Julia Schaumburg : Citation Profile


Are you Julia Schaumburg?

Vrije Universiteit Amsterdam

6

H index

5

i10 index

369

Citations

RESEARCH PRODUCTION:

8

Articles

26

Papers

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 33
   Journals where Julia Schaumburg has often published
   Relations with other researchers
   Recent citing documents: 89.    Total self citations: 16 (4.16 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc415
   Updated: 2022-11-19    RAS profile: 2021-07-26    
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Relations with other researchers


Works with:

Lucas, Andre (7)

Schwaab, Bernd (6)

Lelyveld, Iman (3)

Nucera, Federico (3)

Wang, Dieter (3)

Tonzer, Lena (2)

Sekhposyan, Tatevik (2)

Koopman, Siem Jan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Julia Schaumburg.

Is cited by:

Barigozzi, Matteo (13)

Härdle, Wolfgang (12)

Wang, Weining (12)

Billio, Monica (10)

Gnabo, Jean-Yves (9)

Lucas, Andre (9)

Caporin, Massimiliano (9)

Brownlees, Christian (9)

Giudici, Paolo (9)

Schienle, Melanie (9)

Hallin, Marc (8)

Cites to:

Lucas, Andre (30)

Koopman, Siem Jan (24)

Creal, Drew (14)

Schwaab, Bernd (14)

Engle, Robert (12)

Härdle, Wolfgang (10)

Hautsch, Nikolaus (9)

Acemoglu, Daron (8)

Lelyveld, Iman (8)

Hafner, Christian (7)

Acharya, Viral (7)

Main data


Where Julia Schaumburg has published?


Journals with more than one article published# docs
Economics Letters2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute11
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany5
Working Paper Series / European Central Bank3

Recent works citing Julia Schaumburg (2022 and 2021)


YearTitle of citing document
2022A Robust Score-Driven Filter for Multivariate Time Series. (2020). Mazzocchi, Mario ; Luati, Alessandra ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2009.01517.

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2022Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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2022A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263.

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2021Portfolio optimization with idiosyncratic and systemic risks for financial networks. (2021). Han, Jihui ; Wang, Chao ; Chen, Lin ; Zhao, Longfeng ; Yang, Yajie. In: Papers. RePEc:arx:papers:2111.11286.

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2022Tail price risk spillovers along the US beef and pork supply chains. (2022). Tzaferi, Dimitra ; Fousekis, Panos. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:2:p:383-399.

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2021GDP?network CoVaR: A tool for assessing growth?at?risk. (2021). Tizzanini, Giacomo ; De Meo, Emanuele . In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:2:n:e12181.

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2021Banks noninterest income and securities holdings in a low interest rate environment: The case of Italy. (2021). Williams, Jonathan ; Reghezza, Alessio ; Molyneux, Philip ; Torriero, Chiara. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:98-119.

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2021Bayesian State?Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy. (2021). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:123:y:2021:i:4:p:1261-1291.

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2021Score-driven time series models. (2021). Harvey, Andrew. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2133.

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2021Dynamic clustering of multivariate panel data. (2021). Lucas, Andre ; Joao, Igor Custodio ; Schwaab, Bernd ; Schaumburg, Julia. In: Working Paper Series. RePEc:ecb:ecbwps:20212577.

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2022Monetary policy, macroprudential policy and financial stability. (2022). Mendicino, Caterina ; Maddaloni, Angela ; Laeven, Luc. In: Working Paper Series. RePEc:ecb:ecbwps:20222647.

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2022Making a virtue out of necessity: the effect of negative interest rates on bank cost efficiency. (2022). Reghezza, Alessio ; Pancotto, Livia ; Pancaro, Cosimo ; Girardone, Claudia ; Avignone, Giuseppe. In: Working Paper Series. RePEc:ecb:ecbwps:20222718.

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2021Time-varying inter-urban housing price spillovers in China: Causes and consequences. (2021). Yang, Haisheng ; Li, Jie ; Lu, Yunzhi. In: Journal of Asian Economics. RePEc:eee:asieco:v:77:y:2021:i:c:s1049007821001251.

