Andre Lucas : Citation Profile


Are you Andre Lucas?

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

18

H index

26

i10 index

892

Citations

RESEARCH PRODUCTION:

58

Articles

109

Papers

RESEARCH ACTIVITY:

   21 years (1995 - 2016). See details.
   Cites by year: 42
   Journals where Andre Lucas has often published
   Relations with other researchers
   Recent citing documents: 106.    Total self citations: 82 (8.42 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plu10
   Updated: 2017-03-25    RAS profile: 2017-02-07    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Koopman, Siem Jan (37)

Schwaab, Bernd (18)

Blasques, Francisco (15)

Zhang, Xin (9)

Kräussl, Roman (5)

Creal, Drew (4)

Łasak, Katarzyna (3)

Schaumburg, Julia (2)

van der Sluis, Pieter (2)

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

Is cited by:

Catania, Leopoldo (30)

Harvey, Andrew (27)

Darné, Olivier (24)

Koopman, Siem Jan (23)

Cizek, Pavel (16)

Escribano, Alvaro (14)

CHARLES, Amelie (14)

Hautsch, Nikolaus (13)

Petrella, Ivan (13)

Delle Monache, Davide (11)

Xiao, Zhijie (11)

Cites to:

Koopman, Siem Jan (180)

Creal, Drew (97)

Engle, Robert (56)

Bollerslev, Tim (48)

Schwaab, Bernd (43)

Shephard, Neil (36)

Blasques, Francisco (31)

Duffie, Darrell (29)

Zhang, Xin (27)

Patton, Andrew (20)

Harvey, Andrew (19)

Main data


Where Andre Lucas has published?


Journals with more than one article published# docs
Journal of Econometrics8
Journal of Business & Economic Statistics5
Journal of Banking & Finance5
Journal of Empirical Finance5
Journal of Business & Economic Statistics4
International Journal of Forecasting3
Econometric Theory2
The Review of Economics and Statistics2
Applied Mathematical Finance2
Journal of Applied Econometrics2
Economics Letters2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute70
Serie Research Memoranda / VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics13
Working Paper Series / European Central Bank7
CFS Working Paper Series / Center for Financial Studies (CFS)6
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute4

Recent works citing Andre Lucas (2017 and 2016)


YearTitle of citing document
2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

Full description at Econpapers || Download paper

2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1601.05199.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

Full description at Econpapers || Download paper

2016Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi . In: Papers. RePEc:arx:papers:1608.02365.

Full description at Econpapers || Download paper

2016Generalized Autoregressive Score Models in R: The GAS Package. (2016). Catania, Leopoldo ; Ardia, David ; Boudt, Kris . In: Papers. RePEc:arx:papers:1609.02354.

Full description at Econpapers || Download paper

2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models. (2016). Koopman, Siem Jan ; Blasques, Francisco ; Wintenberger, O ; Gorgi, P. In: Papers. RePEc:arx:papers:1610.02863.

Full description at Econpapers || Download paper

2016Predictability Hidden by Anomalous Observations. (2016). Scaillet, Olivier ; Camponovo, Lorenzo ; Trojani, Fabio . In: Papers. RePEc:arx:papers:1612.05072.

Full description at Econpapers || Download paper

2017Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio . In: Papers. RePEc:arx:papers:1702.05944.

Full description at Econpapers || Download paper

2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: BCAM Working Papers. RePEc:bbk:bbkcam:1603.

Full description at Econpapers || Download paper

2016Tracking Changes in the Intensity of Financial Sectors Systemic Risk. (2016). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp102.

Full description at Econpapers || Download paper

2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1052_16.

Full description at Econpapers || Download paper

2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Bank of England working papers. RePEc:boe:boeewp:0577.

Full description at Econpapers || Download paper

2016High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1084.

Full description at Econpapers || Download paper

2016Outliers and persistence in threshold autoregressive processes. (2016). Donayre, Luiggi ; Ahmad, Yamin ; Yamin, Ahmad . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:1:p:37-56:n:4.

