![Heterogeneity and dynamics in network models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/36f6eddc164132aeb50d93bed4a16b1c_0883-7252-29.jpg)
![placeholder](https://tinbergen.nl/media/cache/person_profile_image_top/media/person/image/6666c5bdce849f0027399b0e_al201502.jpg)
Andre Lucas
Biography
Visit my personal website for more info.
Key publications
![Heterogeneity and dynamics in network models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/36f6eddc164132aeb50d93bed4a16b1c_0883-7252-29.jpg)
![Dynamic clustering of multivariate panel data](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-32.jpg)
![Time-Varying Parameters in Econometrics: The editor's foreword](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-44.jpg)
![Maximum likelihood estimation for score-driven models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-30.jpg)
![Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_0735-0015-11.jpg)
![Risk endogeneity at the lender/investor-of-last-resort](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/7032eda7ed82dc57c347bcbcb72dbc69_0304-3932-3.jpg)
![Bank Business Models at Zero Interest Rates](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_0735-0015-6.jpg)
![Dynamic discrete copula models for high-frequency stock price changes](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/36f6eddc164132aeb50d93bed4a16b1c_1140c1a1774da17e3a41e5c52809f0b7_0883-7252.jpg)
![New HEAVY Models for Fat-Tailed Realized Covariances and Returns](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_477d38bd85d40bbf24109aaf66225d33_0735-0015.jpg)
![Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/36f6eddc164132aeb50d93bed4a16b1c_05d4ac6319ffad3b09e01be7a4fb0788_0883-7252.jpg)
![Global Credit Risk: World, Country and Industry Factors](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/36f6eddc164132aeb50d93bed4a16b1c_d19e000ec68d8d7fc5b02a60e834cc6a_0883-7252.jpg)
![Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/2e7a7998d9d854968a9caea908e69418_0162-1459-4.jpg)
![Modeling Financial Sector Joint Tail Risk in the Euro Area](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/36f6eddc164132aeb50d93bed4a16b1c_de3f3a0b8a11b9bb86209977e10ec9f1_0883-7252.jpg)
![Spillover dynamics for systemic risk measurement using spatial financial time series models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_fabf54ded96c70a32cc7fbca6fcf80bb_0304-4076.jpg)
![Predicting time-varying parameters with parameter-driven and observation-driven models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/192e63663596817da9a496c097e7f7cf_0034-6535-12.jpg)
![Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_fc2c8e01870353c0cc06da28ce6ea709_0735-0015.jpg)
![Conditional euro area sovereign default risk](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_0735-0015-3.jpg)
![Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/192e63663596817da9a496c097e7f7cf_0034-6535-4.jpg)
![General Autoregressive Score Models with Applications](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/36f6eddc164132aeb50d93bed4a16b1c_49a0a77c9f268539efd7e788de2ea8ec_0883-7252.jpg)
![Dynamic Factor Models With Macro, Frailty and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_6fd2f895e50a886ee140b6c75d386648_0735-0015.jpg)
![Modeling frailty correlated defaults using many macroeconomic covariates](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_d07bfda467766a7bc16a1598dc0334df_0304-4076.jpg)
![A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_21865183b52aebad826228b0eec6ef89_0735-0015.jpg)
![The Multi-state Latent Factor Intensity Model for Credit Rating Transitions](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_46b412e7e4bf5c528864bddc1d92343c_0304-4076.jpg)
![A Non-Gaussian Panel Time series Model for Estimating and Decomposing Default Risk](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_0735-0015-9.jpg)
![Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_0735-0015-28.jpg)
![Business and Default Cycles for Credit Risk](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/36f6eddc164132aeb50d93bed4a16b1c_dfc2c409b91db6ca0e4b234e90bbc85a_0883-7252.jpg)
![A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_3e587b58d2732b61d5ffcee079ea65f5_0304-4076.jpg)
![Semi-nonparametric cointegration testing](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-9.jpg)
![A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_0735-0015-2.jpg)
![Outlier robust analysis of long-run marketing effects for weekly scanning data](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_78da7806fced57195a9d428e116a71d6_0304-4076.jpg)
![Testing for ARCH in the presence of additive outliers](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/36f6eddc164132aeb50d93bed4a16b1c_0883-7252-18.jpg)
![Testing for smooth transition nonlinearity in the presence of outliers](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_0735-0015-17.jpg)
![Outlier detection in cointegration analysis](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_ef3bf6d24f570f390a6a787ffce8de8c_0735-0015.jpg)
![An outlier robust unit root test with an application to the extended Nelson-Plosser data](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-2.jpg)
![Classical and Bayesian aspects of robust unit root inference](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_1f29ac3fd6fef8fdfacb6ca7ac54d0be_0304-4076.jpg)
List of publications
João, I.C., Schaumburg, J., Lucas, A. and Schwaab, B. (2024). Dynamic Nonparametric Clustering of Multivariate Panel Data Journal of Financial Econometrics, :.
