29
H index
59
i10 index
2774
Citations
Vrije Universiteit Amsterdam (50% share) | 29 H index 59 i10 index 2774 Citations RESEARCH PRODUCTION: 91 Articles 133 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Andre Lucas. | Is cited by: | Cites to: |
Year ![]() | Title of citing document ![]() | |
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2024 | Zero-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. Full description at Econpapers || Download paper | |
2024 | Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601. Full description at Econpapers || Download paper | |
2024 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper | |
2024 | A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper | |
2024 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper | |
2024 | Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods. (2023). Mazzarisi, Piero ; Lillo, Fabrizio ; Tsaknaki, Ioanna-Yvonni. In: Papers. RePEc:arx:papers:2307.02375. Full description at Econpapers || Download paper | |
2024 | Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns. (2023). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564. Full description at Econpapers || Download paper | |
2024 | DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling. (2023). Kohn, Robert ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Liu, Chen. In: Papers. RePEc:arx:papers:2309.02072. Full description at Econpapers || Download paper | |
2024 | Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price. (2024). Wu, Boyao ; Huang, Difang ; Zheng, Lifen ; Li, Nan ; Chen, Muzi. In: Papers. RePEc:arx:papers:2403.19363. Full description at Econpapers || Download paper | |
2024 | Convolution-t Distributions. (2024). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2404.00864. Full description at Econpapers || Download paper | |
2025 | Statistical Validation of Contagion Centrality in Financial Networks. (2024). Feinstein, Zachary ; Sadeghi, Agathe. In: Papers. RePEc:arx:papers:2404.14337. Full description at Econpapers || Download paper | |
2024 | Calibration of the rating transition model for high and low default portfolios. (2024). Spreij, Peter ; Khedher, Asma. In: Papers. RePEc:arx:papers:2405.00576. Full description at Econpapers || Download paper | |
2024 | From rotational to scalar invariance: Enhancing identifiability in score-driven factor models. (2024). Dzuverovic, Emilija ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Papers. RePEc:arx:papers:2412.01367. Full description at Econpapers || Download paper | |
2024 | Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555. Full description at Econpapers || Download paper | |
2024 | . Full description at Econpapers || Download paper | |
2024 | . Full description at Econpapers || Download paper | |
2024 | Neglecting the poor and marginalized: Participatory village governance in Indonesias New Developmentalist state. (2024). Syukri, Muhammad. In: Development Policy Review. RePEc:bla:devpol:v:42:y:2024:i:4:n:e12776. Full description at Econpapers || Download paper | |
2025 | The taming of the skew: asymmetric inflation risk and monetary policy. (2025). Petrella, Ivan ; Melosi, Leonardo ; de Polis, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20253028. Full description at Econpapers || Download paper | |
2024 | Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan. (2024). Ruan, Jia ; Ni, Jianhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x. Full description at Econpapers || Download paper | |
2024 | Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Pia, Marco ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615. Full description at Econpapers || Download paper | |
2024 | Diversification value of green Bonds: Fresh evidence from China. (2024). Huang, Ziling ; Zhou, You ; Lin, Lichao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001797. Full description at Econpapers || Download paper | |
2024 | Do preferred habitat investors exist? Evidence from the UK government bond market. (2024). Meaning, Jack ; Joyce, Michael ; Giese, Julia ; Worlidge, Jack. In: Economics Letters. RePEc:eee:ecolet:v:234:y:2024:i:c:s0165176523004883. Full description at Econpapers || Download paper | |
2024 | A robust Beveridge–Nelson decomposition using a score-driven approach with an application. (2024). Koopman, S J ; Gorgi, P ; van Brummelen, J ; Blasques, F. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000715. Full description at Econpapers || Download paper | |
2024 | Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, Paolo. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002919. Full description at Econpapers || Download paper | |
2024 | Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469. Full description at Econpapers || Download paper | |
2024 | Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482. Full description at Econpapers || Download paper | |
2024 | Modelling circular time series. (2024). Palumbo, Dario ; Hurn, Stan ; Harvey, Andrew ; Thiele, Stephen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001446. Full description at Econpapers || Download paper | |
2024 | Semiparametrically optimal cointegration test. (2024). Zhou, BO. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s0304407624001611. Full description at Econpapers || Download paper | |
2024 | Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities. (2024). Sola, Martin ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:49-63. Full description at Econpapers || Download paper | |
2024 | A new ordinal mixed-data sampling model with an application to corporate credit rating levels. (2024). Calabrese, Raffaella ; Crook, Jonathan ; Goldmann, Leonie. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1111-1126. Full description at Econpapers || Download paper | |
2024 | Improving efficiency in supply chains with a capital-constrained app developer under the agency contract. (2024). Levy, Priel ; Avinadav, Tal. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:3:p:991-1005. Full description at Econpapers || Download paper | |
2024 | An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305. Full description at Econpapers || Download paper | |
2024 | Influencer detection meets network autoregression — Influential regions in the bitcoin blockchain. (2024). Chen, Ying ; Peng, Hanqiu ; Trimborn, Simon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000641. Full description at Econpapers || Download paper | |
