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Home | People | Andre Lucas
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Andre Lucas

Research Fellow

University
Vrije Universiteit Amsterdam
Researchgroup
Econometrics
Interests
Econometrics, Finance, Financial Econometrics, Risk Management, Time Series Econometrics

Key publications

List of publications

A. Opschoor and Andre Lucas. 2019. Fractional Integration and Fat Tails for Realized Covariance Kernels. Journal of Financial Econometrics, 17, 66--90, 1479-8409

Koopman, Siem Jan and Rutger Lit and André Lucas and Anne Opschoor. 2018. Dynamic discrete copula models for high-frequency stock price changes. Journal of Applied Econometrics, 33, 966--985, 0883-7252

André Lucas and Julia Schaumburg and Bernd Schwaab. 2018. Bank Business Models at Zero Interest Rates. Journal of Business and Economic Statistics, 1--14, 0735-0015

Anne Opschoor and Pawel Janus and André Lucas and Van Dijk, Dick. 2018. New HEAVY Models for Fat-Tailed Realized Covariances and Returns. Journal of Business and Economic Statistics, 643--657, 0735-0015

F. Blasques and A. Lucas and E. Silde. 2018. A Stochastic Recurrence Equations Approach for Score Driven Correlation Models. Econometric Reviews, 37, 166--181, 0747-4938

I. Barra and L.F. Hoogerheide and S.J. Koopman and A. Lucas. 2017. Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models. Journal of Applied Econometrics, 32, 1003--1026, 0883-7252

B. Schwaab and S.J. Koopman and A. Lucas. 2017. Global Credit Risk: World, Country and Industry Factors. Journal of Applied Econometrics, 32, 296--317, 0883-7252

S.J. Koopman and R. Lit and A. Lucas. 2017. Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. Journal of the American Statistical Association, 112, 1490--1503, 0162-1459

A. Lucas and B. Schwaab and X. Zhang. 2017. Modeling Financial Sector Joint Tail Risk in the Euro Area. Journal of Applied Econometrics, 32, 171--191, 0883-7252

M. Botshekan and A. Lucas. 2017. Long-term versus short-term contingencies in asset allocation. Journal of Financial and Quantitative Analysis, 52, 2277--2303, 0022-1090

Federico Nucera and André Lucas and Julia Schaumburg and Bernd Schwaab. 2017. Do negative interest rates make banks less safe?. Economics Letters, 159, 112--115, 0165-1765

Francesco Calvori and Drew Creal and Koopman, Siem Jan and André Lucas. 2017. Testing for parameter instability across different modeling frameworks. Journal of Financial Econometrics, 15, 223--246, 1479-8409

van de Leur, Michiel C W and André Lucas and Seeger, Norman J.. 2017. Network, market, and book-based systemic risk rankings. Journal of Banking and Finance, 78, 84--90, 0378-4266

F. Blasques and S.J. Koopman and A. Lucas and J. Schaumburg. 2016. Spillover dynamics for systemic risk measurement using spatial financial time series models. Journal of Econometrics, 195, 211--223, 0304-4076

S.J. Koopman and A. Lucas and M. Scharth. 2016. Predicting time-varying parameters with parameter-driven and observation-driven models. Review of Economics and Statistics, 98, 97--110, 0034-6535

F. Blasques and S.J. Koopman and K.A. Lasak and A. Lucas. 2016. Rejoinder to the discussion 'In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation-Driven Models'. International Journal of Forecasting, 32, 893--894, 0169-2070

A. Lucas and A. Opschoor and J. Schaumburg. 2016. Accounting for Missing Values in Score-Driven Time-Varying Parameter Models. Economics Letters, 148, 96--98, 0165-1765

F. Blasques and S.J. Koopman and K.A. Lasak and A. Lucas. 2016. In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models. International Journal of Forecasting, 32, 875--887, 0169-2070

A. Lucas and X. Zhang. 2016. Score-driven exponentially weighted moving averages and Value-at-Risk forecasting. International Journal of Forecasting, 32, 293--302, 0169-2070

F. Nucera and B. Schwaab and S.J. Koopman and A. Lucas. 2016. The Information in Systemic Risk Rankings. Journal of Empirical Finance, 38A, 461--475, 0927-5398

