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~isPartOf:"CREATES research paper"
~isPartOf:"Discussion paper / Centre for Economic Policy Research"
~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of economic dynamics & control"
~person:"Lucas, André"
~subject:"Autocorrelation"
~subject:"Bayes-Statistik"
~subject:"Einheitswurzeltest"
~subject:"Estimation theory"
~subject:"Estimation"
~subject:"Frühindikator"
~subject:"Theory"
~subject:"USA"
~subject:"Volatility"
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Autocorrelation
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Time series analysis
5
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Lucas, André
Teräsvirta, Timo
18
Hyndman, Rob J.
13
Nielsen, Morten Ørregaard
13
Johansen, Søren
12
Proietti, Tommaso
11
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10
Marcellino, Massimiliano
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8
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7
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7
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7
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6
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6
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6
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6
Hendry, David F.
6
Koehler, Anne B.
6
Lütkepohl, Helmut
6
Petropoulos, Fotios
6
Reichlin, Lucrezia
6
Santucci de Magistris, Paolo
6
Timmermann, Allan
6
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5
Clements, Michael P.
5
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5
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5
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5
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5
Medeiros, Marcelo C.
5
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5
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5
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4
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CREATES research paper
Discussion paper / Centre for Economic Policy Research
International journal of forecasting
Journal of economic dynamics & control
Discussion paper / Tinbergen Institute
46
Econometric reviews
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of econometrics
3
Discussion paper / Tinbergen Institute / Tinbergen Institute
2
Journal of applied econometrics
2
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2
Report / Econometric Institute, Erasmus University Rotterdam
2
Report / Erasmus Center for Financial Research, Erasmus University
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Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
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Report / Econometric Institute, Erasmus University, Rotterdam / Econometric Institute, Erasmus University Rotterdam
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Sveriges Riksbank working paper series
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Systemic risk tomography : signals, measurement and transmission channels
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The review of economics and statistics
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ECONIS (ZBW)
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1
Time-varying variance and skewness in realized volatility measures
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 827-840
Persistent link: https://www.econbiz.de/10014465151
Saved in:
2
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:
3
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
4
Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"
Perron, Pierre
;
Xu, Jiawen
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 891-892
Persistent link: https://www.econbiz.de/10011621864
Saved in:
5
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André
;
Zhang, Xin
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
Saved in:
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