Andre Lucas
Affiliations: | 1996 | economics | Erasmus University Rotterdam, Rotterdam, Netherlands |
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"Andre Lucas"
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| Blasques F, Koopman SJ, Lucas A. (2020) Nonlinear autoregressive models with optimality properties Econometric Reviews. 39: 559-578 |
| Opschoor A, Lucas A, Barra I, et al. (2020) Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings Journal of Business & Economic Statistics. 2019: 1-14 |
| Opschoor A, Lucas A. (2020) Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting International Journal of Forecasting |
| Blasques F, Lucas A, Vlodrop ACv. (2020) Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence Econometrics and Statistics |
| Opschoor A, Lucas A. (2019) Fractional Integration and Fat Tails for Realized Covariance Kernels Journal of Financial Econometrics. 17: 66-90 |
| Lucas A, Schaumburg J, Schwaab B. (2019) Bank Business Models at Zero Interest Rates Journal of Business & Economic Statistics. 37: 542-555 |
| Blasques F, Koopman SJ, Lucas A. (2018) Amendments and Corrections‘Information-theoretic optimality of observation-driven time series models for continuous responses’ Biometrika. 105: 753-753 |
| Opschoor A, Janus P, Lucas A, et al. (2018) New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business & Economic Statistics. 36: 643-657 |
| Koopman SJ, Lit R, Lucas A, et al. (2018) Dynamic discrete copula models for high‐frequency stock price changes Journal of Applied Econometrics. 33: 966-985 |
| Botshekan M, Lucas A. (2017) Long-Term Versus Short-Term Contingencies in Asset Allocation Journal of Financial and Quantitative Analysis. 52: 2277-2303 |