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Fractional integration and fat tails for realized covariance kernels and returns

Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016

We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...

Persistent link: https://www.econbiz.de/10011531139

Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

Persistent link: https://www.econbiz.de/10011349820

Intraday stock price dependence using dynamic discrete copula distributions

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015

Persistent link: https://www.econbiz.de/10010494787

A hybrid joint moment ratio test for financial time series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and...

Persistent link: https://www.econbiz.de/10011299968

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

A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model

Abadir, Karim Maher; Lucas, André - 2000

We study the optimal choice of quasi-likelihoods for nearly integrated, possibly non-normal, autoregressive models. It turns out that the two most natural candidate criteria, minimum Mean Squared Error (MSE) and maximumpower against the unit root null, give rise to different...

Persistent link: https://www.econbiz.de/10011303305

Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

risk for many financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block … joint and conditional risk measures that can be evaluated quickly and reliably. We apply the modeling framework to assess … the joint risk from multiple defaults in the euro area during the 2008-2012 financial and sovereign debt crisis. We …

Persistent link: https://www.econbiz.de/10011332950

Mixed density based copula likelihood

Azam, Kazim; Lucas, André - 2015 - This version: January 7, 2015

We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a simulation that our methodology performs similar to the...

Persistent link: https://www.econbiz.de/10010464789

Modeling financial sector joint tail risk in the Euro Area

Lucas, André; Schwaab, Bernd; Zhang, Xin - In: Journal of applied econometrics 32 (2017) 1, pp. 171-191

Persistent link: https://www.econbiz.de/10011688510

Tail behavior of credit loss distributions for general latent factor models

Lucas, André; Klaassen, Pieter; Spreij, Peter; … - 2001

Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the … aretriggered by a general latent factor model involving systematic andidiosyncratic risk. We show explicitly how the tail behavior … of the distributionof these two risk factors relates to the tail behavior of the credit lossdistribution. Even if the …

Persistent link: https://www.econbiz.de/10011316891