SBE/EDS, De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands
http://personal.vu.nl/a.lucas
Roetersstraat 31
Amsterdam, 1018 WB
http://www.tinbergen.nl
Vrije Universiteit Amsterdam
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hedge funds, performance measurement, loss aversion, behavioral finance
credit cycles, business cycles, defaults, credit risk, procyclicality, multivariate unobserved component models
financial crisis, systemic risk, credit portfolio models, frailty-correlated defaults, state space methods
Option hedging, discrete time, portfolio approach, preference free valuation, hedging errors, Arbitrage Pricing Theory
score driven models, time-varying parameters,Markov processes, stationarity, invertibility, consistency, asymptotic normality
credit risk, pro-cyclicality, capital requirements, dynamic models, common factors, credit cycles, time varying parameters
loss aversion, hedge funds, performance measurement, behavioral finance
dynamic models, time-varying parameters, non-linearity, exponential family, marked point processes, copulas
Credit cycles, Business cycles, Bank lending conditions, Unobserved component models, Intensity models
Asset pricing, beta, downside risk, upside risk, cash flow risk, discount rate risk
Corporate Governance, Ownership Structure, Multiple Blockholder, Firm Value
systemic risk; dynamic equicorrelation; generalized hyperbolic distribution; law of large numbers; large portfolio approximation.
dynamic equicorrelation, generalized hyperbolic distribution, law of large numbers, large portfolio approximation
Dynamic panel data; Time-invariant variables; Two-stage estimation; System GMM; Dynamic gravity equation
dynamic models, time-varying parameters, generalized method of moments, non-linearity, equity premium puzzle, CCAPM
dynamic models, time-varying parameters, generalized method of moments, non-linearity
political economy, inefficient markets, market anomalies, calendar effects
Hidden Markov Models; observation driven models; generalized autoregressive score dynamics
dynamic clustering, panel data, Hidden Markov Model, score-driven dynamics, bank business models
Nonhomogeneous semi-Markov processes, transition matrix, Volterra integral equations, separability, credit risk
sovereign credit risk, higher order moments, time-varying parameters, financial stability
Unobserved components, credit cycles, duration model, generator matrix, Monte Carlo likelihood
defaults; Markov switching, misspecification, quantile forecast, Expectation-Maximization, simulated maximum likelihood, importance sampling
downside-risk, stochastic programming, asset allocation, value-at-risk, time diversification, asset/liability management.
hedge funds, nonlinear systematic risk factors, option factors, stability
dynamic count data models, non-Gaussian multivariate time series models, importance sampling, numerical integration, volatility models, sports data
defaults, Markov switching, default regimes
financial crisis, default risk, credit portfolio models, frailty-correlated defaults, state space methods, doubly stochastic default times
credit risk, regime switching, latent variable models, factor models
dynamic volatilities; dynamic higher-order moments; integrated generalized autoregressive score models; Exponentially Weighted Moving Average (EWMA); Value-at-Risk (VaR)
dynamic volatilities, dynamic higher-order moments, integrated generalized autoregressive score models, Exponentially Weighted Moving Average (EWMA), Value-at-Risk (VaR)
Credit risk, multivariate unobserved component models, importance sampling, non-Gaussian state space models
dynamic dependence, multivariate Student's t distribution, copula
panel data, loss given default, default risk, dynamic beta density, dynamic ordered probit, dynamic factor model
panel data; loss given default; default risk; dynamic beta density; dynamic ordered probit; dynamic factor model
time-varying parameters; observation driven models; parameter driven models; structural breaks; generalized autoregressive score model; regime switching; credit risk
Portfolio choice, long and short-term asset allocation, trend-cycle decomposition, GMM conditions under short-sale constraints
Dynamic Tail Risk, Observation-Driven Models, Extreme Value Theory, European Central Bank (ECB), Securities Markets Programme (SMP)
negative interest rates, bank business model, systemic risk, unconventional monetary policy measures
financial cycle, business cycle, phase shift, multivariate state space model, Kalman filtering, panel time series
