3
Asset pricing, beta, downside risk, upside risk, cash flow risk, discount rate risk
13.
Banachewicz, Konrad Free University of Amsterdam - Mathematic Department
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
250
(59,295)
defaults; Markov switching, misspecification, quantile forecast, Expectation-Maximization, simulated maximum likelihood, importance sampling
14.
Kräussl, Roman Universite du Luxembourg - Luxembourg School of Finance
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Rijsbergen, David R. De Nederlandsche Bank
van der Sluis, Pieter Jelle APG Asset Management, GTAA Fund
Vrugt, Evert B. VU University Amsterdam, PGO-IM
Posted:
27 Oct 08
Last Revised:
10 Jan 10
238
(62,457)
political economy, inefficient markets, market anomalies, calendar effects
15.
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Monteiro, Andre A. Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)
Smirnov, Georgi V. Department of Applied Mathematics, University of Porto
237
(62,732)
Nonhomogeneous semi-Markov processes, transition matrix, Volterra integral equations, separability, credit risk
16.
Konijn, Sander VU University Amsterdam
Kräussl, Roman Universite du Luxembourg - Luxembourg School of Finance
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Posted:
22 Dec 09
Last Revised:
22 Aug 11
225
(66,342)
2
Corporate Governance, Ownership Structure, Multiple Blockholder, Firm Value
17.
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Monteiro, Andre A. Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)
225
(66,342)
27
Unobserved components, credit cycles, duration model, generator matrix, Monte Carlo likelihood
18.
Klaassen, Pieter ABN-Amro Bank, The Netherlands
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
223
(66,960)
7
credit risk, regime switching, latent variable models, factor models
19.
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Verbeek, Marno Erasmus University - Rotterdam School of Management
217
(68,852)
hedge funds, nonlinear systematic risk factors, option factors, stability
20.
Banachewicz, Konrad Free University of Amsterdam - Mathematic Department
van der Vaart, Aad VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
204
(73,388)
1
defaults, Markov switching, default regimes
21.
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Schwaab, Bernd European Central Bank (ECB) - Directorate General Research
Posted:
27 Jan 10
Last Revised:
05 Sep 10
192
(77,898)
1
financial crisis, default risk, credit portfolio models, frailty-correlated defaults, state space methods, doubly stochastic default times
22.
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Schwaab, Bernd European Central Bank (ECB) - Directorate General Research
Zhang, Xin European Central Bank (ECB) - Directorate General Research
Posted:
14 Dec 11
Last Revised:
29 Jun 12
178
(83,734)
sovereign credit risk, higher order moments, time-varying parameters, financial stability
23.
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Daniels, Robert Bank of the Netherlands
175
(85,118)
17
Credit risk, multivariate unobserved component models, importance sampling, non-Gaussian state space models
24.
Creal, Drew University of Chicago - Booth School of Business - Econometrics and Statistics
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
154
(95,720)
1
dynamic models, time-varying parameters, non-linearity, exponential family, marked point processes, copulas
25.
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Schwaab, Bernd European Central Bank (ECB) - Directorate General Research
126
(113,581)
2
Non-Gaussian Panel Data, Common Factors, Unobserved Components, Forecasting Conditional Default Probabilities
26.
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Schwaab, Bernd European Central Bank (ECB) - Directorate General Research
Posted:
12 Feb 09
Last Revised:
29 Aug 10
115
(122,167)
1
Non-Gaussian Panel Data, Common Factors, Unobserved Components, Forecasting
27.
Creal, Drew University of Chicago - Booth School of Business - Econometrics and Statistics
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Posted:
24 Mar 10
Last Revised:
14 Oct 10
111
(125,533)
6
dynamic dependence, multivariate Student's t distribution, copula
28.
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Verhoef, Bastiaan The Royal Bank of Scotland
81
(156,468)
risk aggregation, credit risk, market risk, link function, diversification, reduced form models, structural models
29.
Kräussl, Roman Universite du Luxembourg - Luxembourg School of Finance
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Posted:
14 Apr 11
Last Revised:
20 Mar 12
78
(158,886)
risk aversion, preference uncertainty, risk-taking, optimal asset allocation
30.
Creal, Drew University of Chicago - Booth School of Business - Econometrics and Statistics
Schwaab, Bernd European Central Bank (ECB) - Directorate General Research
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
78
(158,886)
2
panel data, loss given default, default risk, dynamic beta density, dynamic ordered probit, dynamic factor model
31.
