Research Interests André Lucas

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My research interests include (but are not limited to) credit risk, risk management, and financial econometrics.

For my publications, see EconPapers, SSRN site, or my CV

Ongoing research.

• "Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk, " Xin Zhang, Bernd Schwaab, Andre Lucas (2011): TI Discussion paper TI 2011-176/2/DSF29.
• "Long Memory Dynamics for Multivariate Dependence under Heavy Tails, " Pawel Janus, Siem Jan Koopman, Andre Lucas (2011): TI Discussion paper TI 2011-175/2/DSF28.
• "Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models, " Siem Jan Koopman, Andre Lucas, Marcel Scharth (2011): TI Discussion paper TI 2011-057/4.
• "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk , " Creal, Drew, Bernd Schwaab, Siem Jan Koopman, and Andre Lucas (2011): TI-DSF Discussion paper TI 2011-042/DSF16.
• "Macro, industry and frailty effects in defaults: the 2008 credit crisis in perspective," Koopman, Siem Jan, Andre Lucas, and Bernd Schwaab (2010): TI Discussion Paper 10-004/2.
• "Systemic risk diagnostics," Schwaab, B., Siem Jan Koopman, and Andre Lucas (2010): TI Discussion Paper 10-104/2-DSF 2.
• "A Dynamic Model of Investor Decision-Making: How Adaptation to Losses Affects Future Selling Decisions," Lee, Carmen, Roman Kraeussl, Andre Lucas, and Leonard J. Paas (2008): TI Discussion Paper 08-112/2.
• "Washington Meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle," Kraeussl, Roman, Andre Lucas, David R. Rijsbergen, Pieter Jelle van der Sluis, and Evert B. Vrugt (2008): TI Discussion Paper 2008-101/2.
• "Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk," Monteiro, Andre, Georgi V. Smirnov, and Andre Lucas (2006) TI Discussion paper TI06-024/2.

The proofs of JBF 2001 paper (available on request) can be found in the underlying original working paper or separately here.

Download my inaugural lecture in Dutch and the crucial slides.

For my thesis click here. (Lucas, A. (1996): Outlier robust unit root analysis, Thesis Publishers, Amsterdam.)

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