Andre Lucas : Citation Profile

Vrije Universiteit Amsterdam (80% share)
Tinbergen Instituut (20% share)

29

H index

59

i10 index

2973

Citations

RESEARCH PRODUCTION:

93

Articles

144

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1995 - 2026). See details.
   Cites by year: 95
   Journals where Andre Lucas has often published
   Relations with other researchers
   Recent citing documents: 129.    Total self citations: 135 (4.34 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plu10
   Updated: 2026-06-27    RAS profile: 2026-06-08    
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Relations with other researchers

Works with:

Schwaab, Bernd (7)

Lin, Yicong (6)

Schaumburg, Julia (6)

Rossini, Luca (3)

Koopman, Siem Jan (3)

Telg, Sean (2)

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

Is cited by:

Koopman, Siem Jan (107)

Escribano, Alvaro (63)

Harvey, Andrew (63)

Blazsek, Szabolcs (54)

Blasques, Francisco (47)

Catania, Leopoldo (40)

Schaumburg, Julia (37)

Lange, Rutger-Jan (35)

Cizek, Pavel (33)

Darné, Olivier (31)

Petrella, Ivan (28)

Cites to:

Koopman, Siem Jan (329)

Creal, Drew (168)

Engle, Robert (87)

Schwaab, Bernd (87)

Bollerslev, Tim (77)

Shephard, Neil (67)

Blasques, Francisco (63)

Patton, Andrew (47)

Harvey, Andrew (44)

Zhang, Xin (43)

Duffie, Darrell (36)

Main data

Where Andre Lucas has published?

Journals with more than one article published# docs
Journal of Econometrics14
Journal of Business & Economic Statistics8
Journal of Applied Econometrics7
Journal of Banking & Finance7
Journal of Empirical Finance5
International Journal of Forecasting5
Journal of Business & Economic Statistics5
Journal of Financial Econometrics4
Economics Letters3
Econometric Reviews3
Econometric Theory2
Journal of Financial and Quantitative Analysis2
Journal of Applied Econometrics2
The Review of Economics and Statistics2
Biometrika2
Applied Mathematical Finance2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute91
Working Paper Series / European Central Bank14
Serie Research Memoranda / VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics13
Working Paper Series / Sveriges Riksbank (Central Bank of Sweden)6
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 (2026 and 2025)

YearTitle of citing document
2025Modeling prices from speculative markets: bursting bubbles or deflating balloons?. (2025). Wang, Linqi ; Harvey, Andrew ; Hafner, Christian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2025008.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2025Global Neural Networks and The Data Scaling Effect in Financial Time Series Forecasting. (2025). Kohn, Robert ; Gerlach, Richard ; Tran, Minh-Ngoc ; Liu, Chen ; Wang, Chao. In: Papers. RePEc:arx:papers:2309.02072.

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2025Statistical Validation of Contagion Centrality in Financial Networks. (2025). Feinstein, Zachary ; Sadeghi, Agathe. In: Papers. RePEc:arx:papers:2404.14337.

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2026CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2026Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Papers. RePEc:arx:papers:2408.02391.

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2025The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2025A Spatio-Temporal Machine Learning Model for Mortgage Credit Risk: Default Probabilities and Loan Portfolios. (2024). Sigrist, Fabio ; Kundig, Pascal. In: Papers. RePEc:arx:papers:2410.02846.

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2025Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025Dynamic Factor Correlation Model. (2025). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2503.01080.

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2025Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH. (2025). Suresh, Sathvika Thorali ; Singh, Aryan ; Reilly, Paul O ; Sharif, Daim ; Haughey, Patrick ; Kumar, Adarsh Sajeev ; Anvar, Aakhil ; McCarthy, Eoghan. In: Papers. RePEc:arx:papers:2505.06950.

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2025Do Betting Markets Sense a Goal Coming? Evidence from the German Bundesliga. (2025). Deutscher, Christian ; Winkelmann, David. In: Papers. RePEc:arx:papers:2505.21275.

