Andre Lucas : Citation Profile

Are you Andre Lucas?

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

29

H index

59

i10 index

2719

Citations

RESEARCH PRODUCTION:

88

Articles

131

Papers

1

Chapters

RESEARCH ACTIVITY:

   29 years (1995 - 2024). See details.
   Cites by year: 93
   Journals where Andre Lucas has often published
   Relations with other researchers
   Recent citing documents: 227.    Total self citations: 126 (4.43 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plu10
   Updated: 2024-11-04    RAS profile: 2024-09-05    
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Relations with other researchers

Works with:

Schwaab, Bernd (14)

Koopman, Siem Jan (4)

Schaumburg, Julia (3)

Blasques, Francisco (2)

Telg, Sean (2)

Rossini, Luca (2)

van Dijk, Dick (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 (90)

Harvey, Andrew (63)

Escribano, Alvaro (58)

Blazsek, Szabolcs (47)

Blasques, Francisco (46)

Catania, Leopoldo (40)

Petrella, Ivan (35)

Delle Monache, Davide (35)

Cizek, Pavel (33)

Lange, Rutger-Jan (32)

Schaumburg, Julia (31)

Cites to:

Koopman, Siem Jan (294)

Creal, Drew (148)

Schwaab, Bernd (84)

Engle, Robert (78)

Bollerslev, Tim (76)

Shephard, Neil (65)

Blasques, Francisco (55)

Harvey, Andrew (41)

Zhang, Xin (41)

Patton, Andrew (40)

Duffie, Darrell (35)

Main data

Where Andre Lucas has published?

Journals with more than one article published# docs
Journal of Econometrics13
Journal of Business & Economic Statistics8
Journal of Banking & Finance7
Journal of Empirical Finance5
Journal of Applied Econometrics5
Journal of Business & Economic Statistics5
International Journal of Forecasting5
Journal of Financial Econometrics3
Econometric Reviews3
Economics Letters3
Econometric Theory2
The Review of Economics and Statistics2
Biometrika2
Journal of Financial and Quantitative Analysis2
Applied Mathematical Finance2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute82
Working Paper Series / European Central Bank13
Serie Research Memoranda / VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics13
CFS Working Paper Series / Center for Financial Studies (CFS)6
Working Paper Series / Sveriges Riksbank (Central Bank of Sweden)5
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute4

Recent works citing Andre Lucas (2024 and 2023)

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

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

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2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2024Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2023Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043.

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2023Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2023Asymptotic Theory for Moderate Deviations from the Unit Boundary in Quantile Autoregressive Time Series. (2022). Katsouris, Christis. In: Papers. RePEc:arx:papers:2204.02073.

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2024Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2024A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2023Efficient variational approximations for state space models. (2022). Nibbering, Didier ; Loaiza-Maya, Rub'En. In: Papers. RePEc:arx:papers:2210.11010.

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2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2023Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

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

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

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2023Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.11586.

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2023Semiparametrically Optimal Cointegration Test. (2023). Zhou, BO. In: Papers. RePEc:arx:papers:2305.08880.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023Hybrid unadjusted Langevin methods for high-dimensional latent variable models. (2023). Zhu, Dan ; Nibbering, Didier ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:2306.14445.

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2024Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods. (2023). Mazzarisi, Piero ; Lillo, Fabrizio ; Tsaknaki, Ioanna-Yvonni. In: Papers. RePEc:arx:papers:2307.02375.

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2024Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns. (2023). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

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2023Characterizing Correlation Matrices that Admit a Clustered Factor Representation. (2023). Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2308.05895.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2024DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling. (2023). Kohn, Robert ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Liu, Chen. In: Papers. RePEc:arx:papers:2309.02072.

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2024Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price. (2024). Wu, Boyao ; Huang, Difang ; Zheng, Lifen ; Li, Nan ; Chen, Muzi. In: Papers. RePEc:arx:papers:2403.19363.

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2024Convolution-t Distributions. (2024). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2404.00864.

