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Modelling portfolio defaults using hidden Markov models with covariates
Banachewicz, Konrad; Lucas, André; Vaart, Aad W. van der - In: The econometrics journal 11 (2008) 1, pp. 155-171
Persistent link: https://www.econbiz.de/10003648671
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - In: Finance research letters 9 (2012) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10009575398
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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
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
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Generalized autoregressive score models with applications
Creal, Drew; Koopman, Siem Jan; Lucas, André - In: Journal of applied econometrics 28 (2013) 5, pp. 777-795
Persistent link: https://www.econbiz.de/10010351100
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Predicting time-varying parameters with parameter-driven and observation-driven models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: The review of economics and statistics 98 (2016) 1, pp. 97-110
Persistent link: https://www.econbiz.de/10011477094
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Fat tails and the effect on optimal asset allocations
Lucas, André; Klaassen, Pieter - In: Bank strategies and challenges in the new Europe, (pp. 272-288). 2001
Persistent link: https://www.econbiz.de/10001630871
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An analytic approach to credit risk of large corporate bond and loan portfolios
Lucas, André (contributor) - In: Journal of banking & finance 25 (2001) 9, pp. 1635-1664
Persistent link: https://www.econbiz.de/10001603572
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Tail behaviour of credit loss distributions for general latent factor models
Lucas, André; Klaassen, Pieter; Spreij, Peter; … - In: Applied mathematical finance 10 (2003) 4, pp. 337-357
Persistent link: https://www.econbiz.de/10001864390
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A note on optimal estimation from a risk-management perspective under possibly misspecified tail behavior
Lucas, André - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 31-39
Persistent link: https://www.econbiz.de/10001441592