Browsing All of EconStor by Author Lucas, André

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Year of PublicationTitleAuthor(s)
1998 Short Patches of Outliers, ARCH and Volatility ModelingFranses, Philip Hans; van Dijk, Dick; Lucas, André
1998 A Hybrid Joint Moment Ratio Test for Financial Time SeriesGroenendijk, Patrick A.; Lucas, André; de Vries, Casper G.
1999 SETS, Arbitrage Activity, and Stock Price DynamicsTaylor, Nick; van Dijk, Dick; Franses, Philip Hans; Lucas, André
1999 Disparitätsmessung aus klassierten Daten mittels Schätzung von entropiemaximalen DichtefunktionenLucas, André
2000 Analytic Decision Rules for Financial Stochastic ProgramsSiegmann, Arjen H.; Lucas, André
2000 Comprehensive Definitions of Breakdown-Points for Independent and Dependent ObservationsGenton, Marc G.; Lucas, André
2001 Tail Behavior of Credit Loss Distributions for General Latent Factor ModelsLucas, André; Klaassen, Pieter; Spreij, Peter; Straetmans, Stefan
2001 Stock Selection, Style Rotation, and RiskLucas, André; van Dijk, Ronald; Kloek, Teun
2002 Explaining Hedge Fund Investment Styles by Loss AversionSiegmann, Arjen; Lucas, André
2002 Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer FormationKoopman, Siem Jan; Lucas, André; Klaassen, Pieter
2003 Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch EvidenceMenkveld, Albert J.; Koopman, Siem Jan; Lucas, André
2003 Discrete versus Continuous State Switching Models for Portfolio Credit RiskLucas, André; Klaassen, Pieter
2003 Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrongPeeters, Bas; Dert, Cees L.; Lucas, André
2003 Business and Default Cycles for Credit RiskKoopman, Siem Jan; Lucas, André
2005 The Multi-State Latent Factor Intensity Model for Credit Rating TransitionsKoopman, Siem Jan; Lucas, André; Monteiro, André
2005 A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default RiskKoopman, Siem Jan; Lucas, André; Daniels, Robert
2006 Credit cycles and macro fundamentalsKoopman, Siem Jan; Kräussl, Roman; Lucas, André
2006 Modeling Portfolio Defaults using Hidden Markov Models with CovariatesBanachewicz, Konrad; van der Vaart, Aad; Lucas, André
2007 Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov ModelsBanachewicz, Konrad; Lucas, André
2007 Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data ModelKoopman, Siem Jan; Lucas, André; Ooms, Marius; van Montfort, Kees; van der Geest, Victor