Full description at Econpapers || Download paper

2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

Full description at Econpapers || Download paper

2016Asymptotic Theory for Beta-t-GARCH. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1607.

Full description at Econpapers || Download paper

2016Do institutional investors unbind firm financial constraints? Evidence from emerging markets. (2016). Pombo, Carlos ; Jara Bertin, Mauricio ; Alvarez, Roberto ; Jara-Bertin, Mauricio. In: DOCUMENTOS CEDE. RePEc:col:000089:015114.

Full description at Econpapers || Download paper

2016Blockholders: A Survey of Theory and Evidence. (2016). Edmans, Alex ; Holderness, Clifford . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11442.

Full description at Econpapers || Download paper

2016Adaptive state space models with applications to the business cycle and financial stress. (2016). Venditti, Fabrizio ; Petrella, Ivan ; Delle Monache, Davide. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11599.

Full description at Econpapers || Download paper

2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23436.

Full description at Econpapers || Download paper

2016Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area. (2016). Koopman, Siem Jan ; Galati, Gabriele ; Vlekke, Marente ; Hindrayanto, Irma . In: DNB Working Papers. RePEc:dnb:dnbwpp:495.

Full description at Econpapers || Download paper

2016Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity. (2016). Peiro, Amado . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-04-06.

Full description at Econpapers || Download paper

2016Do local causations matter? The effect of firm location on the relations of ROE, R&D, and firm SIZE with MARKET-TO-BOOK. (2016). Carosi, Andrea. In: Journal of Corporate Finance. RePEc:eee:corfin:v:41:y:2016:i:c:p:388-409.

Full description at Econpapers || Download paper

2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

Full description at Econpapers || Download paper

2016On conditional covariance modelling: An approach using state space models. (2016). Hendrych, R ; Cipra, T. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:304-317.

Full description at Econpapers || Download paper

2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; Laurent, Sébastien ; Lecourt, Christelle . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:383-400.

Full description at Econpapers || Download paper

2016Spectral approach to parameter-free unit root testing. (2016). Bailey, Natalia ; Giraitis, Liudas . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:4-16.

Full description at Econpapers || Download paper

2016Dynamic equicorrelation stochastic volatility. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:795-813.

Full description at Econpapers || Download paper

2016Forecasting VaR and ES using dynamic conditional score models and skew Student distribution. (2016). Gao, Chun-Ting ; Zhou, Xiao-Hua . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:216-223.

Full description at Econpapers || Download paper

2016A high-frequency analysis of the interactions between REIT return and volatility. (2016). Zhou, Jian. In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:102-108.

Full description at Econpapers || Download paper

2016Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion. (2016). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta . In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:133-147.

Full description at Econpapers || Download paper

2016Intervention time series analysis of crime rates: The case of sentence reform in Virginia. (2016). Vujić, Sunčica ; Koopman, Siem Jan. In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:311-323.

Full description at Econpapers || Download paper

2016Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach. (2016). Bekiros, Stelios ; Boubaker, Sabri ; Avdoulas, Christos . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:580-587.

Full description at Econpapers || Download paper

2017How are Africas emerging stock markets related to advanced markets? Evidence from copulas. (2017). ALAGIDEDE, PAUL ; Mensah, Jones Odei . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:1-10.

Full description at Econpapers || Download paper

2016GARCH models, tail indexes and error distributions: An empirical investigation. (2016). Sopov, Boril ; Horvath, Roman. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:1-15.

Full description at Econpapers || Download paper

2016The economic benefits of market timing the style allocation of characteristic-based portfolios. (2016). Ardia, David ; Wauters, Marjan ; Boudt, Kris . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:38-62.

Full description at Econpapers || Download paper

2016Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area. (2016). Koopman, Siem Jan ; Galati, Gabriele ; Hindrayanto, Irma ; Vlekke, Marente . In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:83-87.

Full description at Econpapers || Download paper

2016Particle efficient importance sampling. (2016). Scharth, Marcel ; Kohn, Robert . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:133-147.

