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 2 2 8 573
A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model 0 0 0 57 2 3 11 505
A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests 1 1 1 331 5 5 9 1,364
A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions 0 0 2 110 3 4 16 364
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 0 67 7 8 32 237
A General Framework for Observation Driven Time-Varying Parameter Models 2 2 6 124 3 5 30 332
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 3 175 3 3 23 436
A Hybrid Joint Moment Ratio Test for Financial Time Series 0 0 0 249 2 2 9 1,304
A New Semiparametric Volatility Model 0 0 0 64 3 3 11 118
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 123 3 4 10 485
A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests 0 0 0 216 3 4 12 1,588
A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior 0 0 1 170 2 2 9 541
Accounting for Missing Values in Score-Driven Time-Varying Parameter Models 0 2 2 16 0 5 16 77
Aggregating Credit and Market Risk: The Impact of Model Specification 0 0 0 96 7 9 20 285
An Impartial Look at Asset Correlation Stability and Market Structure 0 0 3 3 2 5 11 11
An analytic approach to credit risk of large corporate bond and loan portfolios 0 0 0 875 6 8 17 1,759
Analytic Decision Rules for Financial Stochastic Programs 0 0 0 354 5 7 12 1,036
Arbitrage and sampling uncertainty in financial stochastic programming models 0 0 0 19 1 4 14 80
Bank Business Models at Zero Interest Rates 0 0 0 40 2 7 18 100
Bank business models at zero interest rates 0 0 0 36 2 3 16 100
Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong 0 0 1 426 4 4 18 1,486
Blockholder Dispersion and Firm Value 0 0 0 53 1 3 16 231
Blockholder dispersion and firm value 0 0 0 25 1 2 18 144
Business and Default Cycles for Credit Risk 0 0 1 894 7 10 36 1,958
COVID-19, Credit Risk and Macro Fundamentals 0 0 1 29 3 3 14 54
Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced? 0 0 0 60 5 7 23 245
Cash flow and discount rate risk in up and down markets: What is actually priced? 0 0 0 25 3 4 19 171
Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings 0 0 0 40 1 5 14 114
Clustering Dynamics and Persistence for Financial Multivariate Panel Data 0 0 0 18 3 3 7 52
Composite Univariate Modeling of Realized Covariance Matrix Dynamics and Volatility-at-Risk 2 8 8 8 3 8 8 8
Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations 0 0 0 78 5 6 17 674
Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes 0 1 4 10 5 6 25 32
Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk 0 0 1 80 4 6 21 263
Conditional and joint credit risk 0 0 1 24 0 1 10 98
Conditional euro area sovereign default risk 0 0 1 57 0 3 16 131
Consistency, distributional convergence, and optimality of score-driven filters 0 0 1 14 3 4 27 42
Copula tensor count autoregressions for modeling multidimensional integer-valued time series 0 1 2 10 1 2 20 25
Credit Cycles and Macro Fundamentals 0 0 0 285 2 4 15 884
Credit cycles and macro fundamentals 0 0 0 182 3 5 18 622
De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen 0 0 0 54 1 1 6 463
Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression 0 0 0 63 2 2 4 370
Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution 0 0 1 12 3 5 28 47
Discrete versus Continuous State Switching Models for Portfolio Credit Risk 0 0 1 191 5 5 12 928
Do Negative Interest Rates Make Banks Less Safe? 0 0 0 37 2 4 9 70
Do negative interest rates make banks less safe? 0 0 0 41 2 5 22 223
Dynamic clustering of multivariate panel data 0 0 0 80 3 3 11 140
Dynamic clustering of multivariate panel data 0 0 0 6 3 3 19 47
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 0 57 2 6 20 187
Dynamic nonparametric clustering of multivariate panel data 0 0 0 22 4 4 16 41
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 0 0 2 78 1 2 24 135
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 0 71 0 0 8 522
Explaining Hedge Fund Investment Styles by Loss Aversion 0 0 0 804 3 4 12 2,246
Financial Development and Fragility: A Clustering Analysis 0 0 0 13 1 3 12 35
Finite Sample Optimality of Score-Driven Volatility Models 0 0 0 49 1 1 6 59
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 73 4 4 13 289
Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns 0 0 1 33 2 2 9 62
Functional Location-Scale Models with Robust Observation-Driven Dynamics 1 1 4 5 4 6 30 35
Generalized Autoregressive Method of Moments 0 0 1 75 1 3 21 164
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 3 3 12 158
Global Loss Diversification in the Insurance Sector 0 0 0 47 1 2 6 246
Global credit risk: world country and industry factors 0 0 0 32 1 2 12 123
