Andre Lucas

Vrije Universiteit Amsterdam - School of Business and Economics

prof. dr.

De Boelelaan 1105

Amsterdam, 1081 HV

Netherlands

http://personal.vu.nl/a.lucas

Tinbergen Institute

Research Fellow

Roetersstraat 31

Amsterdam, 1018 WB

Netherlands

http://www.tinbergen.nl

SCHOLARLY PAPERS

94

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17,482

SSRN CITATIONS
Rank 1,939

SSRN RANKINGS

Top 1,939

in Total Papers Citations

402

CROSSREF CITATIONS

261

Scholarly Papers (94)

1.

Explaining Hedge Fund Investment Styles by Loss Aversion: A Rational Alternative

Number of pages: 25 Posted: 11 Mar 2002
Arjen Siegmann and Andre Lucas
VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 1,173 (25,228)
Citation 14

Abstract:

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hedge funds, performance measurement, loss aversion, behavioral finance

2.

Business and Default Cycles for Credit Risk

Tinbergen Institute Discussion Paper No. 03-062/2
Number of pages: 23 Posted: 29 Sep 2003
Siem Jan Koopman and Andre Lucas
Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 954 (33,935)
Citation 14

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credit cycles, business cycles, defaults, credit risk, procyclicality, multivariate unobserved component models

Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals

ECB Working Paper No. 1327
Number of pages: 38 Posted: 19 Apr 2011
Bernd Schwaab, Siem Jan Koopman and Andre Lucas
European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 543 (70,719)

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financial crisis, systemic risk, credit portfolio models, frailty-correlated defaults, state space methods

Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals

Tinbergen Institute Discussion Paper 10-104/DSF 2
Number of pages: 33 Posted: 03 Dec 2010
Bernd Schwaab, Siem Jan Koopman and Andre Lucas
European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 196 (212,888)
Citation 11

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financial crisis, systemic risk, credit portfolio models, frailty-correlated defaults, state space methods

4.

Black Scholes for Portfolios of Options in Discrete Time

Tinbergen Institute Discussion Paper No. 2003-090/2
Number of pages: 29 Posted: 28 Nov 2003
Bas Peeters, Andre Lucas and Cees L. Dert
Vrije Universiteit Amsterdam, School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 720 (49,823)

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Option hedging, discrete time, portfolio approach, preference free valuation, hedging errors, Arbitrage Pricing Theory

5.

Maximum Likelihood Estimation for Score-Driven Models

Tinbergen Institute Discussion Paper 14-029/III
Number of pages: 52 Posted: 04 Mar 2014 Last Revised: 31 Oct 2017
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 660 (56,081)
Citation 35

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score driven models, time-varying parameters,Markov processes, stationarity, invertibility, consistency, asymptotic normality

6.

Modeling Round-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods

Journal of Business and Economic Statistics, Vol. 25, 2007
Number of pages: 33 Posted: 06 Aug 2003 Last Revised: 18 Jan 2012
Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 606 (62,303)
Citation 16

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7.

Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation

EFA 2003 Annual Conference Paper No. 211; Vrije University Finance Working Paper
Number of pages: 31 Posted: 27 Jul 2003
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and UBS AG
Downloads 583 (65,405)
Citation 13

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credit risk, pro-cyclicality, capital requirements, dynamic models, common factors, credit cycles, time varying parameters

8.

Hedge Fund Payoffs and Loss Aversion

Number of pages: 22 Posted: 03 Aug 2003
Arjen Siegmann and Andre Lucas
VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 524 (74,755)
Citation 1

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loss aversion, hedge funds, performance measurement, behavioral finance

9.

Credit Cycles and Macro Fundamentals

Journal of Empirical Finance, Vol. 16, No. 1, 2009
Number of pages: 20 Posted: 14 Mar 2006 Last Revised: 07 Apr 2011
Vrije Universiteit Amsterdam - School of Business and Economics, Universite du Luxembourg - Department of Finance, Vrije Universiteit Amsterdam - School of Business and Economics and Tinbergen Institute
Downloads 434 (93,614)
Citation 5

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Credit cycles, Business cycles, Bank lending conditions, Unobserved component models, Intensity models

10.

Outlier Robust Gmm Estimation of Leverage Determinants in Linear Dynamic Panel Data Models

Number of pages: 30 Posted: 05 May 1997 Last Revised: 16 Feb 2009
Andre Lucas, Ronald van Dijk and Teun Kloek
Vrije Universiteit Amsterdam - School of Business and Economics, APG Asset Management and Erasmus University
Downloads 431 (94,393)
Citation 6

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11.

Cash Flow and Discount Rate Risk in Up and Down Markets: What is Actually Priced?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 47, No. 6, 2012
Number of pages: 42 Posted: 19 Mar 2010 Last Revised: 02 Mar 2013
University of Isfahan - Faculty of Administrative Sciences and Economics, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 406 (101,189)
Citation 1

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Asset pricing, beta, downside risk, upside risk, cash flow risk, discount rate risk

12.

