Access Statistics for Andre Lucas

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model 0 0 0 0 0 2 9 476
A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model 0 0 1 46 1 2 19 413
A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests 1 2 15 294 5 15 48 1,208
A Hybrid Joint Moment Ratio Test for Financial Time Series 1 3 9 183 2 12 62 1,014
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 1 2 11 76 3 13 44 292
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 1 4 15 74 6 19 62 184
A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests 1 1 12 191 6 17 94 1,455
A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior 1 2 11 135 2 6 42 427
An analytic approach to credit risk of large corporate bond and loan portfolios 8 21 73 696 13 39 144 1,361
Analytic Decision Rules for Financial Stochastic Programs 0 2 7 347 2 7 29 949
Arbitrage and sampling uncertainty in financial stochastic programming models 0 3 7 302 2 11 42 937
Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong 1 5 42 303 9 28 150 934
Business and Default Cycles for Credit Risk 6 15 79 578 11 35 167 1,160
Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations 0 1 4 62 1 4 40 480
Credit Cycles and Macro Fundamentals 2 5 43 164 10 27 121 394
Credit Cycles and Macro Fundamentals 2 5 30 54 11 22 90 145
De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen 2 3 7 21 15 32 111 203
Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression 1 1 3 52 1 4 17 261
Discrete versus Continuous State Switching Models for Portfolio Credit Risk 2 5 17 148 20 53 131 648
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 6 7 26 39 20 34 136 209
Explaining Hedge Fund Investment Styles by Loss Aversion 0 3 31 752 8 29 121 2,011
Forecasting Cross-Sections of Frailty-Correlated Default 3 7 11 11 8 21 39 39
Modeling Portfolio Defaults using Hidden Markov Models with Covariates 1 10 37 68 15 46 160 284
Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk 2 4 27 104 8 18 72 301
Nut, gebruik en beperkingen van value-at-risk voor risicomanagement 0 0 5 83 0 1 23 307
On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework 2 5 11 320 3 8 37 794
Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data 0 0 0 1 4 10 55 1,008
Outlier robust cointegration analysis 2 4 13 173 5 8 28 398
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 3 5 26 225 9 20 68 543
Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models 5 15 52 83 17 45 137 170
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 4 19 174 4 14 120 778
SETS, Arbitrage Activity, and Stock Price Dynamics 1 2 13 282 6 12 62 1,198
Semi-nonparametric cointegration testing 0 4 15 123 0 7 30 361
Short Patches of Outliers, ARCH and Volatility Modeling 0 0 9 242 2 5 31 874
Stochastic processes, non-normal innovations, and the use of scaling ratios 0 4 8 54 1 12 39 238
Stock Selection, Style Rotation, and Risk 2 7 29 542 5 17 112 1,360
Strategic and tactical asset allocation and the effect of long-run equilibrium relations 8 27 84 1,641 21 59 225 4,556
Tail Behavior of Credit Loss Distributions for General Latent Factor Models 1 6 20 347 6 28 93 891
Tail behavior of credit loss distributions 5 11 21 251 12 28 79 729
Testing backtesting: an evaluation of the Basle guidelines for backtesting internal risk management models of banks 5 16 58 564 20 42 141 1,372
Testing for ARCH in the Presence of Additive Outliners 0 0 0 0 3 7 54 1,020
Testing for ARCH in the presence of additive outliers 0 2 10 222 1 3 22 781
Testing for smooth transition nonlinearity in the presence of outliers 0 3 18 173 1 10 36 611
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 3 9 35 151 7 21 102 411
Total Working Papers 79 235 964 10,351 306 853 3,444 34,185

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior 0 0 0 0 0 2 7 365
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model 0 0 0 11 0 1 13 134
A note on the relationship between GARCH and symmetric stable processes 0 0 4 25 0 0 9 67
An analytic approach to credit risk of large corporate bond and loan portfolios 5 9 21 146 6 16 49 293
An outlier robust unit root test with an application to the extended Nelson-Plosser data 0 2 15 47 4 15 51 156
Business and default cycles for credit risk 2 15 57 224 8 33 123 556
Classical and Bayesian aspects of robust unit root inference 0 1 5 30 0 1 10 82
Comprehensive definitions of breakdown points for independent and dependent observations 0 1 1 3 1 4 11 15
Deepening the Measuring of Technical Inefficiency in Private Farming in Georgia: Locally Parametric Regression 0 2 12 67 3 11 46 234
Discrete versus continuous state switching models for portfolio credit risk 0 1 5 16 5 14 27 87
Empirical credit cycles and capital buffer formation 0 5 13 44 1 10 25 93
Erratum to "An analytic approach to credit risk of large corporate bond and loan portfolios" [Journal of Banking and Finance 25, no. 9, pp. 1635-1664] 0 0 1 15 1 5 14 59
Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model 2 2 4 4 4 7 24 24
Evaluating the Basle Guidelines for Backtesting Banks' Internal Risk Management Models 0 0 0 0 15 21 57 747
Hedging Large Portfolios of Options in Discrete Time 1 1 1 1 2 2 2 2
Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods 0 0 2 2 2 5 11 11
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 1 1 1 0 3 3 3
Modelling Portfolio Defaults Using Hidden Markov Models with Covariates 1 4 6 6 7 20 27 27
Outlier Detection in Cointegration Analysis 0 0 0 0 1 3 13 663
Outlier robust analysis of long-run marketing effects for weekly scanning data 0 1 3 20 0 3 19 77
Positivity conditions for stochastic state space modelling of time series 0 0 4 4 1 3 16 16
Quantiles for t-statistics based on M-estimators of unit roots 0 1 3 15 6 8 34 208
SETS, arbitrage activity, and stock price dynamics 0 0 0 15 2 3 14 72
Semi-nonparametric cointegration testing 0 2 5 19 1 6 18 78
Short patches of outliers, ARCH and volatility modelling 0 0 6 24 0 5 17 96
Stock selection, style rotation, and risk 0 2 12 79 1 7 41 264
Tail behaviour of credit loss distributions for general latent factor models 1 4 15 74 5 18 64 296
Testing for ARCH in the Presence of Additive Outliers 1 3 15 138 2 7 44 573
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 0 1 5 30 318
The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds 1 6 14 14 2 13 40 40
The multi-state latent factor intensity model for credit rating transitions 2 5 9 9 8 22 39 39
Total Journal Articles 16 68 234 1,053 89 273 898 5,695

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Statistics updated 2008-10-02