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SETS, arbitrage activity, and stock price dynamics
Taylor, N.; Dijk, D.v.; Franses, P.H.; Lucas, A. - In: Journal of banking & finance 24 (2000) 8, pp. 1289-1306
Persistent link: https://www.econbiz.de/10005895730
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Quantiles for t-statistics based on M-estimators of unit roots
Abadir, K.M.; Lucas, A. - In: Economics letters 67 (2000) 2, pp. 131-138
Persistent link: https://www.econbiz.de/10006781379
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Inference on Cointegrating Ranks Using LR and LM Tests Based on Pseudo-likelihoods
Lucas, A. - In: Econometric reviews 17 (1998) 2, pp. 185-214
Persistent link: https://www.econbiz.de/10006919604
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Hedging Large Portfolios of Options in Discrete Time
Peeters, B.; Dert, C.L.; Lucas, A. - In: Applied mathematical finance 15 (2008) 3, pp. 251-276
Persistent link: https://www.econbiz.de/10008221060
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THE APPROXIMATE MOMENTS OF THE LEAST SQUARES ESTIMATOR FOR THE STATIONARY AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
Bao, Yong; Abadir, K.M.; Hadri, K.; Abadir, K.M.; Lucas, A. - In: Econometric theory 23 (2007) 5, pp. 1013-1021
Persistent link: https://www.econbiz.de/10007762698
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Testing for ARCH in the Presence of Additive Outliers
Dijk, D.van; Franses, P.H.; Lucas, A. - In: Journal of applied econometrics 14 (1999) 5, pp. 539-562
Persistent link: https://www.econbiz.de/10006986961
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Hedging Large Portfolios of Options in Discrete Time
Peeters, B.; Dert, C.L.; Lucas, A. - In: Applied mathematical finance 15 (2008) 3-4, pp. 251-276
Persistent link: https://www.econbiz.de/10008098223
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Strategie en beleid - Thema: dekkingsgraad pensioenfondsen - Omgaan met onvermijdbare risico's
Siegmann, A.; Lucas, A.; Molenkamp, J.B. - In: Economisch statistische berichten : ESB 87 (2002) 4345, pp. 88-89
Persistent link: https://www.econbiz.de/10006770003
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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