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2021Identification of information networks in stock markets. (2021). Baltakys, Kstutis ; Kanniainen, Juho ; Baltakien, Margarita. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001524.

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2021Banks, money, and the zero lower bound on deposit rates. (2021). Kumhof, Michael ; Wang, Xuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:132:y:2021:i:c:s0165188921001433.

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2022Conditional tail price risk spillovers in coffee markets across quality, physical space, and time: Empirical analysis with penalized quantile regressions. (2022). Grigoriadis, Vasilis ; Fousekis, Panos. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002807.

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2022The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds sectors. (2022). Peng, Cheng ; Wang, Gangjin ; Su, Xiaojian ; Deng, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:113:y:2022:i:c:s0264999322001419.

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2021A model-based index for systemic risk contribution measurement in financial networks. (2021). Zhu, LI ; Zhang, Ziqing ; Deng, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:35-48.

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2021Network VAR models to measure financial contagion. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Hashem, Shatha Qamhieh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302059.

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2021Analysis of the cross-region risk contagion effect in stock market based on volatility spillover networks: Evidence from China. (2021). Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302400.

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2022Contagion effect of systemic risk among industry sectors in China’s stock market. (2022). Zhao, Tianyu ; Yan, Haoyang ; Xu, Qiuhua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001819.

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2021The effects of negative interest rates on cash usage: Evidence for EU countries. (2021). Willesson, Magnus ; Liares-Zegarra, Jose M. In: Economics Letters. RePEc:eee:ecolet:v:198:y:2021:i:c:s0165176520304341.

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2022Equity clusters through the lens of realized semicorrelations. (2022). Patton, Andrew ; Zhang, Haozhe ; Bollerslev, Tim. In: Economics Letters. RePEc:eee:ecolet:v:211:y:2022:i:c:s016517652100478x.

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2021Detecting granular time series in large panels. (2021). Mesters, Geert ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:544-561.

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2021Missing observations in observation-driven time series models. (2021). Blasques, Francisco ; Koopman, S J ; Gorgi, P. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:542-568.

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2022Maximum likelihood estimation for score-driven models. (2022). Lucas, Andre ; Koopman, Siem Jan ; van Brummelen, Janneke ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:325-346.

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2021Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence. (2021). Lucas, Andre ; van Vlodrop, Andries C ; Blasques, Francisco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:47-57.

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2021Negative interest rates, excess liquidity and retail deposits: Banks’ reaction to unconventional monetary policy in the euro area. (2021). Vlassopoulos, Thomas ; Eisenschmidt, Jens ; Demiralp, Selva. In: European Economic Review. RePEc:eee:eecrev:v:136:y:2021:i:c:s0014292121000982.

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2021Do negative interest rates affect bank risk-taking?. (2021). Williams, Jonathan ; Reghezza, Alessio ; Santamaria, Riccardo ; Bongiovanni, Alessio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:350-364.

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2022High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system. (2022). Hussain, Nazim ; Ji, Qiang ; Fan, Ying ; Liu, Bing-Yue. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005946.

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2022The banking instability and climate change: Evidence from China. (2022). Lu, Li Ping ; Zhang, Shuai. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006253.

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2022Network analysis of risk transmission among energy futures: An industrial chain perspective. (2022). Zhang, Xuan ; Wang, Tingting ; Zhuang, Chengkai ; Ouyang, Ruolan. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988321006332.

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2021Skewness-based market integration: A systemic risk measure across international equity markets. (2021). Li, Xupei ; Jian, Zhihong. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000077.

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2021How floating rate notes stopped floating: Evidence from the negative interest rate regime. (2021). Selga, Riks K ; Klaus, Jurgen. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000521.

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2022Regulatory technology (Reg-Tech) in financial stability supervision: Taxonomy, key methods, applications and future directions. (2022). Ergu, Daji ; Qian, Qian ; Li, Tie ; Chen, Jia ; Ran, Qin ; Chao, Xiangrui. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000035.

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2022Impacts of sovereign risk premium on bank profitability: Evidence from euro area. (2022). Junttila, Juha ; Sang, Vo Cao. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000783.

