Andre Lucas : Citation Profile

Are you Andre Lucas?

Vrije Universiteit Amsterdam (50% share)
Tinbergen Instituut (50% share)

27

H index

56

i10 index

2377

Citations

RESEARCH PRODUCTION:

82

Articles

126

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1995 - 2022). See details.
   Cites by year: 88
   Journals where Andre Lucas has often published
   Relations with other researchers
   Recent citing documents: 320.    Total self citations: 117 (4.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plu10
   Updated: 2023-03-25    RAS profile: 2022-12-06    
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Relations with other researchers

Works with:

Schwaab, Bernd (14)

Koopman, Siem Jan (12)

Blasques, Francisco (7)

Schaumburg, Julia (7)

Nucera, Federico Calogero (3)

van Dijk, Dick (3)

Creal, Drew (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andre Lucas.

Is cited by:

Koopman, Siem Jan (87)

Harvey, Andrew (55)

Escribano, Alvaro (49)

Blasques, Francisco (47)

Catania, Leopoldo (40)

Delle Monache, Davide (35)

Petrella, Ivan (35)

Cizek, Pavel (33)

Blazsek, Szabolcs (32)

Darné, Olivier (31)

Schaumburg, Julia (25)

Cites to:

Koopman, Siem Jan (268)

Creal, Drew (140)

Schwaab, Bernd (77)

Bollerslev, Tim (74)

Engle, Robert (73)

Shephard, Neil (61)

Blasques, Francisco (47)

Zhang, Xin (40)

Patton, Andrew (38)

Harvey, Andrew (37)

Duffie, Darrell (33)

Main data

Where Andre Lucas has published?

Journals with more than one article published# docs
Journal of Econometrics9
Journal of Business & Economic Statistics7
Journal of Banking & Finance6
Journal of Applied Econometrics6
Journal of Business & Economic Statistics5
Journal of Empirical Finance5
International Journal of Forecasting4
Econometric Reviews3
Economics Letters3
Journal of Applied Econometrics2
Econometric Theory2
Journal of Financial and Quantitative Analysis2
The Review of Economics and Statistics2
Biometrika2
The Journal of Financial Econometrics2
Applied Mathematical Finance2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute80
Serie Research Memoranda / VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics13
Working Paper Series / European Central Bank12
CFS Working Paper Series / Center for Financial Studies (CFS)6
Working Paper Series / Sveriges Riksbank (Central Bank of Sweden)4
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute4

Recent works citing Andre Lucas (2022 and 2021)

YearTitle of citing document
2021Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09.

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2022DAI Digital Art Index : a robust price index for heterogeneous digital assets. (2022). Härdle, Wolfgang ; Hardle, Wolfgang K ; Hafner, Christian M ; Wang, Bingling ; Lin, Min-Bin. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022036.

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2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2021Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2021Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model. (2020). Simsek, Yasin ; Cakmakli, Cem . In: Papers. RePEc:arx:papers:2007.02726.

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2021Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2022A Robust Score-Driven Filter for Multivariate Time Series. (2020). Mazzocchi, Mario ; Luati, Alessandra ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2009.01517.

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2022Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2022The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2021Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2021Modeling Price Clustering in High-Frequency Prices. (2021). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2102.12112.

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2021Modelling uncertainty in financial tail risk: a forecasting combination and weighted quantile approach. (2021). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2104.04918.

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2022A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2021Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043.

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2022Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

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2022Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks. (2022). di Gangi, Domenico ; Lillo, Fabrizio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2202.09854.

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2022Asymptotic Theory for Moderate Deviations from the Unit Boundary in Quantile Autoregressive Time Series. (2022). Katsouris, Christis. In: Papers. RePEc:arx:papers:2204.02073.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2022A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2022Time-Varying Poisson Autoregression. (2022). Cavaliere, Giuseppe ; de Angelis, Luca ; D'Innocenzo, Enzo ; Angelini, Giovanni. In: Papers. RePEc:arx:papers:2207.11003.

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2022Efficient variational approximations for state space models. (2022). Nibbering, Didier ; Loaiza-Maya, Rub'En. In: Papers. RePEc:arx:papers:2210.11010.

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2023An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2022Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

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2023Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362.

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2023Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model. (2023). Simsek, Yasin ; Cakmakli, Cem. In: Papers. RePEc:arx:papers:2301.13692.

