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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, 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

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

Bank Business Models at Zero Interest Rates

Lucas, A., Schaumburg, J. & Schwaab, B., 25 May 2018, (Accepted/In press) In : Journal of Business and Economic Statistics. p. 1-14 14 p.

Research output: Contribution to JournalArticleAcademicpeer-review

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., 2018, (Accepted/In press) In : Journal of Business and Economic Statistics. p. 1-15 15 p.

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

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 JournalArticleAcademicpeer-review

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 JournalArticleAcademicpeer-review

Time-varying parameters
time
evidence
Volatility forecasting
Monte Carlo study

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 JournalArticleAcademicpeer-review

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 JournalArticleAcademicpeer-review

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 JournalArticleAcademicpeer-review

non-linear model
time series
time
simulation
Time-varying

Selected Activities 1997 2016

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

Journal of Credit Risk (Journal)

Lucas, A. (Member of editorial board)
2016

Activity: Peer review and Editorial workEditorial workAcademic

Prizes

VICI - grant 1.5 million euro

A. Lucas (Recipient), 2010

Prize: Prize / AwardAcademic

Systemic Risk Tomography

A. Lucas (Recipient), S.J. Koopman (Recipient) & A.H. Siegmann (Recipient), 2013

Prize: Prize / AwardAcademic

Organized Financing
Tomography
Research