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~person:"Lucas, André"
~subject:"United States"
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Search: subject:"TIME SERIES"
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United States
Zeitreihenanalyse
83
Time series analysis
82
Theorie
48
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25
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25
Volatility
23
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23
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time-varying parameters
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10
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Lucas, André
Gil-Alaña, Luis A.
82
Caporale, Guglielmo Maria
65
Gupta, Rangan
34
Stock, James H.
34
Watson, Mark W.
31
Koopman, Siem Jan
27
Franses, Philip Hans
21
Miller, Stephen M.
18
Piger, Jeremy Max
17
Lanne, Markku
16
Pesaran, M. Hashem
16
Cuñado Eizaguirre, Juncal
14
Dijk, Herman K. van
14
Kapetanios, George
13
Potter, Simon M.
13
Timmermann, Allan
13
Diebold, Francis X.
12
Engle, Robert F.
12
Gil-Alana, Luis A.
12
Kim, Chang-jin
12
Swanson, Norman R.
12
Dijk, Dick van
11
Marcellino, Massimiliano
11
Harvey, Andrew C.
10
Hautsch, Nikolaus
10
Kunst, Robert M.
10
Schorfheide, Frank
10
Blazsek, Szabolcs
9
Camacho, Maximo
9
Canova, Fabio
9
Crespo Cuaresma, Jesús
9
Härdle, Wolfgang
9
McAleer, Michael
9
Morley, James C.
9
Paap, Richard
9
Payne, James E.
9
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9
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9
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Discussion paper / Tinbergen Institute
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of applied econometrics
1
Journal of empirical finance
1
Report / Erasmus Center for Financial Research, Erasmus University
1
Systemic risk tomography : signals, measurement and transmission channels
1
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ECONIS (ZBW)
10
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1
Model-based business cycle and financial cycle decomposition for Europe and the U.S.
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, André
-
2016
panel of economic and financial
time
series
of four large developed economies. Our model is flexible and allows for the …
Persistent link: https://www.econbiz.de/10011520505
Saved in:
2
Model-based business cycle and financial cycle decomposition for Europe and the United States
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, André
- In:
Systemic risk tomography : signals, measurement and …
,
(pp. 151-168)
.
2017
Persistent link: https://www.econbiz.de/10011617896
Saved in:
3
A non-Gaussian panel
time
series
model for estimating and decomposing default risk
Koopman, Siem Jan
;
Lucas, André
;
Daniels, Robert
-
2005
Persistent link: https://www.econbiz.de/10002982977
Saved in:
4
Pro-cyclicality, empirical credit cycles, and capital buffer formation
Koopman, Siem Jan
;
Lucas, André
;
Klaassen, Pieter
-
2002
Persistent link: https://www.econbiz.de/10001718549
Saved in:
5
Stock selection, style rotation, and risk
Lucas, André
;
Dijk, Ronald van
;
Kloek, Teunis
- In:
Journal of empirical finance
9
(
2002
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10001655776
Saved in:
6
Stock selection, style rotation, and risk
Lucas, André
;
Dijk, Ronald van
;
Kloek, Teunis
-
2001
Persistent link: https://www.econbiz.de/10001554542
Saved in:
7
Testing for smooth transition nonlinearity in the presence of outliers
Dijk, Dick van
;
Franses, Philip Hans
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
17
(
1999
)
2
,
pp. 217-235
Persistent link: https://www.econbiz.de/10001410684
Saved in:
8
Testing for ARCH in the presence of addiative outliers
Dijk, Dick van
;
Franses, Philip Hans
;
Lucas, André
- In:
Journal of applied econometrics
14
(
1999
)
5
,
pp. 539-562
Persistent link: https://www.econbiz.de/10001421498
Saved in:
9
Outlier detection in cointegration analysis
Franses, Philip Hans
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
4
,
pp. 459-468
Persistent link: https://www.econbiz.de/10001251800
Saved in:
10
Forecasting stock returns using bilinearities in fundamentals and macroeconomic variables
Dijk, Ronald van
;
Kloek, Teunis
;
Lucas, André
-
1996
Persistent link: https://www.econbiz.de/10000966934
Saved in:
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