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2025Approximate Factor Model with S-vine Copula Structure. (2025). Li, Yu-Ning ; Han, Jialing. In: Papers. RePEc:arx:papers:2508.11619.

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2025Long memory score-driven models as approximations for rough Ornstein-Uhlenbeck processes. (2025). Wu, Yinhao ; He, Ping. In: Papers. RePEc:arx:papers:2509.09105.

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2025Adaptive Temporal Fusion Transformers for Cryptocurrency Price Prediction. (2025). Sarram, Mehdi Agha ; Fard, Amin Milani ; Zare, Mohammad Ali ; Peik, Arash. In: Papers. RePEc:arx:papers:2509.10542.

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2025Predicting Credit Spreads and Ratings with Machine Learning: The Role of Non-Financial Data. (2025). Wu, Yanran ; Zhang, Xinlei ; Yang, Qianxin ; Xu, Quanyi. In: Papers. RePEc:arx:papers:2509.19042.

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2025An Imbalance-Robust Evaluation Framework for Extreme Risk Forecasts. (2025). Nikolopoulos, Sotirios D. In: Papers. RePEc:arx:papers:2512.00916.

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2026Implicit score-driven filters for time-varying parameter models. (2025). van Dijk, Dick ; Lange, Rutger-Jan ; van Os, Bram. In: Papers. RePEc:arx:papers:2512.02744.

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2025Learning from crises: A new class of time-varying parameter VARs with observable adaptation. (2025). Korobilis, Dimitris ; Hardy, Nicolas. In: Papers. RePEc:arx:papers:2512.03763.

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2026Estimation and inference in models with multiple behavioural equilibria. (2026). Raggi, Davide ; Mayer, Alexander. In: Papers. RePEc:arx:papers:2512.04541.

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2026Exponentially weighted estimands and the exponential family: filtering, prediction and smoothing. (2026). van Heel, Simon Donker ; Shephard, Neil. In: Papers. RePEc:arx:papers:2512.16745.

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2025Modeling Economic Systems as Multiport Networks. (2025). Mendel, Max B ; Hutters, Coen. In: Papers. RePEc:arx:papers:2512.20600.

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2025Equilibrium investment under dynamic preference uncertainty. (2025). Havrylenko, Yevhen ; Desmettre, Sascha ; Steffensen, Mogens ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:2512.21149.

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2026A Robust Similarity Estimator. (2026). Archakov, Ilya. In: Papers. RePEc:arx:papers:2601.12198.

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2026Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting. (2026). Luger, Richard ; Liu, Xiaochun. In: Papers. RePEc:arx:papers:2603.02357.

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2026Semi-structured multi-state delinquency model for mortgage default. (2026). Klein, Nadja ; Lessmann, Stefan ; Xia, Wangzhen ; Medina-Olivares, Victor. In: Papers. RePEc:arx:papers:2603.26309.

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2026Generalized Autoregressive Multivariate Models: From Binary to Poisson. (2026). Meddahi, Nour ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2604.14394.

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2026Subsample-Based Estimation under Dynamic Contamination. (2026). Yang, Yukai ; Sandberg, Rickard. In: Papers. RePEc:arx:papers:2604.17676.

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2026Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models. (2026). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2605.01665.

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2026Multi-regime Markov-switching models with time-varying transition probabilities: An application to U.S. Treasury yields. (2026). Bethuelsen, Stein Andreas ; Westgaard, Sjur ; Li, Yushu ; Mod, Samuel. In: Papers. RePEc:arx:papers:2605.14976.

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2026Tweedies Formula and Score-Driven Updating. (2026). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2605.15902.

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2026Betting Against Integrity: Identifying Match-Fixing Through In-Play Market Dynamics. (2026). Langrock, Roland ; Deutscher, Christian ; Vienken, Maya ; Winkelmann, David. In: Papers. RePEc:arx:papers:2605.30209.

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2025A Market-Based Approach to Reverse Stress Testing the Financial System. (2025). Ojea Ferreiro, Javier. In: Staff Working Papers. RePEc:bca:bocawp:25-32.

