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subject:"Hedging"
~person:"Lucas, André"
~subject:"Risk"
~subject:"Theory"
~type_genre:"Article in journal"
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15
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15
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5
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3
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Lucas, André
Fabozzi, Frank J.
47
Korn, Ralf
30
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29
Escobar, Marcos
27
Li, Duan
25
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21
Platen, Eckhard
21
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21
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21
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19
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18
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18
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18
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18
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17
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17
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17
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17
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16
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16
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15
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15
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15
Lo, Andrew W.
15
Maurer, Raimond
15
Račev, Svetlozar T.
15
Rüschendorf, Ludger
15
Siu, Tak Kuen
15
Yao, Haixiang
15
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14
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14
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14
Koo, Hyeng-keun
14
Kraft, Holger
14
Lien, Da-hsiang Donald
14
Mensi, Walid
14
Tiwari, Aviral Kumar
14
Zhou, Guofu
14
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13
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13
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2
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2
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1
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1
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1
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ECONIS (ZBW)
11
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1
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10
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11
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1
Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
Saved in:
2
Modeling financial sector joint tail risk in the Euro Area
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
- In:
Journal of applied econometrics
32
(
2017
)
1
,
pp. 171-191
Persistent link: https://www.econbiz.de/10011688510
Saved in:
3
Global credit risk : world, country and industry factors
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of applied econometrics
32
(
2017
)
2
,
pp. 296-317
Persistent link: https://www.econbiz.de/10011689783
Saved in:
4
Risk aversion under preference uncertainty
Kräussl, Roman
;
Lucas, André
;
Siegmann, Adriaan Hendrik
- In:
Finance research letters
9
(
2012
)
1
,
pp. 1-7
Persistent link: https://www.econbiz.de/10009575398
Saved in:
5
Cash flow and discount rate risk in up and down markets : what is actually priced?
Botshekan, Mahmoud
;
Kräussl, Roman
;
Lucas, André
- In:
Journal of financial and quantitative analysis : JFQA
47
(
2012
)
6
,
pp. 1279-1301
Persistent link: https://www.econbiz.de/10009728907
Saved in:
6
Modelling portfolio defaults using hidden Markov models with covariates
Banachewicz, Konrad
;
Lucas, André
;
Vaart, Aad W. van der
- In:
The econometrics journal
11
(
2008
)
1
,
pp. 155-171
Persistent link: https://www.econbiz.de/10003648671
Saved in:
7
Hedging large portfolios of options in discrete time
Peeters, B.
;
Dert, C. L.
;
Lucas, André
- In:
Applied mathematical finance
15
(
2008
)
3/4
,
pp. 251-275
Persistent link: https://www.econbiz.de/10003751253
Saved in:
8
Tail behaviour of credit loss distributions for general latent factor models
Lucas, André
;
Klaassen, Pieter
;
Spreij, Peter
; …
- In:
Applied mathematical finance
10
(
2003
)
4
,
pp. 337-357
Persistent link: https://www.econbiz.de/10001864390
Saved in:
9
Stock selection, style rotation, and risk
Lucas, André
;
Dijk, Ronald van
;
Kloek, Teunis
- In:
Journal of empirical finance
9
(
2002
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10001655776
Saved in:
10
An analytic approach to credit risk of large corporate bond and loan portfolios
Lucas, André
(
contributor
)
- In:
Journal of banking & finance
25
(
2001
)
9
,
pp. 1635-1664
Persistent link: https://www.econbiz.de/10001603572
Saved in:
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