Browsing All of EconStor by Author Lucas, André


Showing results 21 to 40 of 71
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Year of PublicationTitleAuthor(s)
2008Forecasting Cross-Sections of Frailty-Correlated DefaultKoopman, Siem Jan; Lucas, André; Schwaab, Bernd
2008Global Loss Diversification in the Insurance SectorSheremet, Oleg; Lucas, André
2008A General Framework for Observation Driven Time-Varying Parameter ModelsCreal, Drew; Koopman, Siem Jan; Lucas, André
2008A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling DecisionsLee, Carmen; Kraeussl, Roman; Lucas, André; Paas, Leonard J.
2010A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and CorrelationsCreal, Drew; Koopman, Siem Jan; Lucas, André
2010Blockholder dispersion and firm valueKonijn, Sander J. J.; Kräussl, Roman; Lucas, André
2010Washington meets Wall Street: A closer examination of the presidential cycle puzzleKräussl, Roman; Lucas, André; Rijsbergen, David R.; van der Sluis, Pieter Jelle; Vrugt, Evert B.
2010Why do investors sell losers? How adaptation to losses affects future capitulation decisionsLee, Carmen; Kräussl, Roman; Lucas, André; Paas, Leo
2010Cash flow and discount rate risk in up and down markets: What is actually priced?Botshekan, Mahmoud; Kräussl, Roman; Lucas, André
2010Risk aversion under preference uncertaintyKräussl, Roman; Lucas, André; Siegmann, Arjen
2011Systemic risk diagnostics: coincident indicators and early warning signalsSchwaab, Bernd; Koopman, Siem Jan; Lucas, André
2011Long Memory Dynamics for Multivariate Dependence under Heavy TailsJanus, Pawel; Koopman, Siem Jan; Lucas, André
2012Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008Koopman, Siem Jan; Lucas, André; Schwaab, Bernd
2013Conditional euro area sovereign default riskLucas, André; Schwaab, Bernd; Zhang, Xin
2013Conditional and joint credit riskLucas, André; Schwaab, Bernd; Zhang, Xin
2013Observation driven mixed-measurement dynamic factor models with an application to credit riskCreal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, André
2014New HEAVY Models for Fat-Tailed Returns and Realized Covariance KernelsJanus, Pawel; Lucas, André; Opschoor, Anne
2014The Dynamic Skellam Model with ApplicationsKoopman, Siem Jan; Lit, Rutger; Lucas, André
2014Score Driven exponentially Weighted Moving Average and Value-at-Risk ForecastingLucas, André; Zhang, Xin
2014Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space ModelsBarra, István; Hoogerheide, Lennart; Koopman, Siem Jan; Lucas, André