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2025Perceived interconnections between Canadian banks and non-bank financial intermediaries under stress. (2025). Ojea Ferreiro, Javier. In: Staff Analytical Notes. RePEc:bca:bocsan:25-26.

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2026Dynamic Models for Climate Extremes. (2026). Bidoia, Marco ; Palumbo, D ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2620.

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2026Monotonic Polynomial GARCH Models for Conditional Higher Moments. (2026). Sssmuth, Bernd ; Beiner, Rouven. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12734.

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2026Transmission of Negative Interest Rates: Reversal or Amplification?. (2026). Schfer, Jan Lukas. In: Working Papers. RePEc:cmf:wpaper:wp2026_2606.

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2025The 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.

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2025Central bank independence and risk-taking at the zero lower bound. (2025). Eichengreen, Barry ; Schumacher, Julian ; Bartels, Bernhard ; di Mauro, Beatrice Weder. In: Working Paper Series. RePEc:ecb:ecbwps:20253079.

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2025Fixed-time control of nonlinear systems with time-varying gains: A novel stability criterion. (2025). Wang, Yu-Long ; Sun, Lin. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:200:y:2025:i:p3:s0960077925010951.

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2025Leveraging external debt: Stimulate innovation by infrastructure development in Belt and Road countries. (2025). Luo, Ruilin ; Zhang, Fan ; Mai, Jinghua. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:86:y:2025:i:c:p:1214-1243.

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2026Predicting bank defaults in Italy: A comparative analysis of conventional and machine learning approaches. (2026). Orlando, Giuseppe ; Chironna, Gianpiero. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:89:y:2026:i:c:p:788-833.

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2025Cross-country risk spillovers: A FHM factor copula approach. (2025). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s026499932500118x.

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2025Nonlinear hedging climate policy uncertainty: A dynamic mixed copula approach. (2025). Han, Yingwei ; Li, Jie. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325001774.

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2025Zombie firms in network: Congestion and evergreening. (2025). Akarsu, Okan ; Torun, Huzeyfe ; Aktu, Emrehan. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325002123.

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2025Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information. (2025). Xu, Buyun ; Wu, Zhimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000087.

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2025A new class of Z-valued INAR(1) models with application to mutual fund flows. (2025). Kang, Yao ; Zhang, Yuqing ; Wang, Shuhui ; Zhao, Zhiwen. In: Economics Letters. RePEc:eee:ecolet:v:252:y:2025:i:c:s0165176525001764.

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2026Recursive utility under the ICAPM: Is it relevant?. (2026). Maio, Paulo. In: Economics Letters. RePEc:eee:ecolet:v:258:y:2026:i:c:s0165176525005610.

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2025An order-invariant score-driven dynamic factor model. (2025). Artemova, Mariia. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001277.

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2025Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure. (2025). Hong, Yongmiao ; Dai, Siqi ; Li, Haiqi ; Zheng, Chaowen. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001368.

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2025Multiplicative Error Models: 20 years on. (2025). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229.

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2025Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss. (2025). Demetrescu, Matei ; Roling, Christoph. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:80-104.

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2025Model Risk of Volatility Models. (2025). Lazar, Emese ; Zhang, Ning. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:1-22.

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2025An adoption model of cryptocurrencies. (2025). Urquhart, Andrew ; Sakkas, Athanasios ; Rzayev, Khaladdin. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:1:p:253-266.

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2025The devil in the details: Dynamic Prediction of loan portfolio profitability with macroeconomic drivers through multi-state modelling. (2025). Crook, Jonathan ; Djeundje, Viani B ; Andreeva, Galina. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:2:p:703-715.

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2025Systemic risk between banks and firms in dual-layer dynamic networks. (2025). Qian, Shuitu ; You, Hang ; Zhang, Xiaoyuan. In: Emerging Markets Review. RePEc:eee:ememar:v:66:y:2025:i:c:s1566014125000251.

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2025Tail risk dynamics of banks with score-driven extreme value models. (2025). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000155.

