Julia Schaumburg : Citation Profile


Are you Julia Schaumburg?

Vrije Universiteit Amsterdam

4

H index

3

i10 index

89

Citations

RESEARCH PRODUCTION:

2

Articles

9

Papers

RESEARCH ACTIVITY:

   5 years (2010 - 2015). See details.
   Cites by year: 17
   Journals where Julia Schaumburg has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 4 (4.3 %)

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   Permalink: http://citec.repec.org/psc415
   Updated: 2017-09-16    RAS profile: 2015-08-06    
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Relations with other researchers


Works with:

Schienle, Melanie (6)

Hautsch, Nikolaus (5)

Koopman, Siem Jan (2)

Lucas, Andre (2)

Blasques, Francisco (2)

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

Is cited by:

Härdle, Wolfgang (9)

Barigozzi, Matteo (8)

Gnabo, Jean-Yves (6)

Lucas, Andre (5)

Brownlees, Christian (5)

Giudici, Paolo (5)

Caporin, Massimiliano (5)

Hautsch, Nikolaus (5)

Billio, Monica (4)

Catania, Leopoldo (4)

Hallin, Marc (4)

Cites to:

Koopman, Siem Jan (8)

Lucas, Andre (8)

Härdle, Wolfgang (7)

Hautsch, Nikolaus (5)

Hunt, Jennifer (4)

Burda, Michael (4)

Creal, Drew (4)

Schwaab, Bernd (4)

Lee, Lung-Fei (3)

Hafner, Christian (3)

Einmahl, John (3)

Main data


Where Julia Schaumburg has published?


Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany5
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Julia Schaumburg (2017 and 2016)


YearTitle of citing document
2016EU ETS Facets in the Net: How Account Types Influence the Structure of the System. (2016). Borghesi, Simone ; Flori, Andrea . In: MITP: Mitigation, Innovation,and Transformation Pathways. RePEc:ags:feemmi:232214.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2016Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi . In: Papers. RePEc:arx:papers:1608.02365.

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2016Generalized Autoregressive Score Models in R: The GAS Package. (2016). Catania, Leopoldo ; Ardia, David ; Boudt, Kris . In: Papers. RePEc:arx:papers:1609.02354.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist . In: Bank of England working papers. RePEc:boe:boeewp:0660.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico . In: Working Paper Series. RePEc:ecb:ecbwps:20161875.

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2016Bank networks from text: interrelations, centrality and determinants. (2016). Ronnqvist, Samuel ; Sarlin, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20161876.

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2016TENET: Tail-Event driven NETwork risk. (2016). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Yu, Lining ; Wang, Weining . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:499-513.

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2016A network approach to portfolio selection. (2016). Zareei, Abalfazl ; Peralta, Gustavo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:157-180.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:461-475.

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2016Systemic risk spillovers in the European banking and sovereign network. (2016). Schienle, Melanie ; Hautsch, Nikolaus ; Betz, Frank ; Peltonen, Tuomas A. In: Journal of Financial Stability. RePEc:eee:finsta:v:25:y:2016:i:c:p:206-224.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2016Systemic risk among European banks: A copula approach. (2016). Kleinow, Jacob ; Moreira, Fernando . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:42:y:2016:i:c:p:27-42.

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2017Network, market, and book-based systemic risk rankings. (2017). van de Leur, Michiel ; Lucas, Andre ; Seeger, Norman J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:84-90.

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2016A financial network perspective of financial institutions’ systemic risk contributions. (2016). Yao, Shuang ; Uryasev, Stan ; Zhuang, Xin-Tian . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:456:y:2016:i:c:p:183-196.

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2016EU ETS Facets in the Net: How Account Types Influence the Structure of the System. (2016). Borghesi, Simone ; Flori, Andrea . In: Working Papers. RePEc:fem:femwpa:2016.08.

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2016Time Varying Quantile Lasso. (2016). Härdle, Wolfgang ; Zbonakova, Lenka ; Wang, Weining ; Hardle, Wolfgang Karl . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-047.

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2017FRM: a Financial Risk Meter based on penalizing tail events occurrence. (2017). Härdle, Wolfgang ; Benschop, Thijs ; Borke, Lukas ; Hardle, Wolfgang Karl ; Yu, Lining . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-003.

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2017Tail event driven networks of SIFIs. (2017). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Okhrin, Yarema . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-004.

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2016Spatial Dependence and Data-Driven Networks of International Banks. (2016). Saldias, Martin ; Saldas, Martn ; Craig, Ben . In: IMF Working Papers. RePEc:imf:imfwpa:16/184.

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2016CoRisk: measuring systemic risk through default probability contagion. (2016). Parisi, Laura ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0116.

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2016The multivariate nature of systemic risk: direct and common exposures. (2016). Giudici, Paolo ; Spelta, Alessandro ; Sarlin, Peter . In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0118.

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2016Bail in or Bail out? The Atlante example from a systemic risk perspective. (2016). Parisi, Laura ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0124.

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2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria ; Bille, Anna Gloria . In: CEIS Research Paper. RePEc:rtv:ceisrp:375.

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2017SRISK: a conditional capital shortfall measure of systemic risk. (2017). Engle, Robert ; Brownlees, Christian. In: ESRB Working Paper Series. RePEc:srk:srkwps:201737.

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2016Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads. (2016). Siegmann, Arjen ; Lucas, Andre ; Lange, Rutger-Jan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160064.

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2017Smooth Transition Spatial Autoregressive Models. (2017). Koomen, Eric ; Blasques, Francisco ; Pieter, BO. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170050.

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2016Systemic risk spillovers in the European banking and sovereign network. (2016). Schienle, Melanie ; Peltonen, Tuomas ; Hautsch, Nikolaus ; Betz, Frank . In: Working Paper Series in Economics. RePEc:zbw:kitwps:79.

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2017Estimation and model-based combination of causality networks. (2017). Caporin, Massimiliano ; Bonaccolto, Giovanni ; Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:165.

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2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification. (2017). Pelizzon, Loriana ; Caporin, Massimiliano ; Billio, Monica ; Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:166.

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Works by Julia Schaumburg:


YearTitleTypeCited
2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
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article19
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 19
paper
2010Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory In: SFB 649 Discussion Papers.
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paper4
2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
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paper56
2012Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 56
paper
2015Financial Network Systemic Risk Contributions.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 56
article
2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 56
paper
2014Beyond dimension two: A test for higher-order tail risk In: SFB 649 Discussion Papers.
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paper0
2014A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk In: Tinbergen Institute Discussion Papers.
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paper0
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models In: Tinbergen Institute Discussion Papers.
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paper10
2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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This paper has another version. Agregated cites: 10
paper

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