D'Innocenzo, E., Lucas, A., Opschoor, A. and Zhang, X. (2024). Heterogeneity and dynamics in network models Journal of Applied Econometrics, 39(1):150--173.
Opschoor, A. and Lucas, A. (2023). Time-varying variance and skewness in realized volatility measures International Journal of Forecasting, 39(2):827--840.
Custodio João, I., Lucas, A., Schaumburg, J. and Schwaab, B. (2023). Dynamic clustering of multivariate panel data Journal of Econometrics, 237(2, Part B):1--18.
Blasques, F., Harvey, A.C., Koopman, S.J. and Lucas, A. (2023). Time-Varying Parameters in Econometrics: The editor's foreword Journal of Econometrics, 237(2):.
Telg, S., Dubinova, A. and Lucas, A. (2023). Covid-19, credit risk management modeling, and government support Journal of Banking and Finance, 147(February):.
Blasques, F., van Brummelen, J., Koopman, S.J. and Lucas, A. (2022). Maximum likelihood estimation for score-driven models Journal of Econometrics, 227(2):325--346.
Opschoor, A., Lucas, A., Barra, I. and van Dijk, D. (2021). Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings Journal of Business and Economic Statistics, 39(4):1066--1079.
Opschoor, A. and Lucas, A. (2021). Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting International Journal of Forecasting, 37(2):622--633.
Blasques, F., Koopman, S.J. and Lucas, A. (2020). Nonlinear autoregressive models with optimality properties Econometric Reviews, 39(6):559--578.
Caballero, D., Lucas, A., Schwaab, B. and Zhang, X. (2020). Risk endogeneity at the lender/investor-of-last-resort Journal of Monetary Economics, 116:283--297.
Opschoor, A. and Lucas, A. (2019). Fractional integration and fat tails for realized covariance kernels Journal of Financial Econometrics, 17(1):66--90.
Lucas, A., Schaumburg, J. and Schwaab, B. (2019). Bank Business Models at Zero Interest Rates Journal of Business and Economic Statistics, 37(3):542--555.
Koopman, S.J., Lit, R., Lucas, A. and Opschoor, A. (2018). Dynamic discrete copula models for high-frequency stock price changes Journal of Applied Econometrics, 33(7):966--985.
Blasques, F., Lucas, A. and Silde, E. (2018). A Stochastic Recurrence Equations Approach for Score Driven Correlation Models Econometric Reviews, 37(2):166--181.
Opschoor, A., Janus, P., Lucas, A. and Van Dijk, D. (2018). New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business and Economic Statistics, 36(4):643--657.
Botshekan, M. and Lucas, A. (2017). Long-term versus short-term contingencies in asset allocation Journal of Financial and Quantitative Analysis, 52(5):2277--2303.
Barra, I., Hoogerheide, L., Koopman, S. and Lucas, A. (2017). Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models Journal of Applied Econometrics, 32(5):1003--1026.
Nucera, F., Lucas, A., Schaumburg, J. and Schwaab, B. (2017). Do negative interest rates make banks less safe? Economics Letters, 159:112--115.
Calvori, F., Creal, D., Koopman, S.J. and Lucas, A. (2017). Testing for parameter instability across different modeling frameworks Journal of Financial Econometrics, 15(2):223--246.
Schwaab, B., Koopman, S. and Lucas, A. (2017). Global Credit Risk: World, Country and Industry Factors Journal of Applied Econometrics, 32(2):296--317.
Koopman, S., Lit, R. and Lucas, A. (2017). Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model Journal of the American Statistical Association, 112(520):1490--1503.
Lucas, A., Schwaab, B. and Zhang, X. (2017). Modeling Financial Sector Joint Tail Risk in the Euro Area Journal of Applied Econometrics, 32(1):171--191.
van de Leur, M.C.W., Lucas, A. and Seeger, NormanJ. (2017). Network, market, and book-based systemic risk rankings Journal of Banking and Finance, 78:84--90.
Blasques, F., Koopman, S., Lasak, K. and Lucas, A. (2016). Rejoinder to the discussion 'In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation-Driven Models' International Journal of Forecasting, 32(3):893--894.
