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

86

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15,146

CITATIONS
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215

Scholarly Papers (86)

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 1,142 (17,380)
Citation 11

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 906 (24,524)
Citation 36

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

3.

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 690 (35,768)

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

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 456 (60,411)

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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 191 (155,742)
Citation 11

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

5.

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 574 (45,645)
Citation 22

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

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
VU Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 540 (49,317)
Citation 22

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7.

Hedge Fund Payoffs and Loss Aversion

EFA 2003 Annual Conference Paper No. 116
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 499 (54,507)
Citation 1

Abstract:

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loss aversion, hedge funds, performance measurement, behavioral finance

8.

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 Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 469 (58,956)
Citation 19

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

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, Luxembourg School of Finance, Vrije Universiteit Amsterdam - School of Business and Economics and Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)
Downloads 411 (69,206)
Citation 23

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

10.

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, Luxembourg School of Finance and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 383 (75,195)
Citation 8

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

11.

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 382 (75,435)
Citation 4

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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 343 (85,500)
Citation 18

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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 309 (95,462)
Citation 10

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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 17 (549,300)
Citation 8

Abstract:

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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 15 (562,136)

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

14.

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 319 (92,696)
Citation 9

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

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 300 (98,590)
Citation 1

Abstract:

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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 (542,856)
Citation 2
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16.

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, Luxembourg School of Finance and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 316 (93,655)
Citation 15

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Corporate Governance, Ownership Structure, Multiple Blockholder, Firm Value

17.

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
Luxembourg School of Finance, Vrije Universiteit Amsterdam - School of Business and Economics, De Nederlandsche Bank, APG Asset Management, GTAA Fund and VU University Amsterdam, PGO-IM
Downloads 306 (97,006)
Citation 3

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political economy, inefficient markets, market anomalies, calendar effects

18.

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 300 (99,083)

Abstract:

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

19.

Analytic Decision Rules for Financial Stochastic Programs

EFMA 2001 Lugano Meetings
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 288 (103,580)
Citation 1

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

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 - Tinbergen Institute Amsterdam (TIA) and Department of Applied Mathematics, University of Porto
Downloads 284 (105,140)

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

21.

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 269 (111,362)
Citation 2

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

22.

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 267 (112,211)
Citation 5

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

23.

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 - Tinbergen Institute Amsterdam (TIA)
Downloads 264 (113,526)
Citation 44

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

24.

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 250 (120,174)
Citation 3

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

25.

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 237 (126,808)
Citation 9

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

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 Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 228 (131,352)
Citation 1

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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 Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 1 (671,314)
Citation 4
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Hidden Markov models, observation driven models, time varying parameter

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 227 (132,381)

Abstract:

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defaults, Markov switching, default regimes

28.

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 197 (151,359)
Citation 24

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

29.

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 180 (164,364)

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

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 180 (164,364)
Citation 56

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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 175 (168,576)
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

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 84 (294,064)
Citation 2

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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 75 (314,869)
Citation 8

Abstract:

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

33.
Downloads 157 (185,050)
Citation 3

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
Downloads 126 (221,804)
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
Downloads 31 (466,153)
Citation 1

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

34.

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 143 (199,890)
Citation 28

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

35.

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 138 (205,697)
Citation 25

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

36.

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 137 (206,894)
Citation 2

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

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 105 (253,797)
Citation 38

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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 31 (466,153)

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

38.

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 129 (217,062)
Citation 1

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

39.

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 126 (220,983)

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

40.

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 125 (222,327)
Citation 47

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

41.

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 123 (224,975)
Citation 1

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

42.
Downloads 113 (239,547)
Citation 3

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, Tinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 88 (285,459)
Citation 4

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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, Tinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 25 (499,054)

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

43.

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 108 (247,349)
Citation 15

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

44.

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
Luxembourg School of Finance, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 105 (252,305)

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

45.

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 94 (271,509)
Citation 13

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

46.

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 Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and Tinbergen Institute
Downloads 88 (283,112)
Citation 10

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

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 Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 84 (291,437)
Citation 12

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

48.
Downloads 83 (293,516)
Citation 3

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 47 (398,942)
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 36 (443,019)
Citation 7

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

49.

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 82 (295,675)
Citation 12

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

50.

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
VU Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 82 (295,675)
Citation 11

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

51.

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 76 (309,229)
Citation 2

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52.

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 66 (334,190)
Citation 19

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

53.

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 65 (336,852)
Citation 1

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

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 64 (339,532)
Citation 2

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

55.

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 61 (347,835)
Citation 14

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

56.

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 60 (350,706)

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

57.

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 58 (356,596)

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

58.

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 57 (359,608)
Citation 3

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

59.

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
Rutger-Jan Lange, Andre Lucas and Arjen Siegmann
Erasmus University Rotterdam (EUR), Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 52 (375,207)

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

60.

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 52 (375,207)

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copula, discrete data, time series

61.

Bank Business Models at Zero Interest Rates

ECB Working Paper No. 2084
Number of pages: 70 Posted: 04 Jul 2017
Andre Lucas, Julia Schaumburg and Bernd Schwaab
Vrije Universiteit Amsterdam - School of Business and Economics, Tinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 41 (413,383)

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

62.

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 40 (417,232)
Citation 1

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

63.

Bank Business Models at Zero Interest Rates

Tinbergen Institute Discussion Paper 16-066/IV
Number of pages: 56 Posted: 30 Aug 2016
Andre Lucas, Julia Schaumburg and Bernd Schwaab
Vrije Universiteit Amsterdam - School of Business and Economics, Tinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 35 (437,298)
Citation 84

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

64.

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 34 (441,460)
Citation 1

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

65.

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 Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, VU Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 32 (449,998)
Citation 5

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

66.

Optimal Formulations for Nonlinear Autoregressive Processes

Tinbergen Institute Discussion Paper 14-103/III
Number of pages: 54 Posted: 11 Aug 2014
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 31 (454,617)
Citation 8

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

67.

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 Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 30 (459,258)
Citation 32

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

68.

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 25 (484,620)

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Portfolio allocation, high dimensions, linear and non-linear shrinkage, factor 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 12 (581,846)

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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 8 (608,758)

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

70.

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
Andre Lucas, Anne Opschoor and Julia Schaumburg
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 20 (512,564)
Citation 3

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

71.

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 Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, VU Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 18 (524,217)

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

72.

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 18 (524,217)
Citation 5

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73.

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 Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 16 (535,592)
Citation 2

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

74.

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
Francisco Blasques, Andre Lucas and Erkki Silde
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 16 (535,592)

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

75.

Modeling Portfolio Defaults Using Hidden Markov Models with Covariates

Econometrics Journal, Vol. 11, Issue 1, pp. 155-171, February 2008
Number of pages: 17 Posted: 29 Feb 2008
Free University of Amsterdam - Mathematic Department, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 10 (571,393)
Citation 2
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76.

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 (609,430)

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77.

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

78.

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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79.

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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80.

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

Abstract:

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81.

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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82.

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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83.

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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84.

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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85.

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

Abstract:

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86.

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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