S.J. Koopman and A. Lucas and M. Scharth. 2015. Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models. Journal of Business and Economic Statistics, 33, 114--127, 0735-0015

A. Lucas and B. Schwaab and X. Zhang. 2014. Conditional euro area sovereign default risk. Journal of Business and Economic Statistics, 32, 271--284, 0735-0015

D.D. Creal and B. Schwaab and S.J. Koopman and A. Lucas. 2014. Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk. Review of Economics and Statistics, 96, 898--915, 0034-6535

S.J. Koopman and A. Lucas and B. Schwaab. 2014. Nowcasting and forecasting global financial sector stress and credit market dislocation. International Journal of Forecasting, 30, 741--758, 0169-2070

P. Janus and S.J. Koopman and A. Lucas. 2014. Long memory dynamics for multivariate dependence under heavy tails. Journal of Empirical Finance, 29, 187--206, 0927-5398

R.G.W. Kraeussl and A. Lucas and D.R. Rijsbergen and van der Sluis, P.J. and E.B. Vrugt. 2014. Washington Meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle. Journal of International Money and Finance, 43, 50--69, 0261-5606

D.D. Creal and S.J. Koopman and A. Lucas. 2013. General Autoregressive Score Models with Applications. Journal of Applied Econometrics, 28, 777--795, 0883-7252

S.J. Koopman and A. Lucas and B. Schwaab. 2012. Dynamic Factor Models With Macro, Frailty and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008. Journal of Business and Economic Statistics, 30, 521--532, 0735-0015

R.G.W. Kraeussl and A. Lucas and A.H. Siegmann. 2012. Risk Aversion under Preference Uncertainty. Finance Research Letters, 9, 1--7, 1544-6123

M. Botshekan and R.G.W. Kraeussl and A. Lucas. 2012. Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?. Journal of Financial and Quantitative Analysis, 47, 1279--1301, 0022-1090

S.J. Koopman and A. Lucas and B. Schwaab. 2011. Modeling frailty correlated defaults using many macroeconomic covariates. Journal of Econometrics, 162, 312--325, 0304-4076

D.D. Creal and S.J. Koopman and A. Lucas. 2011. A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations. Journal of Business and Economic Statistics, 29, 552--563, 0735-0015

S.J.J. Konijn and R.G.W. Kraeussl and A. Lucas. 2011. Blockholder dispersion and firm value. Journal of Corporate Finance, 17, 1330--1339, 0929-1199

S.J. Koopman and R.G.W. Kraeussl and A. Lucas and A. Monteiro. 2009. Credit cycles and macro fundamentals. Journal of Empirical Finance, 16, 42--54, 0927-5398

S.J. Koopman and A. Lucas and A. Monteiro. 2008. The Multi-state Latent Factor Intensity Model for Credit Rating Transitions. Journal of Econometrics, 142, 399--424, 0304-4076

S.J. Koopman and A. Lucas. 2008. A Non-Gaussian Panel Time series Model for Estimating and Decomposing Default Risk. Journal of Business and Economic Statistics, 26, 510--525, 0735-0015

A. Lucas and A.H. Siegmann. 2008. The Effect of Shortfall as a Risk measure for Portfolios with Hedge Funds. Journal of Business Finance and Accounting, 35, 200--226, 0306-686X

K.P. Banachewicz and A. Lucas. 2008. Quantile Forecasting for Credit Risk Management Using Possibly Mis-specified Hidden Markov Models. Journal of Forecasting, 27, 566--586, 0277-6693

K.P. Banachewicz and van der Vaart, A.W. and A. Lucas. 2008. Modeling portfolio defaults using Hidden Markov Models with covariates. Econometrics Journal, 11, 155--171, 1368-4221

A.J. Menkveld and S.J. Koopman and A. Lucas. 2007. Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods. Journal of Business and Economic Statistics, 25, 213--255, 0735-0015

A. Lucas and P. Klaassen. 2006. Discrete versus continuous state switching models for portfolio credit risk. Journal of Banking and Finance, 30, 23--35, 0378-4266

