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Blockholder dispersion and firm value
Konijn, Sander J. J.; Kräussl, Roman; Lucas, André - 2009
This paper analyzes the impact of blockownership dispersion on firm value. Blockholdings by multiple blockholders is a widespread phenomenon in the U.S. market. It is not clear, however, whether dispersion among blockholder is preferable to having a more concentrated ownership structure. To test...
Persistent link: https://www.econbiz.de/10011379511
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Global loss diversification in the insurance sector
Sheremet, Oleg; Lucas, André - 2008
distant insurance markets via equity returns. In particular, we employ conditional copula theory to model the bivariate …We study the possibility for international diversification of catastrophe risk by the insurance sector. Adopting the … argument that large insurance losses may be a `globalizing factor' for the industry, we study the dependence of geographically …
Persistent link: https://www.econbiz.de/10011377065
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Blockholder dispersion and firm value
Konijn, Sander J. J.; Kräussl, Romand; Lucas, André - 2009
Persistent link: https://www.econbiz.de/10003934109
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A note on the relationship between GARCH and symmetric stable processes
Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1994
Persistent link: https://www.econbiz.de/10000560199
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Outlier robust GMM estimation of leverage determinants
Lucas, André; Dijk, Ronald van; Kloek, Teun - 1994
Persistent link: https://www.econbiz.de/10000151692
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A general framework for observation driven time-varying parameter models
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2008
Persistent link: https://www.econbiz.de/10003787160
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A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
Persistent link: https://www.econbiz.de/10003973316
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Modeling portfolio defaults using hidden Markov models with covariates
Banachewicz, Konrad; Vaart, Aad W. van der; Lucas, André - 2006
Persistent link: https://www.econbiz.de/10003392203
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Quantile forecasting for credit risk management using possibly mis-specified hidden Markov models
Banachewicz, Konrad; Lucas, André - 2007
Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...
Persistent link: https://www.econbiz.de/10011372502
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Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
Koopman, Siem Jan; Lucas, André; Ooms, Marius; … - 2007
We model panel data of crime careers of juveniles from a Dutch Judicial Juvenile Institution. The data are decomposed into a systematic and an individual-specific component, of which the systematic component reflects the general time-varying conditions including the criminological climate....
Persistent link: https://www.econbiz.de/10011372520