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~person:"Lucas, André"
~subject:"Portfolio-Management"
~subject:"Time series analysis"
~type:"article"
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Portfolio-Management
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38
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9
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7
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Lucas, André
Fabozzi, Frank J.
68
Franses, Philip Hans
57
Phillips, Peter C. B.
55
Gil-Alaña, Luis A.
47
Korn, Ralf
31
Perron, Pierre
30
Lütkepohl, Helmut
29
Satchell, Stephen
28
Taylor, Robert
28
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27
Koopman, Siem Jan
27
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26
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26
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25
Granger, C. W. J.
25
Li, Duan
25
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24
Mills, Terence C.
24
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23
McAleer, Michael
23
Prigent, Jean-Luc
23
Engle, Robert F.
22
Ghysels, Eric
22
Hecq, Alain W. J.
22
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22
Račev, Svetlozar T.
22
Teräsvirta, Timo
22
Zagst, Rudi
22
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21
Newbold, Paul
21
Gollier, Christian
20
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20
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20
Härdle, Wolfgang
20
Pesaran, M. Hashem
20
Swanson, Norman R.
20
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19
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19
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Journal of applied econometrics
4
International journal of forecasting
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of econometrics
2
Applied mathematical finance
1
Bank strategies and challenges in the new Europe
1
Econometric reviews
1
Econometric theory
1
Finance research letters
1
Journal of banking & finance
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ECONIS (ZBW)
22
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
Saved in:
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