Improving Score-Driven Density Forecasts with an Application to Implied Volatility Surface Dynamics 0 0 2 14 34 36 54 63
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 4 7 12 68
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 0 1 15 81
Information Theoretic Optimality of Observation Driven Time Series Models 0 0 4 52 5 7 28 124
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 2 2 15 108
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 0 35 4 6 12 108
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 0 0 0 72 2 2 11 76
Joint Eigenvector and Eigenvalue Dynamics with an Application to Time-Varying Covariance Matrices 0 13 13 13 2 8 8 8
Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter 0 1 4 23 2 5 24 59
Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter 0 0 2 17 0 2 18 34
Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter 0 4 26 26 5 12 64 64
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 0 1 1 49 3 8 29 193
Long-Term versus Short-Term Contingencies in Asset Allocation 0 0 0 13 2 4 15 241
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective 0 0 0 57 4 5 17 180
Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers 0 0 2 13 2 2 30 36
Maximum Likelihood Estimation for Score-Driven Models 0 0 1 60 2 2 20 211
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 0 52 4 7 21 141
Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics 0 0 0 103 2 7 17 212
Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics 1 2 9 14 4 9 51 60
Mixed Density based Copula Likelihood 0 0 0 22 1 1 12 91
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 0 0 95 5 6 20 255
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 1 1 2 57 6 7 18 173
Modeling Portfolio Defaults using Hidden Markov Models with Covariates 0 0 0 145 0 1 12 576
Modeling extreme events: time-varying extreme tail shape 0 0 0 22 1 1 15 83
Modeling extreme events: time-varying extreme tail shape 0 0 1 29 0 4 21 99
Modeling extreme events:time-varying extreme tail shape 0 0 0 9 4 4 17 34
Modeling financial sector joint tail risk in the euro area 0 0 0 36 2 5 17 83
Modeling financial sector joint tail risk in the euro area 0 0 0 18 1 1 11 85
Network, Market, and Book-Based Systemic Risk Rankings 0 0 0 65 1 4 21 144
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels 0 0 0 34 2 4 17 87
Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk 0 0 0 205 3 3 11 621
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 0 0 0 77 2 6 14 168
Nut, gebruik en beperkingen van value-at-risk voor risicomanagement 0 0 0 95 0 1 4 374
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 0 57 2 3 11 168
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 1 50 9 10 20 186
Observation-driven Models for Realized Variances and Overnight Returns 0 0 0 32 5 5 12 54
On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework 0 0 0 340 4 4 10 908
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 3 7 21 126
Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data 0 0 0 4 0 1 9 56
Outlier robust cointegration analysis 0 0 1 241 4 4 14 580
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 0 0 93 2 5 15 251
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 0 307 1 3 8 823
Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models 0 0 0 193 3 6 10 528
Regime switches in the volatility and correlation of financial institutions 0 0 0 102 1 2 21 215
Risk Aversion under Preference Uncertainty 0 0 1 37 3 3 9 108
Risk aversion under preference uncertainty 0 0 0 7 0 0 11 64
Risk endogeneity at the lender/investor-of-last-resort 0 0 0 24 1 1 14 41
Risk endogeneity at the lender/investor-of-last-resort 0 0 0 9 0 0 16 72
Risk endogeneity at the lender/investor-of-last-resort 0 0 0 10 1 2 17 63
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 1 1 1 246 12 13 24 1,075
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 0 0 7 1,390
Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting 0 0 1 37 2 3 13 89
Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting 0 0 1 92 3 3 17 150
Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads 0 0 0 35 2 4 18 82
Semi-nonparametric cointegration testing 0 0 0 152 4 4 8 488
Short Patches of Outliers, ARCH and Volatility Modeling 0 0 0 281 4 6 16 1,034
Spectral Dynamics and Regularization for High-Dimensional Copulas 1 1 9 9 4 4 8 8
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 1 70 1 6 23 142
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 0 51 2 4 19 172
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models 0 0 0 7 4 4 14 75
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 1 61 2 3 17 154
Stochastic processes, non-normal innovations, and the use of scaling ratios 0 0 0 81 2 3 12 337
Stock Selection, Style Rotation, and Risk 0 0 0 666 3 3 7 1,807