2024 | The 2008 short-selling ban’s impact on tail risk. (2024). Bartl, Jonas ; Irresberger, Felix ; Weiss, Gregor ; Yang, Ruomei ; Bostandzic, Denefa. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000677. Full description at Econpapers || Download paper | |
2024 | Chinas futures market volatility and sectoral stock market volatility prediction. (2024). Zhong, Juandan ; Zhang, Jixiang ; Zeng, Qing. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001373. Full description at Econpapers || Download paper | |
2024 | Extreme risk contagions among fossil energy companies in China: Insights from a multilayer dynamic network analysis. (2024). Xu, Zihan ; Xing, Xiaoyun ; Deng, Jing. In: Energy. RePEc:eee:energy:v:306:y:2024:i:c:s0360544224021194. Full description at Econpapers || Download paper | |
2024 | Does systemic risk in the fund markets predict future economic downturns?. (2024). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000218. Full description at Econpapers || Download paper | |
2024 | VaR and ES forecasting via recurrent neural network-based stateful models. (2024). Lazar, Emese ; Nakata, Keiichi ; Qiu, Zhiguo. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000346. Full description at Econpapers || Download paper | |
2024 | Structured factor copulas for modeling the systemic risk of European and United States banks. (2024). Nguyen, Hoang ; Galeano, Pedro ; Ausn, Concepcin M ; Virbickait, Audron. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005532. Full description at Econpapers || Download paper | |
2024 | Portfolio selection via high-dimensional stochastic factor Copula. (2024). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007815. Full description at Econpapers || Download paper | |
2024 | Time-varying default risk of Chinese-listed companies: From empirical test to theoretical conjecture. (2024). Fan, Yali ; Wang, Xiaowan ; Andrianarimanana, Mihasina Harinaivo ; Duok, Dhornor Tarir ; Qin, Zhaohui ; Chen, Yijie. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008699. Full description at Econpapers || Download paper | |
2024 | Temporal networks and financial contagion. (2024). Nocciola, Luca ; Vouldis, Angelos ; Franch, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093. Full description at Econpapers || Download paper | |
2024 | Unveiling interconnectedness and risk spillover among cryptocurrencies and other asset classes. (2024). Kumar, Dilip ; Narayan, Shivani. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000905. Full description at Econpapers || Download paper | |
2024 | Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools. (2024). Ziveyi, Jonathan ; Villegas, Andres M ; Sherris, Michael ; Kabuche, Doreen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:165-188. Full description at Econpapers || Download paper | |
2024 | International stock market volatility: A global tail risk sight. (2024). Zhu, BO ; Zhong, Juandan ; Zeng, Qing ; Lu, Xinjie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001725. Full description at Econpapers || Download paper | |
2024 | Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Yan, Cheng ; Kim, Minjoo ; Zhang, Xuan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798. Full description at Econpapers || Download paper | |
2024 | Asian stock market volatility and economic policy uncertainty: The role of world and regional leaders. (2024). Keddad, Benjamin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001968. Full description at Econpapers || Download paper | |
2024 | Accelerating peak dating in a dynamic factor Markov-switching model. (2024). van Dijk, Dick ; van Os, Bram. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:313-323. Full description at Econpapers || Download paper | |
2024 | Generalized Poisson difference autoregressive processes. (2024). Casarin, Roberto ; Carallo, Giulia ; Robert, Christian P. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1359-1390. Full description at Econpapers || Download paper | |
2024 | Central bank policies and financial markets: Lessons from the euro crisis. (2024). Nedeljkovic, Milan ; Mody, Ashoka. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002248. Full description at Econpapers || Download paper | |
2024 | Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261. Full description at Econpapers || Download paper | |
2024 | Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative. (2024). Palandri, Alessandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000335. Full description at Econpapers || Download paper | |
2024 | No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Zhou, Yinggang ; Lin, Juan ; Bei, Zeyun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561. Full description at Econpapers || Download paper | |
2024 | Measuring systemic risk in Asian foreign exchange markets. (2024). Chen, Yanghan ; Lin, Juan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:146:y:2024:i:c:s0261560624001220. Full description at Econpapers || Download paper | |
2024 | Do retail-oriented banks have less non-performing loans?. (2024). Vouldis, Angelos ; Farne, Matteo. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494924000070. Full description at Econpapers || Download paper | |
2024 | The potency of time series outliers in volatile models: An empirical analysis of fintech, and mineral resources. (2024). Maqsood, Arfa ; Yaqoob, Tanzeela. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420724000333. Full description at Econpapers || Download paper | |
2024 | Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation. (2024). Oviedo, Rodolfo ; Ortiz-Gracia, Luis ; Blanc-Blocquel, Augusto. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:225:y:2024:i:c:p:430-445. Full description at Econpapers || Download paper | |
2024 | Prospect theory and asset allocation. (2024). Hlouskova, Jaroslava ; Fortin, Ines. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:214-240. Full description at Econpapers || Download paper | |
2024 | Firm executive political leanings, Washington, and stock market returns. (2024). Alhashel, Bader ; Alnahedh, Saad. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:476-491. Full description at Econpapers || Download paper | |
2024 | Measuring the impact of the EU health emergency response authority on the economic sectors and the public sentiment. (2024). Ahelegbey, Daniel Felix ; Cerchiello, Paola ; Celani, Alessandro. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:92:y:2024:i:c:s0038012124000417. Full description at Econpapers || Download paper | |