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2024Statistical Validation of Contagion Centrality in Financial Networks. (2024). Feinstein, Zachary ; Sadeghi, Agathe. In: Papers. RePEc:arx:papers:2404.14337.

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2024Calibration of the rating transition model for high and low default portfolios. (2024). Spreij, Peter ; Khedher, Asma. In: Papers. RePEc:arx:papers:2405.00576.

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2023.

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2024Neglecting the poor and marginalized: Participatory village governance in Indonesias New Developmentalist state. (2024). Syukri, Muhammad. In: Development Policy Review. RePEc:bla:devpol:v:42:y:2024:i:4:n:e12776.

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2024Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919.

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2023Regime switching models for circular and linear time series. (2023). Harvey, Andrew ; Palumbo, Dario. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:4:p:374-392.

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2023Equilibrium investment with random risk aversion. (2023). Steffensen, Mogens ; Desmettre, Sascha. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:946-975.

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2023Risky news and credit market sentiment. (2023). Thorsrud, Leif Anders ; Labonne, Paul. In: Working Papers. RePEc:bny:wpaper:0125.

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2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2023Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

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2023Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach. (2023). Vespignani, Joaquin ; Vocalelli, Giorgio ; Ravazzolo, Francesco ; Grassi, Stefano. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps100.

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2023Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366.

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2023Investor sentiment in the tourism stock market. (2023). Kou, Iokteng Esther ; Wu, Chih-Hung ; Peng, Kang-Lin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022000624.

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2023Fast estimation of a large TVP-VAR model with score-driven volatilities. (2023). Hong, Yongmiao ; Ye, Shiqi ; Zheng, Tingguo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:157:y:2023:i:c:s0165188923001689.

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

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2023Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. (2023). Vrins, Frederic ; Barbagli, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001335.

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2023Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365.

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2023Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels. (2023). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s106294082300058x.

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2024Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan. (2024). Ruan, Jia ; Ni, Jianhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x.

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2024Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Pia, Marco ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

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2023Characterizing correlation matrices that admit a clustered factor representation. (2023). Hansen, Peter ; Tong, Chen. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004597.

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2024Do preferred habitat investors exist? Evidence from the UK government bond market. (2024). Meaning, Jack ; Joyce, Michael ; Giese, Julia ; Worlidge, Jack. In: Economics Letters. RePEc:eee:ecolet:v:234:y:2024:i:c:s0165176523004883.

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2024A robust Beveridge–Nelson decomposition using a score-driven approach with an application. (2024). Koopman, S J ; Gorgi, P ; van Brummelen, J ; Blasques, F. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000715.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086.

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2023Estimation and inference in factor copula models with exogenous covariates. (2023). Wied, Dominik ; Mayer, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1500-1521.

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2023Stochastic properties of nonlinear locally-nonstationary filters. (2023). Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2082-2095.

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2023Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. (2023). Francq, Christian ; Aknouche, Abdelhakim. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s030440762100213x.

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2023Dynamic conditional eigenvalue GARCH. (2023). Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Hetland, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002141.

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2023A dynamic conditional score model for the log correlation matrix. (2023). Wang, Linqi ; Hafner, Christian M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002153.

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2023Semiparametric modeling of multiple quantiles. (2023). Luati, Alessandra ; Catania, Leopoldo. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002044.

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2023A flexible predictive density combination for large financial data sets in regular and crisis periods. (2023). Casarin, Roberto ; Grassi, Stefano ; van Dijk, Herman K ; Ravazzolo, Francesco. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002093.

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2023Dynamic factor copula models with estimated cluster assignments. (2023). Patton, Andrew J ; Oh, Dong Hwan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002135.

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2023Score-driven models for realized volatility. (2023). Palumbo, Dario ; Harvey, Andrew. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001422.

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2023Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance. (2023). Umlandt, Dennis. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001641.

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2024Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, Paolo. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002919.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482.

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2024Modelling circular time series. (2024). Palumbo, Dario ; Hurn, Stan ; Harvey, Andrew ; Thiele, Stephen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001446.

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2023Dynamic Tobit models. (2023). Liao, Yin ; Harvey, Andew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:72-83.