Full description at Econpapers || Download paper

2016High-dimensional copula-based distributions with mixed frequency data. (2016). Patton, Andrew ; Oh, Donghwan . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:349-366.

Full description at Econpapers || Download paper

2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data. (2016). Koopman, Siem Jan ; Blasques, Francisco ; Mallee, M. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:405-417.

Full description at Econpapers || Download paper

2017A new approach to model regime switching. (2017). Chang, Yoosoon ; Park, Joon Y ; Choi, Yongok . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:127-143.

Full description at Econpapers || Download paper

2016Accuracy of mortgage portfolio risk forecasts during financial crises. (2016). Scheule, Harald ; Lee, Yongwoong ; Rosch, Daniel . In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:440-456.

Full description at Econpapers || Download paper

2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Baruník, Jozef ; Krehlik, Tomas ; Barunik, Jozef . In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:1:p:329-340.

Full description at Econpapers || Download paper

2016It’s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events. (2016). Trueck, Stefan ; Truong, Chi ; Truck, Stefan . In: European Journal of Operational Research. RePEc:eee:ejores:v:253:y:2016:i:3:p:856-868.

Full description at Econpapers || Download paper

2016Institutional investor heterogeneity and firm valuation: Evidence from Latin America. (2016). Pombo, Carlos ; De-La, Maria Camila . In: Emerging Markets Review. RePEc:eee:ememar:v:26:y:2016:i:c:p:197-221.

Full description at Econpapers || Download paper

2016The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences. (2016). Monostori, Zoltán ; Kocsis, Zalan. In: Emerging Markets Review. RePEc:eee:ememar:v:27:y:2016:i:c:p:140-168.

Full description at Econpapers || Download paper

2016The European sovereign debt crisis: What have we learned?. (2016). Stefanova, Denitsa ; Kräussl, Roman ; Kraussl, Roman ; Lehnert, Thorsten . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:363-373.

Full description at Econpapers || Download paper

2016Testing against changing correlation. (2016). Harvey, Andrew ; Thiele, Stephen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:575-589.

Full description at Econpapers || Download paper

2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). (2016). Kristensen, Dennis ; Cavaliere, Giuseppe ; Rahbek, Anders ; Agosto, Arianna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:640-663.

Full description at Econpapers || Download paper

2016Business cycle and credit risk modeling with jump risks. (2016). Jang, Bong-Gyu ; Hee, JI ; Rhee, Yuna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pa:p:15-36.

Full description at Econpapers || Download paper

2017Relation between higher order comoments and dependence structure of equity portfolio. (2017). cerrato, mario ; Zhao, Yang ; Kim, Minjoo ; Crosby, John . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:101-120.

Full description at Econpapers || Download paper

2016MASCEM: Optimizing the performance of a multi-agent system. (2016). Pinto, Tiago ; Santos, Gabriel ; Vale, Zita ; Praa, Isabel . In: Energy. RePEc:eee:energy:v:111:y:2016:i:c:p:513-524.

Full description at Econpapers || Download paper

2016Is there a link between politics and stock returns? A literature survey. (2016). Wisniewski, Tomasz Piotr . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:15-23.

Full description at Econpapers || Download paper

2016International stock market cointegration under the risk-neutral measure. (2016). Gagnon, Marie-Helene ; Toupin, Dominique ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:243-255.

Full description at Econpapers || Download paper

2016Efficient estimation of unconditional capital by Monte Carlo simulation. (2016). Ferrer, Alex ; Sotoca, Sonia ; Casals, Jose . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:75-84.

Full description at Econpapers || Download paper

2016Portfolio optimization using asymmetry robust mean absolute deviation model. (2016). Li, Ping ; Xia, Yong ; Han, Yingwei . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:353-362.

Full description at Econpapers || Download paper

2016A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt. (2016). Sedunov, John ; Pagano, Michael S. In: Journal of Financial Stability. RePEc:eee:finsta:v:23:y:2016:i:c:p:62-78.