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2021Networking the Yield Curve: Implications for Monetary Policy. (2021). Dahlhaus, Tatjana ; Schaumburg, Julia ; Sekhposyan, Tatevik. In: Staff Working Papers. RePEc:bca:bocawp:21-4.

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2021From SMP to PEPP: a further look at the risk endogeneity of the Central Bank. (2021). Scalia, Antonio ; Palazzo, Gerardo ; Gariano, Giulio ; Fruzzetti, Marco. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_011_21.

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2021Modeling and forecasting macroeconomic downside risk. (2021). Petrella, Ivan ; Delle Monache, Davide ; de Polis, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1324_21.

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2021Exploring the sources of loan default clustering using survival analysis with frailty. (2021). Sanchez-Cajal, Fatima ; Mohamed, Abdulkadir ; Enrique, Enrique Batiz-Zuk. In: Working Papers. RePEc:bdm:wpaper:2021-14.

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2021Banks noninterest income and securities holdings in a low interest rate environment: The case of Italy. (2021). Williams, Jonathan ; Reghezza, Alessio ; Molyneux, Philip ; Torriero, Chiara. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:98-119.

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2021The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market. (2021). Zheng, Kaixin ; Tse, Yiuman ; Liu, Qingfu. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:4:p:671-692.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2021Filtering the intensity of public concern from social media count data with jumps. (2021). Santagiustina, Carlo ; Iacopini, Matteo. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:4:p:1283-1302.

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2021Fused graphical lasso for brain networks with symmetries. (2021). Luati, Alessandra ; Roverato, Alberto ; Ranciati, Saverio. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:5:p:1299-1322.

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2022A Bayesian non?linear state space copula model for air pollution in Beijing. (2022). Dalla Valle, Luciana ; Czado, Claudia ; Kreuzer, Alexander. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:3:p:613-638.

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2022Modelling clusters of corporate defaults: Regime?switching models significantly reduce the contagion source. (2022). Maruotti, Antonello ; Bulla, Jan ; Berentsen, Geir D ; Stove, Brd. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:3:p:698-722.

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2021Mixtures of Nonlinear Poisson Autoregressions. (2021). Rynkiewicz, Joseph ; Fokianos, Konstantinos ; Doukhan, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:1:p:107-135.

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2021Quasi?maximum likelihood estimation of conditional autoregressive Wishart models. (2021). Asai, Manabu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:271-294.

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2021Integer?valued asymmetric garch modeling. (2021). Andrews, Beth ; Hu, Xiaofei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:737-751.

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2022Stationarity and ergodicity of Markov switching positive conditional mean models. (2022). Francq, Christian ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:436-459.

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2022Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies. (2022). Koopman, Siem Jan ; Hindrayanto, Irma ; de Winter, Jasper. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:1:p:57-79.

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2021Bayesian State?Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy. (2021). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:123:y:2021:i:4:p:1261-1291.

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2022Why they keep missing: An empirical investigation of sovereign bond ratings and their timing. (2022). von Schweinitz, Gregor ; El-Shagi, Makram ; el Shagi, Makram ; Elshagi, Makram. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:69:y:2022:i:2:p:186-224.

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2021Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages. (2021). Hiroyuki, Kawakatsu. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:33-52:n:7.

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2021Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models. (2021). Blazsek, Szabolcs ; Alvaro, Escribano ; Adrian, Licht ; Szabolcs, Blazsek. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:53-66:n:3.

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2021Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2.

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2021Testing and Modelling Time Series with Time Varying Tails. (2021). Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2111.

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2021Regime switching models for directional and linear observations. (2021). Palumbo, D ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2123.

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2021Score-driven time series models. (2021). Harvey, Andrew. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2133.

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2021Green Bonds as Hedging Assets before and after COVID: A Comparative Study between the US and China. (2021). Zhou, Peng ; Guo, Dong. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/28.

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2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

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2022Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings. (2022). Boadu-Sebbe, Gregory. In: CERGE-EI Working Papers. RePEc:cer:papers:wp738.

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2021Risk modeling with option-implied correlations and score-driven dynamics. (2021). Herrera, Rodrigo ; Pia, Marco. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:932.

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2022Multiple large shareholder coalitions, institutional ownership and investment decisions: Evidence from cross-border deals in Latin America. (2022). Pombo, Carlos ; Jara-Betin, Mauricio ; Pinto-Gutierrez, Cristian. In: Documentos CEDE. RePEc:col:000089:020333.