Regime Switches in the Volatility and Correlation of Financial Institutions

National Bank of Belgium Working Paper No. 227
Number of pages: 54 Posted: 13 Oct 2012
Ghent University, London School of Economics - Systemic Risk Centre, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 401 (102,586)
Citation 16

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13.

A General Framework for Observation Driven Time-Varying Parameter Models

Tinbergen Institute Discussion Paper No. 08-108/4
Number of pages: 54 Posted: 11 Nov 2008
Drew Creal, Siem Jan Koopman and Andre Lucas
University of Chicago - Booth School of Business - Econometrics and Statistics, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 399 (103,234)
Citation 32

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dynamic models, time-varying parameters, non-linearity, exponential family, marked point processes, copulas

Modeling Financial Sector Joint Tail Risk in the Euro Area

Tinbergen Institute Discussion Paper 13-063/IV/DSF56
Number of pages: 36 Posted: 18 May 2013 Last Revised: 13 Oct 2014
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 314 (133,533)
Citation 8

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systemic risk; dynamic equicorrelation; generalized hyperbolic distribution; law of large numbers; large portfolio approximation.

Modeling Financial Sector Joint Tail Risk in the Euro Area

Riksbank Research Paper Series No. 132, Sveriges Riksbank Working Paper Series No. 308
Number of pages: 36 Posted: 22 Dec 2015
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 19 (724,158)

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dynamic equicorrelation, generalized hyperbolic distribution, law of large numbers, large portfolio approximation

Modeling Financial Sector Joint Tail Risk in the Euro Area

ECB Working Paper No. 1837
Number of pages: 48 Posted: 26 Aug 2015
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 17 (741,524)

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Dynamic panel data; Time-invariant variables; Two-stage estimation; System GMM; Dynamic gravity equation

15.

Blockholder Dispersion and Firm Value

Journal of Corporate Finance, Vol. 17, No. 5, 2011
Number of pages: 23 Posted: 22 Dec 2009 Last Revised: 22 Aug 2011
Sander Konijn, Roman Kräussl and Andre Lucas
VU University Amsterdam, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 334 (125,896)
Citation 12

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Corporate Governance, Ownership Structure, Multiple Blockholder, Firm Value

16.

Washington Meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle

Journal of International Money and Finance, Vol. 43, 2014
Number of pages: 31 Posted: 27 Oct 2008 Last Revised: 14 Apr 2014
Universite du Luxembourg - Department of Finance, Vrije Universiteit Amsterdam - School of Business and Economics, De Nederlandsche Bank, affiliation not provided to SSRN and VU University Amsterdam, PGO-IM
Downloads 330 (127,572)
Citation 3

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political economy, inefficient markets, market anomalies, calendar effects

The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds

Journal of Business Finance and Accounting, Forthcoming
Number of pages: 33 Posted: 24 May 2007
Andre Lucas and Arjen Siegmann
Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 306 (137,435)

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hedge funds, portfolio optimization, downside risk, expected shortfall

The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds

Journal of Business Finance & Accounting, Vol. 35, Issue 1-2, pp. 200-226, January/March 2008
Number of pages: 27 Posted: 15 Feb 2008
Andre Lucas and Arjen Siegmann
Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 18 (732,790)
Citation 1

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Time Varying Transition Probabilities for Markov Regime Switching Models

Tinbergen Institute Discussion Paper 14-072/III
Number of pages: 26 Posted: 20 Jun 2014
University of Padua, VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 310 (135,460)
Citation 3

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Hidden Markov Models; observation driven models; generalized autoregressive score dynamics

Time‐Varying Transition Probabilities for Markov Regime Switching Models

Journal of Time Series Analysis, Vol. 38, Issue 3, pp. 458-478, 2017
Number of pages: 21 Posted: 05 Apr 2017
University of Padua, VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 1 (913,224)
Citation 7

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Hidden Markov models, observation driven models, time varying parameter

19.

Quantile Forecasting for Credit Risk Management using Possibly Mis-specified Hidden Markov Models

Tinbergen Institute Discussion Paper No. 07-046/2
Number of pages: 39 Posted: 13 Jun 2007
Konrad Banachewicz and Andre Lucas
Free University of Amsterdam - Mathematic Department and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 308 (137,145)

Abstract:

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defaults; Markov switching, misspecification, quantile forecast, Expectation-Maximization, simulated maximum likelihood, importance sampling

20.

Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk

Tinbergen Institute Discussion Paper No. 06-024/2
Number of pages: 43 Posted: 29 Mar 2006
Vrije Universiteit Amsterdam - School of Business and Economics, Tinbergen Institute and Department of Applied Mathematics, University of Porto
Downloads 307 (137,637)
Citation 1

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Nonhomogeneous semi-Markov processes, transition matrix, Volterra integral equations, separability, credit risk

21.

