Edit Profile (opens in new tab) Lucas, André Co-Author Distance Author ID: lucas.andre Published as: Lucas, André; Lucas, A.; Lucas, Andre; Lucas, Andé more...less Documents Indexed: 35 Publications since 1995, including 1 Book and 1 Additional arXiv Preprint 1 Contribution as Editor · 1 Further Contribution Co-Authors: 33 Co-Authors with 29 Joint Publications 435 Co-Co-Authors all top 5 Co-Authors 7 single-authored 12 Koopman, Siem Jan 10 Blasques, Francisco 4 Schaumburg, Julia 3 Schwaab, Bernd 2 Abadir, Karim M. 2 Boswijk, H. Peter 2 Genton, Marc G. 1 Banachewicz, Konrad 1 Bazzi, Marco 1 Creal, Drew D. 1 Custodio João, Igor 1 Davies, Patrick Laurie 1 Franses, Philip Hans 1 Gather, Ursula 1 Hampel, Frank R. 1 Harvey, Andrew C. 1 He, Xuming 1 Hoek, Henk 1 Ji, Jiangyu 1 Klaassen, Pieter 1 Kloek, Teun 1 Monteiro, André d’Almeida 1 Nucera, Federico 1 Oja, Hannu 1 Ooms, Marius 1 Opschoor, Anne 1 Rousseeuw, Peter J. 1 Sheremet, Oleg 1 Siegmann, Arjen 1 Silde, Erkki 1 Spreij, Peter 1 Straetmans, Stefan 1 Taylor, Nick P. 1 Tyler, David E. 1 van Brummelen, Janneke 1 van der Geest, Victor 1 Van der Vaart, Adrianus Willem 1 van Dijk, Herman K. 1 van Montfort, Kees 1 Zamojski, Marcin all top 5 Serials 12 Journal of Econometrics 3 Econometric Reviews 3 Economics Letters 2 Biometrika 2 Communications in Statistics. Theory and Methods 2 Applied Mathematical Finance 1 The Annals of Statistics 1 Operations Research 1 Statistica Neerlandica 1 Insurance Mathematics & Economics 1 Journal of Time Series Analysis 1 Computational Statistics and Data Analysis 1 The Econometrics Journal 1 Journal of the Royal Statistical Society. Series B. Statistical Methodology 1 Statistical Inference for Stochastic Processes 1 Electronic Journal of Statistics all top 5 Fields 31 Statistics (62-XX) 13 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4 Numerical analysis (65-XX) 2 Probability theory and stochastic processes (60-XX) 1 General and overarching topics; collections (00-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 30 Publications have been cited 283 times in 239 Documents Cited by ▼ Year ▼ Robustness of the Student \(t\) based M-estimator. Zbl 0920.62041 Lucas, André 66 1997 Breakdown and groups. (With discussions and rejoinder). Zbl 1077.62041 Davies, P. Laurie; Gather, Ursula 44 2005 Comprehensive definitions of breakdown points for independent and dependent observations. Zbl 1063.62038 Genton, Marc G.; Lucas, André 27 2003 The multi-state latent factor intensity model for credit rating transitions. Zbl 1418.62383 Koopman, Siem Jan; Lucas, André; Monteiro, André 21 2008 Information-theoretic optimality of observation-driven time series models for continuous responses. Zbl 1452.62620 Blasques, F.; Koopman, S. J.; Lucas, A. 20 2015 Stationarity and ergodicity of univariate generalized autoregressive score processes. Zbl 1309.60034 Blasques, Francisco; Koopman, Siem Jan; Lucas, André 18 2014 An outlier robust unit root test with an application to the extended Nelson-Plosser data. Zbl 0813.62098 Lucas, André 16 1995 Modeling frailty-correlated defaults using many macroeconomic covariates. Zbl 1441.62783 Koopman, Siem Jan; Lucas, André; Schwaab, Bernd 15 2011 Time-varying transition probabilities for Markov regime switching models. Zbl 1369.62211 Bazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre 11 2017 Inference on cointegrating ranks using LR and LM tests based on pseudo-likelihoods. Zbl 0908.62089 Lucas, André 9 1998 Outlier robust unit root analysis. Zbl 0866.62080 Lucas, André 9 1996 Discrete-time financial planning models under loss-averse preferences. Zbl 1165.91429 Siegmann, Arjen; Lucas, André 8 2005 Outlier robust analysis of long-run marketing effects for weekly scanning data. Zbl 0958.62114 Franses, Philip Hans; Kloek, Teun; Lucas, André 7 1999 Maximum likelihood estimation for score-driven models. Zbl 07491163 Blasques, Francisco; van