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59
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51
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:
52
Global loss diversification in the insurance sector
Sheremet, Oleg
;
Lucas, André
-
2008
Persistent link: https://www.econbiz.de/10003762628
Saved in:
53
Washington meets Wall Street : a closer examination of the presidential cycle puzzle
Kräussl, Roman
;
Lucas, André
;
Rijsbergen, David
; …
-
2008
Persistent link: https://www.econbiz.de/10003787145
Saved in:
54
A general framework for observation driven time-varying parameter models
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
-
2008
Persistent link: https://www.econbiz.de/10003787160
Saved in:
55
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/10003779594
Saved in:
56
A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
4
,
pp. 510-525
Persistent link: https://www.econbiz.de/10003772293
Saved in:
57
A non-Gaussian panel time series model for estimatingand decomposing default risk
Koopman, Siem Jan
;
Lucas, André
;
Daniels, Robert J.
-
2005
Persistent link: https://www.econbiz.de/10003321902
Saved in:
58
Discrete versus continuous state switching models for portfolio credit risk
Lucas, André
;
Klaassen, Pieter
- In:
Journal of banking & finance
30
(
2006
)
1
,
pp. 23-35
Persistent link: https://www.econbiz.de/10003285592
Saved in:
59
A general framework for observation driven time-varying parameter models
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
-
2009
Persistent link: https://www.econbiz.de/10003854422
Saved in:
60
Quantile forecasting for credit risk management using possibly mis-specified Hidden Markov Models
Banachewicz, Konrad
;
Lucas, André
-
2007
Persistent link: https://www.econbiz.de/10003482655
Saved in:
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