S.J. Koopman and A. Lucas. 2005. Business and Default Cycles for Credit Risk. Journal of Applied Econometrics, 20, 311--323, 0883-7252

S.J. Koopman and A. Lucas and P. Klaassen. 2005. Empirical Credit Cycles and Capital Buffer Formation. Journal of Banking and Finance, 29, 3159--3179, 0378-4266

A.H. Siegmann and A. Lucas. 2005. Discrete-time financial planning models under loss-averse preferences. Operations Research, 53, 403--414, 0030-364X

K.M. Abadir and A. Lucas. 2004. A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model. Journal of Econometrics, 119, 45--71, 0304-4076

H.P. Boswijk and A. Lucas. 2002. Semi-nonparametric cointegration testing. Journal of Econometrics, 108, 253--280, 0304-4076

A. Lucas and van Dijk, R. and Prof. Kloek, T.. 2002. Stock Selection, Style Rotation. Journal of Empirical Finance, 9, 1--34, 0927-5398

André Lucas and Pieter Klaassens and Peter Spreij and Stefan Straetmans. 2002. Erratum: An analytic approach to credit risk of large corporate bond and loan portfolios (Journal of Banking and Finance 25, 9 (1635-1664) PII: S0378-4266(00)00147-3). Journal of Banking and Finance, 26, 201--202, 0378-4266

A. Lucas and P.J.C. Spreij and S.T.M. Straetmans and P. Klaassen. 2001. An analytical approach to credit risk of large corporate bond and loan portfolios. Journal of Banking and Finance, 25, 1635--1664, 0378-4266

A. Lucas. 2001. An Evaluation of the Basle Guidelines for Backtesting Banks' Internal Risk Management Models. Journal of Money, Credit and Banking, 33, 826--846, 0022-2879

A. Lucas. 2000. A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior. Journal of Business and Economic Statistics, 18, 31--39, 0735-0015

K.M. Abadir and A. Lucas. 2000. Quantiles for t-statistics based on M-estimators of unit roots. Economics Letters, 67, 131--137, 0165-1765

N. Taylor and van Dijk, D. and P.H. Franses and A. Lucas. 2000. SETS, arbitrage activity and stock price dynamics. Journal of Banking and Finance, 24, 1289--1306, 0378-4266

van Dijk, D. and P.H. Franses and A. Lucas. 1999. Testing for smooth transition nonlinearity in the presence of outliers. Journal of Business and Economic Statistics, 17, 217--235, 0735-0015

van Dijk, D. and P.H. Franses and A. Lucas. 1999. Testing for ARCH in the presence of additive outliers. Journal of Applied Econometrics, 14, 539--562, 0883-7252

P.H. Frances and A. Lucas. 1998. Outlier detection in cointegration analysis. Journal of Business and Economic Statistics, 16, 459--468, 0735-0015

P.H. Frances and Prof. Kloek, T. and A. Lucas. 1998. Outlier robust analysis of long-run marketing effects for weekly scanning data. Journal of Econometrics, 89, 293--315, 0304-4076

A. Lucas. 1998. Inference on cointegrating ranks using LR and LM tests based on pseudo-likelihoods. Econometric Reviews, 17, 185--214, 0747-4938

A. Lucas. 1997. Cointegration testing using pseudo likelihood ratio tests. Econometric Theory, 13, 149--169, 0266-4666

André Lucas. 1995. An outlier robust unit root test with an application to the extended Nelson-Plosser data. Journal of Econometrics, 66, 153--173, 0304-4076

Henk Hoek and André Lucas and van Dijk, Herman K.. 1995. Classical and Bayesian aspects of robust unit root inference. Journal of Econometrics, 69, 27--59, 0304-4076

André Lucas. 1995. Unit root tests based on M estimators. Econometric Theory, 11, 331--346, 0266-4666

Groenendijk, Patrick A. and André Lucas and de Vries, Casper G.. 1995. A note on the relationship between GARCH and symmetric stable processes. Journal of Empirical Finance, 2, 253--264, 0927-5398

Christiaan Heij and Teun Kloek and André Lucas. 1992. Positivity conditions for stochastic state space modelling of time series. Econometric Reviews, 11, 379--396, 0747-4938