Browsing All of EconStor by Author Lucas, Andre

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Year of PublicationTitleAuthor(s)
1999 A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration TestsBoswijk, H. Peter; Lucas, Andre; Taylor, Nick
2000 A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian ModelAbadir, Karim M.; Lucas, Andre
2006 Credit Cycles and Macro FundamentalsKoopman, Siem Jan; Kraeussl, Roman; Lucas, Andre; Monteiro, Andre
2006 Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit RiskMonteiro, Andre; Smirnov, Georgi V.; Lucas, Andre
2009 Blockholder Dispersion and Firm ValueKonijn, Sander J.J.; Kraeussl, Roman; Lucas, Andre
2010 Risk Aversion under Preference UncertaintyKraeussl, Roman; Lucas, Andre; Siegmann, Arjen
2010 Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in PerspectiveKoopman, Siem Jan; Lucas, Andre; Schwaab, Bernd
2010 Systemic Risk DiagnosticsSchwaab, Bernd; Lucas, Andre; Koopman, Siem Jan
2010 Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre
2011 Modeling Dynamic Volatilities and Correlations under Skewness and Fat TailsZhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, Andre
2011 Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit RiskCreal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, Andre
2011 Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space ModelsKoopman, Siem Jan; Lucas, Andre; Scharth, Marcel
2011 Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default RiskZhang, Xin; Schwaab, Bernd; Lucas, Andre
2012 Regime switches in the volatility and correlation of financial institutionsBoudt, Kris; Daníelsson, Jón; Koopman, Siem Jan; Lucas, Andre
2012 Long-Term versus Short-Term Contingencies in Asset AllocationBotshekan, Mahmoud; Lucas, Andre
2012 Aggregating Credit and Market Risk: The Impact of Model SpecificationLucas, Andre; Verhoef, Bastiaan
2012 Stationarity and Ergodicity of Univariate Generalized Autoregressive Score ProcessesBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre
2012 Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space ModelsBarra, Istvan; Hoogerheide, Lennart; Koopman, Siem Jan; Lucas, Andre
2012 A New Semiparametric Volatility ModelJi, Jiangyu; Lucas, Andre
2012 Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven ModelsKoopman, Siem Jan; Lucas, Andre; Scharth, Marcel