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2022Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models. (2022). Zakoian, Jean-Michel ; Francq, Christian. In: Working Papers. RePEc:crs:wpaper:2022-06.

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2022Score-driven threshold ice-age models: benchmark models for long-run climate forecasts. (2022). Blazsek, Szabolcs ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:34757.

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2021Networking the yield curve: implications for monetary policy. (2021). Dalhaus, Tatjana ; Sekhposyan, Tatevik ; Schaumburg, Julia. In: Working Paper Series. RePEc:ecb:ecbwps:20212532.

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2021A risk management perspective on macroprudential policy. (2021). Kremer, Manfred ; Fahr, Stephan ; Chavleishvili, Sulkhan ; Schwaab, Bernd ; Manganelli, Simone. In: Working Paper Series. RePEc:ecb:ecbwps:20212556.

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2022Monetary policy, macroprudential policy and financial stability. (2022). Mendicino, Caterina ; Maddaloni, Angela ; Laeven, Luc. In: Working Paper Series. RePEc:ecb:ecbwps:20222647.

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2022Temporal networks in the analysis of financial contagion. (2022). Vouldis, Angelos ; Nocciola, Luca ; Franch, Fabio. In: Working Paper Series. RePEc:ecb:ecbwps:20222667.

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2022Making a virtue out of necessity: the effect of negative interest rates on bank cost efficiency. (2022). Reghezza, Alessio ; Pancotto, Livia ; Pancaro, Cosimo ; Girardone, Claudia ; Avignone, Giuseppe. In: Working Paper Series. RePEc:ecb:ecbwps:20222718.

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2023Dynamic nonparametric clustering of multivariate panel data. (2023). Schwaab, Bernd ; Schaumburg, Julia ; Lucas, Andre ; Joao, Igor Custodio. In: Working Paper Series. RePEc:ecb:ecbwps:20232780.

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2022Cryptocurrency Returns, Cybercrime and Stock Market Volatility: GAS and Regime Switching Approaches. (2022). Dickason-Koekemoer, Zandri ; Sanusi, Kazeem Abimbola. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-06-7.

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2022Hotel dynamic pricing, stochastic demand and covid-19. (2022). D'Innocenzo, Enzo ; Ballestra, Luca Vincenzo ; Guizzardi, Andrea. In: Annals of Tourism Research. RePEc:eee:anture:v:97:y:2022:i:c:s0160738322001463.

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2021Multivariate probabilistic forecasting and its performance’s impacts on long-term dispatch of hydro-wind hybrid systems. (2021). Wu, Xinyu ; Shen, Jianjian ; Li, Gang ; Cao, Rui ; Cheng, Chuntian ; Zhang, YI. In: Applied Energy. RePEc:eee:appene:v:283:y:2021:i:c:s0306261920316378.

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2021An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439.

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2021Time-varying inter-urban housing price spillovers in China: Causes and consequences. (2021). Yang, Haisheng ; Li, Jie ; Lu, Yunzhi. In: Journal of Asian Economics. RePEc:eee:asieco:v:77:y:2021:i:c:s1049007821001251.

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2021Banks’ loan charge-offs and macro-level risk. (2021). Guo, Mengyang ; Song, Victor ; Jin, Justin Y. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001179.

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2021Banks, money, and the zero lower bound on deposit rates. (2021). Kumhof, Michael ; Wang, Xuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:132:y:2021:i:c:s0165188921001433.

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2021Origins of monetary policy shifts: A New approach to regime switching in DSGE models. (2021). Maih, Junior ; Tan, Fei ; Chang, Yoosoon. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001706.

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2022A neural network ensemble approach for GDP forecasting. (2022). Rungi, Armando ; Riccaboni, Massimo ; Longo, Luigi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s016518892100213x.

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2021Investigating the asymmetric impact of oil prices on GCC stock markets. (2021). Rault, Christophe ; Ben Cheikh, Nidhaleddine ; Kanaan, Oussama ; ben Naceur, Sami ; Bennaceur, Sami . In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001784.

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2022Leverage, competition and financial distress hazard: Implications for capital structure in the presence of agency costs. (2022). Zeynalov, Ayaz ; Solomon, Edna ; Ugur, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321003291.

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2022The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds sectors. (2022). Peng, Cheng ; Wang, Gangjin ; Su, Xiaojian ; Deng, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:113:y:2022:i:c:s0264999322001419.

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2022Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?. (2022). Ye, Wuyi ; Jiang, Kunliang. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322002838.

