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Browsing All of EconStor by Author Lucas, André
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Showing results 1 to 20 of 74
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Year of Publication
Title
Author(s)
1998
Short Patches of Outliers, ARCH and Volatility Modeling
Franses, Philip Hans
;
van Dijk, Dick
;
Lucas, André
1998
A Hybrid Joint Moment Ratio Test for Financial Time Series
Groenendijk, Patrick A.
;
Lucas, André
;
de Vries, Casper G.
1999
Disparitätsmessung aus klassierten Daten mittels Schätzung von entropiemaximalen Dichtefunktionen
Lucas, André
1999
SETS, Arbitrage Activity, and Stock Price Dynamics
Taylor, Nick
;
van Dijk, Dick
;
Franses, Philip Hans
;
Lucas, André
2000
Analytic Decision Rules for Financial Stochastic Programs
Siegmann, Arjen H.
;
Lucas, André
2000
Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations
Genton, Marc G.
;
Lucas, André
2001
Stock Selection, Style Rotation, and Risk
Lucas, André
;
van Dijk, Ronald
;
Kloek, Teun
2001
Tail Behavior of Credit Loss Distributions for General Latent Factor Models
Lucas, André
;
Klaassen, Pieter
;
Spreij, Peter
;
Straetmans, Stefan
2002
Explaining Hedge Fund Investment Styles by Loss Aversion
Siegmann, Arjen
;
Lucas, André
2002
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
Koopman, Siem Jan
;
Lucas, André
;
Klaassen, Pieter
2003
Discrete versus Continuous State Switching Models for Portfolio Credit Risk
Lucas, André
;
Klaassen, Pieter
2003
Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong
Peeters, Bas
;
Dert, Cees L.
;
Lucas, André
2003
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
Menkveld, Albert J.
;
Koopman, Siem Jan
;
Lucas, André
2003
Business and Default Cycles for Credit Risk
Koopman, Siem Jan
;
Lucas, André
2005
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
Koopman, Siem Jan
;
Lucas, André
;
Daniels, Robert
2005
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
Koopman, Siem Jan
;
Lucas, André
;
Monteiro, André
2006
Modeling Portfolio Defaults using Hidden Markov Models with Covariates
Banachewicz, Konrad
;
van der Vaart, Aad
;
Lucas, André
2006
Credit cycles and macro fundamentals
Koopman, Siem Jan
;
Kräussl, Roman
;
Lucas, André
2007
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model
Koopman, Siem Jan
;
Lucas, André
;
Ooms, Marius
;
van Montfort, Kees
;
van der Geest, Victor
2007
Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models
Banachewicz, Konrad
;
Lucas, André