Analytic Decision Rules for Financial Stochastic Programs

Number of pages: 25 Posted: 13 May 2001
Arjen Siegmann and Andre Lucas
VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 296 (142,912)
Citation 1

Abstract:

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downside-risk, stochastic programming, asset allocation, value-at-risk, time diversification, asset/liability management.

22.

The Multi-State Latent Factor Intensity Model for Credit Rating Transitions

Tinbergen Institute Discussion Paper No. TI 05-071/4
Number of pages: 33 Posted: 07 Jul 2005
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and Tinbergen Institute
Downloads 286 (148,193)
Citation 20

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Unobserved components, credit cycles, duration model, generator matrix, Monte Carlo likelihood

23.

Short-Put Exposures in Hedge Fund Returns: Are They Really There?

Number of pages: 28 Posted: 16 Feb 2009
Andre Lucas, Arjen Siegmann and Marno Verbeek
Vrije Universiteit Amsterdam - School of Business and Economics, VU University Amsterdam and Erasmus University - Rotterdam School of Management
Downloads 281 (150,845)
Citation 2

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hedge funds, nonlinear systematic risk factors, option factors, stability

24.
Downloads 273 (155,243)
Citation 4

Generalized autoregressive Method of Moments

Tinbergen Institute Discussion Paper 15-138/III
Number of pages: 45 Posted: 20 Jan 2016 Last Revised: 01 Jul 2018
University of Chicago - Booth School of Business - Econometrics and Statistics, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and University of Gothenburg, Centre for Finance
Downloads 203 (206,222)
Citation 2

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dynamic models, time-varying parameters, generalized method of moments, non-linearity, equity premium puzzle, CCAPM

Generalized Autoregressive Method of Moments

Tinbergen Institute Discussion Paper 15-138/III
Number of pages: 47 Posted: 27 Jul 2018
University of Chicago - Booth School of Business - Econometrics and Statistics, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and University of Gothenburg, Centre for Finance
Downloads 70 (448,071)
Citation 2

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dynamic models, time-varying parameters, generalized method of moments, non-linearity

25.

Conditional Probabilities for Euro Area Sovereign Default Risk

Tinbergen Institute Discussion Paper No. 11-176/2/DSF29
Number of pages: 37 Posted: 14 Dec 2011 Last Revised: 29 Jun 2012
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 271 (156,413)
Citation 5

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sovereign credit risk, higher order moments, time-varying parameters, financial stability

26.

Macro, Frailty, and Contagion Effects in Defaults: Lessons from the 2008 Credit Crisis

Tinbergen Institute Discussion Paper 10-004/2
Number of pages: 36 Posted: 27 Jan 2010 Last Revised: 05 Sep 2010
Siem Jan Koopman, Andre Lucas and Bernd Schwaab
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and European Central Bank (ECB) - Directorate General Research
Downloads 265 (160,020)
Citation 1

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financial crisis, default risk, credit portfolio models, frailty-correlated defaults, state space methods, doubly stochastic default times

27.

Modeling Portfolio Defaults Using Hidden Markov Model with Covariates

Tinbergen Institute Discussion Paper No. TI 06-094/2
Number of pages: 28 Posted: 07 Nov 2006
Free University of Amsterdam - Mathematic Department, VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 261 (162,447)

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defaults, Markov switching, default regimes

28.

Discrete Versus Continuous State Switching Models for Portfolio Credit Risk

Tinbergen Institute Discussion Paper No. 2003-075/2
Number of pages: 14 Posted: 28 Oct 2003
Pieter Klaassen and Andre Lucas
UBS AG and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 243 (174,176)
Citation 2

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credit risk, regime switching, latent variable models, factor models

29.

A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk

Tinbergen Institute Discussion Paper No. TI 05-060/4
Number of pages: 32 Posted: 17 Jun 2005
Siem Jan Koopman, Andre Lucas and Robert Daniels
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and Bank of the Netherlands
Downloads 208 (201,751)
Citation 11

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Credit risk, multivariate unobserved component models, importance sampling, non-Gaussian state space models

30.

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Tinbergen Institute Discussion Paper 10-032/2
Number of pages: 32 Posted: 24 Mar 2010 Last Revised: 14 Oct 2010
Drew Creal, Siem Jan Koopman and Andre Lucas
University of Chicago - Booth School of Business - Econometrics and Statistics, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 203 (206,385)
Citation 22

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dynamic dependence, multivariate Student's t distribution, copula

31.

Testing for Parameter Instability in Competing Modeling Frameworks

Tinbergen Institute 14-010/IV/71
Number of pages: 40 Posted: 18 Jan 2014 Last Revised: 06 Feb 2014
University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA), University of Chicago - Booth School of Business - Econometrics and Statistics, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 198 (211,045)
Citation 1

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time-varying parameters; observation driven models; parameter driven models; structural breaks; generalized autoregressive score model; regime switching; credit risk

32.