2025 | Does Investor Sentiment Influence South African ETF Flows During Different Market Conditions?. (2025). Ferreira-Schenk, Sune ; Shenjere, Paidamoyo Aurleen ; Moodley, Fabian. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:1:p:10-:d:1561416. Full description at Econpapers || Download paper | |
2024 | Modeling the Nexus between European Carbon Emission Trading and Financial Market Returns: Practical Implications for Carbon Risk Reduction and Hedging. (2024). Hannoon, Azzam ; Mohsen, Mujeeb Saif ; Tabash, Mosab I. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:147-:d:1370634. Full description at Econpapers || Download paper | |
2024 | Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context. (2024). Cheng, Jie. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10571-y. Full description at Econpapers || Download paper | |
2025 | The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501. Full description at Econpapers || Download paper | |
2024 | An Estimation of Regime Switching Models with Nonlinear Endogenous Switching. (2024). Charoensom, Chotipong. In: PIER Discussion Papers. RePEc:pui:dpaper:217. Full description at Econpapers || Download paper | |
2024 | Robust Observation-Driven Models Using Proximal-Parameter Updates. (2022). van Dijk, Dick ; van Os, Bram ; Lange, Rutger-Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220066. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year ![]() | Title ![]() | Type ![]() | Cited ![]() |
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1999 | Nut, gebruik en beperkingen van Value-at-Risk voor risicomanagement In: Economic and Social Journal (Economisch en Sociaal Tijdschrift). [Full Text][Citation analysis] | article | 0 |
1998 | Nut, gebruik en beperkingen van value-at-risk voor risicomanagement.(1998) In: Serie Research Memoranda. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1998 | Outlier Detection in Cointegration Analysis. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 27 |
1999 | Testing for Smooth Transition Nonlinearity in the Presence of Outliers. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 68 |
1996 | Testing for Smooth Transition Nonlinearity in the Presence of Outliers.(1996) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
2000 | A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 4 |
1997 | A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior.(1997) In: Serie Research Memoranda. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2007 | Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 44 |
2008 | A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 22 |
2005 | A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2019 | Risk endogeneity at the lender/investor-of-last-resort In: BIS Working Papers. [Full Text][Citation analysis] | paper | 5 |
2019 | Risk endogeneity at the lender/investor-of-last-resort.(2019) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2020 | Risk endogeneity at the lender/investor-of-last-resort.(2020) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2019 | Risk endogeneity at the lender/investor-of-last-resort.(2019) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2008 | The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 5 |
2003 | Comprehensive definitions of breakdown points for independent and dependent observations In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 36 |
2000 | Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations.(2000) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2017 | Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 47 |
2014 | Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2008 | Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 4 |
2007 | Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model.(2007) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2013 | Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle In: LSF Research Working Paper Series. [Full Text][Citation analysis] | paper | 10 |
2014 | Washington meets Wall Street: A closer examination of the presidential cycle puzzle.(2014) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
2008 | Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2010 | Washington meets Wall Street: A closer examination of the presidential cycle puzzle.(2010) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
1995 | Unit Root Tests Based on M Estimators In: Econometric Theory. [Full Text][Citation analysis] | article | 47 |
1997 | Cointegration Testing Using Pseudolikelihood Ratio Tests In: Econometric Theory. [Full Text][Citation analysis] | article | 28 |
2012 | Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced? In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 15 |
2010 | Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?.(2010) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2010 | Cash flow and discount rate risk in up and down markets: What is actually priced?.(2010) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2017 | Long-Term versus Short-Term Contingencies in Asset Allocation In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 0 |
2012 | Long-Term versus Short-Term Contingencies in Asset Allocation.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2005 | Deepening the Measuring of Technical Inefficiency in Private Farming in Georgia: Locally Parametric Regression In: International Journal of Applied Econometrics and Quantitative Studies. [Full Text][Citation analysis] | article | 0 |
2011 | Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series. [Full Text][Citation analysis] | paper | 38 |
2012 | Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series. [Full Text][Citation analysis] | paper | 32 |
2012 | Dynamic 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. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | article | |
2013 | Conditional and joint credit risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2013 | Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 61 |
2011 | Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 61 | paper | |
2014 | Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 61 | article | |
2015 | Modeling financial sector joint tail risk in the euro area In: Working Paper Series. [Full Text][Citation analysis] | paper | 11 |
2015 | Modeling financial sector joint tail risk in the euro area.(2015) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2017 | Modeling Financial Sector Joint Tail Risk in the Euro Area.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
