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~isPartOf:"Applied mathematical finance"
~isPartOf:"CeNDEF Working Papers"
~isPartOf:"Econometric theory"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Lucas, André
4
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3
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Center for Nonlinear Dynamics in Economics and Finance (CeNDEF), Faculteit Economie en Bedrijfskunde
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Applied mathematical finance
CeNDEF Working Papers
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Discussion paper / Tinbergen Institute
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Systemic risk tomography : signals, measurement and transmission channels
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The European journal of finance
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1
COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
del Barrio Castro, Tomás
;
Osborn, Denise R.
; …
- In:
Econometric theory
24
(
2008
)
1
,
pp. 109-142
Persistent link: https://www.econbiz.de/10007896791
Saved in:
2
The economic value of volatility forecasts : a conditional approach
Taylor, Nicholas
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 433-478
Persistent link: https://www.econbiz.de/10010391951
Saved in:
3
Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models
Boswijk, H.P.
;
van Dijk, D.
;
Franses, P.H.
-
Center for Nonlinear Dynamics in Economics and Finance …
-
2000
Persistent link: https://www.econbiz.de/10005241744
Saved in:
4
TESTING FOR LONG MEMORY
Harris, David
;
Mccabe, Brendan
;
Leybourne, Stephen
; …
- In:
Econometric theory
24
(
2008
)
1
,
pp. 143-175
Persistent link: https://www.econbiz.de/10007896790
Saved in:
5
Unit root tests based on M estimators
Lucas, André
- In:
Econometric theory
11
(
1995
)
2
,
pp. 331-346
Persistent link: https://www.econbiz.de/10001185251
Saved in:
6
Testing for parameter instability across different modeling frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
Saved in:
7
Tail behaviour of credit loss distributions for general latent factor models
Lucas, André
;
Klaassen, Pieter
;
Spreij, Peter
; …
- In:
Applied mathematical finance
10
(
2003
)
4
,
pp. 337-357
Persistent link: https://www.econbiz.de/10001864390
Saved in:
8
Hedging large portfolios of options in discrete time
Peeters, B.
;
Dert, C. L.
;
Lucas, André
- In:
Applied mathematical finance
15
(
2008
)
3/4
,
pp. 251-275
Persistent link: https://www.econbiz.de/10003751253
Saved in:
9
Hedging Large Portfolios of Options in Discrete Time
Peeters, B.
;
Dert, C.L.
;
Lucas, A.
- In:
Applied mathematical finance
15
(
2008
)
3
,
pp. 251-276
Persistent link: https://www.econbiz.de/10008221060
Saved in:
10
Hedging Large Portfolios of Options in Discrete Time
Peeters, B.
;
Dert, C.L.
;
Lucas, A.
- In:
Applied mathematical finance
15
(
2008
)
3-4
,
pp. 251-276
Persistent link: https://www.econbiz.de/10008098223
Saved in:
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