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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
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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
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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/10003779594
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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
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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
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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. 23-35
Persistent link: https://www.econbiz.de/10003285592
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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
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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
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Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
Koopman, Siem Jan; Lucas, André; Ooms, Marius; … - 2007
Persistent link: https://www.econbiz.de/10003482698
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Modeling around-the-clock price discovery for cross-listed stocks using state space methods
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 2, pp. 213-225
Persistent link: https://www.econbiz.de/10003463648