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1
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
Menkveld, Albert J.
;
Koopman, Siem Jan
;
Lucas, Andre
- In:
Journal of Business & Economic Statistics
25
(
2007
)
April
,
pp. 213-225
Persistent link: https://www.econbiz.de/10005238226
Saved in:
2
Empirical credit cycles and capital buffer formation
Koopman, Siem Jan
;
Lucas, Andre
;
Klaassen, Pieter
- In:
Journal of Banking & Finance
29
(
2005
)
12
,
pp. 3159-3179
Persistent link: https://www.econbiz.de/10005201004
Saved in:
3
The multi-state latent factor intensity model for credit rating transitions
Koopman, Siem Jan
;
Lucas, Andre
;
Monteiro, Andre
- In:
Journal of Econometrics
142
(
2008
)
1
,
pp. 399-424
Persistent link: https://www.econbiz.de/10005228895
Saved in:
4
Semi-nonparametric cointegration testing
Boswijk, H. Peter
;
Lucas, Andre
- In:
Journal of Econometrics
108
(
2002
)
2
,
pp. 253-280
Persistent link: https://www.econbiz.de/10005239054
Saved in:
5
Quantiles for t-statistics based on M-estimators of unit roots
Abadir, Karim M.
;
Lucas, Andre
- In:
Economics Letters
67
(
2000
)
2
,
pp. 131-137
Persistent link: https://www.econbiz.de/10005296302
Saved in:
6
Discrete versus continuous state switching models for portfolio credit risk
Lucas, Andre
;
Klaassen, Pieter
- In:
Journal of Banking & Finance
30
(
2006
)
1
,
pp. 23-35
Persistent link: https://www.econbiz.de/10005200997
Saved in:
7
SETS, arbitrage activity, and stock price dynamics
Taylor, Nick
;
Dijk, Dick van
;
Franses, Philip Hans
; …
- In:
Journal of Banking & Finance
24
(
2000
)
8
,
pp. 1289-1306
Persistent link: https://www.econbiz.de/10005201260
Saved in:
8
An analytic approach to credit risk of large corporate bond and loan portfolios
Lucas, Andre
;
Klaassen, Pieter
;
Spreij, Peter
; …
- In:
Journal of Banking & Finance
25
(
2001
)
9
,
pp. 1635-1664
Persistent link: https://www.econbiz.de/10005201635
Saved in:
9
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]
Lucas, Andre
;
Klaassens, Pieter
;
Spreij, Peter
; …
- In:
Journal of Banking & Finance
26
(
2002
)
1
,
pp. 201-202
Persistent link: https://www.econbiz.de/10005213586
Saved in:
10
Stock selection, style rotation, and risk
Lucas, Andre
;
van Dijk, Ronald
;
Kloek, Teun
- In:
Journal of Empirical Finance
9
(
2002
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10005152438
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