Full description at Econpapers || Download paper

2016Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics. (2016). Bartels, Mariana ; Ziegelmann, Flavio A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:66-79.

Full description at Econpapers || Download paper

2016A GARCH model for testing market efficiency. (2016). Narayan, Paresh ; Liu, Ruipeng ; Westerlund, Joakim . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:41:y:2016:i:c:p:121-138.

Full description at Econpapers || Download paper

2016Sovereign ratings and their asymmetric response to fundamentals. (2016). Molina Sánchez, Luis ; Broto, Carmen. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:130:y:2016:i:c:p:206-224.

Full description at Econpapers || Download paper

2016Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme. (2016). Schwaab, Bernd ; Eser, Fabian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:1:p:147-167.

Full description at Econpapers || Download paper

2016Hot money in bank credit flows to emerging markets during the banking globalization era. (2016). Phylaktis, Kate ; Fuertes, Ana-Maria ; Yan, Cheng . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:29-52.

Full description at Econpapers || Download paper

2017Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis. (2017). Fratzscher, Marcel ; Ehrmann, Michael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:26-44.

Full description at Econpapers || Download paper

2016Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model. (2016). GUPTA, RANGAN ; Chang, Tsangyao ; Aye, Goodness C. In: Resources Policy. RePEc:eee:jrpoli:v:48:y:2016:i:c:p:77-84.

Full description at Econpapers || Download paper

2016The informative role of trading volume in an expanding spot and futures market. (2016). Bhaumik, Sumon ; Karanasos, M ; Kartsaklas, A. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:35:y:2016:i:c:p:24-40.

Full description at Econpapers || Download paper

2017Operational disruptions and business cycles. (2017). Wagner, Stephan M ; Papageorgiou, Stylianos ; Mizgier, Kamil J. In: International Journal of Production Economics. RePEc:eee:proeco:v:183:y:2017:i:pa:p:66-78.

Full description at Econpapers || Download paper

2016Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25-:d:69492.

Full description at Econpapers || Download paper

2016Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25:d:69492.

Full description at Econpapers || Download paper

2016Political Business Cycles 40 Years after Nordhaus. (2016). Dubois, Eric . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01291401.

Full description at Econpapers || Download paper

2016Political Business Cycles 40 Years after Nordhaus. (2016). Dubois, Eric . In: Post-Print. RePEc:hal:journl:hal-01291401.

Full description at Econpapers || Download paper

2016Revisiting the transitional dynamics of business-cycle phases with mixed frequency data. (2016). Bessec, Marie. In: Working Papers. RePEc:hal:wpaper:hal-01358595.

Full description at Econpapers || Download paper

2016A comparative study on the estimation of factor migration models. (2016). Cousin, Areski ; Kheliouen, Mohamed Reda . In: Working Papers. RePEc:hal:wpaper:halshs-01351926.

Full description at Econpapers || Download paper

2016The Influence of Additive Outliers on the Performance of Information Criteria to Detect Nonlinearity. (2016). Rinke, Saskia . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-575.

Full description at Econpapers || Download paper

2017Changes in Persistence in Outlier Contaminated Time Series. (2017). Hirsch, Tristan ; Rinke, Saskia . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-583.

Full description at Econpapers || Download paper

2016From bond yield to macroeconomic instability: The effect of negative interest rates. (2016). Tedeschi, Gabriele ; Recchioni, Maria Cristina . In: Working Papers. RePEc:jau:wpaper:2016/06.

Full description at Econpapers || Download paper

2016On the Predictive Content of Nonlinear Transformations of Lagged Autoregression Residuals and Time Series Observations. (2016). Rossen, Anja. In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). RePEc:jns:jbstat:v:236:y:2016:i:1:p:389-409.

Full description at Econpapers || Download paper

2016Measuring Credit Risk of Individual Corporate Bonds in US Energy Sector. (2016). Kariya, Takeaki ; Takada, Hideyuki ; Yamamura, Yoshiro ; Tanokura, Yoko . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:23:y:2016:i:3:d:10.1007_s10690-016-9217-7.

