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 0 564
A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model 0 0 0 57 0 0 0 494
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 2 346
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations 0 0 1 66 0 0 3 201
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 1 118 1 1 8 297
A General Framework for Observation Driven Time-Varying Parameter Models 0 0 0 172 0 0 2 409
A Hybrid Joint Moment Ratio Test for Financial Time Series 0 0 1 249 0 0 1 1,292
A New Semiparametric Volatility Model 0 0 0 64 0 0 1 105
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 0 122 0 0 2 464
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 1 1 1 532
Accounting for Missing Values in Score-Driven Time-Varying Parameter Models 0 0 0 14 0 0 0 60
Aggregating Credit and Market Risk: The Impact of Model Specification 0 0 1 96 0 0 3 263
An analytic approach to credit risk of large corporate bond and loan portfolios 0 0 4 875 0 0 5 1,738
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 1 1 66
Bank Business Models at Zero Interest Rates 0 0 0 40 0 0 0 82
Bank business models at zero interest rates 0 1 1 36 0 1 1 82
Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong 0 0 1 425 0 1 4 1,463
Blockholder Dispersion and Firm Value 0 0 0 53 2 2 2 213
Blockholder dispersion and firm value 0 0 0 25 0 0 2 122
Business and Default Cycles for Credit Risk 0 1 4 893 0 1 5 1,921
COVID-19, Credit Risk and Macro Fundamentals 0 0 1 26 0 0 1 36
Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced? 0 0 1 60 0 0 1 220
Cash flow and discount rate risk in up and down markets: What is actually priced? 0 0 0 25 1 1 2 152
Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings 0 0 0 38 0 0 0 97
Clustering Dynamics and Persistence for Financial Multivariate Panel Data 0 1 2 18 0 1 7 40
Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations 0 0 0 78 0 0 0 656
Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk 0 0 0 79 0 0 0 240
Conditional and joint credit risk 0 0 0 23 0 0 0 86
Conditional euro area sovereign default risk 0 0 0 56 0 0 1 113
Consistency, distributional convergence, and optimality of score-driven filters 0 0 0 13 0 0 2 11
Credit Cycles and Macro Fundamentals 0 0 0 285 1 2 2 867
Credit cycles and macro fundamentals 0 0 0 180 0 0 0 600
De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen 0 0 0 54 0 0 1 457
Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression 0 0 0 63 0 0 0 366
Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution 0 0 11 11 0 2 13 13
Discrete versus Continuous State Switching Models for Portfolio Credit Risk 0 1 1 190 0 1 1 914
Do Negative Interest Rates Make Banks Less Safe? 0 0 0 37 1 1 1 60
Do negative interest rates make banks less safe? 0 0 0 41 0 0 2 200
Dynamic clustering of multivariate panel data 0 0 0 6 1 1 2 24
Dynamic clustering of multivariate panel data 0 0 0 80 0 0 2 128
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 0 0 1 56 0 0 2 162
Dynamic nonparametric clustering of multivariate panel data 0 0 2 22 0 0 4 23
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting 0 0 1 74 0 0 5 105
Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model 0 0 0 71 0 1 2 513
Explaining Hedge Fund Investment Styles by Loss Aversion 0 0 0 804 0 0 0 2,232
Financial Development and Fragility: A Clustering Analysis 0 1 9 9 0 1 17 17
Finite Sample Optimality of Score-Driven Volatility Models 0 0 0 49 0 0 1 52
Forecasting Cross-Sections of Frailty-Correlated Default 0 0 0 73 0 1 8 275
Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns 0 0 1 32 0 1 3 53
Generalized Autoregressive Method of Moments 0 0 0 74 0 1 6 140
Global Credit Risk: World, Country and Industry Factors 0 0 0 26 0 0 1 145
Global Loss Diversification in the Insurance Sector 0 0 1 47 1 1 2 239
Global credit risk: world country and industry factors 0 0 0 32 1 1 4 107
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 47 0 0 3 93
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model 0 0 0 53 0 1 2 92
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
Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter 1 7 16 16 1 6 27 27
Long Memory Dynamics for Multivariate Dependence under Heavy Tails 1 1 1 48 1 1 1 161
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 1 3 3 163
Maximum Likelihood Estimation for Score-Driven Models 0 0 1 59 0 0 3 186
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 2 51 0 0 3 116
Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics 0 0 1 103 0 0 3 191
Mixed Density based Copula Likelihood 0 0 0 22 0 0 1 77
Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S 0 0 0 94 0 0 1 230
Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails 0 0 2 55 1 1 4 153
Modeling Portfolio Defaults using Hidden Markov Models with Covariates 0 0 0 143 0 0 1 558
Modeling extreme events: time-varying extreme tail shape 0 0 0 22 0 0 1 65
Modeling extreme events: time-varying extreme tail shape 0 0 0 27 0 0 5 73
Modeling extreme events:time-varying extreme tail shape 0 0 3 9 0 0 8 14
