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Home | People | Andre Lucas
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Andre Lucas

Research Fellow

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

Key publications

List of publications

Opschoor, A. and Lucas, A. (2019). Fractional integration and fat tails for realized covariance kernels Journal of Financial Econometrics, 17(1):66--90.

Lucas, A., Schaumburg, J. and Schwaab, B. (2019). Bank Business Models at Zero Interest Rates Journal of Business and Economic Statistics, 37(3):542--555.

Caballero, D., Lucas, A., Schwaab, B. and Zhang, X. (2019). Risk endogeneity at the lender/investor-of-last-resort Journal of Monetary Economics, :.

Koopman, S.J., Lit, R., Lucas, A. and Opschoor, A. (2018). Dynamic discrete copula models for high-frequency stock price changes Journal of Applied Econometrics, 33(7):966--985.

Blasques, F., Lucas, A. and Silde, E. (2018). A Stochastic Recurrence Equations Approach for Score Driven Correlation Models Econometric Reviews, 37(2):166--181.

Janus, P., Lucas, A., Opschoor, A. and van Dijk, D.J.C. (2018). New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business and Economic Statistics, 36(4):643--657.

Botshekan, M. and Lucas, A. (2017). Long-term versus short-term contingencies in asset allocation Journal of Financial and Quantitative Analysis, 52(5):2277--2303.

Barra, I., Hoogerheide, L., Koopman, S. and Lucas, A. (2017). Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models Journal of Applied Econometrics, 32(5):1003--1026.

Nucera, F., Lucas, A., Schaumburg, J. and Schwaab, B. (2017). Do negative interest rates make banks less safe? Economics Letters, 159(October):112--115.

Calvori, F., Creal, D., Koopman, S.J. and Lucas, A. (2017). Testing for parameter instability across different modeling frameworks Journal of Financial Econometrics, 15(2):223--246.

Schwaab, B., Koopman, S. and Lucas, A. (2017). Global Credit Risk: World, Country and Industry Factors Journal of Applied Econometrics, 32(2):296--317.

Koopman, S., Lit, R. and Lucas, A. (2017). Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model Journal of the American Statistical Association, 112(520):1490--1503.

Lucas, A., Schwaab, B. and Zhang, X. (2017). Modeling Financial Sector Joint Tail Risk in the Euro Area Journal of Applied Econometrics, 32(1):171--191.

van de Leur, M.C.W., Lucas, A. and Seeger, NormanJ. (2017). Network, market, and book-based systemic risk rankings Journal of Banking and Finance, 78:84--90.

Blasques, F., Koopman, S., Lasak, K. and Lucas, A. (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(3):893--894.

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

Blasques, F., Koopman, S., Lucas, A. and Schaumburg, J. (2016). Spillover dynamics for systemic risk measurement using spatial financial time series models Journal of Econometrics, 195(2):211--223.

Blasques, F., Koopman, S., Lasak, K. and Lucas, A. (2016). In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models International Journal of Forecasting, 32(3):875--887.

Lucas, A. and Zhang, X. (2016). Score-driven exponentially weighted moving averages and Value-at-Risk forecasting International Journal of Forecasting, 32(2):293--302.

Nucera, F., Schwaab, B., Koopman, S. and Lucas, A. (2016). The Information in Systemic Risk Rankings Journal of Empirical Finance, 38A(September):461--475.

Koopman, S., Lucas, A. and Scharth, M. (2016). Predicting time-varying parameters with parameter-driven and observation-driven models Review of Economics and Statistics, 98(1):97--110.

Koopman, S., Lucas, A. and Scharth, M. (2015). Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models Journal of Business and Economic Statistics, 33(1):114--127.

Koopman, S., Lucas, A. and Schwaab, B. (2014). Nowcasting and forecasting global financial sector stress and credit market dislocation International Journal of Forecasting, 30(3):741--758.

Janus, P., Koopman, S. and Lucas, A. (2014). Long memory dynamics for multivariate dependence under heavy tails Journal of Empirical Finance, 29(December):187--206.

Lucas, A., Schwaab, B. and Zhang, X. (2014). Conditional euro area sovereign default risk Journal of Business and Economic Statistics, 32(2):271--284.

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

Creal, D., Schwaab, B., Koopman, S. and Lucas, A. (2014). Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk Review of Economics and Statistics, 96(5):898--915.

Creal, D., Koopman, S. and Lucas, A. (2013). General Autoregressive Score Models with Applications Journal of Applied Econometrics, 28(5):777--795.

Kraeussl, R., Lucas, A. and Siegmann, A. (2012). Risk Aversion under Preference Uncertainty Finance Research Letters, 9(1):1--7.

Botshekan, M., Kraeussl, R. and Lucas, A. (2012). Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced? Journal of Financial and Quantitative Analysis, 47(6):1279--1301.