Lucas, A., Opschoor, A. and Schaumburg, J. (2016). Accounting for Missing Values in Score-Driven Time-Varying Parameter Models Economics Letters, 148:96--98.
Blasques, F., Koopman, S., Lucas, A. and Schaumburg, J. (2016). Spillover dynamics for systemic risk measurement using spatial financial time series models Journal of Econometrics, 195(2):211--223.
Blasques, F., Koopman, S., Lasak, K. and Lucas, A. (2016). In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models International Journal of Forecasting, 32(3):875--887.
Lucas, A. and Zhang, X. (2016). Score-driven exponentially weighted moving averages and Value-at-Risk forecasting International Journal of Forecasting, 32(2):293--302.
Nucera, F., Schwaab, B., Koopman, S. and Lucas, A. (2016). The Information in Systemic Risk Rankings Journal of Empirical Finance, 38A(September):461--475.
Koopman, S., Lucas, A. and Scharth, M. (2016). Predicting time-varying parameters with parameter-driven and observation-driven models Review of Economics and Statistics, 98(1):97--110.
Koopman, S., Lucas, A. and Scharth, M. (2015). Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models Journal of Business and Economic Statistics, 33(1):114--127.
Blasques, F., Koopman, S. and Lucas, A. (2015). Information Theoretic Optimality of Observation Driven Time Series Models Biometrika, 102(2):325--343.
Koopman, S., Lucas, A. and Schwaab, B. (2014). Nowcasting and forecasting global financial sector stress and credit market dislocation International Journal of Forecasting, 30(3):741--758.
Janus, P., Koopman, S. and Lucas, A. (2014). Long memory dynamics for multivariate dependence under heavy tails Journal of Empirical Finance, 29(December):187--206.
Lucas, A., Schwaab, B. and Zhang, X. (2014). Conditional euro area sovereign default risk Journal of Business and Economic Statistics, 32(2):271--284.
Kraeussl, R., Lucas, A., Rijsbergen, D., van der Sluis, P.J. and Vrugt, E. (2014). Washington Meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle Journal of International Money and Finance, 43(May):50--69.
Creal, D., Schwaab, B., Koopman, S. and Lucas, A. (2014). Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk Review of Economics and Statistics, 96(5):898--915.
Creal, D., Koopman, S. and Lucas, A. (2013). General Autoregressive Score Models with Applications Journal of Applied Econometrics, 28(5):777--795.
Kraeussl, R., Lucas, A. and Siegmann, A. (2012). Risk Aversion under Preference Uncertainty Finance Research Letters, 9(1):1--7.
Botshekan, M., Kraeussl, R. and Lucas, A. (2012). Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced? Journal of Financial and Quantitative Analysis, 47(6):1279--1301.
Koopman, S., Lucas, A. and Schwaab, B. (2012). Dynamic Factor Models With Macro, Frailty and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 Journal of Business and Economic Statistics, 30(4):521--532.
Konijn, S., Kraeussl, R. and Lucas, A. (2011). Blockholder dispersion and firm value Journal of Corporate Finance, 17(5):1330--1339.
Koopman, S., Lucas, A. and Schwaab, B. (2011). Modeling frailty correlated defaults using many macroeconomic covariates Journal of Econometrics, 162(2):312--325.
Creal, D., Koopman, S. and Lucas, A. (2011). A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations Journal of Business and Economic Statistics, 29(4):552--563.
Koopman, S., Kraeussl, R., Lucas, A. and Monteiro, A. (2009). Credit cycles and macro fundamentals Journal of Empirical Finance, 16:42--54.
Lucas, A. and Siegmann, A. (2008). The Effect of Shortfall as a Risk measure for Portfolios with Hedge Funds Journal of Business Finance and Accounting, 35(1-2):200--226.
Banachewicz, K. and Lucas, A. (2008). Quantile Forecasting for Credit Risk Management Using Possibly Mis-specified Hidden Markov Models Journal of Forecasting, 27:566--586.
Koopman, S., Lucas, A. and Monteiro, A. (2008). The Multi-state Latent Factor Intensity Model for Credit Rating Transitions Journal of Econometrics, 142:399--424.
Koopman, S. and Lucas, A. (2008). A Non-Gaussian Panel Time series Model for Estimating and Decomposing Default Risk Journal of Business and Economic Statistics, 26(4):510--525.
