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~isPartOf:"Journal of applied econometrics"
~isPartOf:"Journal of empirical finance"
~subject:"ARCH-Modell"
~subject:"Credit risk"
~subject:"Portfolio-Management"
~subject:"Theorie"
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Lucas, André
10
Koopman, Siem Jan
6
Schwaab, Bernd
2
Barra, István
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Creal, Drew
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D'Innocenzo, Enzo
1
Dijk, Dick van
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Dijk, Ronald van
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Franses, Philip Hans
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Monteiro, André Antonio
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Journal of applied econometrics
Journal of empirical finance
Discussion paper / Tinbergen Institute
87
Working paper series / European Central Bank
8
International journal of forecasting
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of econometrics
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Discussion paper / Tinbergen Institute / Tinbergen Institute
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Applied mathematical finance
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Journal of financial and quantitative analysis : JFQA
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Report / Econometric Institute, Erasmus University Rotterdam
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Rotterdams Instituut voor Bedrijfseconomische Studies : RIBES
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The review of economics and statistics
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Applying Kernel and nonparametric estimation to economic topics
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Auditing : a journal of practice & theory
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Economisch en sociaal tijdschrift : een driemaandelijke uitgave van de Universitaire Faculteiten Sint-Ignatius te Antwerpen
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Finance research letters
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Global COE Hi-Stat discussion paper series
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International journal of applied econometrics and quantitative studies : IJAEQS
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Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
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1
Heterogeneity and dynamics in network models
D'Innocenzo, Enzo
;
Lucas, André
;
Opschoor, Anne
; …
- In:
Journal of applied econometrics
39
(
2024
)
1
,
pp. 150-173
Persistent link: https://www.econbiz.de/10014474448
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
Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models
Barra, István
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
; …
- In:
Journal of applied econometrics
32
(
2017
)
5
,
pp. 1003-1026
Persistent link: https://www.econbiz.de/10011862307
Saved in:
5
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
6
Generalized autoregressive score models with applications
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of applied econometrics
28
(
2013
)
5
,
pp. 777-795
Persistent link: https://www.econbiz.de/10010351100
Saved in:
7
Credit cycles and macro fundamentals
Koopman, Siem Jan
;
Kräussl, Roman
;
Lucas, André
; …
- In:
Journal of empirical finance
16
(
2009
)
1
,
pp. 42-54
Persistent link: https://www.econbiz.de/10003800184
Saved in:
8
Business and default cycles for credit risk
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of applied econometrics
20
(
2005
)
2
,
pp. 311-323
Persistent link: https://www.econbiz.de/10002729166
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
Testing for ARCH in the presence of addiative outliers
Dijk, Dick van
;
Franses, Philip Hans
;
Lucas, André
- In:
Journal of applied econometrics
14
(
1999
)
5
,
pp. 539-562
Persistent link: https://www.econbiz.de/10001421498
Saved in:
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