Koopman, S., Lucas, A. and Schwaab, B. (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(4):521--532.

Konijn, S., Kraeussl, R. and Lucas, A. (2011). Blockholder dispersion and firm value Journal of Corporate Finance, 17(5):1330--1339.

Koopman, S., Lucas, A. and Schwaab, B. (2011). Modeling frailty correlated defaults using many macroeconomic covariates Journal of Econometrics, 162(2):312--325.

Creal, D., Koopman, S. and Lucas, A. (2011). A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations Journal of Business and Economic Statistics, 29(4):552--563.

Koopman, S., Kraeussl, R., Lucas, A. and Monteiro, A. (2009). Credit cycles and macro fundamentals Journal of Empirical Finance, 16:42--54.

Lucas, A. and Siegmann, A. (2008). The Effect of Shortfall as a Risk measure for Portfolios with Hedge Funds Journal of Business Finance and Accounting, 35(1-2):200--226.

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

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

Koopman, S. and Lucas, A. (2008). A Non-Gaussian Panel Time series Model for Estimating and Decomposing Default Risk Journal of Business and Economic Statistics, 26(4):510--525.

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

Menkveld, A., Koopman, S. and Lucas, A. (2007). Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods Journal of Business and Economic Statistics, 25(2):213--255.

Lucas, A. and Klaassen, P. (2006). Discrete versus continuous state switching models for portfolio credit risk Journal of Banking and Finance, 30(1):23--35.

Koopman, S. and Lucas, A. (2005). Business and Default Cycles for Credit Risk Journal of Applied Econometrics, 20:311--323.

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

Siegmann, A. and Lucas, A. (2005). Discrete-time financial planning models under loss-averse preferences Operations Research, 53(3):403--414.

Abadir, K. and Lucas, A. (2004). A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model Journal of Econometrics, 119(1):45--71.

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

Boswijk, H. and Lucas, A. (2002). Semi-nonparametric cointegration testing Journal of Econometrics, 108(2):253--280.

Lucas, A., Klaassens, P., Spreij, P. and Straetmans, S. (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(1):201--202.

Lucas, A., Spreij, P., Straetmans, S. and Klaassen, P. (2001). An analytical approach to credit risk of large corporate bond and loan portfolios Journal of Banking and Finance, 25(9):1635--1664.

Lucas, A. (2001). An Evaluation of the Basle Guidelines for Backtesting Banks' Internal Risk Management Models Journal of Money, Credit and Banking, 33(3):826--846.

Abadir, K. and Lucas, A. (2000). Quantiles for t-statistics based on M-estimators of unit roots Economics Letters, 67(2):131--137.

Lucas, A. (2000). A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior Journal of Business and Economic Statistics, 18(1):31--39.

Taylor, N., van Dijk, D.J.C., Franses, P.H.B.F. and Lucas, A. (2000). SETS, arbitrage activity and stock price dynamics Journal of Banking and Finance, 24(8):1289--1306.

Franses, P.H.B.F., Kloek, T. and Lucas, A. (1999). Outlier robust analysis of long-run marketing effects for weekly scanning data Journal of Econometrics, 89:293--315.

van Dijk, D.J.C., Franses, P.H.B.F. and Lucas, A. (1999). Testing for ARCH in the presence of additive outliers Journal of Applied Econometrics, 14:539--562.

van Dijk, D.J.C., Franses, P.H.B.F. and Lucas, A. (1999). Testing for smooth transition nonlinearity in the presence of outliers Journal of Business and Economic Statistics, 17(2):217--235.

Lucas, A. (1998). Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods Econometric Reviews, 17(2):185--214.

Franses, P.H.B.F. and Lucas, A. (1998). Outlier detection in cointegration analysis Journal of Business and Economic Statistics, 16(4):459--468.

Lucas, A. (1997). Cointegration testing using pseudo likelihood ratio tests Econometric Theory, 13:149--169.

Lucas, A. (1995). An outlier robust unit root test with an application to the extended Nelson-Plosser data Journal of Econometrics, 66(1-2):153--173.

Lucas, A. (1995). Unit root tests based on M estimators Econometric Theory, 11(2):331--346.

Groenendijk, PatrickA., Lucas, A. and de Vries, CasperG. (1995). A note on the relationship between GARCH and symmetric stable processes Journal of Empirical Finance, 2(3):253--264.

Hoek, H., Lucas, A. and van Dijk, H.K. (1995). Classical and Bayesian aspects of robust unit root inference Journal of Econometrics, 69:27--59.

Heij, C., Kloek, T. and Lucas, A. (1992). Positivity conditions for stochastic state space modelling of time series Econometric Reviews, 11(3):379--396.