If you made any changes in Pure these will be visible here soon.

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, 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 the department of Econometrics and OR.

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 - present

Ancillary activities are updated daily

Keywords

  • Financial econometrics
  • Time series

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

Research Output 1992 2019

Bank Business Models at Zero Interest Rates

Lucas, A., Schaumburg, J. & Schwaab, B., 2019, In : Journal of Business and Economic Statistics. 37, 3, p. 542-555 14 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Business Model
Interest Rates
interest rate
bank
Zero

New HEAVY Models for Fat-Tailed Realized Covariances and Returns

Opschoor, A., Janus, P., Lucas, A. & Van Dijk, D., 2 Oct 2018, In : Journal of Business and Economic Statistics. 36, 4, p. 643-657 15 p., 36.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Covariance matrix
Volatility
F distribution
Positive Definiteness
simulation

Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model

Koopman, S. J., Lit, R. & Lucas, A., 2017, In : Journal of the American Statistical Association. 112, 520, p. 1490-1503

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, F., Koopman, S. J., Lucas, A. & Schaumburg, J., 2016, In : Journal of Econometrics. 195, 2, p. 211-223

Research output: Contribution to JournalArticleAcademicpeer-review

Financial time series
Spillover
Time series models
Systemic risk
Risk measurement

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 JournalArticleAcademicpeer-review

non-linear model
time series
time
simulation
Time-varying

Activities 1997 2016

  • 3 Editorial work
  • 3 Membership
  • 3 Lecture / Presentation

Journal of Credit Risk (Journal)

A. Lucas (Member of editorial board)
2016

Activity: Peer review and Editorial workEditorial workAcademic

Journal of Asset Management (Journal)

A. Lucas (Member of editorial board)
20052010

Activity: Peer review and Editorial workEditorial workAcademic

Prizes

VICI - grant 1.5 million euro

André Lucas (Recipient), 2010

PrizeAcademic

Systemic Risk Tomography

André Lucas (Recipient), S.J. Koopman (Recipient) & Arjen Siegmann (Recipient), 2013

PrizeAcademic

Organized Financing
Tomography
Research

INQUIRE UK collaborative research grant

André Lucas (Recipient), Nick J. Taylor (Recipient), D.J.C. van Dijk (Recipient) & P.H. Franses (Recipient), 1998

PrizeSocietal

INQUIRE UK collaborative research grant

André Lucas (Recipient), Arjen Siegmann (Recipient) & M.J.C.M. Verbeek (Recipient), 2004

PrizeSocietal

NWO personal postdoc grant

André Lucas (Recipient), 1997

PrizeAcademic

economic development
modeling
decision