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An international perspective on risk management quality
Mira, Svetlana; Taylor, Nicholas - In: European financial management : the journal of the … 19 (2013) 5, pp. 935-955
Persistent link: https://www.econbiz.de/10010237350
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A note on the importance of overnight information in risk management models
Taylor, Nicholas - In: Journal of banking & finance 31 (2007) 1, pp. 161-180
Persistent link: https://www.econbiz.de/10003403190
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The effect of shortfall as a risk measure for portfolios with hedge funds
Lucas, André; Siegmann, Adriaan Hendrik - In: Journal of business finance & accounting : JBFA 35 (2008) 1/2, pp. 200-226
Persistent link: https://www.econbiz.de/10003694555
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Nowcasting and forecasting global financial sector stress and credit market dislocation
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - In: International journal of forecasting 30 (2014) 3, pp. 741-758
Persistent link: https://www.econbiz.de/10010515585
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A note on optimal estimation from a risk-management perspective under possibly misspecified tail behavior
Lucas, André - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 31-39
Persistent link: https://www.econbiz.de/10001441592
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Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne; Lucas, André - In: International journal of forecasting 37 (2021) 2, pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
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The information in systemic risk rankings
Nucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; … - In: Journal of empirical finance 38 (2016), pp. 461-475
Persistent link: https://www.econbiz.de/10011664797
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Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André; Zhang, Xin - In: International journal of forecasting 32 (2016) 2, pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
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Network, market, and book-based systemic risk rankings
Leur, Michiel van de; Lucas, André; Seeger, Norman - In: Journal of banking & finance 78 (2017), pp. 84-90
Persistent link: https://www.econbiz.de/10011815120
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - In: Journal of econometrics 195 (2016) 2, pp. 211-223
Persistent link: https://www.econbiz.de/10011705251