• De Boelelaan 1105, H7A-82

    1081HV Amsterdam

    Netherlands

1992 …2018
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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 Finance. He has been a director of graduate studies for finance at Tinbergen Institute, program director of Risk Management at Duisenberg school of finance, and program director of the MSc Finance program at Vrije Universiteit Amsterdam. Currently, he is vice dean of research and member of the faculty board at the School of Business and Economics.

Personal web page: click here.

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

Econometrics; Empirical Finance; Research Projects; Thesis work.

Ancillary activities

  • Stichting Park Meander | Amersfoort | Bestuurder | 2015-04-01

Ancillary activities are updated daily

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Selected Research Output 1992 2018

Open Access

Modeling Financial Sector Joint Tail Risk in the Euro Area

Lucas, A., Schwaab, B. & Zhang, X. 2017 In : Journal of Applied Econometrics. 32, 1, p. 171-191

Research output: Contribution to journalArticle

Euro
debt crisis
asymmetry
firm
Law

Predicting time-varying parameters with parameter-driven and observation-driven models

Koopman, S. J., Lucas, A. & Scharth, M. 2016 In : Review of Economics and Statistics. 98, 1, p. 97-110

Research output: Contribution to journalArticle

Time-varying parameters
time
present
evidence
Volatility forecasting

Conditional euro area sovereign default risk

Lucas, A., Schwaab, B. & Zhang, X. 2014 In : Journal of Business and Economic Statistics. 32, 2, p. 271-284

Research output: Contribution to journalArticle

Default Risk
Euro
t-distribution
Volatility
debt crisis

Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Creal, D. D., Schwaab, B., Koopman, S. J. & Lucas, A. 2014 In : Review of Economics and Statistics. 96, 5, p. 898-915

Research output: Contribution to journalArticle

credit
time series
firm
Credit risk
Dynamic factor model

General Autoregressive Score Models with Applications

Creal, D. D., Koopman, S. J. & Lucas, A. 2013 In : Journal of Applied Econometrics. 28, 5, p. 777-795

Research output: Contribution to journalArticle

non-linear model
time series
time
simulation
Time-varying