Full description at Econpapers || Download paper

2016Political business cycles 40 years after Nordhaus. (2016). Dubois, Eric . In: Public Choice. RePEc:kap:pubcho:v:166:y:2016:i:1:d:10.1007_s11127-016-0313-z.

Full description at Econpapers || Download paper

2016Revision of the quantification of market risk in the Basel III regulatory framework. (2016). Bugar, Gyongyi ; Ratting, Anita . In: Financial and Economic Review. RePEc:mnb:finrev:v:15:y:2016:i:1:p:33-50.

Full description at Econpapers || Download paper

2017Modeling time series with zero observations. (2017). Harvey, Andrew ; Ito, Ryoko . In: Economics Papers. RePEc:nuf:econwp:1701.

Full description at Econpapers || Download paper

2016CoRisk: measuring systemic risk through default probability contagion. (2016). Parisi, Laura ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0116.

Full description at Econpapers || Download paper

2016Bail in or Bail out? The Atlante example from a systemic risk perspective. (2016). Parisi, Laura ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0124.

Full description at Econpapers || Download paper

2016Models of Financial Return With Time-Varying Zero Probability. (2016). Sucarrat, Genaro ; Gronneberg, Steffen . In: MPRA Paper. RePEc:pra:mprapa:68931.

Full description at Econpapers || Download paper

2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: MPRA Paper. RePEc:pra:mprapa:72736.

Full description at Econpapers || Download paper

2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: MPRA Paper. RePEc:pra:mprapa:75424.

Full description at Econpapers || Download paper

2016Exchange Rate Volatility and Uncovered Interest Rate Parity in the European Emerging Economies. (2016). Momilovi, Mirela ; Njegi, Jovan ; Ivkov, Dejan ; Milenkovi, Ivan . In: Prague Economic Papers. RePEc:prg:jnlpep:v:2016:y:2016:i:3:id:562:p:253-270.

Full description at Econpapers || Download paper

2016Ownership Concentration, Location, and Internalization Advantage in Financial Performance. (2016). Lo, Fang-Yi ; Shih, Pei-Wen ; Chiu, Shih-Kuan . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2016:i:3:p:82-93.

Full description at Econpapers || Download paper

2016Model of Static Portfolio Choices. (2016). Anghel, Madalina Gabriela ; Bartek, Okwiet ; Bodo, Gyorgy . In: Romanian Statistical Review Supplement. RePEc:rsr:supplm:v:64:y:2016:i:1:p:49-53.

Full description at Econpapers || Download paper

2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria ; Bille, Anna Gloria . In: CEIS Research Paper. RePEc:rtv:ceisrp:375.

Full description at Econpapers || Download paper

2016The forward search interactive outlier detection in cointegrated VAR analysis. (2016). Bellini, Tiziano . In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:10:y:2016:i:3:d:10.1007_s11634-015-0216-8.

Full description at Econpapers || Download paper

2016Comparison of Value-at-Risk models using the MCS approach. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Computational Statistics. RePEc:spr:compst:v:31:y:2016:i:2:d:10.1007_s00180-016-0646-6.

Full description at Econpapers || Download paper

2017Robust Dickey–Fuller tests based on ranks for time series with additive outliers. (2017). Boistard, H ; Bourguignon, M ; Levy-Leduc, C ; Reisen, V A. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:80:y:2017:i:1:d:10.1007_s00184-016-0594-8.

Full description at Econpapers || Download paper

2016Illiquidity Transmission in a Three-Country Framework: A Conditional Approach. (2016). Uhrig-Homburg, Marliese ; Fiesel, Stefan . In: Schmalenbach Business Review. RePEc:spr:schmbr:v:17:y:2016:i:3:d:10.1007_s41464-016-0016-5.

Full description at Econpapers || Download paper

2016Cyclicality in Losses on Bank Loans. (2016). Kole, Erik ; Keijsers, Bart ; Diris, Bart . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150050.