Brummelen, Janneke; Koopman, Siem Jan; Lucas, André 7 2022 Modelling portfolio defaults using hidden Markov models with covariates. Zbl 1135.91358 Banachewicz, Konrad; Lucas, André; van der Vaart, Aad 7 2008 Spillover dynamics for systemic risk measurement using spatial financial time series models. Zbl 1443.62331 Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre; Schaumburg, Julia 6 2016 Asymptotic robustness of least median of squares for autoregressions with additive outliers. Zbl 0954.62562 Lucas, André 5 1997 Classical and Bayesian aspects of robust unit root inference. Zbl 0825.62959 Hoek, Henk; Lucas, Andé; van Dijk, Herman K. 5 1995 A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model. Zbl 1337.62239 Abadir, Karim M.; Lucas, André 5 2004 Do negative interest rates make banks less safe? Zbl 1398.91629 Nucera, Federico; Lucas, André; Schaumburg, Julia; Schwaab, Bernd 4 2017 Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots. Zbl 0990.62013 Abadir, K. M.; Lucas, A. 3 2000 Nonlinear autoregressive models with optimality properties. Zbl 1490.62421 Blasques, Francisco; Koopman, Siem Jan; Lucas, André 3 2020 Can we estimate the density’s derivative with suroptimal rate. Zbl 1061.62527 Lucas, A. 2 1998 Semi-nonparametric cointegration testing. Zbl 1020.62036 Boswijk, H. Peter; Lucas, André 2 2002 Tail behaviour of credit loss distributions for general latent factor models. Zbl 1070.91032 Lucas, André; Klaassen, Pieter; Spreij, Peter; Straetmans, Stefan 2 2003 Global loss diversification in the insurance sector. Zbl 1162.91435 Sheremet, Oleg; Lucas, André 2 2009 A stochastic recurrence equations approach for score driven correlation models. Zbl 1491.62087 Blasques, Francisco; Lucas, André; Silde, Erkki 2 2018 Accounting for missing values in score-driven time-varying parameter models. Zbl 1400.62191 Lucas, André; Opschoor, Anne; Schaumburg, Julia 1 2016 Corrections to: ‘Information-theoretic optimality of observation-driven time series models for continuous responses’. Zbl 1452.62621 Blasques, F.; Koopman, S. J.; Lucas, A. 1 2018 Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model. Zbl 1152.62093 Koopman, Siem Jan; Ooms, Marius; Lucas, André; van Montfort, Kees; van der Geest, Victor 1 2008 Maximum likelihood estimation for score-driven models. Zbl 07491163 Blasques, Francisco; van Brummelen, Janneke; Koopman, Siem Jan; Lucas, André 7 2022 Nonlinear autoregressive models with optimality properties. Zbl 1490.62421 Blasques, Francisco; Koopman, Siem Jan; Lucas, André 3 2020 A stochastic recurrence equations approach for score driven correlation models. Zbl 1491.62087 Blasques, Francisco; Lucas, André; Silde, Erkki 2 2018 Corrections to: ‘Information-theoretic optimality of observation-driven time series models for continuous responses’. Zbl 1452.62621 Blasques, F.; Koopman, S. J.; Lucas, A. 1 2018 Time-varying transition probabilities for Markov regime switching models. Zbl 1369.62211 Bazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre 11 2017 Do negative interest rates make banks less safe? Zbl 1398.91629 Nucera, Federico; Lucas, André; Schaumburg, Julia; Schwaab, Bernd 4 2017 Spillover dynamics for systemic risk measurement using spatial financial time series models. Zbl 1443.62331 Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre; Schaumburg, Julia 6 2016 Accounting for missing values in score-driven time-varying parameter models. Zbl 1400.62191 Lucas, André; Opschoor, Anne; Schaumburg, Julia 1 2016 Information-theoretic optimality of observation-driven time series models for continuous responses. Zbl 1452.62620 Blasques, F.; Koopman, S. J.; Lucas, A. 20 2015 Stationarity and ergodicity of univariate generalized autoregressive score processes. Zbl 1309.60034 Blasques, Francisco; Koopman, Siem Jan; Lucas, André 18 2014 Modeling frailty-correlated defaults using many macroeconomic