Long-Term Versus Short-Term Contingencies in Asset Allocation

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 55 Posted: 16 May 2012 Last Revised: 03 Feb 2016
Mahmoud Botshekan and Andre Lucas
University of Isfahan - Faculty of Administrative Sciences and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 194 (214,950)
Citation 1

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Portfolio choice, long and short-term asset allocation, trend-cycle decomposition, GMM conditions under short-sale constraints

Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting

Tinbergen Institute Discussion Paper No. 14-092/IV/DSF77
Number of pages: 32 Posted: 26 Jul 2014 Last Revised: 10 Sep 2015
Andre Lucas and Xin Zhang
Vrije Universiteit Amsterdam - School of Business and Economics and Sveriges Riksbank - Research Division
Downloads 106 (347,411)
Citation 3

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dynamic volatilities; dynamic higher-order moments; integrated generalized autoregressive score models; Exponentially Weighted Moving Average (EWMA); Value-at-Risk (VaR)

Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting

Riksbank Research Paper Series No. 133, Sveriges Riksbank Working Paper Series No. 309
Number of pages: 35 Posted: 22 Dec 2015
Andre Lucas and Xin Zhang
Vrije Universiteit Amsterdam - School of Business and Economics and Sveriges Riksbank - Research Division
Downloads 79 (418,351)
Citation 7

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dynamic volatilities, dynamic higher-order moments, integrated generalized autoregressive score models, Exponentially Weighted Moving Average (EWMA), Value-at-Risk (VaR)

34.

The Dynamic Skellam Model with Applications

Tinbergen Institute Discussion Paper 14-032/IV/DSF73
Number of pages: 32 Posted: 11 Mar 2014
Siem Jan Koopman, Rutger Lit and Andre Lucas
Vrije Universiteit Amsterdam - School of Business and Economics, VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 182 (227,265)
Citation 3

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dynamic count data models, non-Gaussian multivariate time series models, importance sampling, numerical integration, volatility models, sports data

35.

Model-Based Business Cycle and Financial Cycle Decomposition for Europe and the U.S.

Tinbergen Institute Discussion Paper 16-051/IV
Number of pages: 19 Posted: 11 Jul 2016
Siem Jan Koopman, Rutger Lit and Andre Lucas
Vrije Universiteit Amsterdam - School of Business and Economics, VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 174 (236,157)
Citation 32

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financial cycle, business cycle, phase shift, multivariate state space model, Kalman filtering, panel time series

36.

Intraday Stock Price Dependence Using Dynamic Discrete Copula Distributions

Tinbergen Institute Discussion Paper 15-037/III/DSF90
Number of pages: 40 Posted: 21 Mar 2015
Siem Jan Koopman, Rutger Lit and Andre Lucas
Vrije Universiteit Amsterdam - School of Business and Economics, VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 163 (249,502)
Citation 1

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time-varying copulas, dynamic discrete data, score driven models, Skellam distribution, dynamic dependence

Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Tinbergen Institute Discussion Paper 11-042/DSF 16
Number of pages: 43 Posted: 22 Feb 2011
University of Chicago - Booth School of Business - Econometrics and Statistics, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 109 (340,671)
Citation 14

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panel data, loss given default, default risk, dynamic beta density, dynamic ordered probit, dynamic factor model

Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

ECB Working Paper No. 1626
Number of pages: 43 Posted: 04 Jan 2014
University of Chicago - Booth School of Business - Econometrics and Statistics, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 54 (510,273)

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panel data; loss given default; default risk; dynamic beta density; dynamic ordered probit; dynamic factor model

38.

Modeling Frailty-Correlated Defaults Using Many Macroeconomic Covariates

Number of pages: 37 Posted: 12 Feb 2009 Last Revised: 29 Aug 2010
Siem Jan Koopman, Andre Lucas and Bernd Schwaab
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and European Central Bank (ECB) - Directorate General Research
Downloads 156 (258,872)
Citation 17

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Non-Gaussian Panel Data, Common Factors, Unobserved Components, Forecasting

39.

Forecasting Cross-Sections of Frailty-Correlated Default

Tinbergen Institute Discussion Paper No. 08-029/4
Number of pages: 35 Posted: 25 Mar 2008
Siem Jan Koopman, Andre Lucas and Bernd Schwaab
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and European Central Bank (ECB) - Directorate General Research
Downloads 149 (268,587)
Citation 4

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Non-Gaussian Panel Data, Common Factors, Unobserved Components, Forecasting Conditional Default Probabilities

40.

Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models

Number of pages: 37 Posted: 06 Mar 2012
Siem Jan Koopman, Andre Lucas and Marcel Scharth
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and The University of Sydney
Downloads 147 (271,573)
Citation 20

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Generalised autoregressive score model, Importance sampling, Model confidence set, Nonlinear state space model, Weibull-gamma mixture

41.
Downloads 145 (274,565)
Citation 28

Do Negative Interest Rates Make Banks Less Safe?

Tinbergen Institute Discussion Papers, 2017
Number of pages: 9 Posted: 26 Apr 2017
Bank of Italy, Vrije Universiteit Amsterdam - School of Business and Economics, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 97 (368,568)
Citation 28

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negative interest rates, bank business model, systemic risk, unconventional monetary policy measures

Do Negative Interest Rates Make Banks Less Safe?