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2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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2025Uncertainty characterization for generation adequacy assessments – Including an application to the recent European energy crisis. (2025). Weber, Christoph ; Schneider, Dennis ; Spilger, Maike. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001276.

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2025Compounding geopolitical and energy risks: A clustered stochastic multi-COVOL model. (2025). Billio, Monica ; Casarin, Roberto ; Lpez, Ovielt Baltodano ; Costola, Michele. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s0140988325005274.

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2025Mixed-frequency Quantile Regression Forests for Value-at-Risk forecasting. (2025). Candila, Vincenzo ; Andreani, Mila ; Petrella, Lea. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s014098832500533x.

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2025Generosity under environmental pressure: Climate change exposure and corporate philanthropy. (2025). Zu, Yanglan ; Shan, Yaowen ; Lu, Meiting ; Liu, Yunxin ; Cao, Yuqiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925004235.

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2025Within-regime volatility dynamics for observable- and Markov-switching score-driven models. (2025). Blazsek, Szabolcs ; Shadoff, Samantha R ; Kong, Dejun. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s154461232401660x.

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2025Macroeconomic factors, industrial enterprises, and debt default prediction: Based on the VAR-GRU model. (2025). Duan, Mohan ; Luo, YI ; Liu, Zhenqing. In: Finance Research Letters. RePEc:eee:finlet:v:78:y:2025:i:c:s154461232500385x.

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2025Risk perception and risky asset allocation: A new approach. (2025). Rubilar-Torrealba, Rolando ; Ruiz, Jos L. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pa:s1544612325011018.

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2025The pitfalls of continuous heavy-tailed distributions in high-frequency data analysis. (2025). Hol, Vladimr. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pe:s154461232501918x.

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2025Greenwashing, greenhushing, and the path to green banking. (2025). de Novellis, Gennaro ; Pennetta, Daniela ; Pedrazzoli, Alessia ; Venturelli, Valeria. In: Global Finance Journal. RePEc:eee:glofin:v:67:y:2025:i:c:s1044028325000742.

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2025Asymmetric uncertainty: Nowcasting using skewness in real-time data. (2025). Labonne, Paul. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:229-250.

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2025Multivariate dynamic mixed-frequency density pooling for financial forecasting. (2025). Lopes, Hedibert F ; Virbickait, Audron ; Zaharieva, Martina Danielova. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1184-1198.

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2026When to be discrete: The importance of time formulation in the modeling of extreme events in finance. (2026). Herrera, Rodrigo ; Bie-Barkowska, Katarzyna. In: International Journal of Forecasting. RePEc:eee:intfor:v:42:y:2026:i:1:p:61-84.

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2025Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model. (2025). Honig, Igor ; Kircher, Felix. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001256.

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2025Benchmarking benchmarks. (2025). Putnis, Tlis ; Khomyn, Marta ; Brugler, James. In: Journal of Financial Economics. RePEc:eee:jfinec:v:168:y:2025:i:c:s0304405x25000261.

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2025Making a virtue out of necessity: The effect of negative interest rates on bank cost efficiency. (2025). Reghezza, Alessio ; Pancaro, Cosimo ; Girardone, Claudia ; Pancotto, Livia ; Avignone, Giuseppe. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:155:y:2025:i:c:s0261560625000415.

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2025Systemic risk in global FX markets: Measurement and determinants. (2025). Jiang, Yanting ; Chen, Yanghan ; Lin, Juan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:159:y:2025:i:c:s0261560625001706.

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2025Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization. (2025). Lai, Yu-Sheng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000236.

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2025Green transitions and asymmetric volatility spillovers: A time-varying GAS copula analysis of clean and fossil energy markets. (2025). Hamza, Tahar ; Mili, Mehdi ; Sohrab, Ebrahim. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:32:y:2025:i:c:s1703494925000398.

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2025Measuring systemic risk in China: A new hybrid approach incorporating ensemble learning and risk spillover networks. (2025). Huo, DA ; Wang, Chao ; Shi, Yongdong ; Yang, MO ; Xing, Weize ; Zhao, Jingjing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25001015.