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2023Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169.

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2021Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model. (2021). Ng, Kooi-Huat ; Koh, You-Beng ; Tan, Chia-Yen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000164.

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2022Economic policy uncertainty and industry risk on China’s stock market. (2022). Song, Jiashan ; Xue, Weina ; Wang, Jie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001127.

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2021The effects of negative interest rates on cash usage: Evidence for EU countries. (2021). Willesson, Magnus ; Liares-Zegarra, Jose M. In: Economics Letters. RePEc:eee:ecolet:v:198:y:2021:i:c:s0165176520304341.

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2022Equity clusters through the lens of realized semicorrelations. (2022). Patton, Andrew ; Zhang, Haozhe ; Bollerslev, Tim. In: Economics Letters. RePEc:eee:ecolet:v:211:y:2022:i:c:s016517652100478x.

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2021Missing observations in observation-driven time series models. (2021). Blasques, Francisco ; Koopman, S J ; Gorgi, P. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:542-568.

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2021The continuous-time limit of score-driven volatility models. (2021). Livieri, Giulia ; Flandoli, Franco ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:655-675.

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2021The implied arbitrage mechanism in financial markets. (2021). Liu, Qingfu ; Chng, Michael T ; Chen, Shiyi. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:468-483.

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2021New testing approaches for mean–variance predictability. (2021). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:516-538.

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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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2022A time-varying parameter model for local explosions. (2022). Koopman, Siem Jan ; Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:65-84.

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2022Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions. (2022). Wang, FA. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:180-200.

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2021Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo. (2021). Czado, Claudia ; Kreuzer, Alexander. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:130-150.

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2022A nonparametric copula approach to conditional Value-at-Risk. (2022). Dunn, Richard ; Geenens, Gery. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:19-37.

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2022Time series copula models using d-vines and v-transforms. (2022). McNeil, Alexander J ; Bladt, Martin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:27-48.

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2021Negative interest rates, excess liquidity and retail deposits: Banks’ reaction to unconventional monetary policy in the euro area. (2021). Vlassopoulos, Thomas ; Eisenschmidt, Jens ; Demiralp, Selva. In: European Economic Review. RePEc:eee:eecrev:v:136:y:2021:i:c:s0014292121000982.

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2021Large portfolio losses in a turbulent market. (2021). Yang, Yang ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:292:y:2021:i:2:p:755-769.

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2022Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779.

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2023Machine learning for corporate default risk: Multi-period prediction, frailty correlation, loan portfolios, and tail probabilities. (2023). Leuenberger, Nicola ; Sigrist, Fabio. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1390-1406.

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More than 100 citations found, this list is not complete...

Works by Andre Lucas:

YearTitleTypeCited
1999Nut, gebruik en beperkingen van Value-at-Risk voor risicomanagement In: Economic and Social Journal (Economisch en Sociaal Tijdschrift).
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1998Nut, gebruik en beperkingen van value-at-risk voor risicomanagement.(1998) In: Serie Research Memoranda.
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1998Outlier Detection in Cointegration Analysis. In: Journal of Business & Economic Statistics.
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1999Testing for Smooth Transition Nonlinearity in the Presence of Outliers. In: Journal of Business & Economic Statistics.
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1996Testing for Smooth Transition Nonlinearity in the Presence of Outliers.(1996) In: Econometric Institute Research Papers.
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2000A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior. In: Journal of Business & Economic Statistics.
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1997A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior.(1997) In: Serie Research Memoranda.
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2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
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2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
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2005A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: Tinbergen Institute Discussion Papers.
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2008The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds In: Journal of Business Finance & Accounting.
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2003Comprehensive definitions of breakdown points for independent and dependent observations In: Journal of the Royal Statistical Society Series B.
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2000Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations.(2000) In: Tinbergen Institute Discussion Papers.
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2017Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis.
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2014Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers.
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2008Estimating systematic continuous?time trends in recidivism using a non?Gaussian panel data model In: Statistica Neerlandica.
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2007Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model.(2007) In: Tinbergen Institute Discussion Papers.
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2013Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle In: LSF Research Working Paper Series.
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2014Washington meets Wall Street: A closer examination of the presidential cycle puzzle.(2014) In: Journal of International Money and Finance.
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2008Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle.(2008) In: Tinbergen Institute Discussion Papers.
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2010Washington meets Wall Street: A closer examination of the presidential cycle puzzle.(2010) In: CFS Working Paper Series.
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1995Unit Root Tests Based on M Estimators In: Econometric Theory.
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1997Cointegration Testing Using Pseudolikelihood Ratio Tests In: Econometric Theory.
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2012Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced? In: Journal of Financial and Quantitative Analysis.
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2010Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?.(2010) In: Tinbergen Institute Discussion Papers.
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2010Cash flow and discount rate risk in up and down markets: What is actually priced?.(2010) In: CFS Working Paper Series.
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2017Long-Term versus Short-Term Contingencies in Asset Allocation In: Journal of Financial and Quantitative Analysis.
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2012Long-Term versus Short-Term Contingencies in Asset Allocation.(2012) In: Tinbergen Institute Discussion Papers.
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2005Deepening the Measuring of Technical Inefficiency in Private Farming in Georgia: Locally Parametric Regression In: International Journal of Applied Econometrics and Quantitative Studies.
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2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
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2012Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series.
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2012Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008.(2012) In: Journal of Business & Economic Statistics.
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2013Conditional and joint credit risk In: Working Paper Series.
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2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
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2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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2014Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics.
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2015Modeling financial sector joint tail risk in the euro area In: Working Paper Series.
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2015Modeling financial sector joint tail risk in the euro area.(2015) In: Working Paper Series.
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2017Modeling Financial Sector Joint Tail Risk in the Euro Area.(2017) In: Journal of Applied Econometrics.
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2016The information in systemic risk rankings In: Working Paper Series.
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2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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2016Global credit risk: world country and industry factors In: Working Paper Series.
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2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
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2017Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics.
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2017Bank business models at zero interest rates In: Working Paper Series.
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2016Bank Business Models at Zero Interest Rates.(2016) In: Tinbergen Institute Discussion Papers.
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2017Do negative interest rates make banks less safe? In: Working Paper Series.
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2017Do negative interest rates make banks less safe?.(2017) In: Economics Letters.
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2017Do Negative Interest Rates Make Banks Less Safe?.(2017) In: Tinbergen Institute Discussion Papers.
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2021Modeling extreme events: time-varying extreme tail shape In: Working Paper Series.
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2020Dynamic clustering of multivariate panel data.(2020) In: Tinbergen Institute Discussion Papers.
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2008Modelling Portfolio Defaults Using Hidden Markov Models with Covariates In: Econometrics Journal.
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2006Modeling Portfolio Defaults using Hidden Markov Models with Covariates.(2006) In: Tinbergen Institute Discussion Papers.
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2011Blockholder dispersion and firm value In: Journal of Corporate Finance.
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2011Blockholder Dispersion and Firm Value.(2011) In: Tinbergen Institute Discussion Papers.
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2010Blockholder dispersion and firm value.(2010) In: CFS Working Paper Series.
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2016Semiparametric score driven volatility models In: Computational Statistics & Data Analysis.
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2016Accounting for missing values in score-driven time-varying parameter models In: Economics Letters.
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2016Accounting for Missing Values in Score-Driven Time-Varying Parameter Models.(2016) In: Tinbergen Institute Discussion Papers.
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2000Quantiles for t-statistics based on M-estimators of unit roots In: Economics Letters.
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2002Semi-nonparametric cointegration testing In: Journal of Econometrics.
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1997Semi-nonparametric cointegration testing.(1997) In: Serie Research Memoranda.
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2004A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model In: Journal of Econometrics.
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2000A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model.(2000) In: Tinbergen Institute Discussion Papers.
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2000A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model.(2000) In: Discussion Papers.
