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Publications by André Lucas

Predicting Time-Varying Parameters With Parameter-Driven and Observation-Driven Models

Review of Economics and Statistics
EconomicsEconometricsSocial Sciences
2016English

A Note on Optimal Estimation From a Risk-Management Perspective Under Possibly Misspecified Tail Behavior

Journal of Business and Economic Statistics
EconomicsProbabilityUncertaintySocial SciencesStatisticsEconometrics
2000English

SETS, Arbitrage Activity, and Stock Price Dynamics

Journal of Banking and Finance
EconomicsEconometricsFinance
2000English

Global Loss Diversification in the Insurance Sector

Insurance: Mathematics and Economics
UncertaintyEconomicsStatisticsEconometricsProbability
2009English

A Note on the Relationship Between GARCH and Symmetric Stable Processes

Journal of Empirical Finance
EconomicsFinanceEconometrics
1995English

Credit Cycles and Macro Fundamentals

Journal of Empirical Finance
EconomicsFinanceEconometrics
2009English

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