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COVID-19, credit risk and macro fundamentals
Dubinova, Anna; Lucas, André; Telg, Sean - 2021
COVID-19, credit risk, macro fundamentals, frailty factors, dynamic latent factorsWe investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find that credit risk models that use macro fundamentals as...
Persistent link: https://www.econbiz.de/10012591539
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Cointegration testing using pseudo likelihood ratio tests
Lucas, André - 1995
Persistent link: https://www.econbiz.de/10000918273
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Global loss diversification in the insurance sector
Sheremet, Oleg; Lucas, André - 2008
Persistent link: https://www.econbiz.de/10003762628
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Washington meets Wall Street : a closer examination of the presidential cycle puzzle
Kräussl, Roman; Lucas, André; Rijsbergen, David; … - 2008
Persistent link: https://www.econbiz.de/10003787145
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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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Quantile forecasting for credit risk management using possibly mis-specified Hidden Markov Models
Banachewicz, Konrad; Lucas, André - 2007
Persistent link: https://www.econbiz.de/10003482655
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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
Persistent link: https://www.econbiz.de/10003482698
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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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Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2010
Persistent link: https://www.econbiz.de/10003973286
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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