Browsing All of EconStor by Author Lucas, Andre


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