Generalized autoregressive score models with applications D Creal, SJ Koopman, A Lucas Journal of Applied Econometrics 28 (5), 777-795, 2013 | 1045 | 2013 |
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations D Creal, SJ Koopman, A Lucas Journal of Business & Economic Statistics 29 (4), 552-563, 2011 | 356 | 2011 |
Blockholder dispersion and firm value SJJ Konijn, R Kräussl, A Lucas Journal of Corporate Finance 17 (5), 1330-1339, 2011 | 272 | 2011 |
Credit cycles and macro fundamentals SJ Koopman, R Kräussl, A Lucas, AB Monteiro Journal of Empirical Finance 16 (1), 42-54, 2009 | 235 | 2009 |
Business and default cycles for credit risk SJ Koopman, A Lucas Journal of Applied Econometrics 20 (2), 311-323, 2005 | 232 | 2005 |
The multi-state latent factor intensity model for credit rating transitions SJ Koopman, A Lucas, A Monteiro Journal of Econometrics 142 (1), 399-424, 2008 | 214 | 2008 |
Conditional euro area sovereign default risk A Lucas, B Schwaab, X Zhang Journal of Business & Economic Statistics 32 (2), 271-284, 2014 | 200 | 2014 |
Information-theoretic optimality of observation-driven time series models for continuous responses F Blasques, SJ Koopman, A Lucas Biometrika 102 (2), 325-343, 2015 | 193 | 2015 |
An analytic approach to credit risk of large corporate bond and loan portfolios A Lucas, P Klaassen, P Spreij, S Straetmans Journal of Banking & Finance 25 (9), 1635-1664, 2001 | 188 | 2001 |
Predicting time-varying parameters with parameter-driven and observation-driven models SJ Koopman, A Lucas, M Scharth Review of Economics and Statistics 98 (1), 97-110, 2016 | 184 | 2016 |
Observation-driven mixed-measurement dynamic factor models with an application to credit risk D Creal, B Schwaab, SJ Koopman, A Lucas Review of Economics and Statistics 96 (5), 898-915, 2014 | 179 | 2014 |
Extreme returns, downside risk, and optimal asset allocation A Lucas, P Klaassen Journal of Portfolio Management 25 (1), 71, 1998 | 174 | 1998 |
Testing for ARCH in the presence of additive outliers D Van Dijk, PH Franses, A Lucas Journal of Applied Econometrics 14 (5), 539-562, 1999 | 173 | 1999 |
Modeling frailty-correlated defaults using many macroeconomic covariates SJ Koopman, A Lucas, B Schwaab Journal of Econometrics 162 (2), 312-325, 2011 | 164 | 2011 |
Spillover dynamics for systemic risk measurement using spatial financial time series models F Blasques, SJ Koopman, A Lucas, J Schaumburg Journal of Econometrics 195 (2), 211-223, 2016 | 160 | 2016 |
Testing for smooth transition nonlinearity in the presence of outliers DV Dijk, PH Franses, A Lucas Journal of Business & Economic Statistics 17 (2), 217-235, 1999 | 146 | 1999 |
Maximum likelihood estimation for generalized autoregressive score models F Blasques, SJ Koopman, A Lucas Tinbergen Institute Discussion Paper, 2014 | 145* | 2014 |
A general framework for observation driven time-varying parameter models D Creal, SJ Koopman, A Lucas Tinbergen Institute Discussion paper, 2008 | 141 | 2008 |
Unit root tests based on M estimators A Lucas Econometric Theory 11 (2), 331-346, 1995 | 137 | 1995 |
Robustness of the student t based M-estimator A Lucas Communications in Statistics-Theory and Methods 26 (5), 1165-1182, 1997 | 134 | 1997 |