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2025Forecasting intraday volatility and densities using deep learning. (2025). Valls Pereira, Pedro ; Morier, Bruno. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:104:y:2025:i:c:s1062976925001176.

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2026Credit risk contagion across China’s real-estate industrial chain. (2026). Wang, Yongmin ; Chang, Yingxin ; Huang, Ran ; Zhou, QI. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:105:y:2026:i:c:s1062976925001449.

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2025Forecasting realised volatility using regime-switching models. (2025). McMillan, David G ; Kambouroudis, Dimos ; Ding, YI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:101:y:2025:i:c:s105905602500334x.

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2025How risk spillover network structure affects VaR: A study using complex networks and quantile regression. (2025). , Xian ; Zhong, Weiqiong ; Gao, Xiangyun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025001194.

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2025Credit risk assessment of shadow banking: Evidence from China. (2025). Wang, Zhaojie ; Pan, Hongjie ; Yu, Guangsheng ; Ding, Shusheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925001849.

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2025Optimizing portfolio performance with DeFi tokens: Insights from a dynamic R-vine copula-based mean-CVaR approach. (2025). Anwar, Rija ; Sharif, Arshian ; Raza, Syed Ali. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925001898.

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2025How does horizontal ecological compensation promote the coupled development of ecological environment protection and high-quality economy growth? Evidence from Chinas circular economy practices. (2025). Shen, Qingyuan ; Guo, Qingbin ; Cucari, Nicola ; Lu, Jintao ; Tutore, Ilaria. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:102:y:2025:i:c:s0038012125001697.

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2025An adoption model of cryptocurrencies. (2025). Urquhart, Andrew ; Sakkas, Athanasios ; Rzayev, Khaladdin. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126508.

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2025How Large is Excess Volatility of the EUR/USD Exchange Rate? Evidence from a GAS Approach. (2025). Bargigli, Leonardo. In: Working Papers - Economics. RePEc:frz:wpaper:wp2025_13.rdf.

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2025Does 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.

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2025A Fusion of Statistical and Machine Learning Methods: GARCH-XGBoost for Improved Volatility Modelling of the JSE Top40 Index. (2025). Maingo, Israel ; Ravele, Thakhani ; Sigauke, Caston. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:3:p:155-:d:1731685.

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2025A Hybrid GAS-ATT-LSTM Architecture for Predicting Non-Stationary Financial Time Series. (2025). Astudillo, Kevin ; Varela-Alds, Jos ; Ferreira, Guillermo ; Soliz, Mateo ; Flores, Miguel. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:14:p:2300-:d:1704423.

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2025Modeling SSE 50 ETF Returns and Option Pricing: Evidence from a Score-Driven GARCH-Jump Approach. (2025). Shi, Mingfu ; Zhang, Chuanhai ; Chen, Qingqing ; Hrdle, Wolfgang Karl. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:20:p:3332-:d:1774963.

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2025Estimator’s Properties of Specific Time-Dependent Multivariate Time Series. (2025). Mlard, Guy. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1163-:d:1625328.

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2025Learning from crises: A new class of time-varying parameter VARs with observable adaptation. (2025). Korobilis, Dimitris ; Hardy, Nicolas. In: Working Papers. RePEc:gla:glaewp:2025_12.

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2025The Indirect Diversification Benefits of Investing in Japanese Firms: An Alternative Perspective. (2025). Berrill, Jenny ; Chadha, Pearlean. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:32:y:2025:i:1:d:10.1007_s10690-024-09448-9.

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2026Market-News Co-Moments and the Cross Section of Stock Returns. (2026). Shankar, Sriram ; Mallik, Girijasankar ; Baghdadabad, Mohammadreza Tavakoli. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:33:y:2026:i:1:d:10.1007_s10690-024-09511-5.

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2025Portfolio Optimization During the COVID-19 Epidemic: Based on an Improved QBAS Algorithm and a Dynamic Mixed Frequency Model. (2025). Jiang, Kunliang ; Song, Jiashan ; Luo, Pengfei ; Wei, Siyao. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10621-5.

