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236
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95
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86
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53
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44
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20
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20
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20
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19
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18
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9
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7
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ECONIS (ZBW)
288
OLC EcoSci
58
RePEc
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BASE
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EconStor
1
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351
Modelling portfolio defaults using hidden Markov models with covariates
Banachewicz, Konrad
;
Lucas, André
;
Vaart, Aad W. van der
- In:
The econometrics journal
11
(
2008
)
1
,
pp. 155-171
Persistent link: https://www.econbiz.de/10003648671
Saved in:
352
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
Saved in:
353
Forecasting cross-sections of frailty-correlated default
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
-
2008
Persistent link: https://www.econbiz.de/10003706012
Saved in:
354
Modeling portfolio defaults using hidden Markov models with covariates
Banachewicz, Konrad
;
Vaart, Aad W. van der
;
Lucas, André
-
2006
Persistent link: https://www.econbiz.de/10003392203
Saved in:
355
Credit cycles and macro fundamentals
Koopman, Siem Jan
;
Kräussl, Roman
;
Lucas, André
; …
-
2006
Persistent link: https://www.econbiz.de/10003446486
Saved in:
356
Modeling around-the-clock price discovery for cross-listed stocks using state space methods
Menkveld, Albert J.
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
25
(
2007
)
2
,
pp. 213-225
Persistent link: https://www.econbiz.de/10003463648
Saved in:
357
Quantile forecasting for credit risk management using possibly mis-specified Hidden Markov Models
Banachewicz, Konrad
;
Lucas, André
-
2007
Persistent link: https://www.econbiz.de/10003482655
Saved in:
358
Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
Koopman, Siem Jan
;
Lucas, André
;
Ooms, Marius
; …
-
2007
Persistent link: https://www.econbiz.de/10003482698
Saved in:
359
The multi-state latent factor intensity model for credit rating transitions
Koopman, Siem Jan
;
Lucas, André
;
Monteiro, André Antonio
- In:
Journal of econometrics
142
(
2008
)
1
,
pp. 399-424
Persistent link: https://www.econbiz.de/10003608208
Saved in:
360
Empirical credit cycles and capital buffer formation
Koopman, Siem Jan
;
Lucas, André
;
Klaassen, Pieter
- In:
Journal of banking & finance
29
(
2005
)
12
,
pp. 3159-3179
Persistent link: https://www.econbiz.de/10003203860
Saved in:
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