E-LIB Suche - Ergebnisse für: Lucas, André

1

Dynamic partial correlation models:

D'Innocenzo, Enzo ; Lucas, Andre
Journal of Econometrics. 241 (2024) 2 - p. 105747 , 2024

Link: https://doi.org/10.1016/..

2

Observation-driven filtering of time-varying parameters usi..:

Creal, Drew ; Koopman, Siem Jan ; Lucas, André.
Journal of Econometrics. 238 (2024) 2 - p. 105635 , 2024

Link: https://doi.org/10.1016/..

3

Modeling Extreme Events: Time-Varying Extreme Tail Shape:

D'Innocenzo, Enzo ; Lucas, André ; Schwaab, Bernd.
Journal of Business & Economic Statistics. 42 (2023) 3 - p. 903-917 , 2023

Link: https://doi.org/10.1080/..

4

Dynamic clustering of multivariate panel data:

Custodio João, Igor ; Lucas, André ; Schaumburg, Julia.
Journal of Econometrics. 237 (2023) 2 - p. 105281 , 2023

Link: https://doi.org/10.1016/..

5

Time-varying variance and skewness in realized volatility m..:

Opschoor, Anne ; Lucas, André
International Journal of Forecasting. 39 (2023) 2 - p. 827-840 , 2023

Link: https://doi.org/10.1016/..

6

Dynamic nonparametric clustering of multivariate panel data

Working paper series, 2780 / February 2023

Custodio João, Igor ; Lucas, André ; Schaumburg, Julia. , 2023

Link: https://data.europa.eu/d..

7

Heterogeneity and dynamics in network models:

D'Innocenzo, Enzo ; Lucas, André ; Opschoor, Anne.
Journal of Applied Econometrics. 39 (2023) 1 - p. 150-173 , 2023

Link: https://doi.org/10.1002/..

8

Covid-19, credit risk management modeling, and government s..:

Telg, Sean ; Dubinova, Anna ; Lucas, Andre
Journal of Banking & Finance. 147 (2023) - p. 106638 , 2023

Link: https://doi.org/10.1016/..

9

Dynamic Nonparametric Clustering of Multivariate Panel Data:

Custodio João, Igor ; Schaumburg, Julia ; Lucas, André.
Journal of Financial Econometrics. 22 (2022) 2 - p. 335-374 , 2022

Link: https://doi.org/10.1093/..

10

Significant Variables for Digitalization and Financial Busi..:

, In: Proceedings of the 5th International Conference on Information Management and Management Science,

Schwer, Karlheinz ; Lucas, Andre - p. 312-323 , 2022

Link: https://dl.acm.org/doi/1..

11

Maximum likelihood estimation for score-driven models:

Blasques, Francisco ; van Brummelen, Janneke ; Koopman, Siem Jan.
Journal of Econometrics. 227 (2022) 2 - p. 325-346 , 2022

Link: https://doi.org/10.1016/..

12

Observation-driven models for realized variances and overni..:

Opschoor, Anne ; Lucas, André
International Journal of Forecasting. 37 (2021) 2 - p. 622-633 , 2021

Link: https://doi.org/10.1016/..

13

Dynamic clustering of multivariate panel data

Working paper series, No 2577 / July 2021

Custodio Joao, Igor ; Lucas, André ; Schaumburg, Julia. , 2021

Link: https://op.europa.eu/pub..

14

Modeling extreme events: time-varying extreme tail shape

Working paper series, No 2524, February 2021

Schwaab, Bernd ; Zhang, Xin ; Lucas, André , 2021

Link: https://op.europa.eu/pub..

15

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

Caballero, Diego ; Lucas, André ; Schwaab, Bernd.
Journal of Monetary Economics. 116 (2020) - p. 283-297 , 2020

Link: https://doi.org/10.1016/..