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Browsing All of EconStor by Author Lucas, André
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Showing results 21 to 40 of 72
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Year of Publication
Title
Author(s)
2008
Forecasting Cross-Sections of Frailty-Correlated Default
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
2008
Global Loss Diversification in the Insurance Sector
Sheremet, Oleg
;
Lucas, André
2008
A General Framework for Observation Driven Time-Varying Parameter Models
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
2008
A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions
Lee, Carmen
;
Kraeussl, Roman
;
Lucas, André
;
Paas, Leonard J.
2010
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
2010
Blockholder dispersion and firm value
Konijn, Sander J. J.
;
Kräussl, Roman
;
Lucas, André
2010
Washington meets Wall Street: A closer examination of the presidential cycle puzzle
Kräussl, Roman
;
Lucas, André
;
Rijsbergen, David R.
;
van der Sluis, Pieter Jelle
;
Vrugt, Evert B.
2010
Why do investors sell losers? How adaptation to losses affects future capitulation decisions
Lee, Carmen
;
Kräussl, Roman
;
Lucas, André
;
Paas, Leo
2010
Cash flow and discount rate risk in up and down markets: What is actually priced?
Botshekan, Mahmoud
;
Kräussl, Roman
;
Lucas, André
2010
Risk aversion under preference uncertainty
Kräussl, Roman
;
Lucas, André
;
Siegmann, Arjen
2011
Systemic risk diagnostics: coincident indicators and early warning signals
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
2011
Long Memory Dynamics for Multivariate Dependence under Heavy Tails
Janus, Pawel
;
Koopman, Siem Jan
;
Lucas, André
2012
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
2013
Conditional euro area sovereign default risk
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
2013
Conditional and joint credit risk
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
2013
Observation driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
2014
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
Janus, Pawel
;
Lucas, André
;
Opschoor, Anne
2014
The Dynamic Skellam Model with Applications
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, André
2014
Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting
Lucas, André
;
Zhang, Xin
2014
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
Barra, István
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
;
Lucas, André