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Browsing All of EconStor by Author Lucas, André
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Showing results 41 to 60 of 71
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Year of Publication
Title
Author(s)
2014
Information Theoretic Optimality of Observation Driven Time Series Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
2014
Optimal Formulations for Nonlinear Autoregressive Processes
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
2015
The Information in Systemic Risk Rankings
Nucera, Federico
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
2015
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lasak, Katarzyna
;
Lucas, André
2015
Score driven exponentially weighted moving averages and value-at-risk forecasting
Lucas, André
;
Zhang, Xin
2015
Modeling financial sector joint tail risk in the euro area
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
2015
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lasak, Katarzyna
;
Lucas, André
2015
Global Credit Risk: World, Country and Industry Factors
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
2015
Generalized Autoregressive Method of Moments
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
;
Zamojski, Marcin
2015
Modeling financial sector joint tail risk in the euro area
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
2015
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, André
2016
Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
Lucas, André
;
Opschoor, Anne
2016
Global credit risk: world country and industry factors
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
2016
The information in systemic risk rankings
Nucera, Federico
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
2017
Bank business models at zero interest rates
Lucas, André
;
Schaumburg, Julia
;
Schwaab, Bernd
2017
Finite Sample Optimality of Score-Driven Volatility Models
Blasques, Francisco
;
Lucas, André
;
van Vlodrop, Andries
2018
Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models
van Vlodrop, Andries C.
;
Lucas, André
2019
Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
Opschoor, Anne
;
Lucas, André
;
Barra, Istvan
;
van Dijk, Dick
2019
Observation-driven Models for Realized Variances and Overnight Returns
Opschoor, Anne
;
Lucas, André
2019
Risk endogeneity at the lender/investor-of-last-resort
Caballero, Diego
;
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin