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(Financial) Econometrics
Netherlands

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Employment (2)

Vrije Universiteit Amsterdam: Amsterdam, NL

Employment
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Vrije Universiteit Amsterdam

Tinbergen Institute: Amsterdam, North Holland, NL

Employment
Source: Self-asserted source
Andre Lucas

Education and qualifications (1)

Erasmus Universiteit Rotterdam: Rotterdam, Zuid-Holland, NL

1992 to 1996 | Ph.D.
Education
Source: Self-asserted source
Andre Lucas

Works (50 of 295)

Items per page:
Page 1 of 6

The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices

Journal of Financial Econometrics
2025-01-31 | Journal article
Contributors: Anne Opschoor; André Lucas; Luca Rossini
Source: check_circle
Crossref

Financial Development and Fragility : A Clustering Analysis

World Bank Policy Research Working Paper
2024 | Working paper | Author
SOURCE-WORK-ID:

46396d73-b38e-4089-acda-0ae8907695a7

Contributors: Igor Custodio João; Andre Lucas; Pietro Calice; Julia Schaumburg
Source: check_circle
Vrije Universiteit Amsterdam

Modeling Extreme Events

Journal of Business and Economic Statistics
2024 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85174415351

Contributors: Enzo D'Innocenzo; Andre Lucas; Bernd Schwaab; Xin Zhang
Source: check_circle
Vrije Universiteit Amsterdam
grade
Preferred source (of 2)‎

Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter

TI Discussion Paper Series
2024-11-08 | Working paper | Author
SOURCE-WORK-ID:

6b61fcb9-6dd3-41ae-a9e5-15ea5e00394c

Contributors: Enzo D'Innocenzo; Andre Lucas; Bernd Schwaab; Xin Zhang
Source: check_circle
Vrije Universiteit Amsterdam

Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution

TI Discussion Paper Series
2024-07-19 | Working paper | Author
SOURCE-WORK-ID:

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Contributors: A. Opschoor; Dewi Peerlings; Luca Rossini; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Dynamic partial correlation models

Journal of Econometrics
2024-04 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85191297329

Contributors: Enzo D'Innocenzo; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Dynamic Nonparametric Clustering of Multivariate Panel Data

Journal of Financial Econometrics
2024-03-22 | Journal article
Contributors: Igor Custodio João; Julia Schaumburg; André Lucas; Bernd Schwaab
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Heterogeneity and dynamics in network models

Journal of Applied Econometrics
2024-02 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85179712624

Contributors: Enzo D'Innocenzo; Andre Lucas; A. Opschoor; Xingmin Zhang
Source: check_circle
Vrije Universiteit Amsterdam

Observation-driven filtering of time-varying parameters using moment conditions

Journal of Econometrics
2024-01-08 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85183737122

Contributors: Drew Creal; Siem Jan Koopman; Andre Lucas; Marcin Zamojski
Source: check_circle
Vrije Universiteit Amsterdam

Consistency, distributional convergence, and optimality of score-driven filters

TI Discussion Paper Series
2023 | Working paper | Author
SOURCE-WORK-ID:

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Contributors: Eric Beutner; Yicong Lin; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Time-Varying Parameters in Econometrics

Journal of Econometrics
2023 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85151325689

Contributors: F. Blasques; A. C. Harvey; Siem Jan Koopman; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Dynamic clustering of multivariate panel data

Journal of Econometrics
2023-12 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85129976936

Contributors: Igor Custodio João; Andre Lucas; Julia Schaumburg; Bernd Schwaab
Source: check_circle
Vrije Universiteit Amsterdam

Time-varying variance and skewness in realized volatility measures

International Journal of Forecasting
2023-06 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85126931985

Contributors: A. Opschoor; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Covid-19, credit risk management modeling, and government support

Journal of Banking & Finance
2023-02 | Journal article
Contributors: Sean Telg; Anna Dubinova; Andre Lucas
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Dynamic Partial Correlation Models

TI Discusion Papers
2022-09-29 | Working paper | Author
SOURCE-WORK-ID:

2224bfef-cb3f-46bf-a1cb-846f413ce37a

Contributors: Enzo D'Innocenzo; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Maximum likelihood estimation for score-driven models

Journal of Econometrics
2022-04 | Journal article | Author
SOURCE-WORK-ID:

f002f9e8-1670-4a24-b059-44dda23f9aff

EID:

2-s2.0-85110630967

Contributors: Francisco Blasques; Janneke van Brummelen; Siem Jan Koopman; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings

Journal of Business & Economic Statistics
2021-10-02 | Journal article
Contributors: Anne Opschoor; André Lucas; István Barra; Dick van Dijk
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

The Importance of Heterogeneity in Dynamic Network Models Applied to European Systemic Risk