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2022Systemic risk in the Chinese financial system: A panel Granger causality analysis. (2022). Urga, Giovanni ; Cincinelli, Peter ; Pellini, Elisabetta. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001405.

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2022Systemic risk of commodity markets: A dynamic factor copula approach. (2022). Ouyang, Ruolan ; Zhao, Yang ; Fang, YI ; Chen, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s105752192200165x.

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2022Analysis of risk correlations among stock markets during the COVID-19 pandemic. (2022). Chen, Yun ; Zhang, Chao ; Wu, Junfeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922001818.

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2021Measuring the risk of Chinese Fintech industry: evidence from the stock index. (2021). Sun, Xiaolei ; Li, Jian Ping ; Yao, Yinhong. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319311055.

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2021Time domain and frequency domain Granger causality networks: Application to China’s financial institutions. (2021). Chevallier, Julien ; Xie, Chi ; Chen, Yang-Yang ; Si, Hui-Bin ; Wang, Gang-Jin. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319311419.

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2022A study of interconnections and contagion among Chinese financial institutions using a ?CoV aR network. (2022). Xu, Zezhou ; Mo, Dongxu ; Chen, Yan. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321003950.

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2022The network structure of overnight index swap rates. (2022). Uddin, Ajim ; Taylor, Stephen ; Fang, Ming. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004141.

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2022Cluster analysis of bank business models: The connection with performance, efficiency and risk. (2022). Quaranta, Anna Grazia ; Lagasio, Valentina. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005754.

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2021The intrafirm complexity of systemically important financial institutions. (2021). Leibon, G ; Foti, N J ; Rockmore, D N ; Lumsdaine, R L ; Farmer, J D. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301030.

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2022The contribution of (shadow) banks and real estate to systemic risk in China. (2022). Urga, Giovanni ; Meoli, Michele ; Cincinelli, Peter ; Pellegrini, Carlo Bellavite. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000420.

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2022Systemic risk measures and regulatory challenges. (2022). Brzeszczyski, Janusz ; Sharma, Satish ; Ellis, Scott. In: Journal of Financial Stability. RePEc:eee:finsta:v:61:y:2022:i:c:s1572308921001194.

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2022The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness. (2022). Angelini, Eliana ; Addi, Abdelhamid ; Foglia, Matteo. In: Global Finance Journal. RePEc:eee:glofin:v:51:y:2022:i:c:s1044028321000752.

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2021International tail risk connectedness: Network and determinants. (2021). Lambe, Brendan John ; Nguyen, Linh Hoang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000512.

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2022Bearish Vs Bullish risk network: A Eurozone financial system analysis. (2022). Angelini, Eliana ; Wang, Gang-Jin ; Addi, Abdelhamid ; Foglia, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000142.

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2022Does the choice of monetary policy tool matter for systemic risk? The curious case of negative interest rates. (2022). Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000865.

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2022Banking networks, systemic risk, and the credit cycle in emerging markets. (2022). Das, Sanjiv R ; Kalimipalli, Madhu ; Nayak, Subhankar. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s104244312200107x.

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2022Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches. (2022). Choi, Sun-Yong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001093.

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2021Bank systemic risk exposure and office market interconnectedness. (2021). Füss, Roland ; Ruf, Daniel ; Fuss, Roland ; ROLAND FÜSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002636.

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2022Predicting the stressed expected loss of large U.S. banks. (2022). Jondeau, Eric ; Khalilzadeh, Amir. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002727.

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2022Systemic risk and the COVID challenge in the european banking sector. (2022). Borri, Nicola ; di Giorgio, Giorgio. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426621000315.

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2022Contagion and tail risk in complex financial networks. (2022). Abduraimova, Kumushoy. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:143:y:2022:i:c:s037842662200156x.

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2021Complexity, interconnectedness and stability: New perspectives applied to the European banking system. (2021). Bertrand, Jean-Louis ; Chabot, Miia. In: Journal of Business Research. RePEc:eee:jbrese:v:129:y:2021:i:c:p:784-800.

