André Lucas

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Observation-driven filtering of time-varying parameters using moment conditions	2024-02-13	Paper
Dynamic clustering of multivariate panel data	2023-11-17	Paper
Maximum likelihood estimation for score-driven models	2022-03-16	Paper
Nonlinear autoregressive models with optimality properties	2022-03-04	Paper
A stochastic recurrence equations approach for score driven correlation models	2022-02-24	Paper
Amendments and Corrections	2018-12-10	Paper
Do negative interest rates make banks less safe?	2018-09-20	Paper
Accounting for missing values in score-driven time-varying parameter models	2018-09-11	Paper
Semiparametric score driven volatility models	2018-08-15	Paper
Time‐Varying Transition Probabilities for Markov Regime Switching Models	2017-05-26	Paper
Spillover dynamics for systemic risk measurement using spatial financial time series models	2016-11-03	Paper
Modeling frailty-correlated defaults using many macroeconomic covariates	2016-08-12	Paper
The multi-state latent factor intensity model for credit rating transitions	2016-06-03	Paper
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model	2016-04-18	Paper
Information-theoretic optimality of observation-driven time series models for continuous responses	2015-06-26	Paper
Stationarity and ergodicity of univariate generalized autoregressive score processes	2014-09-05	Paper
Discrete-Time Financial Planning Models Under Loss-Averse Preferences	2009-07-18	Paper
Global loss diversification in the insurance sector	2009-06-10	Paper
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model	2008-09-18	Paper
Modelling Portfolio Defaults Using Hidden Markov Models with Covariates	2008-05-29	Paper
Comprehensive Definitions of Breakdown Points for Independent and Dependent Observations	2005-05-09	Paper
Tail behaviour of credit loss distributions for general latent factor models	2004-09-06	Paper
Semi-nonparametric cointegration testing	2003-04-02	Paper
https://portal.mardi4nfdi.de/entity/Q2767966	2002-04-07	Paper
Outlier robust analysis of long-run marketing effects for weekly scanning data	2001-04-08	Paper
Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots	2000-06-04	Paper
Asymptotic robustness of least median of squares for autoregressions with additive outliers	1999-11-10	Paper
Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods	1999-03-15	Paper
Robustness of the student t based M-estimator	1999-02-23	Paper
https://portal.mardi4nfdi.de/entity/Q3130269	1997-04-23	Paper
Classical and Bayesian aspects of robust unit root inference	1995-12-07	Paper
An outlier robust unit root test with an application to the extended Nelson-Plosser data	1995-04-02	Paper

Research outcomes over time

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