TI Discussion Paper Series
2021-09-23 | Working paper | Author
SOURCE-WORK-ID:

063e09c8-41f4-499b-ba1c-504aeca8fe96

Contributors: XINGMIN Zhang; A. Opschoor; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence

Econometrics and Statistics
2021-07 | Journal article
Contributors: Francisco Blasques; André Lucas; Andries C. van Vlodrop
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

COVID-19, Credit Risk and Macro Fundamentals

TI Discussion Paper Series
2021-06-28 | Working paper | Author
SOURCE-WORK-ID:

ece244eb-b5df-4f0a-8871-e29830fc9c09

Contributors: Anna Dubinova; Andre Lucas; J.M.A. Telg
Source: check_circle
Vrije Universiteit Amsterdam

Clustering Dynamics and Persistence for Financial Multivariate Panel Data

TI Discussion Paper Series
2021-05-10 | Working paper | Author
SOURCE-WORK-ID:

5047f9fa-bfd6-4a38-8ecf-f871f8d7f4f2

Contributors: Igor Custodio João; Andre Lucas; Julia Schaumburg
Source: check_circle
Vrije Universiteit Amsterdam

Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting

International Journal of Forecasting
2021-04 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85090486649

Contributors: A. Opschoor; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables

TI discussion paper series
2021-01-24 | Working paper | Author
SOURCE-WORK-ID:

b85a6d5f-395a-4540-98cf-254b98aee6b5

Contributors: Francisco Blasques; Andre Lucas; A. Opschoor; Luca Rossini
Source: check_circle
Vrije Universiteit Amsterdam

Risk endogeneity at the lender/investor-of-last-resort

Journal of Monetary Economics
2020-12 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85076227365

Contributors: Diego Caballero; Andre Lucas; Bernd Schwaab; Xin Zhang
Source: check_circle
Vrije Universiteit Amsterdam

Modeling extreme events

TI discussion paper series
2020-11-10 | Working paper | Author
SOURCE-WORK-ID:

089ceaf9-07f1-4860-b05a-cb58053f2a44

Contributors: Bernd Schwaab; Xin Zhang; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Nonlinear autoregressive models with optimality properties

Econometric Reviews
2020-07-02 | Journal article | Author
SOURCE-WORK-ID:

3a2aebf4-ebc5-482c-a28a-a36c6dea8c56

EID:

2-s2.0-85078609252

Contributors: Francisco Blasques; Siem Jan Koopman; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Dynamic clustering of multivariate panel data

2020-02-04 | Working paper | Author
SOURCE-WORK-ID:

b300fb6d-8972-4c40-aa86-e8d8880da2ec

Contributors: Andre Lucas; Julia Schaumburg; Bernd Schwaab
Source: check_circle
Vrije Universiteit Amsterdam

Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings

TI Discussion Paper Series
2019 | Working paper | Author
SOURCE-WORK-ID:

1e810a6c-e8a7-4977-8875-253fe2affd72

Contributors: A. Opschoor; Andre Lucas; I. Barra; Dick Van Dijk
Source: check_circle
Vrije Universiteit Amsterdam

Bank Business Models at Zero Interest Rates

Journal of Business & Economic Statistics
2019-07-03 | Journal article
Contributors: André Lucas; Julia Schaumburg; Bernd Schwaab
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Fractional integration and fat tails for realized covariance kernels

Journal of Financial Econometrics
2019-01 | Journal article | Author
SOURCE-WORK-ID:

45ffed39-45df-4c13-a9d8-508c99ae98da

EID:

2-s2.0-85062358448

EID:

2-s2.0-85062358448

Contributors: A. Opschoor; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models

TI Discussion Paper Series
2018 | Working paper | Author
SOURCE-WORK-ID:

04622795-30a2-4d0f-b13b-212038584e97

Contributors: A.C. van Vlodrop; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Dynamic discrete copula models for high-frequency stock price changes

Journal of Applied Econometrics
2018-11 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85052496687

Contributors: Siem Jan Koopman; Rutger Lit; Andre Lucas; A. Opschoor
Source: check_circle
Vrije Universiteit Amsterdam

Do Negative Interest Rates Make Banks Less Safe?