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2022Interest rate risk and monetary policy normalisation in the euro area. (2022). Reghezza, Alessio ; D'Acri, Costanza Rodriguez ; Pancotto, Livia ; Molyneux, Philip. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000274.

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2022Measuring 25 years of global equity market co-movement using a time-varying spatial model. (2022). Prange, Philipp ; Peter, Franziska J ; Thomas, . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001115.

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2021Dynamic identification of systemically important financial markets in the spread of contagion: A ripple network based collective spillover effect approach. (2021). Xu, Fuwei ; Su, Zhi. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000050.

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2021Centrality-based measures of financial institutions’ systemic importance: A tail dependence network view. (2021). Huang, Wei-Qiang ; Wang, Dan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:562:y:2021:i:c:s0378437120307081.

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2021Interconnectedness, systemic risk, and the influencing factors: Some evidence from China’s financial institutions. (2021). Zhang, Tianyi ; Yang, Zhongyi ; Tong, MU ; Wu, Shan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:569:y:2021:i:c:s0378437121000376.

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2021Optimal time-varying tail risk network with a rolling window approach. (2021). Zhang, Shuai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004003.

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2021Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions. (2021). Chevallier, Julien ; Xie, Chi ; Si, Hui-Bin ; Chen, Yang-Yang ; Wang, Gang-Jin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:325-347.

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2021Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model. (2021). Liu, Yezheng ; Xu, Qifa ; Jiang, Cuixia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:386-398.

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2021Network diffusion of international oil volatility risk in Chinas stock market: Quantile interconnectedness modelling and shock decomposition analysis. (2021). Xia, Xiaohua ; Li, Ziruo ; Huang, Jionghao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:1-39.

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2022Effects of a negative interest rate policy in bank profitability and risk taking: Evidence from European banks. (2022). Silva, Jose Fernando ; Iglesias-Casal, Ana ; Lopez-Penabad, Maria Celia. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s027553192100218x.

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2021The financial reporting system - what is it?. (2021). Power, Michael. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:110220.

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2022Making Sense of Negative Nominal Interest Rates. (2022). Ulate, Mauricio ; Koby, Yann ; Balloch, Cynthia. In: Working Paper Series. RePEc:fip:fedfwp:94465.

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2022Contagion in the Banking Industry: a Robust-to-Endogeneity Analysis. (2022). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Bereau, Sophie. In: Working Papers. RePEc:hal:wpaper:halshs-03513049.

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2021Monetary Policy with Negative Interest Rates: De-linking Cash from Digital Money. (2021). Krogstrup, Signe ; Assenmacher, Katrin. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2021:q:1:a:3.

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2022Bank business models, negative policy rates, and prudential regulation. (2022). Savona, Roberto. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:3:d:10.1007_s10436-021-00397-1.

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2022The Cross-Shareholding Network and Risk Contagion from Stochastic Shocks: An Investigation Based on China’s Market. (2022). Li, Xin ; Feng, Yun. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-021-10092-y.

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2022Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach. (2022). Onder, Ozlem A ; Muradolu, Gulnur Y ; Kila, Gul Huyuguzel. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:4:d:10.1057_s41260-022-00263-3.

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2021Measuring Systemic Risk in South African Banks. (2021). Sing, Marea ; Chatterjee, Somnath . In: Working Papers. RePEc:rbz:wpaper:11004.

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2021A Structural Model of Market Friction with Time-Varying Volatility. (2021). Grassi, Stefano ; Buccheri, Giuseppe ; Vocalelli, Giorgio. In: CEIS Research Paper. RePEc:rtv:ceisrp:506.

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2021Banks’ business models in the euro area: a cluster analysis in high dimensions. (2021). Vouldis, Angelos ; Farne, Matteo. In: Annals of Operations Research. RePEc:spr:annopr:v:305:y:2021:i:1:d:10.1007_s10479-021-04045-9.

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2021Does cross-shareholding lead to Chinas stock returns comovement? Evidence from a GMM-based spatial AR model. (2021). Li, Xin ; Feng, Yun. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:6:d:10.1007_s00181-020-02002-2.

