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Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
Banachewicz, Konrad; Lucas, André; vandervaart, Aad - In: The econometrics journal 11 (2008) 1, pp. 155-171
Persistent link: https://www.econbiz.de/10007916428
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Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Banachewicz, Konrad; Lucas, André - In: Journal of forecasting 27 (2008) 7, pp. 566-586
Persistent link: https://www.econbiz.de/10008134947
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Estimating the causal effect of a time-varying treatment on time-to-event using structural nested failure time models
Lok, Judith; Gill, Richard; van der Vaart, Aad; Robins, … - In: Statistica Neerlandica : journal of the Netherlands … 58 (2004) 3, pp. 271-295
Persistent link: https://www.econbiz.de/10006428672
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Discrete-Time Financial Planning Models Under Loss-Averse Preferences
Siegmann, Arjen; Lucas, André - In: Operations research : the journal of the Operations … 53 (2005) 3, pp. 403-414
Persistent link: https://www.econbiz.de/10006417334
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Discrete versus continuous state switching models for portfolio credit risk
Lucas, André; Klaassen, Pieter - In: Journal of banking & finance 30 (2006) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10005878721
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Empirical credit cycles and capital buffer formation
Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - In: Journal of banking & finance 29 (2005) 12, pp. 3159-3180
Persistent link: https://www.econbiz.de/10005879740
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PORTFOLIO STRATEGIES AND ASSET ALLOCATION - Extreme Returns, Downside Risk, and Optimal Asset Allocation - The normal distribution plays a key role in most asset allocation models...
Lucas, André; Klaassen, Pieter - In: The journal of portfolio management : a publication of … 25 (1998) 1, pp. 71-80
Persistent link: https://www.econbiz.de/10007349264
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Outlier robust analysis of long-run marketing effects for weekly scanning data
Franses, Philip Hans; Kloek, Teun; Lucas, André - In: Journal of econometrics 89 (1999) 1, pp. 293-316
Persistent link: https://www.econbiz.de/10006786602
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An outlier robust unit root test with an application to the extended Nelson-Plosser data
Lucas, André - In: Journal of econometrics 66 (1995) 1-2, pp. 153-174
Persistent link: https://www.econbiz.de/10006798477
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Review - Nut, gebruik en beperkingen van Value-at-Risk voor risicomanagement
Lucas, André - In: Economisch en sociaal tijdschrift : een driemaandelijke … 53 (1999) 3, pp. 369-412
Persistent link: https://www.econbiz.de/10006730327