Access Statistics for Andre Lucas

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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 0 1 564
A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model 0 0 0 57 0 0 1 494
A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests 0 0 0 330 0 0 0 1,355
A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions 0 0 0 108 0 0 1 344
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 65 0 0 3 199
A General Framework for Observation Driven Time-Varying Parameter Models 1 1 4 118 1 3 12 295
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 1 172 0 0 3 408
A Hybrid Joint Moment Ratio Test for Financial Time Series 1 1 1 249 1 1 3 1,292
A New Semiparametric Volatility Model 0 0 0 64 0 0 2 105
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 0 122 0 1 4 464
A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests 0 0 0 216 0 0 0 1,576
A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior 0 0 0 169 0 0 0 531
Accounting for Missing Values in Score-Driven Time-Varying Parameter Models 0 0 0 14 0 0 3 60
Aggregating Credit and Market Risk: The Impact of Model Specification 0 0 1 96 1 1 3 263
An analytic approach to credit risk of large corporate bond and loan portfolios 0 0 4 874 0 0 5 1,737
Analytic Decision Rules for Financial Stochastic Programs 0 0 0 354 0 0 0 1,023
Arbitrage and sampling uncertainty in financial stochastic programming models 0 0 0 19 0 0 0 65
Bank Business Models at Zero Interest Rates 0 0 0 40 0 0 0 82
Bank business models at zero interest rates 0 0 0 35 0 0 1 81
Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong 0 1 1 425 0 2 7 1,462
Blockholder Dispersion and Firm Value 0 0 0 53 0 0 1 211
Blockholder dispersion and firm value 0 0 1 25 1 1 3 122
Business and Default Cycles for Credit Risk 0 1 3 892 0 1 3 1,919
COVID-19, Credit Risk and Macro Fundamentals 0 0 2 25 0 0 2 35
Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced? 0 0 0 59 0 0 0 219
Cash flow and discount rate risk in up and down markets: What is actually priced? 0 0 0 25 0 1 2 151
Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings 0 0 0 38 0 0 1 97
Clustering Dynamics and Persistence for Financial Multivariate Panel Data 0 0 0 16 0 0 5 36
Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations 0 0 0 78 0 0 1 656
Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk 0 0 0 79 0 0 1 240
Conditional and joint credit risk 0 0 0 23 0 0 1 86
Conditional euro area sovereign default risk 0 0 0 56 0 1 1 113
Consistency, distributional convergence, and optimality of score-driven filters 0 0 13 13 0 2 11 11
Credit Cycles and Macro Fundamentals 0 0 0 285 0 0 1 865
Credit cycles and macro fundamentals 0 0 0 180 0 0 1 600
De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen 0 0 0 54 0 0 0 456
Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression 0 0 0 63 0 0 1 366
Discrete versus Continuous State Switching Models for Portfolio Credit Risk 0 0 0 189 0 0 0 913
Do Negative Interest Rates Make Banks Less Safe? 0 0 0 37 0 0 0 59
Do negative interest rates make banks less safe? 0 0 1 41 0 0 4 199
Dynamic clustering of multivariate panel data 0 0 0 6 0 0 2 23
Dynamic clustering of multivariate panel data 0 0 0 80 0 2 9 128
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 1 56 0 0 4 162
Dynamic nonparametric clustering of multivariate panel data 0 1 2 21 0 1 6 21
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 0 0 2 74 1 1 5 102
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 0 71 0 0 0 511
Explaining Hedge Fund Investment Styles by Loss Aversion 0 0 0 804 0 0 1 2,232
Finite Sample Optimality of Score-Driven Volatility Models 0 0 0 49 0 0 2 52
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 73 2 3 6 272
Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns 0 0 1 32 1 1 2 52
Generalized Autoregressive Method of Moments 0 0 0 74 0 0 9 138
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 0 0 2 145
Global Loss Diversification in the Insurance Sector 0 0 4 47 0 0 4 238
Global credit risk: world country and industry factors 0 0 0 32 0 0 2 104
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 0 0 1 54
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 0 0 1 64
Information Theoretic Optimality of Observation Driven Time Series Models 0 0 1 46 0 0 3 92
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 0 0 2 91
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions 0 0 0 35 0 0 0 95
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models 0 0 0 72 0 0 0 64
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 0 0 0 47 0 0 0 160
Long-Term versus Short-Term Contingencies in Asset Allocation 0 0 0 12 0 0 0 225
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective 0 0 0 57 0 0 0 160
Maximum Likelihood Estimation for Score-Driven Models 0 0 0 58 0 1 3 185
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 1 49 0 0 4 114
Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics 0 0 1 103 0 1 3 191
Mixed Density based Copula Likelihood 0 0 0 22 0 0 1 76
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 0 2 94 0 0 3 230
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 2 55 0 0 3 152
Modeling Portfolio Defaults using Hidden Markov Models with Covariates 0 0 0 143 0 0 2 558
Modeling extreme events: time-varying extreme tail shape 0 0 1 27 0 1 8 72
Modeling extreme events: time-varying extreme tail shape 0 0 1 22 0 0 1 64
Modeling extreme events:time-varying extreme tail shape 0 3 4 9 0 7 10 14
Modeling financial sector joint tail risk in the euro area 0 0 1 18 0 0 2 71
Modeling financial sector joint tail risk in the euro area 0 0 0 36 0 0 0 65
Network, Market, and Book-Based Systemic Risk Rankings 0 0 0 65 0 0 6 121
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels 0 0 0 34 0 0 2 69
Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk 0 0 3 203 0 0 4 607
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models 0 0 0 76 0 0 0 152
Nut, gebruik en beperkingen van value-at-risk voor risicomanagement 0 0 0 95 0 0 0 370
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 1 57 0 0 1 156
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 2 46 0 1 7 157
Observation-driven Models for Realized Variances and Overnight Returns 0 0 0 31 0 0 0 39
On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework 0 0 0 340 1 1 2 897
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 52 0 0 1 98
Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data 0 0 0 4 0 0 0 41
Outlier robust cointegration analysis 0 0 0 240 0 1 1 564
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 0 0 93 0 0 1 233
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation 0 0 0 307 0 0 0 812
Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models 0 0 1 193 0 0 2 517
Regime switches in the volatility and correlation of financial institutions 1 1 2 102 1 1 4 189
Risk Aversion under Preference Uncertainty 0 0 0 36 0 0 0 97
Risk aversion under preference uncertainty 0 0 0 7 0 0 1 53
Risk endogeneity at the lender/investor-of-last-resort 0 0 0 24 0 0 1 27
Risk endogeneity at the lender/investor-of-last-resort 0 0 0 8 0 1 1 53
Risk endogeneity at the lender/investor-of-last-resort 0 0 0 10 0 0 1 44
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 0 0 245 0 0 0 1,048
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 0 0 0 1,381
Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting 0 0 0 36 1 2 3 73
Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting 0 0 0 91 0 0 3 129
Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads 0 0 1 35 0 1 4 61
Semi-nonparametric cointegration testing 0 0 0 152 0 0 1 477
Short Patches of Outliers, ARCH and Volatility Modeling 0 0 1 281 0 0 1 1,015
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 2 68 0 0 8 114
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 4 49 0 0 5 147
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models 0 0 0 7 0 0 1 59
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 1 2 60 0 1 4 130
Stochastic processes, non-normal innovations, and the use of scaling ratios 0 0 0 81 0 0 0 325
Stock Selection, Style Rotation, and Risk 0 0 0 666 1 1 3 1,798
Strategic and tactical asset allocation and the effect of long-run equilibrium relations 0 1 2 1,953 0 1 4 5,567
Systemic Risk Diagnostics 0 0 0 93 0 0 0 211
Systemic risk diagnostics: coincident indicators and early warning signals 0 0 0 147 0 0 2 463
Tail Behavior of Credit Loss Distributions for General Latent Factor Models 0 0 1 413 0 0 2 1,152
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution 0 0 0 34 1 1 4 56
Tail behavior of credit loss distributions 0 0 3 335 0 0 6 1,069
Testing backtesting: an evaluation of the Basle guidelines for backtesting internal risk management models of banks 0 0 0 675 0 0 1 1,667
Testing for ARCH in the Presence of Additive Outliers 0 0 0 26 0 1 1 139
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 0 0 1 76
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 47 0 0 1 141
The Dynamic Skellam Model with Applications 0 0 1 35 0 1 4 137
The Information in Systemic Risk Rankings 0 0 0 28 0 0 0 91
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions 0 0 0 236 0 0 1 678
The information in systemic risk rankings 0 0 1 40 0 0 9 148
Time Varying Transition Probabilities for Markov Regime Switching Models 0 0 3 129 0 2 16 443
Time-varying tail behavior for realized kernels 0 0 0 24 0 0 0 28
Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle 0 0 0 12 0 0 1 67
Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle 0 0 0 62 1 1 2 214
Washington meets Wall Street: A closer examination of the presidential cycle puzzle 0 0 0 12 0 0 1 87
Why do investors sell losers? How adaptation to losses affects future capitulation decisions 0 1 1 12 0 2 2 130
Total Working Papers 3 12 88 16,675 14 51 315 51,348
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 0 0 28 0 0 4 108
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 1 52 0 0 3 202
A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior 0 0 0 0 0 0 0 444
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model 0 0 0 22 0 0 3 234
A note on the relationship between GARCH and symmetric stable processes 0 1 1 36 0 1 1 103
A stochastic recurrence equations approach for score driven correlation models 0 0 0 1 0 0 1 12
Accounting for missing values in score-driven time-varying parameter models 0 0 0 3 0 0 0 33
Amendments and Corrections 0 0 0 1 0 0 1 10
An analytic approach to credit risk of large corporate bond and loan portfolios 0 0 3 245 1 2 6 589
An outlier robust unit root test with an application to the extended Nelson-Plosser data 0 0 0 102 0 1 2 341
Bank Business Models at Zero Interest Rates 0 0 0 7 0 0 3 43
Blockholder dispersion and firm value 0 2 11 64 2 4 29 234
Business and default cycles for credit risk 0 0 0 3 0 0 1 12
Business and default cycles for credit risk 0 0 1 453 0 0 7 1,236
Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced? 0 0 0 18 0 0 1 102
Classical and Bayesian aspects of robust unit root inference 0 0 0 52 0 0 0 156
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings 0 0 1 2 0 0 6 17
Cointegration Testing Using Pseudolikelihood Ratio Tests 0 0 0 14 0 0 0 58
Community Driven Development and Structural Disadvantage: Interrogating the Social Turn in Development Programming in Indonesia 0 0 0 9 0 0 1 35
Comprehensive definitions of breakdown points for independent and dependent observations 0 0 0 8 0 0 1 99
Conditional Euro Area Sovereign Default Risk 0 0 1 41 0 1 5 120
Covid-19, credit risk management modeling, and government support 0 1 3 7 0 2 7 19
Credit cycles and macro fundamentals 0 0 2 200 1 2 7 588
Deepening the Measuring of Technical Inefficiency in Private Farming in Georgia: Locally Parametric Regression 0 0 0 89 0 0 1 367
Discrete versus continuous state switching models for portfolio credit risk 0 0 0 37 0 0 1 240
Discrete-Time Financial Planning Models Under Loss-Averse Preferences 0 0 0 2 0 0 1 12
Do negative interest rates make banks less safe? 0 0 0 63 0 2 8 195
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 0 0 2 30 0 0 3 128
Dynamic Nonparametric Clustering of Multivariate Panel Data* 0 0 0 0 0 1 1 1
Dynamic clustering of multivariate panel data 0 1 2 2 0 3 7 7
Dynamic discrete copula models for high‐frequency stock price changes 0 0 0 1 0 0 1 23
Dynamic partial correlation models 0 1 1 1 0 1 1 1
Empirical credit cycles and capital buffer formation 0 0 0 142 0 0 2 396
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 0 0 0 133
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model 0 0 0 16 0 0 0 105
Evaluating the Basle Guidelines for Backtesting Banks' Internal Risk Management Models 0 0 0 0 0 6 23 1,604
Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence 0 0 0 0 0 0 0 4
Fractional Integration and Fat Tails for Realized Covariance Kernels 0 0 1 5 0 0 1 15
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 0 0 5 101 0 0 13 328
Global Credit Risk: World, Country and Industry Factors 0 0 0 7 0 0 2 90
Global loss diversification in the insurance sector 0 0 0 25 0 0 0 135
Hedging Large Portfolios of Options in Discrete Time 0 0 1 39 0 1 3 147
Heterogeneity and dynamics in network models 0 0 1 1 0 1 5 5
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 3 4 30 0 3 12 98
Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods 0 0 1 17 0 0 2 81
Information-theoretic optimality of observation-driven time series models for continuous responses 0 1 3 21 0 1 5 61
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model 0 0 0 1 0 0 0 28
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models 0 0 0 2 0 0 1 20
Long memory dynamics for multivariate dependence under heavy tails 0 0 7 22 0 2 10 103
Long-Term versus Short-Term Contingencies in Asset Allocation 0 0 0 3 0 0 1 65
Maximum likelihood estimation for score-driven models 0 0 2 9 0 2 12 37
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 0 1 81 0 0 1 203
Modeling Financial Sector Joint Tail Risk in the Euro Area 0 1 1 5 0 3 5 42
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 1 66 0 0 2 252
Modelling Portfolio Defaults Using Hidden Markov Models with Covariates 0 0 0 87 0 1 2 426
Network, market, and book-based systemic risk rankings 0 0 1 12 0 0 5 84
New HEAVY Models for Fat-Tailed Realized Covariances and Returns 0 0 2 5 0 0 3 13
Nonlinear autoregressive models with optimality properties 0 0 0 2 0 0 1 14
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 0 19 1 1 3 91
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 0 0 15 0 0 0 59
Nut, gebruik en beperkingen van Value-at-Risk voor risicomanagement 0 0 0 4 0 0 1 27
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 1 42 0 0 3 191
Observation-driven filtering of time-varying parameters using moment conditions 1 1 4 4 1 1 7 7
Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting 0 0 1 4 0 0 2 15
Outlier Detection in Cointegration Analysis 0 0 0 0 0 1 1 765
Outlier robust analysis of long-run marketing effects for weekly scanning data 0 1 2 46 0 1 2 202
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 2 5 38 1 5 17 155
Quantile forecasting for credit risk management using possibly misspecified hidden Markov models 0 0 0 53 0 0 0 207
Quantiles for t-statistics based on M-estimators of unit roots 0 0 1 22 0 0 2 299
Risk aversion under preference uncertainty 0 0 0 17 0 0 3 115
Risk endogeneity at the lender/investor-of-last-resort 0 1 1 7 1 2 2 30
SETS, arbitrage activity, and stock price dynamics 0 0 0 35 0 0 3 170
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting 0 1 1 17 1 3 4 86
Semi-nonparametric cointegration testing 0 0 0 42 0 0 0 157
Semiparametric score driven volatility models 0 0 1 23 0 1 5 82
Short patches of outliers, ARCH and volatility modelling 0 0 0 37 0 0 0 210
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 7 40 4 5 23 159
Stock selection, style rotation, and risk 0 0 1 125 0 0 6 469
Tail behaviour of credit loss distributions for general latent factor models 0 0 2 100 0 0 2 454
Testing for ARCH in the Presence of Additive Outliers 0 0 0 213 0 1 3 789
Testing for Parameter Instability across Different Modeling Frameworks 0 0 0 4 0 0 0 26
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 0 0 0 1 512
The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds 0 0 1 3 0 0 1 17
The information in systemic risk rankings 0 0 1 23 0 1 5 94
The multi-state latent factor intensity model for credit rating transitions 0 0 1 152 1 1 2 463
Time-Varying Parameters in Econometrics: The editor’s foreword 0 1 1 1 0 1 3 3
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 0 1 13 0 1 4 48
Time-varying variance and skewness in realized volatility measures 0 0 2 2 0 1 6 8
Unit Root Tests Based on M Estimators 0 0 1 22 0 0 1 74
Washington meets Wall Street: A closer examination of the presidential cycle puzzle 0 1 1 15 0 1 5 93
Total Journal Articles 1 19 96 3,462 14 67 341 16,335

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Fat Tails and the Effect on Optimal Asset Allocations 0 0 0 0 0 0 0 3
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Statistics updated 2024-09-04