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prof. dr. André Lucas


Full Professor, School of Business and Economics, Econometrics and Data Science

, Tinbergen Institute

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, and head of department of Econometrics and Data Science (formerly 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

Financial Econometrics; Statistics; Thesis supervision.

Programs:

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

Ancillary activities

No ancillary activities

Ancillary activities are updated daily

prof. dr. André Lucas

Keywords

  • Financial econometrics, Time series, Statistics

Publications

Highlighted prizes

  • VICI - grant 1.5 million euro, Systemic Risk Tomography

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