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2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

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2024Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities. (2024). Sola, Martin ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:49-63.

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2023Firm behaviour under negative deposit rates. (2023). Abildgren, Kim ; Kuchler, Andreas. In: European Economic Review. RePEc:eee:eecrev:v:151:y:2023:i:c:s001429212200229x.

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

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2023Lumpy and intermittent retail demand forecasts with score-driven models. (2023). Borenstein, Denis ; Fernandes, Cristiano ; Sarlo, Rodrigo. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:3:p:1146-1160.

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2024A new ordinal mixed-data sampling model with an application to corporate credit rating levels. (2024). Calabrese, Raffaella ; Crook, Jonathan ; Goldmann, Leonie. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1111-1126.

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2024Improving efficiency in supply chains with a capital-constrained app developer under the agency contract. (2024). Levy, Priel ; Avinadav, Tal. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:3:p:991-1005.

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2023The dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk?. (2023). Vigne, Samuel A ; Naeem, Muhammad Abubakr ; Lucey, Brian M ; Karim, Sitara. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122000383.

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2023An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models. (2023). Nguyen, HA. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:103-121.

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2023Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2023Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts. (2023). Escribano, Alvaro ; Blazsek, Szabolcs. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000208.

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2023Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360.

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2023INE oil futures volatility prediction: Exchange rates or international oil futures volatility?. (2023). Li, Haibo ; Ma, Feng ; Lu, Xinjie ; Wang, Jianqiong. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004334.

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2024Chinas futures market volatility and sectoral stock market volatility prediction. (2024). Zhong, Juandan ; Zhang, Jixiang ; Zeng, Qing. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001373.

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2023An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145.

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2023Financial institutional blockholders and earnings quality: Do blockholders contestability and countries institutions matter?. (2023). Salameh, Elie ; Haddad, Christian ; Trinh, Quoc Dat. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s105752192300128x.

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2023From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures. (2023). Nedeltchev, Dragomir C ; Zaevski, Tsvetelin S. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001618.

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2023Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295.

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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).
[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 nother version. Agregated cites: 0		paper
1998Outlier Detection in Cointegration Analysis. In: Journal of Business & Economic Statistics.
[Citation analysis]		article26
1999Testing for Smooth Transition Nonlinearity in the Presence of Outliers. In: Journal of Business & Economic Statistics.
[Citation analysis]		article68
1996Testing for Smooth Transition Nonlinearity in the Presence of Outliers.(1996) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 68		paper
2000A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior. In: Journal of Business & Economic Statistics.
[Citation analysis]		article4
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 nother version. Agregated cites: 4		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]		article44
2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article21
2005A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: Tinbergen Institute Discussion Papers.
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2014Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers.
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2016Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2015Mixed Density based Copula Likelihood In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
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]		paper6
2018Generalized Autoregressive Method of Moments In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper4
2016Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S. In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2016Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper5
2017Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2017Finite Sample Optimality of Score-Driven Volatility Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper2
2019Time-varying tail behavior for realized kernels In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2019Observation-driven Models for Realized Variances and Overnight Returns In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2023Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2021Clustering Dynamics and Persistence for Financial Multivariate Panel Data In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2021COVID-19, Credit Risk and Macro Fundamentals In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2023Consistency, distributional convergence, and optimality of score-driven filters In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2024Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
1997Strategic and tactical asset allocation and the effect of long-run equilibrium relations In: Serie Research Memoranda.
[Full Text][Citation analysis]		paper15
1997Outlier robust cointegration analysis In: Serie Research Memoranda.
[Full Text][Citation analysis]		paper5
1997Stochastic processes, non-normal innovations, and the use of scaling ratios In: Serie Research Memoranda.
[Full Text][Citation analysis]		paper3
1998Testing backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models of banks In: Serie Research Memoranda.
[Full Text][Citation analysis]		paper2
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]		article428
2024Heterogeneity and dynamics in network models In: Journal of Applied Econometrics.
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2010Why do investors sell losers? How adaptation to losses affects future capitulation decisions In: CFS Working Paper Series.
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