Full description at Econpapers || Download paper

2016Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area. (2016). Koopman, Siem Jan ; Galati, Gabriele ; Vlekke, Marente ; Hindrayanto, Irma . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160029.

Full description at Econpapers || Download paper

2016Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model. (2016). Koopman, Siem Jan ; Hansen, Peter ; Janus, Pawel . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160061.

Full description at Econpapers || Download paper

2016Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models. (2016). Koopman, Siem Jan ; Blasques, Francisco ; Wintenberger, Olivier ; Gorgi, Paolo . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160082.

Full description at Econpapers || Download paper

2016Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1024.

Full description at Econpapers || Download paper

2016The new hybrid value at risk approach based on the extreme value theory. (2016). Cvjetkovic, Milena ; Stepanov, Saa ; Radivojevic, Nikola . In: Estudios de Economia. RePEc:udc:esteco:v:43:y:2016:i:1:p:17-43.

Full description at Econpapers || Download paper

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).
[Full Text][Citation analysis]
article0
1998Nut, gebruik en beperkingen van value-at-risk voor risicomanagement.(1998) In: Serie Research Memoranda.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1998Outlier Detection in Cointegration Analysis. In: Journal of Business & Economic Statistics.
[Citation analysis]
article16
1999Testing for Smooth Transition Nonlinearity in the Presence of Outliers. In: Journal of Business & Economic Statistics.
[Citation analysis]
article41
1996Testing for Smooth Transition Nonlinearity in the Presence of Outliers.(1996) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2000A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior. In: Journal of Business & Economic Statistics.
[Citation analysis]
article2
1997A 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 another version. Agregated cites: 2
paper
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article27
2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article14
2005A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: DNB Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2005A 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 another version. Agregated cites: 14
paper
2008The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]
article5
2003Comprehensive definitions of breakdown points for independent and dependent observations In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]
article14
2000Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations.(2000) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2008Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model In: Statistica Neerlandica.
[Full Text][Citation analysis]
article4
2007Estimating 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 another version. Agregated cites: 4
paper
2013Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle In: LSF Research Working Paper Series.
[Full Text][Citation analysis]
paper4
2014Washington 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 another version. Agregated cites: 4
article
2008Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle.(2008) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2010Washington meets Wall Street: A closer examination of the presidential cycle puzzle.(2010) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
1995Unit Root Tests Based on M Estimators In: Econometric Theory.
[Full Text][Citation analysis]
article29
1997Cointegration Testing Using Pseudolikelihood Ratio Tests In: Econometric Theory.
[Full Text][Citation analysis]
article20
2012Cash 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]
article6
2010Cash 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 another version. Agregated cites: 6
paper
2010Cash 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 another version. Agregated cites: 6
paper
2005Deepening 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]
article0
2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
[Full Text][Citation analysis]
paper20
2012Dynamic 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]
paper18
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
article
2013Conditional and joint credit risk In: Working Paper Series.
[Full Text][Citation analysis]
paper1
2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
[Full Text][Citation analysis]
paper9
2011Observation 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 another version. Agregated cites: 9
paper
2014Observation-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 another version. Agregated cites: 9
article
2015Modeling financial sector joint tail risk in the euro area In: Working Paper Series.
[Full Text][Citation analysis]
paper2
2015Modeling financial sector joint tail risk in the euro area.(2015) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2016The information in systemic risk rankings In: Working Paper Series.
[Full Text][Citation analysis]
paper2
2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2016Global credit risk: world country and industry factors In: Working Paper Series.
[Full Text][Citation analysis]
paper1
2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2008Modelling Portfolio Defaults Using Hidden Markov Models with Covariates In: Econometrics Journal.
[Full Text][Citation analysis]
article9
2006Modeling Portfolio Defaults using Hidden Markov Models with Covariates.(2006) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2011Blockholder dispersion and firm value In: Journal of Corporate Finance.
[Full Text][Citation analysis]
article12
2011Blockholder Dispersion and Firm Value.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2010Blockholder dispersion and firm value.(2010) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2016Semiparametric score driven volatility models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article0
2016Accounting for missing values in score-driven time-varying parameter models In: Economics Letters.
[Full Text][Citation analysis]
article0
2016Accounting for Missing Values in Score-Driven Time-Varying Parameter Models.(2016) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2000Quantiles for t-statistics based on M-estimators of unit roots In: Economics Letters.