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2021Dynamic effects of network exposure on equity markets. (2021). Volkov, Vladimir ; Kangogo, Moses. In: Working Papers. RePEc:tas:wpaper:37326.

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2021The triple (T3) dimension of systemic risk: Identifying systemically important banks. (2021). Angelini, Eliana ; Foglia, Matteo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:7-26.

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2021Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates. (2021). Nguyen, Duc Khuong ; Ji, Qiang ; Fan, Ying ; Liu, Bingyue. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2612-2636.

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2021Tail risk connectedness between US industries. (2021). Tan, Linzhi ; Nguyen, Linh H. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3624-3650.

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2021Tail risk interdependence. (2021). Chiu, Chingwai ; Stoja, Evarist ; Polanski, Arnold. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5499-5511.

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2021Spillovers and jumps in global markets: A comparative analysis. (2021). Laurini, Marcio P ; Moura, Rodolfo C. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5997-6013.

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2022Pushed Past the Limit? How Japanese Banks Reacted to Negative Rates. (2022). Kandrac, John ; Hong, Gee Hee. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:4:p:1027-1063.

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2021Financial Risk Meter based on expectiles. (2021). Härdle, Wolfgang ; Hardle, Wolfgang ; Li, Yingxing ; Lu, Meng-Jou ; Ren, Rui. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021008.

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Works by Julia Schaumburg:


YearTitleTypeCited
2021Networking the Yield Curve: Implications for Monetary Policy In: Staff Working Papers.
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2021Networking the yield curve: implications for monetary policy.(2021) In: Working Paper Series.
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2018Do information contagion and business model similarities explain bank credit risk commonalities? In: Working Papers.
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2017Bank business models at zero interest rates In: Working Paper Series.
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2019Bank Business Models at Zero Interest Rates.(2019) In: Journal of Business & Economic Statistics.
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2016Bank Business Models at Zero Interest Rates.(2016) In: Tinbergen Institute Discussion Papers.
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2017Do negative interest rates make banks less safe? In: Working Paper Series.
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paper37
2017Do negative interest rates make banks less safe?.(2017) In: Economics Letters.
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This paper has another version. Agregated cites: 37
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2017Do Negative Interest Rates Make Banks Less Safe?.(2017) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 37
paper
2012Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory In: Computational Statistics & Data Analysis.
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article4
2016Accounting for missing values in score-driven time-varying parameter models In: Economics Letters.
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article6
2016Accounting for Missing Values in Score-Driven Time-Varying Parameter Models.(2016) In: Tinbergen Institute Discussion Papers.
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paper
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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article53
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 53
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2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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This paper has another version. Agregated cites: 53
paper
2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
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article49
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 49
paper
2010Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory In: SFB 649 Discussion Papers.
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paper5
2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
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paper184
2012Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 184
paper
2015Financial Network Systemic Risk Contributions.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 184
article
2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 184
paper
2014Beyond dimension two: A test for higher-order tail risk In: SFB 649 Discussion Papers.
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2016Beyond Dimension two: A Test for Higher-Order Tail Risk.(2016) In: The Journal of Financial Econometrics.
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article
2016Beyond dimension two: A test for higher-order tail risk.(2016) In: Working Paper Series in Economics.
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paper
2019Do information contagion and business model similarities explain bank credit risk commonalities? In: ESRB Working Paper Series.
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paper2
2018Do information contagion and business model similarities explain bank credit risk commonalities?.(2018) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2014A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk In: Tinbergen Institute Discussion Papers.
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paper0
2020Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe In: Tinbergen Institute Discussion Papers.
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paper1
2020Financial linkages and sectoral business cycle synchronisation: Evidence from Europe.(2020) In: IWH Discussion Papers.
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This paper has another version. Agregated cites: 1
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2020Dynamic clustering of multivariate panel data In: Tinbergen Institute Discussion Papers.
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2021Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels In: Tinbergen Institute Discussion Papers.
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2021Clustering Dynamics and Persistence for Financial Multivariate Panel Data In: Tinbergen Institute Discussion Papers.
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paper0
2021Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors In: Tinbergen Institute Discussion Papers.
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