Narrow search
Showing 1 - 10 of 63
Cover Image
Global credit risk : world, country and industry factors
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2015
area sovereign debt crises. We find that macro and default-specific world factors are a primary source of default …
Persistent link: https://www.econbiz.de/10010484886
Cover Image
Global loss diversification in the insurance sector
Sheremet, Oleg; Lucas, André - 2008
Persistent link: https://www.econbiz.de/10003762628
Cover Image
Network, market, and book-based systemic risk rankings
Leur, Michiel van de; Lucas, André - 2016
We investigate the information content of stock correlation based network measures for systemic risk rankings, such as SIFIRank (based on Google's PageRank). Using European banking data, we first show that SIFIRank is empirically equivalent to a ranking based on average pairwise stock...
Persistent link: https://www.econbiz.de/10011531142
Cover Image
Systemic risk diagnostics : coincident indicators and early warning signals
Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010
Persistent link: https://www.econbiz.de/10008771823
Cover Image
Outlier robust GMM estimation of leverage determinants
Lucas, André; Dijk, Ronald van; Kloek, Teun - 1994
Persistent link: https://www.econbiz.de/10000151692
Cover Image
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
Cover Image
World equity premium based risk aversion estimates
Pozzi, Lorenzo; Vries, Casper G. de; Zenhorst, J. - 2010
Persistent link: https://www.econbiz.de/10003934133
Cover Image
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
Cover Image
A class of adaptive EM-based importance sampling algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - 2011
Persistent link: https://www.econbiz.de/10008809885
Cover Image
Parameter driven multi-state duration models : simulated vs. approximate maximum likelihood estimation
Monteiro, André Antonio - 2008
Persistent link: https://www.econbiz.de/10003690030