[Full Text][Citation analysis]
article2
2002Semi-nonparametric cointegration testing In: Journal of Econometrics.
[Full Text][Citation analysis]
article8
1997Semi-nonparametric cointegration testing.(1997) In: Serie Research Memoranda.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2004A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2000A 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 another version. Agregated cites: 0
paper
2000A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model.(2000) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2008The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics.
[Full Text][Citation analysis]
article32
2005The Multi-State Latent Factor Intensity Model for Credit Rating Transitions.(2005) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
paper
2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
[Full Text][Citation analysis]
article23
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
[Full Text][Citation analysis]
article7
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
1995An outlier robust unit root test with an application to the extended Nelson-Plosser data In: Journal of Econometrics.
[Full Text][Citation analysis]
article31
1995Classical and Bayesian aspects of robust unit root inference In: Journal of Econometrics.
[Full Text][Citation analysis]
article9
1998Outlier robust analysis of long-run marketing effects for weekly scanning data In: Journal of Econometrics.
[Full Text][Citation analysis]
article4
2009Credit cycles and macro fundamentals In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article30
2006Credit Cycles and Macro Fundamentals.(2006) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
paper
2006Credit cycles and macro fundamentals.(2006) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
paper
2014Long memory dynamics for multivariate dependence under heavy tails In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article5
2011Long Memory Dynamics for Multivariate Dependence under Heavy Tails.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
1995A note on the relationship between GARCH and symmetric stable processes In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article11
2002Stock selection, style rotation, and risk In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article8
2001Stock Selection, Style Rotation, and Risk.(2001) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2012Risk aversion under preference uncertainty In: Finance Research Letters.
[Full Text][Citation analysis]
article0
2010Risk Aversion under Preference Uncertainty.(2010) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2010Risk aversion under preference uncertainty.(2010) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2009Global loss diversification in the insurance sector In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article0
2008Global Loss Diversification in the Insurance Sector.(2008) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2014Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting.
[Full Text][Citation analysis]
article2
2016Score-driven exponentially weighted moving averages and Value-at-Risk forecasting In: International Journal of Forecasting.
[Full Text][Citation analysis]
article5
2015Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting.(2015) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2015Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2016In-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]
article0
2015In-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 another version. Agregated cites: 0
paper
2000SETS, arbitrage activity, and stock price dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article19
1999SETS, Arbitrage Activity, and Stock Price Dynamics.(1999) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
2001An analytic approach to credit risk of large corporate bond and loan portfolios In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article39
1999An analytic approach to credit risk of large corporate bond and loan portfolios.(1999) In: Serie Research Memoranda.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
paper
2002Erratum 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]
article0
2005Empirical credit cycles and capital buffer formation In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article29
2006Discrete versus continuous state switching models for portfolio credit risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article7
2003Discrete versus Continuous State Switching Models for Portfolio Credit Risk.(2003) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
1996Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data In: Econometric Institute Research Papers.
[Citation analysis]
paper0
1996Testing for ARCH in the Presence of Additive Outliers In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper52
1999Testing for ARCH in the Presence of Additive Outliers..(1999) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
article
1999Arbitrage and sampling uncertainty in financial stochastic programming models In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper0
2013Conditional euro area sovereign default risk In: Working Paper Series.
[Full Text][Citation analysis]
paper24
2014Conditional Euro Area Sovereign Default Risk.(2014) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
article
2009A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
paper7
2008A General Framework for Observation Driven Time-Varying Parameter Models.(2008) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2005Business and default cycles for credit risk In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article48
2003Business and Default Cycles for Credit Risk.(2003) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
paper
2008Quantile forecasting for credit risk management using possibly misspecified hidden Markov models In: Journal of Forecasting.
[Full Text][Citation analysis]
article2
2007Quantile 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 another version. Agregated cites: 2
paper
2001Evaluating the Basle Guidelines for Backtesting Banks Internal Risk Management Models. In: Journal of Money, Credit and Banking.
[Citation analysis]
article7
