Andre Lucas
Vrije Universiteit Amsterdam
H-index: 48
Europe-Netherlands
Top articles of Andre Lucas
Dynamic nonparametric clustering of multivariate panel data
Journal of Financial Econometrics
2024/6/1
Dynamic partial correlation models
2022
Observation-driven filtering of time-varying parameters using moment conditions
Journal of Econometrics
2024/1/1
Heterogeneity and dynamics in network models
Journal of Applied Econometrics
2024/1/1
Time-Varying Parameters in Econometrics: The editor’s foreword
Journal of Econometrics
2023/12/1
Modeling extreme events: time-varying extreme tail shape
Journal of Business & Economic Statistics
2023/10/19
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution
2023/7/11
Time-varying variance and skewness in realized volatility measures
International Journal of Forecasting
2023/4/1
Covid-19, credit risk management modeling, and government support
Journal of Banking & Finance
2023/2/1
Sean Telg
H-Index: 4
Andre Lucas
H-Index: 29
Consistency, distributional convergence, and optimality of score-driven filters
2023
Andre Lucas
H-Index: 29
Heterogeneity and Dynamics in Spatial Network Models
2021/9/23
Andre Lucas
H-Index: 29
Anne Opschoor
H-Index: 7
Dynamic clustering of multivariate panel data
2021/7/1
Andre Lucas
H-Index: 29
Julia Schaumburg
H-Index: 7
Finite sample optimality of score-driven volatility models: Some Monte Carlo evidence
Econometrics and Statistics
2021/7/1
Clustering Dynamics and Persistence for Financial Multivariate Panel Data
2021/5/6
Andre Lucas
H-Index: 29
Julia Schaumburg
H-Index: 7
Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting
International Journal of Forecasting
2021/4/1
The importance of heterogeneity in dynamic network models applied to European systemic risk
2021
Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution
2021
Closed-form multi-factor copula models with observation-driven dynamic factor loadings
Journal of Business & Economic Statistics
2021/10/2
Co-Authors