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2025The Asymmetric Effect of COVID-19 Pandemic on the US Market Risk Premium: Evidence from AEGAS-M Model. (2025). Chikhi, Mohammed ; Benhmad, Franois. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:2:d:10.1007_s10614-024-10745-8.

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2025Extreme Risk Connectedness in China’s Stock Market: Fresh Insights from Time-Varying General Dynamic Factor Models. (2025). Jin, Xiaoye. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10779-y.

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2025Outlier Robust Specification of Multiplicative Time-Varying Volatility Models. (2025). Amado, Cristina. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:5:d:10.1007_s10614-024-10838-4.

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2025Measurement and Early Warning of Systemic Financial Risk in China: Markov Switching Models. (2025). Wang, Yingdong. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:6:d:10.1007_s10614-025-10873-9.

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2025Constructing a country-specific indicator for cyclical systemic risk. (2025). Vella, Sarah. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:58:y:2025:i:3:d:10.1007_s10644-025-09884-1.

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

Works by Andre Lucas:

YearTitleTypeCited
1999Nut, gebruik en beperkingen van Value-at-Risk voor risicomanagement In: Economic and Social Journal (Economisch en Sociaal Tijdschrift).
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1998Nut, gebruik en beperkingen van value-at-risk voor risicomanagement.(1998) In: Serie Research Memoranda.
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2026Spectral Dynamics and Regularization for High-Dimensional Copulas In: Papers.
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1998Outlier Detection in Cointegration Analysis. In: Journal of Business & Economic Statistics.
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1999Testing for Smooth Transition Nonlinearity in the Presence of Outliers. In: Journal of Business & Economic Statistics.
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1996Testing for Smooth Transition Nonlinearity in the Presence of Outliers.(1996) In: Econometric Institute Research Papers.
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2000A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior. In: Journal of Business & Economic Statistics.
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1997A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior.(1997) In: Serie Research Memoranda.
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2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
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2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
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2005A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: Tinbergen Institute Discussion Papers.
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2003Comprehensive definitions of breakdown points for independent and dependent observations In: Journal of the Royal Statistical Society Series B.
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2000Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations.(2000) In: Tinbergen Institute Discussion Papers.
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2014Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers.
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2008Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model In: Statistica Neerlandica.
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2007Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model.(2007) In: Tinbergen Institute Discussion Papers.
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2013Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle In: LSF Research Working Paper Series.
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2014Washington meets Wall Street: A closer examination of the presidential cycle puzzle.(2014) In: Journal of International Money and Finance.
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2008Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle.(2008) In: Tinbergen Institute Discussion Papers.
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2010Washington meets Wall Street: A closer examination of the presidential cycle puzzle.(2010) In: CFS Working Paper Series.
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1995Unit Root Tests Based on M Estimators In: Econometric Theory.
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1997Cointegration Testing Using Pseudolikelihood Ratio Tests In: Econometric Theory.
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2012Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced? In: Journal of Financial and Quantitative Analysis.
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2010Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?.(2010) In: Tinbergen Institute Discussion Papers.
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2010Cash flow and discount rate risk in up and down markets: What is actually priced?.(2010) In: CFS Working Paper Series.
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2017Long-Term versus Short-Term Contingencies in Asset Allocation In: Journal of Financial and Quantitative Analysis.
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2012Long-Term versus Short-Term Contingencies in Asset Allocation.(2012) In: Tinbergen Institute Discussion Papers.
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2005Deepening the Measuring of Technical Inefficiency in Private Farming in Georgia: Locally Parametric Regression In: International Journal of Applied Econometrics and Quantitative Studies.
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2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
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2012Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series.
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2012Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008.(2012) In: Journal of Business & Economic Statistics.
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2013Conditional and joint credit risk In: Working Paper Series.
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2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
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2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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2014Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics.
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2015Modeling financial sector joint tail risk in the euro area In: Working Paper Series.
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2015Modeling financial sector joint tail risk in the euro area.(2015) In: Working Paper Series.
