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- school of business & economics ( econometrie )
- Full Professor
Andre Lucas is Full Professor at the department of Finance at VU University Amsterdam and research fellow at Tinbergen Institute. He is also Research Director of the Faculty of Economics and Business, and Deputy Dean. He obtained his Ph.D. (1996) in Econometrics at Erasmus University Rotterdam. Over the period 2010-2015, professor Lucas was been awarded the prestigious VICI grant for senior researchers by the Dutch national science foundation (NWO) for his research on time varying parameter models and inherent model uncertainty in financial econometrics and risk management.
Professor Lucas' research interests include financial econometrics, investments, and risk.
Selected publications include:
- Barra, I., Hoogerheide, L.F., Koopman, S.J., and Lucas, A. (in press). "Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models,” Journal of Applied Econometrics.
- Botshekan, Mahmoud, and Andre Lucas (in press): "Long-term versus short-term contingencies in asset allocation, " Journal of Financial and Quantitative Analysis.
- Schwaab, Bernd, Siem Jan Koopman, and Andre Lucas (in press): "Global Credit Risk: World, Country and Industry Factors", Journal of Applied Econometrics.
- Nucera, Federico, Bernd Schwaab, Siem Jan Koopman, and Andre Lucas (in press): "The Information in Systemic Risk Rankings", Journal of Empirical Finance.
- Lucas, A., Zhang, X., Schwaab, B., (in press): “Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics,” Journal of Applied Econometrics.
- Blasques, Francisco, Andre Lucas, and Erkki Silde (in press): “A Stochastic Recurrence Equations Approach for Score Driven Correlation Models,” Econometric Reviews.
- Blasques, F., J. Ji, and A. Lucas (2016): “Semiparametric score driven volatility models,” Computational Statistics and Data Analysis, 100, 58-69.
- Koopman, Siem Jan, Andre Lucas, and Marcel Scharth (2016): “Predicting time-varying parameters with parameter-driven and observation-driven models,” Review of Economics and Statistics,98(1), 97-110.
- Lucas, A., and X. Zhang (2016): “Score Driven Exponentially Weighted Moving Average and Value-at-Risk Forecasting,” International Journal of Forecasting, 32(2), 293-302.
- Blasques, F., S.J. Koopman, and A. Lucas (2015): “Information Theoretic Optimality of Observation Driven Time Series Models for Continuous Responses,” Biometrika, 102(2), 325-343.
- Koopman, S.J., A. Lucas, and M. Scharth (2015): “Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models,” Journal of Business and Economic Statistics, 33(1), 114-127.
- Creal, Drew, Bernd Schwaab, Siem Jan Koopman, and Andre Lucas (2014): "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Review of Economics and Statistics, 96(5), 898-915.
- Janus, Pawel, Siem Jan Koopman, and Andre Lucas (2014): “Long memory dynamics for multivariate dependence under heavy tails,” Journal of Empirical Finance, 29, 187-206.
- Koopman, S.J., A. Lucas, and B. Schwaab (2014): "Nowcasting and forecasting global financial sector stress and credit market dislocation," International Journal of Forecasting, 30(3), 741-758.
- Blasques, Francisco, Siem Jan Koopman, and Andre Lucas (2014): “Stationarity and ergodicity of univariate Generalized Autoregressive Score processes,” Electronic Journal of Statistics, 8, 1088-1112.
- Lucas, Andre, Bernd Schwaab, and Xin Zhang (2014): “Conditional euro area sovereign default risk,” Journal of Business and Economic Statistics, 32(2), 271-284.
- Kraeussl, Roman, Andre Lucas, David R. Rijsbergen, Pieter Jelle van der Sluis, and Evert B. Vrugt (2014): “Washington Meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle,” Journal of International Money and Finance, 43, 50-69.
- Creal, Drew, Siem Jan Koopman, and Andre Lucas (2013): "Generalized Autoregressive Score Models with Applications," Journal of Applied Econometrics, 28, 777-795.
- Botshekan, M., R. Kraeussl, and A. Lucas (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, Siem Jan, Andre Lucas, and Bernd Schwaab (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.
- Kraeussl, R., A. Lucas, and A. Siegmann (2012): "Risk Aversion under Preference Uncertainty," Finance Research Letters, 9(1), 1-7.
- Koopman, Siem Jan, Andre Lucas, and Bernd Schwaab (2011): " Modeling frailty-correlated defaults using many macroeconomic covariates," Journal of Econometrics, 162(2), 312-325.
- Creal, Drew, Siem Jan Koopman, and Andre Lucas (2011): "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business and Economic Statistics, 29(4), 552-563.
See also the website http://www.gasmodel.com for a compendium about generalized autoregressive models.