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Results 21-30 of 47.
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Year of Publication
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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
2022
Dynamic Partial Correlation Models
D'Innocenzo, Enzo
;
Lucas, André
2005
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
Koopman, Siem Jan
;
Lucas, André
;
Monteiro, André
2001
Tail Behavior of Credit Loss Distributions for General Latent Factor Models
Lucas, André
;
Klaassen, Pieter
;
Spreij, Peter
;
Straetmans, Stefan
2003
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
Menkveld, Albert J.
;
Koopman, Siem Jan
;
Lucas, André
2019
Observation-driven Models for Realized Variances and Overnight Returns
Opschoor, Anne
;
Lucas, André
2017
Finite Sample Optimality of Score-Driven Volatility Models
Blasques, Francisco
;
Lucas, André
;
van Vlodrop, Andries
2007
Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models
Banachewicz, Konrad
;
Lucas, André
2000
Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations
Genton, Marc G.
;
Lucas, André
Author
20
Koopman, Siem Jan
6
Opschoor, Anne
5
Blasques, Francisco
5
Schwaab, Bernd
3
Creal, Drew
3
Klaassen, Pieter
3
van Dijk, Dick
2
Banachewicz, Konrad
2
Franses, Philip Hans
2
Janus, Pawel
.
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