2012Regime switches in the volatility and correlation of financial institutions In: Working Paper Research.
[Full Text][Citation analysis]
paper3
2015Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika.
[Full Text][Citation analysis]
article3
2004Short patches of outliers, ARCH and volatility modelling In: Applied Financial Economics.
[Full Text][Citation analysis]
article10
1998Short Patches of Outliers, ARCH and Volatility Modeling.(1998) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2003Tail behaviour of credit loss distributions for general latent factor models In: Applied Mathematical Finance.
[Full Text][Citation analysis]
article2
2001Tail Behavior of Credit Loss Distributions for General Latent Factor Models.(2001) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2008Hedging Large Portfolios of Options in Discrete Time In: Applied Mathematical Finance.
[Full Text][Citation analysis]
article0
1998Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods In: Econometric Reviews.
[Full Text][Citation analysis]
article7
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article28
2010A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
paper
2015Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article1
2012Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models.(2012) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1998A Hybrid Joint Moment Ratio Test for Financial Time Series In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
1999A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper5
2000Analytic Decision Rules for Financial Stochastic Programs In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper1
2002Explaining Hedge Fund Investment Styles by Loss Aversion In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper1
2002Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2003Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2003Black 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]
paper0
2006Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2008Forecasting Cross-Sections of Frailty-Correlated Default In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper1
2013A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2010Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper4
2010Systemic Risk Diagnostics In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper8
2011Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper2
2012Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper24
2012Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper3
2016Predicting 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 another version. Agregated cites: 3
article
2012Long-Term versus Short-Term Contingencies in Asset Allocation In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2012A New Semiparametric Volatility Model In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2012Aggregating Credit and Market Risk: The Impact of Model Specification In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2012Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper5
2014Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper4
2013Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper1
2014Testing for Parameter Instability in Competing Modeling Frameworks In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2014Maximum Likelihood Estimation for Generalized Autoregressive Score Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper13
2015The Dynamic Skellam Model with Applications In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2014Information Theoretic Optimality of Observation Driven Time Series Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper1
2014Time Varying Transition Probabilities for Markov Regime Switching Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper8
2015New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper2
2014Maximum 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]
paper0
2014Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper7
2016Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2015Mixed Density based Copula Likelihood In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2015In-Sample Bounds for Time-Varying Parameters of Observation Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2015Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2015Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2015Generalized Autoregressive Method of Moments In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2016Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S. In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2016Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2016Bank Business Models at Zero Interest Rates In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2016Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2016Network, Market, and Book-Based Systemic Risk Rankings In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper1
1997Strategic and tactical asset allocation and the effect of long-run equilibrium relations In: Serie Research Memoranda.
[Full Text][Citation analysis]
paper3
1997Outlier robust cointegration analysis In: Serie Research Memoranda.
[Full Text][Citation analysis]
paper0
1997Stochastic processes, non-normal innovations, and the use of scaling ratios In: Serie Research Memoranda.
[Full Text][Citation analysis]
paper0
1998Testing backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models of banks In: Serie Research Memoranda.
[Full Text][Citation analysis]
paper1
1998On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework In: Serie Research Memoranda.
[Full Text][Citation analysis]
paper0
1998A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests In: Serie Research Memoranda.
[Full Text][Citation analysis]
paper1
1999Tail behavior of credit loss distributions In: Serie Research Memoranda.
[Full Text][Citation analysis]
paper0
2002De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen In: Serie Research Memoranda.
[Full Text][Citation analysis]
paper0
2003Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression In: Serie Research Memoranda.
[Full Text][Citation analysis]
paper0
2013GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article75
2010Why do investors sell losers? How adaptation to losses affects future capitulation decisions In: CFS Working Paper Series.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 1 2017. Contact: CitEc Team