covariates. Zbl 1441.62783 Koopman, Siem Jan; Lucas, André; Schwaab, Bernd 15 2011 Global loss diversification in the insurance sector. Zbl 1162.91435 Sheremet, Oleg; Lucas, André 2 2009 The multi-state latent factor intensity model for credit rating transitions. Zbl 1418.62383 Koopman, Siem Jan; Lucas, André; Monteiro, André 21 2008 Modelling portfolio defaults using hidden Markov models with covariates. Zbl 1135.91358 Banachewicz, Konrad; Lucas, André; van der Vaart, Aad 7 2008 Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model. Zbl 1152.62093 Koopman, Siem Jan; Ooms, Marius; Lucas, André; van Montfort, Kees; van der Geest, Victor 1 2008 Breakdown and groups. (With discussions and rejoinder). Zbl 1077.62041 Davies, P. Laurie; Gather, Ursula 44 2005 Discrete-time financial planning models under loss-averse preferences. Zbl 1165.91429 Siegmann, Arjen; Lucas, André 8 2005 A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model. Zbl 1337.62239 Abadir, Karim M.; Lucas, André 5 2004 Comprehensive definitions of breakdown points for independent and dependent observations. Zbl 1063.62038 Genton, Marc G.; Lucas, André 27 2003 Tail behaviour of credit loss distributions for general latent factor models. Zbl 1070.91032 Lucas, André; Klaassen, Pieter; Spreij, Peter; Straetmans, Stefan 2 2003 Semi-nonparametric cointegration testing. Zbl 1020.62036 Boswijk, H. Peter; Lucas, André 2 2002 Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots. Zbl 0990.62013 Abadir, K. M.; Lucas, A. 3 2000 Outlier robust analysis of long-run marketing effects for weekly scanning data. Zbl 0958.62114 Franses, Philip Hans; Kloek, Teun; Lucas, André 7 1999 Inference on cointegrating ranks using LR and LM tests based on pseudo-likelihoods. Zbl 0908.62089 Lucas, André 9 1998 Can we estimate the density’s derivative with suroptimal rate. Zbl 1061.62527 Lucas, A. 2 1998 Robustness of the Student \(t\) based M-estimator. Zbl 0920.62041 Lucas, André 66 1997 Asymptotic robustness of least median of squares for autoregressions with additive outliers. Zbl 0954.62562 Lucas, André 5 1997 Outlier robust unit root analysis. Zbl 0866.62080 Lucas, André 9 1996 An outlier robust unit root test with an application to the extended Nelson-Plosser data. Zbl 0813.62098 Lucas, André 16 1995 Classical and Bayesian aspects of robust unit root inference. Zbl 0825.62959 Hoek, Henk; Lucas, Andé; van Dijk, Herman K. 5 1995 all cited Publications top 5 cited Publications all top 5 Cited by 415 Authors 18 Lucas, André 14 Blasques, Francisco 14 Paula, Gilberto Alvarenga 12 Koopman, Siem Jan 12 Lachos Dávila, Víctor Hugo 10 Leiva, Víctor 6 Arslan, Olcay 6 Čížek, Pavel 6 Cysneiros, Francisco José A. 6 Vilca, Filidor 5 Galea, Manuel 4 Balakrishnan, Narayanaswamy 4 Cabral, Celso Rômulo Barbosa 4 Francq, Christian 4 Gorgi, Paolo 4 Weissbach, Rafael 4 Zeller, Camila Borelli 3 Aoki, Reiko 3 Barros, Michelli 3 Castro, Luis Mauricio 3 Genton, Marc G. 3 Matos, Larissa A. 3 Osorio, Felipe 3 Galvão Patriota, Alexandre 3 Russo, Cibele Maria 3 Saulo, Helton 3 Schaumburg, Julia 3 Shin, Dongwan 3 Vanegas, Luis Hernando 2 Abadir, Karim M. 2 Çankaya, Mehmet Niyazi 2 Chen, Feng 2 Chen, Huaping 2 Costa, Denise Reis 2 Davies, Patrick Laurie 2 Dellaportas, Petros 2 D’Innocenzo, Enzo 2 Fabozzi, Frank J. 2 Fernandes, Cristiano Augusto Coelho 2 Ferrari, Silvia Lopes de Paula 2 Garay, Aldo M. 2 Gather, Ursula 2 Genç, Ali İ. 2 Georgiev, Iliyan 2 Gurevich, Pavel L. 2 Heidenreich, Konstantin 2 Holý, Vladimír 2 Hu, Hongchang 2 Ibacache-Pulgar, Germán 2 Juhl, Ted 2 Kremer, Alexander 2 Laurent, Sébastien-Yves 2 Lee, Yongwoong 2 Lemonte, Artur José 2 Li, Duan 2 Li, Qi 2 Liu, Shuangzhe 2 Luati, Alessandra 2 Marchant, Carolina 2 Meligkotsidou, Loukia 2 Melo, Tatiane F. N. 2 Nazemi, Abdolreza 2 Nielsen, Heino Bohn 2 Oja, Hannu 2 Palumbo, Dario 2 Prates, Marcos Oliveira 2 Rousseeuw, Peter J. 2 Ruwet, C. 2 Sanhueza, Antonio