2016 | The information in systemic risk rankings In: Working Paper Series. [Full Text][Citation analysis] | paper | 32 |
2016 | The information in systemic risk rankings.(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | article | |
2015 | The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
2016 | Global credit risk: world country and industry factors In: Working Paper Series. [Full Text][Citation analysis] | paper | 22 |
2015 | Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2017 | Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
2017 | Bank business models at zero interest rates In: Working Paper Series. [Full Text][Citation analysis] | paper | 27 |
2019 | Bank Business Models at Zero Interest Rates.(2019) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
2016 | Bank Business Models at Zero Interest Rates.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2017 | Do negative interest rates make banks less safe? In: Working Paper Series. [Full Text][Citation analysis] | paper | 47 |
2017 | Do negative interest rates make banks less safe?.(2017) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | article | |
2017 | Do Negative Interest Rates Make Banks Less Safe?.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2021 | Modeling extreme events: time-varying extreme tail shape In: Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2023 | Modeling extreme events:time-varying extreme tail shape.(2023) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2024 | Modeling Extreme Events: Time-Varying Extreme Tail Shape.(2024) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2020 | Modeling extreme events: time-varying extreme tail shape.(2020) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2021 | Dynamic clustering of multivariate panel data In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2023 | Dynamic clustering of multivariate panel data.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2020 | Dynamic clustering of multivariate panel data.(2020) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2023 | Dynamic nonparametric clustering of multivariate panel data In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2024 | Dynamic Nonparametric Clustering of Multivariate Panel Data*.(2024) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2008 | Modelling Portfolio Defaults Using Hidden Markov Models with Covariates In: Econometrics Journal. [Full Text][Citation analysis] | article | 14 |
2006 | Modeling Portfolio Defaults using Hidden Markov Models with Covariates.(2006) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2011 | Blockholder dispersion and firm value In: Journal of Corporate Finance. [Full Text][Citation analysis] | article | 66 |
2011 | Blockholder Dispersion and Firm Value.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
2010 | Blockholder dispersion and firm value.(2010) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
2016 | Semiparametric score driven volatility models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 4 |
2016 | Accounting for missing values in score-driven time-varying parameter models In: Economics Letters. [Full Text][Citation analysis] | article | 6 |
2016 | Accounting for Missing Values in Score-Driven Time-Varying Parameter Models.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2000 | Quantiles for t-statistics based on M-estimators of unit roots In: Economics Letters. [Full Text][Citation analysis] | article | 4 |
2002 | Semi-nonparametric cointegration testing In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
1997 | Semi-nonparametric cointegration testing.(1997) In: Serie Research Memoranda. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2004 | A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2000 | A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model.(2000) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2000 | A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model.(2000) In: Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2008 | The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 61 |
2005 | The Multi-State Latent Factor Intensity Model for Credit Rating Transitions.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 61 | paper | |
2011 | Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics. [Full Text][Citation analysis] | article | 81 |
2016 | Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 75 |
2014 | Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | paper | |
2014 | Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | paper | |
2022 | Maximum likelihood estimation for score-driven models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 36 |
2017 | Maximum Likelihood Estimation for Score-Driven Models.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2023 | Time-Varying Parameters in Econometrics: The editor’s foreword In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2024 | Observation-driven filtering of time-varying parameters using moment conditions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
2024 | Dynamic partial correlation models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
1995 | An outlier robust unit root test with an application to the extended Nelson-Plosser data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 45 |
1995 | Classical and Bayesian aspects of robust unit root inference In: Journal of Econometrics. [Full Text][Citation analysis] | article | 16 |
1998 | Outlier robust analysis of long-run marketing effects for weekly scanning data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 12 |
2021 | Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 4 |
2009 | Credit cycles and macro fundamentals In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 60 |
2006 | Credit Cycles and Macro Fundamentals.(2006) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
2006 | Credit cycles and macro fundamentals.(2006) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
2014 | Long memory dynamics for multivariate dependence under heavy tails In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 20 |
2011 | Long Memory Dynamics for Multivariate Dependence under Heavy Tails.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
1995 | A note on the relationship between GARCH and symmetric stable processes In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 12 |
