André Lucas

Finance · 2001–2021

A researcher in the Science corpus: 19 papers; trusts 87 researchers and is trusted by 19 researchers here, as inferred from the citation graph.

Subfields

• Finance — 208 citations into it; #1,502 of 10,518 by trust here, #1,158 by citations
• Economics and Econometrics — 167 citations into it; #5,613 of 23,481 by trust here, #4,779 by citations
• Statistics and Probability — 60 citations into it; #4,132 of 12,932 by trust here, #3,513 by citations
• Accounting — 28 citations into it; #4,715 of 8,970 by trust here, #6,386 by citations
• Management Science and Operations Research — 20 citations into it; #8,789 of 11,946 by trust here, #6,024 by citations
• Artificial Intelligence — 14 citations into it; #34,199 of 35,345 by trust here, #30,347 by citations
• Economics & Operations Research — 10 citations into it
• Time-Series & Forecasting — 9 citations into it

Whom André Lucas trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert F. Engle
2. S. J. Koopman
3. Tim Bollerslev
4. Andrew J. Patton
5. Andrew S. Harvey
6. Drew D. Creal
7. Ole E. Barndorff-Nielsen
8. Daniel B. Nelson
9. N. Shephard
10. James H. Stock

Who trusts André Lucas overall

1. S. J. Koopman
2. Francisco Blasques
3. Paul Glasserman
4. M. Bazzi
5. D. Oh
6. A. Opschoor
7. Drew D. Creal
8. Pawel Janus
9. Andrew J. Patton
10. Alexander J. McNeil

Papers from André Lucas's perspective

Ordered by how strongly the researchers André Lucas trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Dynamic Conditional Correlation
3. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
4. MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a
5. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
6. New frontiers for arch models
7. Estimating the Dimension of a Model
8. Tests of Conditional Predictive Ability
9. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
10. GO-GARCH: a multivariate generalized orthogonal GARCH model

Their papers

• Time‐Varying Transition Probabilities for Markov Regime Switching Models (2017) — 106 citations
• Comprehensive definitions of breakdown points for independent and dependent observations (2003) — 89 citations
• The Multi-State Latent Factor Intensity Model for Credit Rating Transitions (2008) — 173 citations
• A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2011) — 307 citations
• A General Framework for Observation Driven Time-Varying Parameter Models (2008) — 87 citations
• Information Theoretic Optimality of Observation Driven Time Series Models (2014) — 145 citations
• Maximum Likelihood Estimation for Generalized Autoregressive Score Models (2014) — 73 citations
• GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2013) — 319 citations
• Long Memory Dynamics for Multivariate Dependence under Heavy Tails (2014) — 58 citations
• Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models (2016) — 139 citations
• An analytic approach to credit risk of large corporate bond and loan portfolios (2001) — 152 citations
• Modeling frailty-correlated defaults using many macroeconomic covariates (2011) — 120 citations
• In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models (2016) — 52 citations
• Maximum likelihood estimation for score-driven models (2021) — 80 citations
• New HEAVY Models for Fat-Tailed Realized Covariances and Returns (2017) — 88 citations
• Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models (2016) — 125 citations
• Conditional Euro Area Sovereign Default Risk (2014) — 229 citations
• Credit Cycles and Macro Fundamentals (2009) — 147 citations
• Business and default cycles for credit risk (2003) — 197 citations