Strategic and tactical asset allocation and the effect of long-run equilibrium relations 0 0 0 1,953 3 4 17 5,589
Systemic Risk Diagnostics 0 0 0 93 4 5 14 227
Systemic risk diagnostics: coincident indicators and early warning signals 0 0 0 149 2 4 14 487
Tail Behavior of Credit Loss Distributions for General Latent Factor Models 0 0 0 414 2 2 12 1,167
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution 0 0 0 35 2 3 13 72
Tail behavior of credit loss distributions 0 0 0 336 4 4 19 1,091
Testing backtesting: an evaluation of the Basle guidelines for backtesting internal risk management models of banks 0 0 0 675 2 3 12 1,679
Testing for ARCH in the Presence of Additive Outliers 0 1 1 27 6 7 18 159
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 4 6 16 95
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 47 4 5 12 155
Testing for the Absence of Score-Driven Parameter Dynamics 0 0 19 19 3 3 11 11
The Dynamic Skellam Model with Applications 0 0 0 36 1 1 14 155
The Information in Systemic Risk Rankings 0 0 0 28 4 6 19 117
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 0 0 0 239 4 7 18 701
The information in systemic risk rankings 0 0 0 41 4 7 21 174
Time Varying Transition Probabilities for Markov Regime Switching Models 0 2 3 134 5 16 47 506
Time-varying tail behavior for realized kernels 1 2 2 26 2 3 14 44
Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle 0 0 0 12 4 4 10 84
Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle 0 1 1 64 7 9 40 261
Washington meets Wall Street: A closer examination of the presidential cycle puzzle 0 0 0 12 4 6 12 101
Why do investors sell losers? How adaptation to losses affects future capitulation decisions 0 1 2 14 2 3 25 157
Total Working Papers 11 47 162 16,995 434 653 2,428 54,337
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 2 4 34 2 22 38 153
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 53 0 13 28 234
A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior 0 0 0 0 4 5 13 460
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model 0 0 0 22 3 3 10 245
A note on the relationship between GARCH and symmetric stable processes 0 0 0 36 4 4 11 115
A stochastic recurrence equations approach for score driven correlation models 0 1 2 3 1 3 10 24
Accounting for missing values in score-driven time-varying parameter models 0 0 2 5 1 1 16 51
Amendments and Corrections 0 0 0 1 1 1 7 17
An analytic approach to credit risk of large corporate bond and loan portfolios 0 0 0 245 2 4 10 601
An outlier robust unit root test with an application to the extended Nelson-Plosser data 0 0 0 103 2 3 11 354
Bank Business Models at Zero Interest Rates 0 0 1 8 5 5 18 68
Blockholder dispersion and firm value 0 0 0 75 0 0 11 264
Business and default cycles for credit risk 0 0 0 6 1 2 8 23
Business and default cycles for credit risk 0 0 0 454 2 2 17 1,259
Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced? 0 0 0 18 0 0 9 111
Classical and Bayesian aspects of robust unit root inference 0 0 0 52 0 0 12 170
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings 0 0 1 4 3 4 15 36
Cointegration Testing Using Pseudolikelihood Ratio Tests 0 0 0 14 0 0 11 72
Community Driven Development and Structural Disadvantage: Interrogating the Social Turn in Development Programming in Indonesia 0 1 1 10 0 1 12 51
Comprehensive definitions of breakdown points for independent and dependent observations 0 0 1 9 2 2 15 116
Conditional Euro Area Sovereign Default Risk 0 0 1 42 3 4 21 143
Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models 0 0 1 1 3 5 9 9
Covid-19, credit risk management modeling, and government support 0 0 1 9 2 4 29 52
Credit cycles and macro fundamentals 0 0 0 201 0 1 12 606
Deepening the Measuring of Technical Inefficiency in Private Farming in Georgia: Locally Parametric Regression 0 0 0 89 3 3 18 386
Discrete versus continuous state switching models for portfolio credit risk 0 0 0 38 2 2 8 249
Discrete-Time Financial Planning Models Under Loss-Averse Preferences 1 1 1 3 2 3 16 31
Do negative interest rates make banks less safe? 0 0 0 65 0 0 8 209
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 0 1 2 32 2 3 18 150
Dynamic Nonparametric Clustering of Multivariate Panel Data* 0 0 1 2 0 0 8 17
Dynamic clustering of multivariate panel data 1 1 3 8 4 5 25 49
Dynamic discrete copula models for high‐frequency stock price changes 0 0 1 2 1 2 18 44
Dynamic partial correlation models 0 0 0 2 2 4 19 26
Empirical credit cycles and capital buffer formation 0 0 1 143 0 1 24 421
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 0 32 2 2 6 139
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model 0 0 0 16 2 2 10 115
Evaluating the Basle Guidelines for Backtesting Banks' Internal Risk Management Models 0 0 0 0 2 3 11 1,622
Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence 0 0 0 0 1 3 8 16
Fractional Integration and Fat Tails for Realized Covariance Kernels 0 0 0 5 1 1 4 21
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 3 5 9 120 9 17 48 403
Global Credit Risk: World, Country and Industry Factors 0 0 1 9 0 1 17 111
Global loss diversification in the insurance sector 0 0 0 25 2 2 19 155
Hedging Large Portfolios of Options in Discrete Time 0 1 1 40 0 3 7 154
Heterogeneity and dynamics in network models 0 1 1 4 1 4 16 30
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 0 2 32 0 20 32 133
Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods 0 0 0 17 2 3 11 94
Information-theoretic optimality of observation-driven time series models for continuous responses 0 2 5 28 4 6 25 92
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 0 1 1 3 16 49
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 0 1 1 3 49 50 60 82
Long memory dynamics for multivariate dependence under heavy tails 0 3 4 28 1 5 26 133
Long-Term versus Short-Term Contingencies in Asset Allocation 0 0 0 3 1 4 12 80
Maximum likelihood estimation for score-driven models 0 3 4 15 2 8 31 80
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 0 2 84 4 5 40 245
Modeling Extreme Events: Time-Varying Extreme Tail Shape 1 1 2 5 4 4 21 35
Modeling Financial Sector Joint Tail Risk in the Euro Area 0 0 0 5 0 1 12 58
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 0 66 1 1 18 271
Modelling Portfolio Defaults Using Hidden Markov Models with Covariates 0 0 0 87 1 1 10 440
Network, market, and book-based systemic risk rankings 0 0 0 13 1 4 14 104
New HEAVY Models for Fat-Tailed Realized Covariances and Returns 0 0 0 5 0 1 25 41
Nonlinear autoregressive models with optimality properties 0 1 1 4 5 8 18 35
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 0 19 2 21 31 126
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 0 0 16 2 2 12 75
Nut, gebruik en beperkingen van Value-at-Risk voor risicomanagement 0 0 0 4 2 2 6 33
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 2 46 2 2 17 216
Observation-driven filtering of time-varying parameters using moment conditions 0 0 2 9 1 2 15 29
Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting 1 1 2 7 1 1 13 31
Outlier Detection in Cointegration Analysis 0 0 0 0 3 3 12 780
Outlier robust analysis of long-run marketing effects for weekly scanning data 0 0 0 46 3 4 22 227
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 1 4 46 2 5 23 194
Quantile forecasting for credit risk management using possibly misspecified hidden Markov models 0 0 0 54 0 0 11 221
Quantiles for t-statistics based on M-estimators of unit roots 0 0 0 23 1 1 9 311
Risk aversion under preference uncertainty 0 0 0 17 1 1 13 129
Risk endogeneity at the lender/investor-of-last-resort 0 0 0 7 4 5 17 52
SETS, arbitrage activity, and stock price dynamics 0 0 0 36 2 2 13 188
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting 0 0 0 17 2 2 14 104
Semi-nonparametric cointegration testing 1 1 1 43 4 4 11 170
Semiparametric score driven volatility models 0 0 2 28 0 2 14 101
Short patches of outliers, ARCH and volatility modelling 0 0 0 37 2 5 19 231
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 0 46 2 3 15 192
Stock selection, style rotation, and risk 0 0 1 126 1 1 7 484
Tail behaviour of credit loss distributions for general latent factor models 0 0 0 100 0 1 10 465
Testing for ARCH in the Presence of Additive Outliers 0 0 0 213 3 4 13 806
Testing for Parameter Instability across Different Modeling Frameworks 0 0 1 5 1 2 17 46
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 0 0 0 8 525
The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices 0 0 1 1 1 56 61 64
The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds 0 0 0 3 0 24 35 54
The information in systemic risk rankings 0 0 0 23 2 2 9 110
The multi-state latent factor intensity model for credit rating transitions 0 1 4 157 2 6 20 490
Time-Varying Parameters in Econometrics: The editor’s foreword 0 0 3 5 2 2 22 33
Time-Varying Transition Probabilities for Markov Regime Switching Models 1 1 8 22 3 5 46 106
Time-varying variance and skewness in realized volatility measures 0 1 3 6 2 3 19 35
Unit Root Tests Based on M Estimators 0 0 0 22 1 1 16 90
Washington meets Wall Street: A closer examination of the presidential cycle puzzle 0 0 0 15 4 6 27 125
Total Journal Articles 9 31 92 3,635 211 454 1,629 18,397

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Fat Tails and the Effect on Optimal Asset Allocations 0 0 0 0 3 4 7 11
Total Chapters 0 0 0 0 3 4 7 11

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-11-12