Botshekan, Mahmoud VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
68
(172,215)
Portfolio choice, long and short-term asset allocation, trend-cycle decomposition, GMM under short-sale constraints
32.
Abadir, Karim M. Imperial College Business School
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
67
(173,618)
2
33.
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Ooms, Marius VU University Amsterdam - Department of Econometrics
van Montfort, Kees Nyenrode University
58
(187,102)
1
non-Gaussian state space modeling, nonlinear panel data model, binomial time series, recidivism behavior, continuous time modelling
34.
Menkveld, Albert J. VU University Amsterdam
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Posted:
07 Nov 08
Last Revised:
14 Oct 10
55
(192,019)
9
Efficient price;, Financial markets, High-frequency data, Kalman filter, Unobserved components time series models
35.
Janus, Pawel VU University Amsterdam
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
54
(193,735)
1
fractional integration, correlation, student's t copula, time-varying dependence, multivariate volatility
36.
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Scharth, Marcel Australian School of Business, University of New South Wales
Posted:
20 Mar 11
Last Revised:
28 Jan 12
51
(198,826)
3
Kalman filter, Monte Carlo maximum likelihood, numerical integration, stochastic copula, stochastic conditional duration, stochastic volatility
37.
Boudt, Kris Free University of Brussels (VUB)
Danielsson, Jon London School of Economics - Department of Accounting and Finance
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
46
(208,031)
38.
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Schwaab, Bernd European Central Bank (ECB) - Directorate General Research
33
(235,728)
financial crisis, default risk, credit portfolio models, frailty-correlated defaults, state space methods
39.
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Scharth, Marcel Australian School of Business, University of New South Wales
33
(235,728)
1
Generalised autoregressive score model, Importance sampling, Model confidence set, Nonlinear state space model, Weibull-gamma mixture
40.
Blasques, Francisco VU University Amsterdam
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
29
(246,199)
1
Dudley integral, Durations, Higher-order models, Nonlinear dynamics, Time-varying parameters, Volatility
41.
Ji, Jiangyu VU University Amsterdam - Faculty of Economics and Business Administration
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Posted:
24 May 12
Last Revised:
20 Oct 12
25
(258,299)
volatility clustering, Generalized Autoregressive Score model, kernel density estimation, density forecast evaluation
42.
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Schwaab, Bernd European Central Bank (ECB) - Directorate General Research
Zhang, Xin European Central Bank (ECB) - Directorate General Research
11
(310,607)
systemic risk, dynamic equicorrelation model, generalized hyperbolic distribution, Law of Large Numbers
43.
Barra, Istvan VU University Amsterdam
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Koopman, Siem Jan VU University Amsterdam
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
11
(307,307)
nonlinear non-Gaussian state space model, Bayesian inference, Monte Carlo estimation, Metropolis-Hastings algorithm, mixture of student's t-distributions
44.
Banachewicz, Konrad Free University of Amsterdam - Mathematic Department
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
van der Vaart, Aad VU University Amsterdam
10
(310,607)
2
45.
Abadir, Karim M. Imperial College Business School
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Posted:
06 Jan 98
Last Revised:
15 Jan 12
3
(331,326)
46.
Abadir, Karim M. Imperial College Business School
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
1
(343,482)
47.
Sheremet, Oleg VU University Amsterdam - Institute for Environmental Studies (IVM)
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Posted:
16 Sep 08
Last Revised:
11 Jan 09
Catastrophic insurance losses, Copula and dependence, Diversification
48.
Franses, Philip Hans Erasmus University Rotterdam (EUR) - Department of Econometrics
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
49.
Franses, Philip Hans Erasmus University Rotterdam (EUR) - Department of Econometrics
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
50.
Franses, Philip Hans Erasmus University Rotterdam (EUR) - Department of Econometrics
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
van Dijk, Dick J. C. Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
51.
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
52.
Franses, Philip Hans Erasmus University Rotterdam (EUR) - Department of Econometrics
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
53.
Franses, Philip Hans Erasmus University Rotterdam (EUR) - Department of Econometrics
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
van Dijk, Dick J. C. Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
54.
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
55.
Franses, Philip Hans Erasmus University Rotterdam (EUR) - Department of Econometrics
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Kloek, Teun Erasmus University
56.
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business