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Economics and Finance

D-Index
48
Citations
8721
World Ranking
1519
National Ranking
44

Overview

Andre Lucas is affiliated with Vrije Universiteit Amsterdam in the Netherlands. Their research spans multiple areas within health professions and economics, econometrics, and finance. The principal fields of study in their work include Health Professions and Economics, Econometrics and Finance. Subfields covered encompass General Health Professions, Finance, Economics and Econometrics, General Economics, Econometrics and Finance, and Statistics and Probability.

The scientist's work addresses key topics such as Healthcare Systems and Practices, Health, Medicine and Society, Financial Risk and Volatility Modeling, Market Dynamics and Volatility, Monetary Policy and Economic Impact, Credit Risk and Financial Regulations, and Complex Systems and Time Series Analysis.

Andre Lucas has contributed to research published in the following venues with notable frequency:

  • SSRN Electronic Journal
  • Journal of Econometrics
  • Journal of Business and Economic Statistics
  • International Journal of Forecasting
  • Journal of Banking & Finance

Recent papers featuring their work include:

  • Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings, 2020, Journal of Business and Economic Statistics
  • Maximum likelihood estimation for score-driven models, 2021, Journal of Econometrics
  • Covid-19, credit risk management modeling, and government support, 2022, Journal of Banking & Finance
  • Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting, 2020, International Journal of Forecasting
  • Time-varying variance and skewness in realized volatility measures, 2022, International Journal of Forecasting

The researcher collaborates regularly with several co-authors, including Éric Chollet, Carl Allemand, Romain Benmoussa, Anne Opschoor, and Bernd Schwaab.

Andre Lucas has also authored a book published by Washington, DC: World Bank eBooks titled Financial Development and Fragility: A Clustering Analysis, released in 2024.

Best Publications

  • GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS

    Drew Creal;Siem Jan Koopman;Siem Jan Koopman;André Lucas;André Lucas

  • A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations ⁄

    Drew Creal;Siem Jan Koopman;André Lucas

  • CATALYTIC PRODUCTION AND PURIFICATION OF NANOTUBULES HAVING FULLERENE-SCALE DIAMETERS

    V. Ivanov;A. Fonseca;J.B. Nagy;A. Lucas

  • Blockholder dispersion and firm value

    Sander J.J. Konijn;Roman Kräussl;Andre Lucas;Andre Lucas

  • Credit Cycles and Macro Fundamentals

    Siem Jan Koopman;Siem Jan Koopman;Roman Kräussl;André Lucas;André Lucas;André B. Monteiro

  • Business and default cycles for credit risk

    Siem Jan Koopman;Siem Jan Koopman;Andr é Lucas;Andr é Lucas

  • The Multi-state Latent Factor Intensity Model for Credit Rating Transitions

    Siem Jan Koopman;Siem Jan Koopman;André Lucas;André Lucas;André Monteiro;André Monteiro

  • An analytic approach to credit risk of large corporate bond and loan portfolios

    André Lucas;André Lucas;Pieter Klaassen;Pieter Klaassen;Peter Spreij;Stefan Straetmans

  • Information-theoretic optimality of observation-driven time series models for continuous responses

    Francisco Blasques;Siem Jan Koopman;André Lucas

  • Extreme Returns, Downside Risk, and Optimal Asset Allocation

    André Lucas;Pieter Klaassen

  • Testing for ARCH in the presence of additive outliers

    Dick Van Dijk;Philip Hans Franses;André Lucas

  • Observation driven mixed-measurement dynamic factor models with an application to credit risk

    Drew Creal;Bernd Schwaab;Siem Jan Koopman;André Lucas

  • PREDICTING TIME-VARYING PARAMETERS WITH PARAMETER-DRIVEN AND OBSERVATION-DRIVEN MODELS

    Siem Jan Koopman;André Lucas;Marcel Scharth

  • Spillover dynamics for systemic risk measurement using spatial financial time series models

    Francisco Blasques;Siem Jan Koopman;Siem Jan Koopman;Andre Lucas;Julia Schaumburg

  • Modeling frailty-correlated defaults using many macroeconomic covariates

    Siem Jan Koopman;Siem Jan Koopman;André Lucas;André Lucas;André Lucas;Bernd Schwaab

  • Testing for Smooth Transition Nonlinearity in the Presence of Outliers

    Dick Van Dijk;Philip Hans Franses;André Lucas

  • Robustness of the student t based M-estimator

    André Lucas

  • A General Framework for Observation Driven Time-Varying Parameter Models

    S.J. Koopman;D.D. Creal;A. Lucas

  • Unit Root Tests Based on M Estimators

    André Lucas

  • Conditional euro area sovereign default risk

    André Lucas;Bernd Schwaab;Xin Zhang

Frequent Co-Authors

Siem Jan Koopman
Siem Jan Koopman Vrije Universiteit Amsterdam
Philip Hans Franses
Philip Hans Franses Erasmus University Rotterdam
Dick van Dijk
Dick van Dijk Erasmus University Rotterdam
Ph. Lambin
Ph. Lambin University of Namur
Casper G. de Vries
Casper G. de Vries Erasmus University Rotterdam
Jon Danielsson
Jon Danielsson London School of Economics and Political Science
Antonio Fonseca
Antonio Fonseca Université Catholique de Louvain
S. Amelinckx
S. Amelinckx University of Antwerp
Klára Hernádi
Klára Hernádi University of Szeged
G. Van Tendeloo
G. Van Tendeloo University of Antwerp

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