Andre Lucas

University of Amsterdam

Netherlands

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Articles (16)

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2025

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2024

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2024

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2024

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2022

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2021

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2021

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2021

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2020

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2020

Collaborators (7)

Luca Rossini

University of Milan

ITALY

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Enzo D'Innocenzo

University of Bologna

ITALY

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J.M.A. Telg

University of Amsterdam

NETHERLANDS

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Julia Schaumburg

Associate Professor

University of Amsterdam

NETHERLANDS

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Igor Custodio João

Vrije Universiteit Amsterdam

NETHERLANDS

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S.J. Koopman

University of Amsterdam

NETHERLANDS

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A. Opschoor

University of Amsterdam

NETHERLANDS

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Andre Lucas

Research Interests

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Articles (16)

The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices

Dynamic partial correlation models

Observation-driven filtering of time-varying parameters using moment conditions

Heterogeneity and dynamics in network models

Modeling Extreme Events

Time-varying variance and skewness in realized volatility measures

Covid-19, credit risk management modeling, and government support

Dynamic clustering of multivariate panel data

Time-Varying Parameters in Econometrics

Dynamic Nonparametric Clustering of Multivariate Panel Data

Maximum likelihood estimation for score-driven models

Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting

Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings

Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence

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

Nonlinear autoregressive models with optimality properties

Collaborators (7)

Luca Rossini

Enzo D'Innocenzo

J.M.A. Telg

Julia Schaumburg

Igor Custodio João

S.J. Koopman

A. Opschoor

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