2002 | Stock selection, style rotation, and risk In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 16 |
2001 | Stock Selection, Style Rotation, and Risk.(2001) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2012 | Risk aversion under preference uncertainty In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
2010 | Risk Aversion under Preference Uncertainty.(2010) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2010 | Risk aversion under preference uncertainty.(2010) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2009 | Global loss diversification in the insurance sector In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
2008 | Global Loss Diversification in the Insurance Sector.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2014 | Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 7 |
2016 | Score-driven exponentially weighted moving averages and Value-at-Risk forecasting In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 23 |
2015 | Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting.(2015) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2015 | Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2016 | In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 18 |
2015 | In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
2021 | Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
2023 | Time-varying variance and skewness in realized volatility measures In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
2023 | Covid-19, credit risk management modeling, and government support In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
2000 | SETS, arbitrage activity, and stock price dynamics In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 34 |
1999 | SETS, Arbitrage Activity, and Stock Price Dynamics.(1999) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
2001 | An analytic approach to credit risk of large corporate bond and loan portfolios In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 56 |
1999 | An analytic approach to credit risk of large corporate bond and loan portfolios.(1999) In: Serie Research Memoranda. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 56 | paper | |
2002 | Erratum to An analytic approach to credit risk of large corporate bond and loan portfolios [Journal of Banking and Finance 25, no. 9, pp. 1635-1664] In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
2005 | Empirical credit cycles and capital buffer formation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 35 |
2006 | Discrete versus continuous state switching models for portfolio credit risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 13 |
2003 | Discrete versus Continuous State Switching Models for Portfolio Credit Risk.(2003) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2017 | Network, market, and book-based systemic risk rankings In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 23 |
2016 | Network, Market, and Book-Based Systemic Risk Rankings.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
1996 | Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data In: Econometric Institute Research Papers. [Citation analysis] | paper | 0 |
1996 | Testing for ARCH in the Presence of Additive Outliers In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 84 |
1999 | Testing for ARCH in the Presence of Additive Outliers..(1999) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 84 | article | |
1999 | Arbitrage and sampling uncertainty in financial stochastic programming models In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Conditional euro area sovereign default risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 77 |
2014 | Conditional Euro Area Sovereign Default Risk.(2014) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 77 | article | |
2009 | A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] | paper | 37 |
2008 | A General Framework for Observation Driven Time-Varying Parameter Models.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2005 | Discrete-Time Financial Planning Models Under Loss-Averse Preferences In: Operations Research. [Full Text][Citation analysis] | article | 9 |
2005 | Business and default cycles for credit risk In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 93 |
2003 | Business and Default Cycles for Credit Risk.(2003) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | paper | |
2005 | Business and default cycles for credit risk.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | article | |
2008 | Quantile forecasting for credit risk management using possibly misspecified hidden Markov models In: Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
2007 | Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models.(2007) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2013 | Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle In: DEM Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
2001 | Evaluating the Basle Guidelines for Backtesting Banks Internal Risk Management Models. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 21 |
2012 | Regime switches in the volatility and correlation of financial institutions In: Working Paper Research. [Full Text][Citation analysis] | paper | 6 |
2017 | Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting In: NBP Working Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika. [Full Text][Citation analysis] | article | 62 |
2018 | Amendments and Corrections In: Biometrika. [Full Text][Citation analysis] | article | 0 |
2017 | Testing for Parameter Instability across Different Modeling Frameworks In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 8 |
2019 | Fractional Integration and Fat Tails for Realized Covariance Kernels In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 7 |
2001 | Fat Tails and the Effect on Optimal Asset Allocations In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
2004 | Short patches of outliers, ARCH and volatility modelling In: Applied Financial Economics. [Full Text][Citation analysis] | article | 20 |
1998 | Short Patches of Outliers, ARCH and Volatility Modeling.(1998) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
2003 | Tail behaviour of credit loss distributions for general latent factor models In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 7 |
2001 | Tail Behavior of Credit Loss Distributions for General Latent Factor Models.(2001) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2008 | Hedging Large Portfolios of Options in Discrete Time In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
