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2016
Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
Lucas, André
;
Opschoor, Anne
2015
The Information in Systemic Risk Rankings
Nucera, Federico
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
2019
Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
Opschoor, Anne
;
Lucas, André
;
Barra, Istvan
;
van Dijk, Dick
2014
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
Janus, Pawel
;
Lucas, André
;
Opschoor, Anne
2014
The Dynamic Skellam Model with Applications
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, André
2014
Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting
Lucas, André
;
Zhang, Xin
2015
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lasak, Katarzyna
;
Lucas, André
2014
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
Barra, István
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
;
Lucas, André
2010
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
2019
Observation-driven Models for Realized Variances and Overnight Returns
Opschoor, Anne
;
Lucas, André
Author
12
Koopman, Siem Jan
5
Blasques, Francisco
5
Opschoor, Anne
2
Creal, Drew
2
Janus, Pawel
2
Lasak, Katarzyna
2
Lit, Rutger
2
Schwaab, Bernd
1
Barra, Istvan
1
Barra, István
.
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