time-varying copulas, dynamic discrete data, score driven models, Skellam distribution, dynamic dependence
dynamic networks, spatial auto-regressions, heterogeneous spatial contagion, network heterogeneity, sovereign risk dynamics
Non-Gaussian Panel Data, Common Factors, Unobserved Components, Forecasting
Generalised autoregressive score model, Importance sampling, Model confidence set, Nonlinear state space model, Weibull-gamma mixture
Non-Gaussian Panel Data, Common Factors, Unobserved Components, Forecasting Conditional Default Probabilities
COVID-19, credit risk, macro fundamentals, frailty factors, dynamic latent factors
risk aggregation, credit risk, market risk, link function, diversification, reduced form models, structural models
risk aversion, preference uncertainty, risk-taking, optimal asset allocation
Matrix Distributions, Tail Heterogeneity, (inverse) Riesz Distribution, Fat-Tails, Realized Covariance Matrices
systemic risk contribution, risk rankings, forecast combination, financial regulation, banking supervision
Efficient price;, Financial markets, High-frequency data, Kalman filter, Unobserved components time series models
Dudley integral, Durations, Higher-order models, Nonlinear dynamics, Time-varying parameters, Volatility
Kalman filter, Monte Carlo maximum likelihood, numerical integration, stochastic copula, stochastic conditional duration, stochastic volatility
Bank Business Models; Clustering; Finite Mixture Model; Score-Driven Model; Low Interest Rate
realized covariance matrices, heavy tails, (degenerate) matrix-F distribution, generalized autoregressive score (GAS) dynamics
Spatial correlation, time-varying parameters, systemic risk, European debt crisis, generalized autoregressive score
fractional integration, correlation, student's t copula, time-varying dependence, multivariate volatility
multivariate volatility, fractional integration, realized covariance matrices, heavy tails, matrix-F distribution, score dynamics
overnight volatility, realized variance, F distribution, score-driven dynamics
credit risk, risk measurement, central bank, lender-of-last-resort, unconventional monetary policy
systematic default risk, credit portfolio models, frailty-correlated defaults, international default risk cycles, state-space methods
Portfolio allocation, high dimensions, linear and non-linear shrinkage, factor models
volatility clustering, Generalized Autoregressive Score model, kernel density estimation, density forecast evaluation
financial crisis, default risk, credit portfolio models, frailty-correlated defaults, state space methods
non-Gaussian state space modeling, nonlinear panel data model, binomial time series, recidivism behavior, continuous time modelling
systemic risk, conditional default, credit default swaps, bond yields
factor copulas, factor structure, score-driven dynamics, multivariate density forecast
dynamic copulas, generalized autoregressive score (GAS) models, stochastic recurrence equations, observation driven models, contraction properties
copula, discrete data, time series
Asymptotic theory; Dynamic models; Observation driven time series models; Smooth-transition model; Time-Varying Parameters; Treshold autoregressive model
realized kernel, heavy tails, F distribution, time-varying shape-parameter, Vol-of-Vol, score-driven dynamics
autoregressive conditional duration, delta-method, generalized autoregressive conditional heteroskedasticity, score driven models, time-varying mean
Bayesian inference, importance sampling, Monte Carlo estimation, Metropolis-Hastings algorithm, mixture of student's t-distributions
Systemically Important Financial Institutions (SIFI), European banking sector, systemic risk rankings, network based risk measures
bank business models, clustering, finite mixture model, score-driven model, low interest rates
dynamic clustering, shrinkage, cluster membership persistence, Silhouette index, insurance
sovereign credit risk; higher order moments; time-varying parameters; financial stability
cluster membership persistence, dynamic clustering, insurance industry, shrinkage, sil-houette index
generalized autoregressive models, information theory, optimality, Kullback-Leibler distance, volatility models
Volatility models, score-driven dynamics, finite samples, Kullback-Leibler divergence, optimality
generalized autoregressive score models, missing completely at random, Expectation-Maximization
Catastrophic insurance losses, Copula and dependence, Diversification
