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Browsing All of EconStor by Author Lucas, Andre
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Showing results 21 to 39 of 39
< previous
Year of Publication
Title
Author(s)
2013
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
Blasques, Francisco
;
Lucas, Andre
;
Silde, Erkki
2013
Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
Lucas, Andre
;
Schwaab, Bernd
;
Zhang, Xin
2014
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
2014
Testing for Parameter Instability in Competing Modeling Frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, Andre
2014
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
;
Schaumburg, Julia
2014
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
;
Schaumburg, Julia
2014
Time Varying Transition Probabilities for Markov Regime Switching Models
Bazzi, Marco
;
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
2015
Mixed Density based Copula Likelihood
Azam, Kazim
;
Lucas, Andre
2015
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, Andre
2016
Network, Market, and Book-Based Systemic Risk Rankings
van de Leur, Michiel C.W.
;
Lucas, Andre
2016
Accounting for Missing Values in Score-Driven Time-Varying Parameter Models
Lucas, Andre
;
Opschoor, Anne
;
Schaumburg, Julia
2016
Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads
Lange, Rutger-Jan
;
Lucas, Andre
;
Siegmann, Arjen H.
2016
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S.
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, Andre
2016
Bank Business Models at Zero Interest Rates
Lucas, Andre
;
Schaumburg, Julia
;
Schwaab, Bernd
2017
Do negative interest rates make banks less safe?
Nucera, Federico
;
Lucas, Andre
;
Schaumburg, Julia
;
Schwaab, Bernd
2017
Do Negative Interest Rates Make Banks Less Safe?
Nucera, Federico
;
Lucas, Andre
;
Schaumburg, Julia
;
Schwaab, Bernd
2021
Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution
Blasques, Francisco
;
Lucas, Andre
;
Opschoor, Anne
;
Rossini, Luca
2021
Clustering Dynamics and Persistence for Financial Multivariate Panel Data
João, Igor Custodio
;
Lucas, Andre
;
Schaumburg, Julia
2021
COVID-19, Credit Risk and Macro Fundamentals
Dubinova, Anna
;
Lucas, Andre
;
Telg, Sean