Modeling financial sector joint tail risk in the euro area 0 0 1 18 0 1 3 73
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 1 1 5 122
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels 0 0 0 34 0 0 1 69
Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk 0 1 4 205 0 1 6 610
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 0 57 0 0 0 156
Observation driven mixed-measurement dynamic factor models with an application to credit risk 0 0 3 48 0 1 7 160
Observation-driven Models for Realized Variances and Overnight Returns 0 1 1 32 1 2 2 41
On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework 0 0 0 340 0 0 1 897
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 1 53 1 1 4 101
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 1 1 3 566
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 0 0 93 0 0 0 233
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 0 193 0 0 0 517
Regime switches in the volatility and correlation of financial institutions 0 0 1 102 2 3 7 193
Risk Aversion under Preference Uncertainty 0 0 0 36 0 0 0 97
Risk aversion under preference uncertainty 0 0 0 7 0 0 0 53
Risk endogeneity at the lender/investor-of-last-resort 0 0 0 10 1 1 2 46
Risk endogeneity at the lender/investor-of-last-resort 0 0 0 24 0 0 0 27
Risk endogeneity at the lender/investor-of-last-resort 0 0 0 8 0 0 1 53
Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence 0 0 0 245 1 2 2 1,050
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 0 1 1 1,382
Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting 0 0 0 36 0 0 2 73
Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting 0 0 0 91 0 0 0 129
Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads 0 0 0 35 0 1 4 62
Semi-nonparametric cointegration testing 0 0 0 152 0 0 2 478
Short Patches of Outliers, ARCH and Volatility Modeling 0 0 0 281 0 0 0 1,015
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 0 68 0 0 5 117
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 2 49 0 0 5 149
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 0 2 60 0 0 5 131
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 0 1 2 1,799
Strategic and tactical asset allocation and the effect of long-run equilibrium relations 0 0 2 1,953 1 2 6 5,570
Systemic Risk Diagnostics 0 0 0 93 1 1 1 212
Systemic risk diagnostics: coincident indicators and early warning signals 1 1 2 149 1 1 6 467
Tail Behavior of Credit Loss Distributions for General Latent Factor Models 0 0 0 413 0 0 0 1,152
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution 0 0 0 34 1 1 3 57
Tail behavior of credit loss distributions 0 0 2 336 0 1 5 1,072
Testing backtesting: an evaluation of the Basle guidelines for backtesting internal risk management models of banks 0 0 0 675 0 0 0 1,667
Testing for ARCH in the Presence of Additive Outliers 0 0 0 26 1 1 2 140
Testing for Parameter Instability in Competing Modeling Frameworks 0 0 0 21 1 2 2 78
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 47 0 0 0 141
The Dynamic Skellam Model with Applications 0 0 0 35 0 0 5 139
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 1 237 0 0 2 679
The information in systemic risk rankings 1 1 2 41 2 3 7 152
Time Varying Transition Probabilities for Markov Regime Switching Models 0 0 1 129 1 1 13 448
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 1 2 2 69
Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle 0 1 1 63 3 6 8 221
Washington meets Wall Street: A closer examination of the presidential cycle puzzle 0 0 0 12 0 1 1 88
Why do investors sell losers? How adaptation to losses affects future capitulation decisions 0 0 1 12 0 0 2 130
Total Working Papers 4 18 99 16,738 35 75 340 51,536
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 1 1 29 0 2 5 112
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk 0 0 0 52 0 2 4 205
A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior 0 0 0 0 0 0 1 445
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model 0 0 0 22 0 0 0 234
A note on the relationship between GARCH and symmetric stable processes 0 0 1 36 1 1 2 104
A stochastic recurrence equations approach for score driven correlation models 0 0 0 1 1 1 2 13
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 0 1 6 590
An outlier robust unit root test with an application to the extended Nelson-Plosser data 0 0 0 102 0 0 2 342
Bank Business Models at Zero Interest Rates 0 0 0 7 1 2 2 45
Blockholder dispersion and firm value 2 7 14 71 4 9 25 244
Business and default cycles for credit risk 0 0 1 453 2 4 8 1,240
Business and default cycles for credit risk 0 1 1 4 0 1 2 13
Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced? 0 0 0 18 0 0 0 102
Classical and Bayesian aspects of robust unit root inference 0 0 0 52 0 1 1 157
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings 0 1 1 3 0 2 4 19
Cointegration Testing Using Pseudolikelihood Ratio Tests 0 0 0 14 1 2 2 60
Community Driven Development and Structural Disadvantage: Interrogating the Social Turn in Development Programming in Indonesia 0 0 0 9 2 2 3 38
