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A

André Lucas

vrije universiteit amsterdam

43H指数
416论文数
6.9K被引数
收录论文 41
发表时间
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Matrix-valued spatial autoregressions with dynamic heterogeneous spillovers矩阵值空间自回归模型与动态异质性溢出效应
errJournal of Econometrics
IF4
err2026-09-08
err0
PREAI
errYicong Lin; Andre Lucas; Shiqi Ye
err分享
err收藏
Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models一致性、分布收敛性和时变参数在分数驱动模型中的最优性
errJournal of Econometrics
IF4
err2026-04-08
err0
errOAAI
errEric Beutner; Yicong Lin; Andre Lucas
err分享
err收藏
Joint Extreme Value-at-Risk and Expected Shortfall Dynamics with a Single Integrated Tail Shape Parameter联合极值风险价值与预期亏损动态模型，采用单一整合尾部形状参数
errJOURNAL OF BUSINESS & ECONOMIC STATISTICS
IF2.5
err2026-02-01
err1
PREAI
errD'Innocenzo, Enzo; Lucas, Andre; Schwaab, Bernd; Zhang, Xin
err分享
err收藏
Dynamic partial correlation models动态偏相关模型
errJOURNAL OF ECONOMETRICS
IF4
err2024-04-01
err0
errOAAI
errD'Innocenzo, Enzo; Lucas, Andre
err分享
err收藏
Observation-driven filtering of time-varying parameters using moment conditions
errJOURNAL OF ECONOMETRICS
IF4
err2024-01-01
err0
errOAAI
errCreal, Drew; Koopman, Siem Jan; Lucas, Andre; Zamojski, Marcin
err分享
err收藏
Dynamic clustering of multivariate panel data☆
errJOURNAL OF ECONOMETRICS
IF4
err2023-12-01
err1
errOAAI
errJoao, Igor Custodio; Lucas, Andre; Schaumburg, Julia; Schwaab, Bernd
err分享
err收藏
Time-Varying Parameters in Econometrics: The editor's foreword计量经济学中的时变参数: 编辑的前言
errJOURNAL OF ECONOMETRICS
IF4
err2023-12-01
err1
errOAAI
errBlasques, F.; Harvey, A. C.; Koopman, S. J.; Lucas, A.
err分享
err收藏
Time-varying variance and skewness in realized volatility measures
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2023-04-01
err4
errOAAI
errOpschoor, Anne; Lucas, Andre
err分享
err收藏
Covid-19, credit risk management modeling, and government support
errJOURNAL OF BANKING & FINANCE
IF3.8
err2023-02-01
err6
errOAAI
errTelg, Sean; Dubinova, Anna; Lucas, Andre
err分享
err收藏
Maximum likelihood estimation for score-driven models分数驱动模型的最大似然估计
errJOURNAL OF ECONOMETRICS
IF4
err2022-04-01
err38
errOAAI
errBlasques, Francisco; van Brummelen, Janneke; Koopman, Siem Jan; Lucas, Andre
err分享
err收藏
Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2021-04-01
err4
errOAAI
errOpschoor, Anne; Lucas, Andre
err分享
err收藏
Risk endogeneity at the lender/investor-of-last-resort
errJOURNAL OF MONETARY ECONOMICS
IF4.1
err2020-12-01
err1
errOAAI
errCaballero, Diego; Lucas, Andre; Schwaab, Bernd; Zhang, Xin
err分享
err收藏
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model
errJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
IF3
err2018-01-26
err29
errOAAI
errKoopman, Siem Jan; Lit, Rutger; Lucas, Andre
err分享
err收藏
Long-Term versus Short-Term contingencies in Asset Allocation
errJOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
IF2.8
err2017-10-31
err1
errOAAI
errBotshekan, Mahmoud; Lucas, Andre
err分享
err收藏
Network, market, and book-based systemic risk rankings
errJOURNAL OF BANKING & FINANCE
IF3.8
err2017-05-01
err22
errOAAI
errvan de Leur, Michiel C. W.; Lucas, Andre; Seeger, Norman J.
err分享
err收藏
Spillover dynamics for systemic risk measurement using spatial financial time series models
errJOURNAL OF ECONOMETRICS
IF4
err2016-12-01
err83
errOAAI
errBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre; Schaumburg, Julia
err分享
err收藏
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2016-07-01
err27
errOAAI
errBlasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; Lucas, Andre
err分享
err收藏
Rejoinder to the discussion In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation-Driven Models
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2016-07-01
err0
PREAI
errBlasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; Lucas, Andre
err分享
err收藏
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2016-04-01
err30
errOAAI
errLucas, Andre; Zhang, Xin
err分享
err收藏
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
errREVIEW OF ECONOMICS AND STATISTICS
IF6.8
err2016-03-01
err81
errOAAI
errKoopman, Siem Jan; Lucas, Andre; Scharth, Marcel
err分享
err收藏

研究方向

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合作学者
合作期刊
P
Philip Hans Franses
H 指数: 67 · 论文数: 913
S
Siem Jan Koopman
H 指数: 60 · 论文数: 477
M
Marc G. Genton
H 指数: 57 · 论文数: 491
A
Aad van der Vaart
H 指数: 52 · 论文数: 336
J
J.F. Silvestre
H 指数: 28 · 论文数: 280
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