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Publications by Andre Lucas

Time-Varying Transition Probabilities for Markov Regime Switching Models

Journal of Time Series Analysis

Applied Mathematics

English

Observation-Driven Models for Realized Variances and Overnight Returns

SSRN Electronic Journal

English

Time-Varying Tail Behavior for Realized Kernels

SSRN Electronic Journal

English

Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models

SSRN Electronic Journal

English

Do Negative Interest Rates Make Banks Less Safe?

SSRN Electronic Journal

English

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

Journal of Business and Economic Statistics

Social Sciences

English

Forecasting Cross-Sections of Frailty-Correlated Default

SSRN Electronic Journal

English