Opschoor, A. and Lucas, A. (2023). Time-varying variance and skewness in realized volatility measures International Journal of Forecasting, 39(2):827--840.

Custodio João, I., Lucas, A., Schaumburg, J. and Schwaab, B. (2023). Dynamic clustering of multivariate panel data Journal of Econometrics, 237(2, Part B):1--18.

Blasques, F., Harvey, A.C., Koopman, S.J. and Lucas, A. (2023). Time-Varying Parameters in Econometrics: The editor's foreword Journal of Econometrics, 237(2):.

Telg, S., Dubinova, A. and Lucas, A. (2023). Covid-19, credit risk management modeling, and government support Journal of Banking and Finance, 147(February):.

Blasques, F., van Brummelen, J., Koopman, S.J. and Lucas, A. (2022). Maximum likelihood estimation for score-driven models Journal of Econometrics, 227(2):325--346.

Opschoor, A., Lucas, A., Barra, I. and van Dijk, D. (2021). Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings Journal of Business and Economic Statistics, 39(4):1066--1079.

Opschoor, A. and Lucas, A. (2021). Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting International Journal of Forecasting, 37(2):622--633.

Blasques, F., Koopman, S.J. and Lucas, A. (2020). Nonlinear autoregressive models with optimality properties Econometric Reviews, 39(6):559--578.

Caballero, D., Lucas, A., Schwaab, B. and Zhang, X. (2020). Risk endogeneity at the lender/investor-of-last-resort Journal of Monetary Economics, 116:283--297.

Opschoor, A. and Lucas, A. (2019). Fractional integration and fat tails for realized covariance kernels Journal of Financial Econometrics, 17(1):66--90.

Lucas, A., Schaumburg, J. and Schwaab, B. (2019). Bank Business Models at Zero Interest Rates Journal of Business and Economic Statistics, 37(3):542--555.

Koopman, S.J., Lit, R., Lucas, A. and Opschoor, A. (2018). Dynamic discrete copula models for high-frequency stock price changes Journal of Applied Econometrics, 33(7):966--985.

Blasques, F., Lucas, A. and Silde, E. (2018). A Stochastic Recurrence Equations Approach for Score Driven Correlation Models Econometric Reviews, 37(2):166--181.

Opschoor, A., Janus, P., Lucas, A. and Van Dijk, D. (2018). New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business and Economic Statistics, 36(4):643--657.

Botshekan, M. and Lucas, A. (2017). Long-term versus short-term contingencies in asset allocation Journal of Financial and Quantitative Analysis, 52(5):2277--2303.

Barra, I., Hoogerheide, L., Koopman, S. and Lucas, A. (2017). Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models Journal of Applied Econometrics, 32(5):1003--1026.

Nucera, F., Lucas, A., Schaumburg, J. and Schwaab, B. (2017). Do negative interest rates make banks less safe? Economics Letters, 159:112--115.

Calvori, F., Creal, D., Koopman, S.J. and Lucas, A. (2017). Testing for parameter instability across different modeling frameworks Journal of Financial Econometrics, 15(2):223--246.

Schwaab, B., Koopman, S. and Lucas, A. (2017). Global Credit Risk: World, Country and Industry Factors Journal of Applied Econometrics, 32(2):296--317.

Koopman, S., Lit, R. and Lucas, A. (2017). Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model Journal of the American Statistical Association, 112(520):1490--1503.

Lucas, A., Schwaab, B. and Zhang, X. (2017). Modeling Financial Sector Joint Tail Risk in the Euro Area Journal of Applied Econometrics, 32(1):171--191.

van de Leur, M.C.W., Lucas, A. and Seeger, NormanJ. (2017). Network, market, and book-based systemic risk rankings Journal of Banking and Finance, 78:84--90.

Blasques, F., Koopman, S., Lasak, K. and Lucas, A. (2016). Rejoinder to the discussion 'In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation-Driven Models' International Journal of Forecasting, 32(3):893--894.

Lucas, A., Opschoor, A. and Schaumburg, J. (2016). Accounting for Missing Values in Score-Driven Time-Varying Parameter Models Economics Letters, 148:96--98.

Blasques, F., Koopman, S., Lucas, A. and Schaumburg, J. (2016). Spillover dynamics for systemic risk measurement using spatial financial time series models Journal of Econometrics, 195(2):211--223.

