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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
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Lucas, André
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Koopman, Siem Jan
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Dijk, Dick van
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Schwaab, Bernd
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Menkveld, Albert J.
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Discussion paper / Tinbergen Institute
129
Tinbergen Institute Discussion Papers
96
Tinbergen Institute Discussion Paper
90
ECB Working Paper
25
Journal of econometrics
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Serie Research Memoranda
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Sveriges Riksbank working paper series
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Economisch en sociaal tijdschrift : een driemaandelijke uitgave van de Universitaire Faculteiten Sint-Ignatius te Antwerpen
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Applied financial economics
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International journal of applied econometrics and quantitative studies : IJAEQS
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ECONIS (ZBW)
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1
Closed-form multi-factor copula models with observation-driven dynamic factor loadings
Opschoor, Anne
;
Lucas, André
;
Barra, István
;
Dijk, …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1066-1079
Persistent link: https://www.econbiz.de/10012653226
Saved in:
2
Bank business models at zero interest rates
Lucas, André
;
Schaumburg, Julia
;
Schwaab, Bernd
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 542-555
Persistent link: https://www.econbiz.de/10012178195
Saved in:
3
New HEAVY models for fat-tailed realized covariances and returns
Opschoor, Anne
;
Janus, Paweł
;
Lucas, André
;
Dijk, Dick van
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
4
,
pp. 643-657
Persistent link: https://www.econbiz.de/10012249228
Saved in:
4
Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
Saved in:
5
Conditional Euro Area sovereign default risk
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
2
,
pp. 271-284
Persistent link: https://www.econbiz.de/10010488563
Saved in:
6
Dynamic factor models with macro, frailty, and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
4
,
pp. 521-532
Persistent link: https://www.econbiz.de/10009667047
Saved in:
7
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
4
,
pp. 552-563
Persistent link: https://www.econbiz.de/10009355592
Saved in:
8
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew
;
Jan Koopman, Siem
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
4
,
pp. 552-564
Persistent link: https://www.econbiz.de/10009796513
Saved in:
9
A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
4
,
pp. 510-525
Persistent link: https://www.econbiz.de/10003772293
Saved in:
10
Modeling around-the-clock price discovery for cross-listed stocks using state space methods
Menkveld, Albert J.
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
25
(
2007
)
2
,
pp. 213-225
Persistent link: https://www.econbiz.de/10003463648
Saved in:
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