Browsen in EconStor gesamt nach Autor:innen Lucas, André


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ErscheinungsjahrTitelAutor:innen
2014Information Theoretic Optimality of Observation Driven Time Series ModelsBlasques, Francisco; Koopman, Siem Jan; Lucas, André
2014Optimal Formulations for Nonlinear Autoregressive ProcessesBlasques, Francisco; Koopman, Siem Jan; Lucas, André
2015The Information in Systemic Risk RankingsNucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; Lucas, André
2015In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven ModelsBlasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; Lucas, André
2015Score driven exponentially weighted moving averages and value-at-risk forecastingLucas, André; Zhang, Xin
2015Modeling financial sector joint tail risk in the euro areaLucas, André; Schwaab, Bernd; Zhang, Xin
2015In-Sample Bounds for Time-Varying Parameters of Observation Driven ModelsBlasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; Lucas, André
2015Global Credit Risk: World, Country and Industry FactorsSchwaab, Bernd; Koopman, Siem Jan; Lucas, André
2015Generalized Autoregressive Method of MomentsCreal, Drew; Koopman, Siem Jan; Lucas, André; Zamojski, Marcin
2015Modeling financial sector joint tail risk in the euro areaLucas, André; Schwaab, Bernd; Zhang, Xin
2015Intraday Stock Price Dependence using Dynamic Discrete Copula DistributionsKoopman, Siem Jan; Lit, Rutger; Lucas, André
2016Fractional Integration and Fat Tails for Realized Covariance Kernels and ReturnsLucas, André; Opschoor, Anne
2016Global credit risk: world country and industry factorsSchwaab, Bernd; Koopman, Siem Jan; Lucas, André
2016The information in systemic risk rankingsNucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; Lucas, André
2017Bank business models at zero interest ratesLucas, André; Schaumburg, Julia; Schwaab, Bernd
2017Finite Sample Optimality of Score-Driven Volatility ModelsBlasques, Francisco; Lucas, André; van Vlodrop, Andries
2018Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Modelsvan Vlodrop, Andries C.; Lucas, André
2019Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor LoadingsOpschoor, Anne; Lucas, André; Barra, Istvan; van Dijk, Dick
2019Observation-driven Models for Realized Variances and Overnight ReturnsOpschoor, Anne; Lucas, André
2019Risk endogeneity at the lender/investor-of-last-resortCaballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin