Unit root tests based on M Estimators / André LucasOutlier robust GMM estimation of leverage determinants / André Lucas, Ronald van Dijk, Teun KloekCointegration testing using pseudo likelihood ratio tests / André LucasOutlier robust unit root analysis / André LucasLeast median of squares for autoregressions with additive outliers / André LucasNonrobustness of the student's t based M-estimator / André LucasStrategic and tactical asset allocation and the effect of long-run equilibrium relations / André LucasStock selection, style rotation, and risk / André Lucas, Ronald van Dijk, Teun KloekStock selection, style rotation, and risk / André Lucas, Ronald van Dijk, Teun KloekWat willen we eigenlijk? : over preferenties, risico's en financiële markten / André LucasDe Pensioen- en Verzekeringskamer komt van rechts : buffervorming en beleggingsbeleid bij Nederlandse pensioenfondsen / André Lucas, Jan Bertus Molenkamp, Arjen SiegmannTesting backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models for banks / André LucasNut, gebruik, en beperkingen van value-at-risk voor risicomanagement / André LucasOn the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework / André Lucas, Cees L. DertA note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior / André LucasDiscrete versus continuous state switching models for portfolio credit risk / André Lucas and Pieter KlaassenDiscrete versus continuous state switching models for portfolio credit risk / André Lucas, Pieter KlaassenUitvoering en effectiviteit van reïntegratievoorzieningen en -instrumenten / [auteur: A. Lucas]Outlier robust unit root analysis / André LucasStrategic and tactical asset allocation and the effect of long-run equilibrium relations / André LucasA note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior / André LucasTesting backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models for banks / André LucasOn the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework / André Lucas, Cees L. DertNut, gebruik, en beperkingen van value-at-risk voor risicomanagement / André LucasDe Pensioen- en Verzekeringskamer komt van rechts : buffervorming en beleggingsbeleid bij Nederlandse pensioenfondsen / André Lucas, Jan Bertus Molenkamp, Arjen Siegmann
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Positivity conditions for stochastic state space modelling of time series / Ch. Heij, T. Kloek and A. LucasClassical and Bayesian aspects of robust unit root inference / Henk Hoek, André Lucas, Herman K. van DijkA note on the relationship between GARCH and symmetric stable processes / Patrick A. Groenendijk, André Lucas, Casper G. de VriesOutlier robust cointegration analysis / Philip Hans Franses and André LucasOutperforming the market using biliniarities in fundamentals and macroeconomic variables / Teun Kloek, André Lucas, Ronald van DijkTesting for smooth transition nonlinearity in the presence of outliers / Dick van Dijk, Philip Hans Franses and André LucasOutlier robust analysis of market share and distribution relations for weekly scanning data / Philip Hans Franses, Teun Kloek and André LucasOutlier robust analysis of market share and distribution relations for weekly scanning data / Philip Hans Franses, Teun Kloek, André LucasTesting for smooth transition nonlinearity in the presence of outliers / Dick van Dijk, Philip Hans Franses and Andr ̌LucasTesting for ARCH in the presence of additive outliers / Dick van Dijk, Philip Hans Franses, Andr ̌LucasTesting for ARCH in the presence of additive outliers / Dick van Dijk, Philip Hans Franses and André LucasTesting for ARCH in the presence of additive outliers / Dick van Dijk, Philip Hans Franses, André LucasForecasting stock returns using bilinearities in fundamentals and macroeconomic variables / Ronald van Dijk, Teun Kloek and André LucasMeasuring the impact of promotion on weekly market shares / Philip Hans Franses, Andre LucasOutlier robust cointegration / Philip Hans Franses, André LucasSemi-nonparametric cointegration testing / H. Peter Boswijk, André LucasShort patches of outliers, ARCH and volatility modeling / Philip Hans Franses, Dick van Dijk, André LukasShort patches of outliers, arch and volatility modeling / Dick van Dijk, Philip Hans Franses and André LucasShort patches of outliers, ARCH and volatility modeling / Philip Hans Franses, Dick van Dijk, André LukasA hybrid joint moment ratio test for financial time series / Patrick A. Groenendijk, André Lucas, Casper G. de VriesA hybrid joint moment ratio test for financial time series / Patrick A. Groenendijk, André Lucas, Casper G. de VriesA comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests / H. Peter Boswijk, André Lucas, Nick TaylorA comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests / H. Peter Boswijk, André Lucas, Nick TaylorArbitrage and sampling uncertainty in financial stochastic programming models / Arjan Berkelaar, Henk Hoek, André LucasEstimating baselines / Philip Hans Franses, André LucasTail behavior of credit loss distributions / André Lucas ... [et al.]Arbitrage and sampling uncertainty in financial stochastic programming models / Berkelaar A.B., Hoek H., & Lucas AA comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model / Karim M. Abadir, André LucasComprehensive definitions of breakdown-points for independent and dependent observations / Marc G. Genton, André LucasAnalytic decision rules for financial stochastic programs / Arjen H. Siegmann, André LucasA comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model / by Karim M. Abadir and André LucasComprehensive definitions of breakdown-points for independent and dependent observations / Marc G. Genton and André LucasAnalytic decision rules for financial stochastic programs / Arjen H. Siegmann, André LucasTail behavior of credit loss distributions for general latent factor models / André Lucas ... [et al.]Tail behavior of credit loss distributions for general latent factor models / André Lucas ... [et al.]A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests / H. Peter Boswijk, André Lucas, Nick TaylorAn analytic approach to credit risk of large corporate bond and loan portfolios / André Lucas ... [et al.]Explaining hedge fund investment styles by loss aversion : a rational alternative / Arjen Siegmann, André LucasExplaining hedge fund investment styles by loss aversion : a rational alternative / Arjen Siegmann, André LucasPro-cyclicality, empirical credit cycles, and capital buffer formation / Siem Jan Koopman, André Lucas, Pieter Klaassen