Banachewicz, K., van der Vaart, A.W. and Lucas, A. (2008). Modeling portfolio defaults using Hidden Markov Models with covariates Econometrics Journal, 11:155--171.
Menkveld, A., Koopman, S. and Lucas, A. (2007). Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods Journal of Business and Economic Statistics, 25(2):213--255.
Lucas, A. and Klaassen, P. (2006). Discrete versus continuous state switching models for portfolio credit risk Journal of Banking and Finance, 30(1):23--35.
Koopman, S. and Lucas, A. (2005). Business and Default Cycles for Credit Risk Journal of Applied Econometrics, 20:311--323.
Koopman, S., Lucas, A. and Klaassen, P. (2005). Empirical Credit Cycles and Capital Buffer Formation Journal of Banking and Finance, 29:3159--3179.
Siegmann, A. and Lucas, A. (2005). Discrete-time financial planning models under loss-averse preferences Operations Research, 53(3):403--414.
Genton, M. and Lucas, A. (2005). Discussion of 'Breakdown and Groups' Annals of Statistics, 33(3):988--993.
Abadir, K. and Lucas, A. (2004). A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model Journal of Econometrics, 119(1):45--71.
Genton, M. and Lucas, A. (2003). Comprehensive Definitions of Breakdown-Points for Independent Observations Journal of the Royal Statistical Society. Series B. Statistical Methodology, 65(1):81--94.
Lucas, A., van Dijk, R. and Prof. Kloek, T. (2002). Stock Selection, Style Rotation Journal of Empirical Finance, 9(1):1--34.
Boswijk, H. and Lucas, A. (2002). Semi-nonparametric cointegration testing Journal of Econometrics, 108(2):253--280.
Lucas, A., Klaassens, P., Spreij, P. and Straetmans, S. (2002). Erratum: An analytic approach to credit risk of large corporate bond and loan portfolios (Journal of Banking and Finance 25, 9 (1635-1664) PII: S0378-4266(00)00147-3) Journal of Banking and Finance, 26(1):201--202.
Lucas, A., Spreij, P., Straetmans, S. and Klaassen, P. (2001). An analytical approach to credit risk of large corporate bond and loan portfolios Journal of Banking and Finance, 25(9):1635--1664.
Lucas, A. (2001). An Evaluation of the Basle Guidelines for Backtesting Banks' Internal Risk Management Models Journal of Money, Credit and Banking, 33(3):826--846.
Abadir, K. and Lucas, A. (2000). Quantiles for t-statistics based on M-estimators of unit roots Economics Letters, 67(2):131--137.
Lucas, A. (2000). A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior Journal of Business and Economic Statistics, 18(1):31--39.
Taylor, N., van Dijk, D., Franses, P.H. and Lucas, A.(. (2000). SETS, arbitrage activity, and stock price dynamics Journal of Banking and Finance, 24(8):1289--1306.
Franses, P.H., Kloek, T. and Lucas, A.(. (1999). Outlier robust analysis of long-run marketing effects for weekly scanning data Journal of Econometrics, 89:293--315.
van Dijk, D., Franses, P.H. and Lucas, A.(. (1999). Testing for ARCH in the presence of additive outliers Journal of Applied Econometrics, 14:539--562.
van Dijk, D., Franses, P.H. and Lucas, A.(. (1999). Testing for smooth transition nonlinearity in the presence of outliers Journal of Business and Economic Statistics, 17(2):217--235.
Lucas, A. (1998). Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods Econometric Reviews, 17(2):185--214.
Franses, P.H. and Lucas, A.(. (1998). Outlier detection in cointegration analysis Journal of Business and Economic Statistics, 16(4):459--468.
Lucas, A. (1997). Cointegration testing using pseudo likelihood ratio tests Econometric Theory, 13:149--169.
Lucas, A. (1995). An outlier robust unit root test with an application to the extended Nelson-Plosser data Journal of Econometrics, 66(1-2):153--173.
Lucas, A. (1995). Unit root tests based on M estimators Econometric Theory, 11(2):331--346.
Groenendijk, P.(., Lucas, A.(. and de Vries, C. (1995). A note on the relationship between GARCH and symmetrical stable processes Journal of Empirical Finance, 2:253--264.
Hoek, H., Lucas, A. and van Dijk, HermanK. (1995). Classical and Bayesian aspects of robust unit root inference Journal of Econometrics, 69(1):27--59.
Heij, C., Kloek, T. and Lucas, A. (1992). Positivity conditions for stochastic state space modelling of time series Econometric Reviews, 11(3):379--396.