ECB Working Paper No. 2098
Number of pages: 17 Posted: 14 Sep 2017
Bank of Italy, Vrije Universiteit Amsterdam - School of Business and Economics, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 48 (537,739)
Citation 2

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negative interest rates, bank business model, systemic risk, unconventional monetary policy measures

42.

Aggregating Credit and Market Risk: The Impact of Model Specification

Tinbergen Institute Discussion Paper 12-057/2/DSF36
Number of pages: 33 Posted: 02 Jun 2012
Andre Lucas and Bastiaan Verhoef
Vrije Universiteit Amsterdam - School of Business and Economics and affiliation not provided to SSRN
Downloads 136 (288,577)

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risk aggregation, credit risk, market risk, link function, diversification, reduced form models, structural models

43.
Downloads 132 (295,064)
Citation 1

Dynamic Clustering of Multivariate Panel Data

Tinbergen Institute Discussion Paper 2020-009/III
Number of pages: 47 Posted: 05 Mar 2020
Vrije Universiteit Amsterdam - School of Business and Economics, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 77 (424,709)
Citation 1

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dynamic clustering, panel data, Hidden Markov Model, score-driven dynamics, bank business models

Dynamic Clustering of Multivariate Panel Data

ECB Working Paper No. 2021/2577
Number of pages: 54 Posted: 30 Jul 2021
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 55 (505,975)

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44.

Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models

Number of pages: 39 Posted: 20 Mar 2011 Last Revised: 28 Jan 2012
Siem Jan Koopman, Andre Lucas and Marcel Scharth
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and The University of Sydney
Downloads 118 (320,435)
Citation 13

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Kalman filter, Monte Carlo maximum likelihood, numerical integration, stochastic copula, stochastic conditional duration, stochastic volatility

45.

Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods

NYU Working Paper No. SC-CFE-04-03
Number of pages: 30 Posted: 07 Nov 2008 Last Revised: 14 Oct 2010
Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 114 (328,329)
Citation 1

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Efficient price;, Financial markets, High-frequency data, Kalman filter, Unobserved components time series models

46.

Risk Aversion Under Preference Uncertainty

Finance Research Letters, Vol. 9, No. 1, 2012
Number of pages: 13 Posted: 14 Apr 2011 Last Revised: 20 Mar 2012
Roman Kräussl, Andre Lucas and Arjen Siegmann
Universite du Luxembourg - Department of Finance, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 110 (336,562)
Citation 2

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risk aversion, preference uncertainty, risk-taking, optimal asset allocation

47.

Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes

Tinbergen Institute Discussion Paper No. 12-059/2
Number of pages: 31 Posted: 22 Jun 2012 Last Revised: 20 Mar 2014
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 105 (347,200)
Citation 16

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Dudley integral, Durations, Higher-order models, Nonlinear dynamics, Time-varying parameters, Volatility

48.

New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels

Tinbergen Institute Discussion Paper 14-073/IV
Number of pages: 31 Posted: 24 Jun 2014
Pawel Janus, Andre Lucas and Anne Opschoor
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 103 (351,690)
Citation 15

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realized covariance matrices, heavy tails, (degenerate) matrix-F distribution, generalized autoregressive score (GAS) dynamics

49.

COVID-19, Credit Risk and Macro Fundamentals

Tinbergen Institute Discussion Paper 2021-059/III
Number of pages: 32 Posted: 30 Jun 2021
Anna Dubinova, Andre Lucas and Sean Telg
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Maastricht University - Department of Quantitative Economics
Downloads 102 (354,050)

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COVID-19, credit risk, macro fundamentals, frailty factors, dynamic latent factors

50.

Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models

Tinbergen Institute Discussion Paper 14-107/III
Number of pages: 48 Posted: 15 Aug 2014 Last Revised: 18 Aug 2014
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and VU University AmsterdamTinbergen Institute
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Citation 9

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Spatial correlation, time-varying parameters, systemic risk, European debt crisis, generalized autoregressive score

51.
Downloads 91 (380,547)
Citation 7

The Information in Systemic Risk Rankings

Tinbergen Institute Discussion Paper 15-070/III/94
Number of pages: 24 Posted: 03 Jun 2015
Bank of Italy, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 50 (528,263)
Citation 4

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systemic risk contribution, risk rankings, forecast combination, financial regulation, banking supervision

The Information in Systemic Risk Rankings

ECB Working Paper No. 1875
Number of pages: 34 Posted: 21 Jan 2016
Bank of Italy, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 41 (573,351)
Citation 5

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systemic risk contribution, risk rankings, forecast combination, financial regulation, banking supervision

Modeling Extreme Events: Time-Varying Extreme Tail Shape

ECB Working Paper No. 2021/2524
Number of pages: 66 Posted: 05 Mar 2021
Bernd Schwaab, Andre Lucas and Xin Zhang
European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Sveriges Riksbank - Research Division
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Modeling Extreme Events: Time-Varying Extreme Tail Shape

Tinbergen Institute Discussion Paper 2020-076/III
Number of pages: 63 Posted: 04 Jan 2021
Bernd Schwaab, Xin Zhang and Andre Lucas
European Central Bank (ECB) - Directorate General Research, Sveriges Riksbank - Research Division and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 39 (584,186)

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Dynamic Tail Risk, Observation-Driven Models, Extreme Value Theory, European Central Bank (ECB), Securities Markets Programme (SMP)

53.