1998 | Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods In: Econometric Reviews. [Full Text][Citation analysis] | article | 14 |
2018 | A stochastic recurrence equations approach for score driven correlation models In: Econometric Reviews. [Full Text][Citation analysis] | article | 3 |
2020 | Nonlinear autoregressive models with optimality properties In: Econometric Reviews. [Full Text][Citation analysis] | article | 3 |
2017 | Community Driven Development and Structural Disadvantage: Interrogating the Social Turn in Development Programming in Indonesia In: Journal of Development Studies. [Full Text][Citation analysis] | article | 3 |
2017 | Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 21 |
2015 | Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2011 | A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 120 |
2010 | A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 120 | paper | |
2015 | Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 22 |
2012 | Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2018 | New HEAVY Models for Fat-Tailed Realized Covariances and Returns In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 31 |
2021 | Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 14 |
2019 | Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings.(2019) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
1998 | A Hybrid Joint Moment Ratio Test for Financial Time Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 11 |
1999 | A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2000 | Analytic Decision Rules for Financial Stochastic Programs In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2002 | Explaining Hedge Fund Investment Styles by Loss Aversion In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2002 | Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2003 | Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2003 | Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2006 | Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2008 | Forecasting Cross-Sections of Frailty-Correlated Default In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2010 | Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2010 | Systemic Risk Diagnostics In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
2011 | Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2012 | Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 25 |
2012 | Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 81 |
2016 | Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models.(2016) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 81 | article | |
2012 | A New Semiparametric Volatility Model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Aggregating Credit and Market Risk: The Impact of Model Specification In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2014 | Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2013 | Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | Testing for Parameter Instability in Competing Modeling Frameworks In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2015 | The Dynamic Skellam Model with Applications In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | Information Theoretic Optimality of Observation Driven Time Series Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2015 | New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2014 | Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2014 | Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 14 |
2016 | Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2015 | Mixed Density based Copula Likelihood In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | In-Sample Bounds for Time-Varying Parameters of Observation Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2018 | Generalized Autoregressive Method of Moments In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2016 | Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S. In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2016 | Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2017 | Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | Finite Sample Optimality of Score-Driven Volatility Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2019 | Time-varying tail behavior for realized kernels In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Observation-driven Models for Realized Variances and Overnight Returns In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | Clustering Dynamics and Persistence for Financial Multivariate Panel Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | COVID-19, Credit Risk and Macro Fundamentals In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Consistency, distributional convergence, and optimality of score-driven filters In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
1997 | Strategic and tactical asset allocation and the effect of long-run equilibrium relations In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 15 |
1997 | Outlier robust cointegration analysis In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 5 |
1997 | Stochastic processes, non-normal innovations, and the use of scaling ratios In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 3 |
1998 | Testing backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models of banks In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 2 |
1998 | On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 0 |
1998 | A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 1 |
1999 | Tail behavior of credit loss distributions In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 0 |
2002 | De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 0 |
2003 | Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 0 |
2024 | Financial Development and Fragility : A Clustering Analysis In: Policy Research Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2013 | GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 442 |
2018 | Dynamic discrete copula models for high‐frequency stock price changes In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 4 |
2024 | Heterogeneity and dynamics in network models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
2010 | Why do investors sell losers? How adaptation to losses affects future capitulation decisions In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
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