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Personal profile

Personal information

André Lucas (1969) obtained his PhD graduated in econometrics from Erasmus University Rotterdam (1996) and then joined Vrije Universiteit Amsterdam, where he is now full professor in Financial Econometrics. He has been a director of graduate studies for finance at Tinbergen Institute, program director of Risk Management at Duisenberg school of finance, program director of the MSc Finance program at Vrije Universiteit Amsterdam, and vice dean of research and member of the faculty board at the School of Business and Economics. Currently, he is head of department at Econometrics and Data Science.

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Research

Research interests: financial econometrics, risk, asset management.

In his research, André focuses particularly on model instability and time-variation of model parameters, particularly when applied to financial modeling and risk. For this, he and his co-authors have developed the class of generalized autoregressive score models (http://gasmodel.com) for which he obtained the prestigious VICI grant of NWO (2010-2015). He also participated as one of the principal investigators in the EU funded network on systemic risk tomography (2013-2016).

His PhD students were placed at (first placements) for instance: FED Boston, ECB, Riksbank, Gothenberg University, University of Sydney, Smurfit Business School Dublin, Dutch Central Bank.

Teaching

Financial Econometrics; Statistics; Thesis supervision.

Programs:

MSc Econometrics and Operations Research
MSc Finance, Duisenberg Quantitative Risk Mangement honours programme
BSc Bedrijfskunde
BSc International Business Administration

Ancillary activities

  • Stichting Park Meander | Amersfoort | Bestuurder | 2015-04-01 - present
  • De Nederlandsche Bank | Amsterdam | vrijwilliger onderzoeker | 2022-12-05 - 2023-12-31

Ancillary activities are updated daily

Expertise related to UN Sustainable Development Goals

In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):

  • SDG 17 - Partnerships for the Goals

User created Keywords

  • Financial econometrics
  • Time series
  • Statistics