Blasques, F., Ji, J. and Lucas, A. (2016). Semiparametric score driven volatility models Computational Statistics and Data Analysis, 100(August):58--69.

Blasques, F., Koopman, S., Lasak, K. and Lucas, A. (2016). In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models International Journal of Forecasting, 32(3):875--887.

Lucas, A. and Zhang, X. (2016). Score-driven exponentially weighted moving averages and Value-at-Risk forecasting International Journal of Forecasting, 32(2):293--302.

Nucera, F., Schwaab, B., Koopman, S. and Lucas, A. (2016). The Information in Systemic Risk Rankings Journal of Empirical Finance, 38A(September):461--475.

Koopman, S., Lucas, A. and Scharth, M. (2016). Predicting time-varying parameters with parameter-driven and observation-driven models Review of Economics and Statistics, 98(1):97--110.

Koopman, S., Lucas, A. and Scharth, M. (2015). Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models Journal of Business and Economic Statistics, 33(1):114--127.

Blasques, F., Koopman, S. and Lucas, A. (2015). Information Theoretic Optimality of Observation Driven Time Series Models Biometrika, 102(2):325--343.

Koopman, S., Lucas, A. and Schwaab, B. (2014). Nowcasting and forecasting global financial sector stress and credit market dislocation International Journal of Forecasting, 30(3):741--758.

Janus, P., Koopman, S. and Lucas, A. (2014). Long memory dynamics for multivariate dependence under heavy tails Journal of Empirical Finance, 29(December):187--206.

Lucas, A., Schwaab, B. and Zhang, X. (2014). Conditional euro area sovereign default risk Journal of Business and Economic Statistics, 32(2):271--284.

Kraeussl, R., Lucas, A., Rijsbergen, D., van der Sluis, P.J. and Vrugt, E. (2014). Washington Meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle Journal of International Money and Finance, 43(May):50--69.

Creal, D., Schwaab, B., Koopman, S. and Lucas, A. (2014). Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk Review of Economics and Statistics, 96(5):898--915.

Creal, D., Koopman, S. and Lucas, A. (2013). General Autoregressive Score Models with Applications Journal of Applied Econometrics, 28(5):777--795.

Kraeussl, R., Lucas, A. and Siegmann, A. (2012). Risk Aversion under Preference Uncertainty Finance Research Letters, 9(1):1--7.

Botshekan, M., Kraeussl, R. and Lucas, A. (2012). Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced? Journal of Financial and Quantitative Analysis, 47(6):1279--1301.

Koopman, S., Lucas, A. and Schwaab, B. (2012). Dynamic Factor Models With Macro, Frailty and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 Journal of Business and Economic Statistics, 30(4):521--532.

Konijn, S., Kraeussl, R. and Lucas, A. (2011). Blockholder dispersion and firm value Journal of Corporate Finance, 17(5):1330--1339.

Koopman, S., Lucas, A. and Schwaab, B. (2011). Modeling frailty correlated defaults using many macroeconomic covariates Journal of Econometrics, 162(2):312--325.

Creal, D., Koopman, S. and Lucas, A. (2011). A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations Journal of Business and Economic Statistics, 29(4):552--563.

Koopman, S., Kraeussl, R., Lucas, A. and Monteiro, A. (2009). Credit cycles and macro fundamentals Journal of Empirical Finance, 16:42--54.

Lucas, A. and Siegmann, A. (2008). The Effect of Shortfall as a Risk measure for Portfolios with Hedge Funds Journal of Business Finance and Accounting, 35(1-2):200--226.

Banachewicz, K. and Lucas, A. (2008). Quantile Forecasting for Credit Risk Management Using Possibly Mis-specified Hidden Markov Models Journal of Forecasting, 27:566--586.

Koopman, S., Lucas, A. and Monteiro, A. (2008). The Multi-state Latent Factor Intensity Model for Credit Rating Transitions Journal of Econometrics, 142:399--424.

Koopman, S. and Lucas, A. (2008). A Non-Gaussian Panel Time series Model for Estimating and Decomposing Default Risk Journal of Business and Economic Statistics, 26(4):510--525.

Banachewicz, K., van der Vaart, A.W. and Lucas, A. (2008). Modeling portfolio defaults using Hidden Markov Models with covariates Econometrics Journal, 11:155--171.

Menkveld, A., Koopman, S. and Lucas, A. (2007). Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods Journal of Business and Economic Statistics, 25(2):213--255.

Lucas, A. and Klaassen, P. (2006). Discrete versus continuous state switching models for portfolio credit risk Journal of Banking and Finance, 30(1):23--35.

Koopman, S. and Lucas, A. (2005). Business and Default Cycles for Credit Risk Journal of Applied Econometrics, 20:311--323.

Koopman, S., Lucas, A. and Klaassen, P. (2005). Empirical Credit Cycles and Capital Buffer Formation Journal of Banking and Finance, 29:3159--3179.

Siegmann, A. and Lucas, A. (2005). Discrete-time financial planning models under loss-averse preferences Operations Research, 53(3):403--414.

Genton, M. and Lucas, A. (2005). Discussion of 'Breakdown and Groups' Annals of Statistics, 33(3):988--993.

Abadir, K. and Lucas, A. (2004). A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model Journal of Econometrics, 119(1):45--71.

Genton, M. and Lucas, A. (2003). Comprehensive Definitions of Breakdown-Points for Independent Observations Journal of the Royal Statistical Society. Series B. Statistical Methodology, 65(1):81--94.

Lucas, A., van Dijk, R. and Prof. Kloek, T. (2002). Stock Selection, Style Rotation Journal of Empirical Finance, 9(1):1--34.

Boswijk, H. and Lucas, A. (2002). Semi-nonparametric cointegration testing Journal of Econometrics, 108(2):253--280.

Lucas, A., Klaassens, P., Spreij, P. and Straetmans, S. (2002). Erratum: An analytic approach to credit risk of large corporate bond and loan portfolios (Journal of Banking and Finance 25, 9 (1635-1664) PII: S0378-4266(00)00147-3) Journal of Banking and Finance, 26(1):201--202.

Lucas, A., Spreij, P., Straetmans, S. and Klaassen, P. (2001). An analytical approach to credit risk of large corporate bond and loan portfolios Journal of Banking and Finance, 25(9):1635--1664.

Lucas, A. (2001). An Evaluation of the Basle Guidelines for Backtesting Banks' Internal Risk Management Models Journal of Money, Credit and Banking, 33(3):826--846.

Abadir, K. and Lucas, A. (2000). Quantiles for t-statistics based on M-estimators of unit roots Economics Letters, 67(2):131--137.

Lucas, A. (2000). A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior Journal of Business and Economic Statistics, 18(1):31--39.

Taylor, N., van Dijk, D., Franses, P.H. and Lucas, A.(. (2000). SETS, arbitrage activity, and stock price dynamics Journal of Banking and Finance, 24(8):1289--1306.

Frances, P., Prof. Kloek, T. and Lucas, A. (1998). Outlier robust analysis of long-run marketing effects for weekly scanning data Journal of Econometrics, 89(1-2):293--315.

van Dijk, D., Franses, P.H. and Lucas, A.(. (1999). Testing for ARCH in the presence of additive outliers Journal of Applied Econometrics, 14:539--562.

van Dijk, D., Franses, P. and Lucas, A. (1999). Testing for smooth transition nonlinearity in the presence of outliers Journal of Business and Economic Statistics, 17(2):217--235.

Lucas, A. (1998). Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods Econometric Reviews, 17(2):185--214.

Franses, P.H. and Lucas, A.(. (1998). Outlier detection in cointegration analysis Journal of Business and Economic Statistics, 16(4):459--468.

Lucas, A. (1997). Cointegration testing using pseudo likelihood ratio tests Econometric Theory, 13:149--169.

Lucas, A. (1995). An outlier robust unit root test with an application to the extended Nelson-Plosser data Journal of Econometrics, 66(1-2):153--173.

Lucas, A. (1995). Unit root tests based on M estimators Econometric Theory, 11(2):331--346.

Groenendijk, P.(., Lucas, A.(. and de Vries, C. (1995). A note on the relationship between GARCH and symmetrical stable processes Journal of Empirical Finance, 2:253--264.

Hoek, H., Lucas, A.(. and van Dijk, H. (1995). Classical and Bayesian aspects of robust unit root inference Journal of Econometrics, 69:27--59.

Heij, C., Kloek, T. and Lucas, A. (1992). Positivity conditions for stochastic state space modelling of time series Econometric Reviews, 11(3):379--396.