Concepedia
Statistics
Publications
106
Citations
6.1K
H-Index
41
Active since
1995
Affiliations
Tinbergen Institute(Current)
Vrije Universiteit Amsterdam
Aarhus University
European Central Bank
Erasmus University Rotterdam
André Lucas is an author at Tinbergen Institute specializing in business, finance, and statistics.
Top concepts
BusinessFinanceStatisticsEconomicsEconometricsManagementAsset PricingEngineeringFinancial CrisisFinancial Economics
Publications per year
1995–2022
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
Drew Creal, Siem Jan Koopman, André Lucas · Journal of Applied Econometrics · 2012 · 969 citations · Full text
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Drew Creal, Siem Jan Koopman, André Lucas · Journal of Business and Economic Statistics · 2011 · 295 citations
Volatility Modeling, Multivariate Stochastic Volatility, Economics +14
Blockholder dispersion and firm value
Sander J. J. Konijn, Roman Kräussl, André Lucas · Journal of Corporate Finance · 2011 · 182 citations
Financial Economics, Financial Management, Liquidity +4
Business and default cycles for credit risk
Siem Jan Koopman, André Lucas · Journal of Applied Econometrics · 2005 · 173 citations
Real Gdp, Financial Risk Management, Economic Fluctuation +16
Information-theoretic optimality of observation-driven time series models for continuous responses
F. Blasques, Siem Jan Koopman, André Lucas · Biometrika · 2015 · 162 citations
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