Long Memory Dynamics for Multivariate Dependence Under Heavy Tails

Tinbergen Institute Discussion Paper 11-175/5/DSF28
Number of pages: 43 Posted: 14 Dec 2011
Pawel Janus, Siem Jan Koopman and Andre Lucas
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 87 (391,119)
Citation 9

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fractional integration, correlation, student's t copula, time-varying dependence, multivariate volatility

54.

Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns

Tinbergen Institute Discussion Paper 16-069/IV
Number of pages: 38 Posted: 03 Sep 2016 Last Revised: 08 Jul 2017
Andre Lucas and Anne Opschoor
Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 84 (399,438)
Citation 8

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multivariate volatility, fractional integration, realized covariance matrices, heavy tails, matrix-F distribution, score dynamics

55.

Quantiles for T-Statistics Based on M-Estimators of Unit Roots

Number of pages: 10 Posted: 26 Nov 1997
Karim M. Abadir and Andre Lucas
Imperial College Business School and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 78 (416,962)

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56.

Conditional Euro Area Sovereign Default Risk

Riksbank Research Paper Series No. 100, Sveriges Riksbank Working Paper Series No. 269
Number of pages: 40 Posted: 15 Aug 2013
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 75 (426,248)
Citation 25

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sovereign credit risk, higher order moments, time-varying parameters, financial stability

57.

Dynamic Factor Models with Macro, Frailty and Industry Effects for US Default Counts: The Credit Crisis of 2008

ECB Working Paper No. 1459
Number of pages: 45 Posted: 20 Aug 2012
Siem Jan Koopman, Andre Lucas and Bernd Schwaab
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and European Central Bank (ECB) - Directorate General Research
Downloads 69 (445,841)
Citation 4

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financial crisis, default risk, credit portfolio models, frailty-correlated defaults, state space methods

58.

A New Semiparametric Volatility Model

Tinbergen Institute - Duisenberg School of Finance Discussion Paper No. 12-055/2/35
Number of pages: 37 Posted: 24 May 2012 Last Revised: 20 Oct 2012
Jiangyu Ji and Andre Lucas
Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 67 (452,736)

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volatility clustering, Generalized Autoregressive Score model, kernel density estimation, density forecast evaluation

59.

Estimating Systematic Continuous-Time Trends in Recidivism Using a Non-Gaussian Panel Data Model

TI 07-027/4
Number of pages: 31 Posted: 13 Mar 2007
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics, VU University Amsterdam - Department of Econometrics and Nyenrode University
Downloads 66 (456,207)
Citation 2

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non-Gaussian state space modeling, nonlinear panel data model, binomial time series, recidivism behavior, continuous time modelling

60.

Observation-driven Models for Realized Variances and Overnight Returns

Tinbergen Institute Discussion Paper 2019-052/IV
Number of pages: 30 Posted: 05 Aug 2019
Anne Opschoor and Andre Lucas
Vrije Universiteit Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 65 (459,698)

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overnight volatility, realized variance, F distribution, score-driven dynamics

61.

Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads

Tinbergen Institute Discussion Paper 16-064/IV
Number of pages: 23 Posted: 29 Aug 2016
Erasmus University Rotterdam (EUR), Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 64 (463,272)
Citation 2

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systemic risk, conditional default, credit default swaps, bond yields

62.

Global Credit Risk: World, Country and Industry Factors

ECB Working Paper No. 1922
Number of pages: 55 Posted: 19 Jun 2016
Bernd Schwaab, Siem Jan Koopman and Andre Lucas
European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 64 (463,272)
Citation 3

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systematic default risk, credit portfolio models, frailty-correlated defaults, international default risk cycles, state-space methods

63.

Mixed Density Based Copula Likelihood

Tinbergen Institute Discussion Paper 15-003/IV/DSF084
Number of pages: 31 Posted: 12 Jan 2015
Kazim Azam and Andre Lucas
Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 63 (467,027)

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copula, discrete data, time series

64.

Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution

Tinbergen Institute Discussion Paper 2021-010/III
Number of pages: 38 Posted: 13 Mar 2021
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and University of Milan
Downloads 62 (474,507)
Citation 2

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Matrix Distributions, Tail Heterogeneity, (inverse) Riesz Distribution, Fat-Tails, Realized Covariance Matrices

65.

Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

Tinbergen Institute Discussion Paper 14-118/III
Number of pages: 35 Posted: 02 Sep 2014 Last Revised: 31 Mar 2016
VU University Amsterdam, VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 62 (470,719)
Citation 1

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Bayesian inference, importance sampling, Monte Carlo estimation, Metropolis-Hastings algorithm, mixture of student's t-distributions

66.

Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models

Tinbergen Institute Discussion Paper 2018-099/III
Number of pages: 34 Posted: 07 Jan 2019
Andries van Vlodrop and Andre Lucas
VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 56 (493,814)

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Portfolio allocation, high dimensions, linear and non-linear shrinkage, factor models

67.

In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models

Tinbergen Institute Discussion Paper 15-083/III
Number of pages: 34 Posted: 11 Jul 2015
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics, VU Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 51 (514,579)
Citation 8

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autoregressive conditional duration, delta-method, generalized autoregressive conditional heteroskedasticity, score driven models, time-varying mean

68.

Bank Business Models at Zero Interest Rates

ECB Working Paper No. 2084
Number of pages: 70 Posted: 04 Jul 2017
Vrije Universiteit Amsterdam - School of Business and Economics, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 50 (518,989)

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Bank Business Models; Clustering; Finite Mixture Model; Score-Driven Model; Low Interest Rate

69.

Optimal Formulations for Nonlinear Autoregressive Processes

Tinbergen Institute Discussion Paper 14-103/III
Number of pages: 54 Posted: 11 Aug 2014
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 49 (523,467)
Citation 10

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Asymptotic theory; Dynamic models; Observation driven time series models; Smooth-transition model; Time-Varying Parameters; Treshold autoregressive model

70.

Network, Market, and Book-Based Systemic Risk Rankings

Tinbergen Institute Discussion Paper 16-074/IV
Number of pages: 14 Posted: 09 Sep 2016
Michiel van de Leur and Andre Lucas
Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 47 (532,415)

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Systemically Important Financial Institutions (SIFI), European banking sector, systemic risk rankings, network based risk measures

71.

The Importance of Heterogeneity in Dynamic Network Models Applied to European Systemic Risk

Tinbergen Institute Discussion Paper 2021-085/III
Number of pages: 39 Posted: 18 Nov 2021
Xingmin Zhang, Anne Opschoor and Andre Lucas
affiliation not provided to SSRN, Vrije Universiteit Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 43 (551,395)

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dynamic networks, spatial auto-regressions, heterogeneous spatial contagion, network heterogeneity, sovereign risk dynamics

72.

Bank Business Models at Zero Interest Rates

Tinbergen Institute Discussion Paper 16-066/IV
Number of pages: 56 Posted: 30 Aug 2016
Vrije Universiteit Amsterdam - School of Business and Economics, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 43 (551,395)
Citation 21

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bank business models, clustering, finite mixture model, score-driven model, low interest rates

73.

Conditional and Joint Credit Risk

ECB Working Paper No. 1621
Number of pages: 39 Posted: 14 Dec 2013
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 41 (561,480)

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sovereign credit risk; higher order moments; time-varying parameters; financial stability

74.

Information Theoretic Optimality of Observation Driven Time Series Models

Tinbergen Institute Discussion Paper 14-046/III
Number of pages: 33 Posted: 12 Apr 2014
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 38 (576,750)
Citation 32

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generalized autoregressive models, information theory, optimality, Kullback-Leibler distance, volatility models

Risk Endogeneity at the Lender/Investor-of-Last-Resort

ECB Working Paper No. 2225 (2019); ISBN 978-92-899-3487-9
Number of pages: 60 Posted: 01 Feb 2019
European Central Bank (ECB), Vrije Universiteit Amsterdam - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 17 (741,524)

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credit risk, risk measurement, central bank, lender-of-last-resort, unconventional monetary policy

Risk Endogeneity at the Lender/Investor-of-Last-Resort

BIS Working Paper No. 766
Number of pages: 48 Posted: 13 Feb 2019
European Central Bank (ECB), Vrije Universiteit Amsterdam - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 13 (778,544)

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credit risk, risk measurement, central bank, lender-of-last-resort, unconventional monetary policy

76.

Clustering Dynamics and Persistence for Financial Multivariate Panel Data

Tinbergen Institute Discussion Paper 2021-040/III
Number of pages: 35 Posted: 11 May 2021
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and VU University AmsterdamTinbergen Institute
Downloads 28 (635,563)

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dynamic clustering, shrinkage, cluster membership persistence, Silhouette index, insurance

77.

Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings

Tinbergen Institute Discussion Paper 2019-013/IV
Number of pages: 61 Posted: 05 Nov 2019
Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, VU University Amsterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 27 (642,217)
Citation 2

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factor copulas, factor structure, score-driven dynamics, multivariate density forecast

78.

Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

Tinbergen Institute Discussion Paper 16-067/IV
Number of pages: 7 Posted: 31 Aug 2016
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and VU University AmsterdamTinbergen Institute
Downloads 27 (642,217)
Citation 4

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generalized autoregressive score models, missing completely at random, Expectation-Maximization

79.