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2017Modeling Financial Sector Joint Tail Risk in the Euro Area.(2017) In: Journal of Applied Econometrics.
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2016The information in systemic risk rankings In: Working Paper Series.
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2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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2016Global credit risk: world country and industry factors In: Working Paper Series.
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2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
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2017Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics.
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2017Bank business models at zero interest rates In: Working Paper Series.
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2019Bank Business Models at Zero Interest Rates.(2019) In: Journal of Business & Economic Statistics.
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2016Bank Business Models at Zero Interest Rates.(2016) In: Tinbergen Institute Discussion Papers.
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2017Do negative interest rates make banks less safe? In: Working Paper Series.
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2017Do negative interest rates make banks less safe?.(2017) In: Economics Letters.
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2017Do Negative Interest Rates Make Banks Less Safe?.(2017) In: Tinbergen Institute Discussion Papers.
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2021Modeling extreme events: time-varying extreme tail shape In: Working Paper Series.
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2024Modeling Extreme Events: Time-Varying Extreme Tail Shape.(2024) In: Journal of Business & Economic Statistics.
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2020Modeling extreme events: time-varying extreme tail shape.(2020) In: Tinbergen Institute Discussion Papers.
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2021Dynamic clustering of multivariate panel data In: Working Paper Series.
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2020Dynamic clustering of multivariate panel data.(2020) In: Tinbergen Institute Discussion Papers.
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2023Dynamic nonparametric clustering of multivariate panel data In: Working Paper Series.
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2008Modelling Portfolio Defaults Using Hidden Markov Models with Covariates In: Econometrics Journal.
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2006Modeling Portfolio Defaults using Hidden Markov Models with Covariates.(2006) In: Tinbergen Institute Discussion Papers.
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2011Blockholder dispersion and firm value In: Journal of Corporate Finance.
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2011Blockholder Dispersion and Firm Value.(2011) In: Tinbergen Institute Discussion Papers.
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2010Blockholder dispersion and firm value.(2010) In: CFS Working Paper Series.
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2016Semiparametric score driven volatility models In: Computational Statistics & Data Analysis.
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2016Accounting for missing values in score-driven time-varying parameter models In: Economics Letters.
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2016Accounting for Missing Values in Score-Driven Time-Varying Parameter Models.(2016) In: Tinbergen Institute Discussion Papers.
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2000Quantiles for t-statistics based on M-estimators of unit roots In: Economics Letters.
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2002Semi-nonparametric cointegration testing In: Journal of Econometrics.
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1997Semi-nonparametric cointegration testing.(1997) In: Serie Research Memoranda.
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2004A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model In: Journal of Econometrics.
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2000A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model.(2000) In: Tinbergen Institute Discussion Papers.
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2000A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model.(2000) In: Discussion Papers.
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2008The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics.
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2005The Multi-State Latent Factor Intensity Model for Credit Rating Transitions.(2005) In: Tinbergen Institute Discussion Papers.
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2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
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2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
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2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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2017Maximum Likelihood Estimation for Score-Driven Models.(2017) In: Tinbergen Institute Discussion Papers.
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2023Time-Varying Parameters in Econometrics: The editor’s foreword In: Journal of Econometrics.
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2024Observation-driven filtering of time-varying parameters using moment conditions In: Journal of Econometrics.
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2026Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models In: Journal of Econometrics.
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1995Classical and Bayesian aspects of robust unit root inference In: Journal of Econometrics.
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1998Outlier robust analysis of long-run marketing effects for weekly scanning data In: Journal of Econometrics.
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2009Credit cycles and macro fundamentals In: Journal of Empirical Finance.
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2006Credit Cycles and Macro Fundamentals.(2006) In: Tinbergen Institute Discussion Papers.
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2000SETS, arbitrage activity, and stock price dynamics In: Journal of Banking & Finance.
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1999SETS, Arbitrage Activity, and Stock Price Dynamics.(1999) In: Tinbergen Institute Discussion Papers.
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2001An analytic approach to credit risk of large corporate bond and loan portfolios In: Journal of Banking & Finance.
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