TI Discussion Paper Series
2017 | Working paper | Author
SOURCE-WORK-ID:

0aac68a6-0318-4da7-9107-bc232b44b833

Contributors: F. Nucera; Andre Lucas; Julia Schaumburg; B. Schwaab
Source: check_circle
Vrije Universiteit Amsterdam

Finite Sample Optimality of Score-Driven Volatility Models

TI Discussion Paper Series
2017 | Working paper | Author
SOURCE-WORK-ID:

5faefad7-8207-4204-bcb6-9370cb66aef3

Contributors: F. Blasques Albergaria Amaral; Andre Lucas; A.C. van Vlodrop
Source: check_circle
Vrije Universiteit Amsterdam

Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model

Journal of the American Statistical Association
2017 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85041126705

Contributors: Siem Jan Koopman; R. Lit; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Testing for parameter instability across different modeling frameworks

Journal of Financial Econometrics
2017 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85019592513

EID:

2-s2.0-85019592513

WOSUID:

000401056000002

Contributors: Francesco Calvori; Drew Creal; Siem Jan Koopman; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Do negative interest rates make banks less safe?

Economics Letters
2017-10 | Journal article | Author
SOURCE-WORK-ID:

39be3d47-91e1-4867-b683-64ec64cb8922

EID:

2-s2.0-85026787380

EID:

2-s2.0-85026787380

Contributors: Federico Nucera; Andre Lucas; Julia Schaumburg; Bernd Schwaab
Source: check_circle
Vrije Universiteit Amsterdam

Long-term versus short-term contingencies in asset allocation

Journal of Financial and Quantitative Analysis
2017-10-31 | Journal article | Author
SOURCE-WORK-ID:

075e9456-765c-41fc-a6eb-2f04d770be90

EID:

2-s2.0-85037992154

Contributors: M. Botshekan; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

Journal of Applied Econometrics
2017-08 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-84992116193

WOSUID:

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Contributors: I. Barra; Lennart Hoogerheide; Siem Jan Koopman; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Network, market, and book-based systemic risk rankings

Journal of Banking and Finance
2017-05 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-85013230435

EID:

2-s2.0-85013230435

WOSUID:

000399629300006

Contributors: Michiel C W van de Leur; Andre Lucas; Norman Johannes Seeger
Source: check_circle
Vrije Universiteit Amsterdam

Time‐Varying Transition Probabilities for Markov Regime Switching Models

Journal of Time Series Analysis
2017-05 | Journal article
Contributors: Marco Bazzi; Francisco Blasques; Siem Jan Koopman; Andre Lucas
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Global Credit Risk: World, Country and Industry Factors

Journal of Applied Econometrics
2017-03 | Journal article | Author
SOURCE-WORK-ID:

8074a956-2e00-4ffe-aa50-fd66380a4d47

EID:

2-s2.0-84964344726

Contributors: B. Schwaab; Siem Jan Koopman; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Modeling Financial Sector Joint Tail Risk in the Euro Area

Journal of Applied Econometrics
2017-02 | Journal article | Author
SOURCE-WORK-ID:

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EID:

2-s2.0-84963677381

WOSUID:

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Contributors: Andre Lucas; B. Schwaab; X. Zhang
Source: check_circle
Vrije Universiteit Amsterdam

Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

TI Discussion Series
2016 | Working paper | Author
SOURCE-WORK-ID:

76781783-3140-4574-a2dd-e50b017a022e

Contributors: Andre Lucas; A. Opschoor; Julia Schaumburg
Source: check_circle
Vrije Universiteit Amsterdam

Bank Business Models at Zero Interest Rates

TI Discussion Series
2016 | Working paper | Author
SOURCE-WORK-ID:

8b82bef3-cb34-40b9-bf4e-59dee0b93e9c

Contributors: Andre Lucas; Julia Schaumburg; B. Schwaab
Source: check_circle
Vrije Universiteit Amsterdam

Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns

TI Discussion Series
2016 | Working paper | Author
SOURCE-WORK-ID:

15b68ed3-352f-4920-b49c-be14fdbbc4cd

Contributors: Andre Lucas; A. Opschoor
Source: check_circle
Vrije Universiteit Amsterdam

In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models

International Journal of Forecasting
2016 | Journal article | Author
SOURCE-WORK-ID:

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WOSUID:

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EID:

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Contributors: F. Blasques; Siem Jan Koopman; K.A. Lasak; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S.

TI Discussion Series
2016 | Working paper | Author
SOURCE-WORK-ID:

97829e80-22eb-4ae0-9618-d034fbeaa08a

Contributors: Siem Jan Koopman; R. Lit; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S., Chapter 6

Systemic Risk Tomography: Signals, Measurement and Transmission Channels
2016 | Book chapter | Author
SOURCE-WORK-ID:

137fb65e-94f2-4da6-af62-d6d9b8203b58

Part of ISBN: 9781785480850
Contributors: Siem Jan Koopman; R. Lit; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam

Network, Market, and Book-Based Systemic Risk Rankings

TI Discussion Paper
2016 | Working paper | Author
SOURCE-WORK-ID:

9972801c-9611-4c39-bca3-678686d03196

Contributors: M.C.W. van de Leur; Andre Lucas
Source: check_circle
Vrije Universiteit Amsterdam
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