I. 2 Schwaab, Bernd 2 Şenoğlu, Birdal 2 Sherris, Michael 2 Spezia, Luigi 2 Stuke, Hannes 2 Tao, Ye 2 Tomanová, Petra 2 van Brummelen, Janneke 2 Wu, Liucang 2 Yin, Juliang 2 Zhu, Fukang 1 Abanto-Valle, Carlos Antonio 1 Acıtaş, Şükrü 1 Aknouche, Abdelhakim 1 Al-Sadoon, Majid M. 1 Altındaǧ, Ömer 1 Andreou, Panayiotis Ch. 1 Arashi, Mohammad 1 Arellano-Valle, Reinaldo Boris 1 Atil, Lynda 1 Azzalini, Adelchi 1 Babii, Andrii 1 Bailey, Natalia 1 Bandyopadhyay, Dipankar 1 Bandyopadhyay, Soutir 1 Bao, Yong 1 Bass, Frank M. 1 Bauckhage, Christian 1 Bazzi, Marco 1 Bellini, Tiziano 1 Bera, Anil K. ...and 315 more Authors all top 5 Cited in 74 Serials 38 Journal of Econometrics 16 Computational Statistics and Data Analysis 11 Journal of Applied Statistics 9 Communications in Statistics. Theory and Methods 8 Communications in Statistics. Simulation and Computation 7 Economics Letters 7 European Journal of Operational Research 6 Econometric Reviews 6 Test 6 Statistical Papers 6 Econometric Theory 5 Journal of Economic Dynamics & Control 5 Journal of Statistical Computation and Simulation 5 The Econometrics Journal 5 Brazilian Journal of Probability and Statistics 5 Statistics and Computing 4 Statistics & Probability Letters 4 Journal of Time Series Analysis 4 Statistics 4 Computational Statistics 4 Quantitative Finance 3 The Annals of Statistics 3 Journal of the American Statistical Association 3 Journal of Multivariate Analysis 3 Journal of Statistical Planning and Inference 3 Insurance Mathematics & Economics 3 International Journal of Theoretical and Applied Finance 3 The Annals of Applied Statistics 2 Annals of the Institute of Statistical Mathematics 2 Journal of Computational and Applied Mathematics 2 Statistica Neerlandica 2 Statistical Science 2 Applied Stochastic Models in Business and Industry 2 North American Actuarial Journal 2 Sankhyā. Series B 1 Advances in Applied Probability 1 Artificial Intelligence 1 Metrika 1 International Statistical Review 1 Journal of Applied Probability 1 Revista Colombiana de Estadística 1 Annals of Operations Research 1 Applications of Mathematics 1 Computational Economics 1 Journal of Mathematical Sciences (New York) 1 Monte Carlo Methods and Applications 1 Lifetime Data Analysis 1 International Transactions in Operational Research 1 Mathematical Problems in Engineering 1 Mathematical Methods of Operations Research 1 Journal of Inequalities and Applications 1 Studies in Nonlinear Dynamics and Econometrics 1 Australian & New Zealand Journal of Statistics 1 Data Mining and Knowledge Discovery 1 Discrete Dynamics in Nature and Society 1 CEJOR. Central European Journal of Operations Research 1 Optimization and Engineering 1 Journal of Systems Science and Complexity 1 Statistical Modelling 1 SIAM Journal on Applied Dynamical Systems 1 Asia-Pacific Financial Markets 1 Statistical Methods and Applications 1 Statistical Methodology 1 Journal of the Korean Statistical Society 1 Advances in Data Analysis and Classification. ADAC 1 Journal of Statistical Theory and Practice 1 AStA. Advances in Statistical Analysis 1 Electronic Journal of Statistics 1 Journal of Business and Economic Statistics 1 Dynamic Games and Applications 1 Annals of Finance 1 Mathematica Applicanda 1 Journal of Mathematical Modelling and Algorithms in Operations Research 1 Journal of Econometric Methods all top 5 Cited in 13 Fields 206 Statistics (62-XX) 65 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 30 Probability theory and stochastic processes (60-XX) 25 Numerical analysis (65-XX) 9 Operations research, mathematical programming (90-XX) 4 Computer science (68-XX) 2 Biology and other natural sciences (92-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Special functions (33-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Geophysics (86-XX) 1 Systems theory; control (93-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year