Concepedia

André Lucas

AL

106

Publications

6.1K

Citations

41

H-Index

1995

Active since

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

106

Publications

106

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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