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2008The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics.
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2005The Multi-State Latent Factor Intensity Model for Credit Rating Transitions.(2005) In: Tinbergen Institute Discussion Papers.
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2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
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2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
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2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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2017Maximum Likelihood Estimation for Score-Driven Models.(2017) In: Tinbergen Institute Discussion Papers.
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1995An outlier robust unit root test with an application to the extended Nelson-Plosser data In: Journal of Econometrics.
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1995Classical and Bayesian aspects of robust unit root inference In: Journal of Econometrics.
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1998Outlier robust analysis of long-run marketing effects for weekly scanning data In: Journal of Econometrics.
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2021Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence In: Econometrics and Statistics.
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2009Credit cycles and macro fundamentals In: Journal of Empirical Finance.
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2006Credit Cycles and Macro Fundamentals.(2006) In: Tinbergen Institute Discussion Papers.
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2006Credit cycles and macro fundamentals.(2006) In: CFS Working Paper Series.
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2014Long memory dynamics for multivariate dependence under heavy tails In: Journal of Empirical Finance.
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2011Long Memory Dynamics for Multivariate Dependence under Heavy Tails.(2011) In: Tinbergen Institute Discussion Papers.
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1995A note on the relationship between GARCH and symmetric stable processes In: Journal of Empirical Finance.
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2002Stock selection, style rotation, and risk In: Journal of Empirical Finance.
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2001Stock Selection, Style Rotation, and Risk.(2001) In: Tinbergen Institute Discussion Papers.
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2012Risk aversion under preference uncertainty In: Finance Research Letters.
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2010Risk Aversion under Preference Uncertainty.(2010) In: Tinbergen Institute Discussion Papers.
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1999A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests In: Tinbergen Institute Discussion Papers.
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2000Analytic Decision Rules for Financial Stochastic Programs In: Tinbergen Institute Discussion Papers.
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2002Explaining Hedge Fund Investment Styles by Loss Aversion In: Tinbergen Institute Discussion Papers.
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2002Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation In: Tinbergen Institute Discussion Papers.
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2003Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers.
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2003Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong In: Tinbergen Institute Discussion Papers.
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2006Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk In: Tinbergen Institute Discussion Papers.
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2008Forecasting Cross-Sections of Frailty-Correlated Default In: Tinbergen Institute Discussion Papers.
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2013A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions In: Tinbergen Institute Discussion Papers.
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2010Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective In: Tinbergen Institute Discussion Papers.
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2010Systemic Risk Diagnostics In: Tinbergen Institute Discussion Papers.
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2011Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails In: Tinbergen Institute Discussion Papers.
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2012Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk In: Tinbergen Institute Discussion Papers.
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2012Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models In: Tinbergen Institute Discussion Papers.
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2012A New Semiparametric Volatility Model In: Tinbergen Institute Discussion Papers.
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2012Aggregating Credit and Market Risk: The Impact of Model Specification In: Tinbergen Institute Discussion Papers.
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2012Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes In: Tinbergen Institute Discussion Papers.
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2014Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics In: Tinbergen Institute Discussion Papers.
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2013Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models In: Tinbergen Institute Discussion Papers.
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2014Testing for Parameter Instability in Competing Modeling Frameworks In: Tinbergen Institute Discussion Papers.
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2015The Dynamic Skellam Model with Applications In: Tinbergen Institute Discussion Papers.
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2014Information Theoretic Optimality of Observation Driven Time Series Models In: Tinbergen Institute Discussion Papers.
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2015New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels In: Tinbergen Institute Discussion Papers.
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2014Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties In: Tinbergen Institute Discussion Papers.
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2014Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers.
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2016Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models In: Tinbergen Institute Discussion Papers.
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2017Joint Bayesian Analysis of Parameters and States in Nonlinear non?Gaussian State Space Models.(2017) In: Journal of Applied Econometrics.
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2015Mixed Density based Copula Likelihood In: Tinbergen Institute Discussion Papers.
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2015In-Sample Bounds for Time-Varying Parameters of Observation Driven Models In: Tinbergen Institute Discussion Papers.
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2015Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions In: Tinbergen Institute Discussion Papers.
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2018Generalized Autoregressive Method of Moments In: Tinbergen Institute Discussion Papers.
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2016Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S. In: Tinbergen Institute Discussion Papers.
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2016Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads In: Tinbergen Institute Discussion Papers.
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2017Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns In: Tinbergen Institute Discussion Papers.
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2017Finite Sample Optimality of Score-Driven Volatility Models In: Tinbergen Institute Discussion Papers.
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2019Time-varying tail behavior for realized kernels In: Tinbergen Institute Discussion Papers.
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2019Observation-driven Models for Realized Variances and Overnight Returns In: Tinbergen Institute Discussion Papers.
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2021Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution In: Tinbergen Institute Discussion Papers.
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2021Clustering Dynamics and Persistence for Financial Multivariate Panel Data In: Tinbergen Institute Discussion Papers.
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1997Stochastic processes, non-normal innovations, and the use of scaling ratios In: Serie Research Memoranda.
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1998Testing backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models of banks In: Serie Research Memoranda.
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1998On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework In: Serie Research Memoranda.
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1999Tail behavior of credit loss distributions In: Serie Research Memoranda.
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