Comprehensive definitions of breakdown points for independent and dependent observations 0 0 0 8 0 0 0 99
Conditional Euro Area Sovereign Default Risk 0 0 0 41 0 0 2 121
Covid-19, credit risk management modeling, and government support 0 1 2 8 1 3 6 22
Credit cycles and macro fundamentals 0 0 1 201 1 2 7 592
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 1 1 38 0 1 1 241
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 1 64 0 0 8 197
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 0 0 1 30 0 0 2 128
Dynamic Nonparametric Clustering of Multivariate Panel Data* 0 0 0 0 0 0 2 2
Dynamic clustering of multivariate panel data 0 1 2 3 0 1 10 11
Dynamic discrete copula models for high‐frequency stock price changes 0 0 0 1 0 1 1 24
Dynamic partial correlation models 0 0 2 2 1 2 6 6
Empirical credit cycles and capital buffer formation 0 0 0 142 0 0 0 396
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 0 13 1,605
Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence 0 0 0 0 0 1 1 5
Fractional Integration and Fat Tails for Realized Covariance Kernels 0 0 0 5 0 1 1 16
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 2 3 6 106 3 4 15 339
Global Credit Risk: World, Country and Industry Factors 0 0 0 7 0 0 3 91
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 0 39 0 0 1 147
Heterogeneity and dynamics in network models 0 2 3 3 2 6 12 12
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 0 4 30 0 0 10 98
Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods 0 0 0 17 0 0 1 82
Information-theoretic optimality of observation-driven time series models for continuous responses 0 0 2 22 0 0 5 64
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 1 1 3 24 1 2 7 106
Long-Term versus Short-Term Contingencies in Asset Allocation 0 0 0 3 1 2 2 67
Maximum likelihood estimation for score-driven models 0 0 1 9 0 0 7 38
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 0 0 1 82 0 0 2 205
Modeling Extreme Events: Time-Varying Extreme Tail Shape 0 0 1 1 2 4 8 8
Modeling Financial Sector Joint Tail Risk in the Euro Area 0 0 1 5 0 1 6 44
Modeling frailty-correlated defaults using many macroeconomic covariates 0 0 0 66 0 0 0 252
Modelling Portfolio Defaults Using Hidden Markov Models with Covariates 0 0 0 87 0 0 1 426
Network, market, and book-based systemic risk rankings 0 0 0 12 0 1 5 88
New HEAVY Models for Fat-Tailed Realized Covariances and Returns 0 0 2 5 1 1 3 14
Nonlinear autoregressive models with optimality properties 0 0 0 2 1 1 2 15
Nowcasting and forecasting global financial sector stress and credit market dislocation 0 0 0 19 1 2 5 94
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models 0 1 1 16 1 2 2 61
Nut, gebruik en beperkingen van Value-at-Risk voor risicomanagement 0 0 0 4 0 0 0 27
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk 0 0 1 43 1 2 5 195
Observation-driven filtering of time-varying parameters using moment conditions 0 2 5 6 1 3 10 11
Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting 0 0 1 4 2 2 3 17
Outlier Detection in Cointegration Analysis 0 0 0 0 0 0 1 765
Outlier robust analysis of long-run marketing effects for weekly scanning data 0 0 1 46 1 1 2 203
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models 0 2 6 41 1 3 16 161
Quantile forecasting for credit risk management using possibly misspecified hidden Markov models 0 0 0 53 0 0 1 208
Quantiles for t-statistics based on M-estimators of unit roots 0 1 1 23 0 1 2 301
Risk aversion under preference uncertainty 0 0 0 17 1 1 2 116
Risk endogeneity at the lender/investor-of-last-resort 0 0 1 7 0 0 4 32
SETS, arbitrage activity, and stock price dynamics 0 1 1 36 3 4 5 174
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting 0 0 1 17 1 2 7 90
Semi-nonparametric cointegration testing 0 0 0 42 0 0 0 157
Semiparametric score driven volatility models 0 0 1 24 0 0 3 83
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 4 43 0 1 18 164
Stock selection, style rotation, and risk 0 0 1 125 5 5 8 474
Tail behaviour of credit loss distributions for general latent factor models 0 0 0 100 0 0 0 454
Testing for ARCH in the Presence of Additive Outliers 0 0 0 213 0 0 1 789
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 0 512
The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds 0 0 0 3 1 1 1 18
The information in systemic risk rankings 0 0 0 23 0 2 5 98
The multi-state latent factor intensity model for credit rating transitions 0 0 1 153 0 0 5 467
Time-Varying Parameters in Econometrics: The editor’s foreword 0 0 2 2 2 3 9 9
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 0 1 13 2 3 7 52
Time-varying variance and skewness in realized volatility measures 0 0 0 2 0 0 3 9
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 0 1 15 1 2 4 95
Total Journal Articles 5 26 87 3,505 50 104 353 16,513

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Fat Tails and the Effect on Optimal Asset Allocations 0 0 0 0 0 0 1 4
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Statistics updated 2025-03-03