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Results 1-10 of 28.
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Year of Publication
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2010
Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?
Botshekan, Mahmoud
;
Kraeussl, Roman
;
Lucas, Andre
2013
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
Blasques, Francisco
;
Lucas, Andre
;
Silde, Erkki
2012
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
2012
Long-Term versus Short-Term Contingencies in Asset Allocation
Botshekan, Mahmoud
;
Lucas, Andre
2012
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
Koopman, Siem Jan
;
Lucas, Andre
;
Scharth, Marcel
2014
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
2010
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
Koopman, Siem Jan
;
Lucas, Andre
;
Schwaab, Bernd
2012
Aggregating Credit and Market Risk: The Impact of Model Specification
Lucas, Andre
;
Verhoef, Bastiaan
2013
Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
Lucas, Andre
;
Schwaab, Bernd
;
Zhang, Xin
2015
Mixed Density based Copula Likelihood
Azam, Kazim
;
Lucas, Andre
Author
14
Koopman, Siem Jan
7
Schwaab, Bernd
5
Blasques, Francisco
4
Schaumburg, Julia
3
Creal, Drew
3
Zhang, Xin
2
Botshekan, Mahmoud
2
Kraeussl, Roman
2
Lit, Rutger
2
Scharth, Marcel
.
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