Time-varying variance and skewness in realized volatility measures

Tinbergen Institute Discussion Paper 2019-051/IV
Number of pages: 33 Posted: 05 Aug 2019 Last Revised: 01 Mar 2022
Anne Opschoor and Andre Lucas
Vrije Universiteit Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 26 (649,186)

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realized kernel, heavy tails, F distribution, time-varying shape-parameter, Vol-of-Vol, score-driven dynamics

80.

Finite Sample Optimality of Score-Driven Volatility Models

Tinbergen Institute Discussion Paper 17-111/III
Number of pages: 23 Posted: 29 Nov 2017
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 23 (670,548)

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Volatility models, score-driven dynamics, finite samples, Kullback-Leibler divergence, optimality

81.

Approximate Normality of T-Ratios Based on M-Estimators for the Unit Root

Economics Letters, Forthcoming
Number of pages: 11 Posted: 06 Jan 1998 Last Revised: 15 Jan 2012
Karim M. Abadir and Andre Lucas
Imperial College Business School and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 21 (685,617)

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82.

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Tinbergen Institute Discussion Paper 15-027/III
Number of pages: 31 Posted: 24 Feb 2015
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics, VU Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 20 (693,196)

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autoregressive conditional duration, delta-method, generalized autoregressive conditional heteroskedasticity, score driven models, time-varying mean

83.

Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models

Tinbergen Institute Discussion Paper No. 13-097/IV/DSF59
Number of pages: 22 Posted: 20 Jul 2013 Last Revised: 20 Mar 2014
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 17 (716,872)

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dynamic copulas, generalized autoregressive score (GAS) models, stochastic recurrence equations, observation driven models, contraction properties

84.

A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model

Journal of Econometrics, Vol. 119, No. 1, p. 45, 2004
Number of pages: 26 Posted: 15 Jan 2012
Karim M. Abadir and Andre Lucas
Imperial College Business School and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 4 (836,707)

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85.

Global Loss Diversification in the Insurance Sector

Tinbergen Institute Discussion Paper No. 08-086/2
Posted: 16 Sep 2008 Last Revised: 11 Jan 2009
Oleg Sheremet and Andre Lucas
VU University Amsterdam - Institute for Environmental Studies (IVM) and Vrije Universiteit Amsterdam - School of Business and Economics

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Catastrophic insurance losses, Copula and dependence, Diversification

86.

Outlier Detection in Cointegration Analysis

Franses, Philip Hans, and Andre Lucas (1998): "Outlier detection in cointegration analysis," Journal of Business and Economic Statistics, 16(4), 459-468.
Posted: 09 Apr 1998 Last Revised: 20 Mar 2014
Philip Hans Franses and Andre Lucas
Erasmus University Rotterdam (EUR) - Department of Econometrics and Vrije Universiteit Amsterdam - School of Business and Economics

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87.

Measuring the Impact of Promotion on Weekly Market Shares

Posted: 21 Jan 1998
Philip Hans Franses and Andre Lucas
Erasmus University Rotterdam (EUR) - Department of Econometrics and Vrije Universiteit Amsterdam - School of Business and Economics

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88.

Testing for Smooth Transition Nonlinearity in the Presence of Outliers

A1.89 WP 9622/A
Posted: 14 Jan 1998
Erasmus University Rotterdam (EUR) - Department of Econometrics, Vrije Universiteit Amsterdam - School of Business and Economics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

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89.

Least Median of Squares for Autoregressions with Additive Outliers

Posted: 06 Jan 1998
Andre Lucas
Vrije Universiteit Amsterdam - School of Business and Economics

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90.

Outlier Robust Cointegration Analysis

Posted: 03 Jan 1998
Philip Hans Franses and Andre Lucas
Erasmus University Rotterdam (EUR) - Department of Econometrics and Vrije Universiteit Amsterdam - School of Business and Economics

Abstract:

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91.

Testing for Arch in the Presence of Additive Outliers

Posted: 22 Jul 1997
Erasmus University Rotterdam (EUR) - Department of Econometrics, Vrije Universiteit Amsterdam - School of Business and Economics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

Abstract:

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92.

Nonrobustness of the Student's T Based Pseudo Maximum Likelihood Estimator

Posted: 19 Jul 1997
Andre Lucas
Vrije Universiteit Amsterdam - School of Business and Economics

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93.

Outlier Robust Analysis of Market Share and Distribution Relation for Weekly Scanning Data

Posted: 18 Jul 1997
Philip Hans Franses, Andre Lucas and Teun Kloek
Erasmus University Rotterdam (EUR) - Department of Econometrics, Vrije Universiteit Amsterdam - School of Business and Economics and Erasmus University

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94.

Inference on Cointegrating Ranks Using Pseudo Lm Tests

Posted: 01 Jul 1997
Andre Lucas
Vrije Universiteit Amsterdam - School of Business and Economics

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