Julia Schaumburg : Citation Profile


Are you Julia Schaumburg?

Vrije Universiteit Amsterdam

5

H index

3

i10 index

165

Citations

RESEARCH PRODUCTION:

8

Articles

18

Papers

RESEARCH ACTIVITY:

   9 years (2010 - 2019). See details.
   Cites by year: 18
   Journals where Julia Schaumburg has often published
   Relations with other researchers
   Recent citing documents: 45.    Total self citations: 8 (4.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc415
   Updated: 2019-09-14    RAS profile: 2019-07-19    
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Relations with other researchers


Works with:

Lucas, Andre (11)

Schwaab, Bernd (5)

Schienle, Melanie (5)

Lelyveld, Iman (3)

Nucera, Federico (3)

Blasques, Francisco (3)

Koopman, Siem Jan (3)

Hautsch, Nikolaus (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 (12)

Barigozzi, Matteo (12)

Hallin, Marc (8)

Schienle, Melanie (7)

Gnabo, Jean-Yves (7)

Giudici, Paolo (7)

Lucas, Andre (6)

Peltonen, Tuomas (6)

Billio, Monica (6)

Parisi, Laura (5)

Geraci, Marco Valerio (5)

Cites to:

Koopman, Siem Jan (14)

Lucas, Andre (13)

Creal, Drew (8)

Härdle, Wolfgang (7)

Engle, Robert (7)

Hautsch, Nikolaus (6)

Schwaab, Bernd (5)

Reinhart, Carmen (4)

Burda, Michael (4)

Straetmans, Stefan (4)

Schienle, Melanie (4)

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 Institute6
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany5
Working Paper Series / European Central Bank2

Recent works citing Julia Schaumburg (2019 and 2018)


YearTitle of citing document
2019Do Negative Interest Rates Affect Bank Risk-Taking?. (2019). Reghezza, Aalessio ; Santamaria, Riccardo ; Bongiovanni, Alessio ; Williams, Jonathan. In: Working Papers. RePEc:bng:wpaper:19012.

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2018Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence. (2018). Spiegel, Mark ; Rose, Andrew ; Lopez, Jose. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13010.

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2018LASSO-Driven Inference in Time and Space. (2018). Härdle, Wolfgang ; Chernozhukov, Victor ; Wang, W ; Huang, C ; Hardle, W K. In: Working Papers. RePEc:cty:dpaper:18/04.

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2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

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2018Credit supply and demand in unconventional times. (2018). Altavilla, Carlo ; Ongena, Steven ; Holton, Sarah ; Boucinha, Miguel ; Carlo Altavilla , . In: Working Paper Series. RePEc:ecb:ecbwps:20182202.

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2018The first twenty years of the European Central Bank: monetary policy. (2018). Hartmann, Philipp ; Smets, Frank. In: Working Paper Series. RePEc:ecb:ecbwps:20182219.

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2019Measuring network systemic risk contributions: A leave-one-out approach. (2019). Tokpavi, Sessi ; Lucotte, Yannick ; Hue, Sullivan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:86-114.

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2018Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:87:y:2018:i:c:p:21-45.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2019Geographical spillovers on the relation between risk-taking and market power in the US banking sector. (2019). Pino Saldías, Gabriel ; Rodriguez, Alejandro ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:351-364.

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2019Tail event driven networks of SIFIs. (2019). Chen, Cathy Yi-Hsuan ; Okhrin, Yarema ; Hardle, Wolfgang Karl. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:282-298.

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2019Modeling systemic risk with Markov Switching Graphical SUR models. (2019). Guidolin, Massimo ; Billio, Monica ; Bianchi, Daniele ; Casarin, Roberto. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:58-74.

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2018Interconnectedness and systemic risk of Chinas financial institutions. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Xie, Chi ; Lin, Min ; Jiang, Zhi-Qiang. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:1-18.

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2018Systemic risk network of Chinese financial institutions. (2018). Fang, Libing ; Yu, Honghai ; Li, Huijing ; Sun, Boyang. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:190-206.

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2018EU ETS facets in the net: Structure and evolution of the EU ETS network. (2018). Borghesi, Simone ; Flori, Andrea. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:602-635.

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2019Identifying the peak point of systemic risk in international crude oil importing trade. (2019). Dong, Gaogao ; Du, Ruijin ; Stanley, Eugene H ; Zhang, Xin ; Zhao, Longfeng ; Wang, Yougui ; Tian, Lixin. In: Energy. RePEc:eee:energy:v:176:y:2019:i:c:p:281-291.

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2018Syndication, interconnectedness, and systemic risk. (2018). Cai, Jian ; Steffen, Sascha ; Saunders, Anthony ; Eidam, Frederik. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:105-120.

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2018Network linkages to predict bank distress. (2018). Constantin, Andreea ; Sarlin, Peter ; Peltonen, Tuomas A. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:226-241.

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2018Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?. (2018). Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhao, Longfeng ; Xie, Chi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:205-230.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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2018Why do some banks contribute more to global systemic risk?. (2018). Bostandzic, Denefa . In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:35:y:2018:i:pa:p:17-40.

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2018Systemic risk and bank size. (2018). Varotto, Simone ; Zhao, Lei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:82:y:2018:i:c:p:45-70.

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2018Early warning model based on correlated networks in global crude oil markets. (2018). Xie, Wen-Jie ; Yu, Jia-Wei ; Jiang, Zhi-Qiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1335-1343.

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2018A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility. (2018). Ko, Bonggyun ; Song, Jae Wook. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:398-412.

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2018A return spillover network perspective analysis of Chinese financial institutions’ systemic importance. (2018). Huang, Wei-qiang ; Wang, Dan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:405-421.

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2018Editorial for the special issue entitled: New advances in spatial econometrics: Interactions matter. (2018). Debarsy, Nicolas ; Yang, Zhenlin. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:72:y:2018:i:c:p:1-5.

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2018Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry. (2018). Chang, Carolyn W ; Yu, Min-Teh ; Li, Xiaodan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:273-284.

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2018Nets: network estimation for time series. (2018). Brownlees, Christian T ; Barigozzi, Matteo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:90493.

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2018Did BOJs Negative Interest Rate Policy Increase Bank Lending?. (2018). Hiroshi, Gunji. In: Discussion papers. RePEc:eti:dpaper:18086.

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2018Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence. (2018). Spiegel, Mark ; Rose, Andrew ; Lopez, Jose. In: Working Paper Series. RePEc:fip:fedfwp:2018-07.

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2018Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review. (2018). Trapin, Luca ; Bee, Marco. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:45-:d:142858.

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2019Bail-In or Bail-Out? Correlation Networks to Measure the Systemic Implications of Bank Resolution. (2019). Giudici, Paolo ; Parisi, Laura. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:3-:d:195087.

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2018Financial Risk Measurement and Prediction Modelling for Sustainable Development of Business Entities Using Regression Analysis. (2018). Valaskova, Katarina ; Adamko, Peter ; Svabova, Lucia ; Kliestik, Tomas. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:7:p:2144-:d:154028.

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2018Modeling Systemic Risk with Markov Switching Graphical SUR Models. (2018). Guidolin, Massimo ; Billio, Monica ; Casarin, Roberto ; Bianchi, Daniele. In: Working Papers. RePEc:igi:igierp:626.

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2018Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature. (2018). Tian, Dingshi ; Fang, Ying ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201807.

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2018Measuring Network Systemic Risk Contributions: A Leave-one-out Approach. (2018). Lucotte, Yannick ; Tokpavi, Sessi ; Hue, Sullivan. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2608.

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2018Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall. (2018). Eckernkemper, Tobias. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:63-117..

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2019Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis. (2019). Buse, Rebekka ; Urban, Jorg ; Schienle, Melanie. In: ESRB Working Paper Series. RePEc:srk:srkwps:201990.

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2018Missing Observations in Observation-Driven Time Series Models. (2018). Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180013.

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2018DSGE Models with Observation-Driven Time-Varying parameters. (2018). Angelini, Giovanni ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180030.

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2019Do conventional monetary policy instruments matter in unconventional times?. (2019). Buchholz, Manuel ; Tonzer, Lena ; Schmidt, Kirsten. In: Discussion Papers. RePEc:zbw:bubdps:272019.

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2018Financial bridges and network communities. (2018). Casarin, Roberto ; Yenerdag, Erdem ; Costola, Michele. In: SAFE Working Paper Series. RePEc:zbw:safewp:208.

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2018On the ranking consistency of global systemic risk measures: empirical evidence. (2018). Abendschein, Michael ; Grundke, Peter. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181623.

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Works by Julia Schaumburg:


YearTitleTypeCited
2018Do information contagion and business model similarities explain bank credit risk commonalities? In: DNB Working Papers.
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2019Do information contagion and business model similarities explain bank credit risk commonalities?.(2019) In: ESRB Working Paper Series.
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This paper has another version. Agregated cites: 0
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2018Do information contagion and business model similarities explain bank credit risk commonalities?.(2018) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 0
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2017Bank business models at zero interest rates In: Working Paper Series.
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2016Bank Business Models at Zero Interest Rates.(2016) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 1
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2017Do negative interest rates make banks less safe? In: Working Paper Series.
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paper8
2017Do negative interest rates make banks less safe?.(2017) In: Economics Letters.
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This paper has another version. Agregated cites: 8
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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: 8
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2012Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory In: Computational Statistics & Data Analysis.
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2016Accounting for missing values in score-driven time-varying parameter models In: Economics Letters.
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article1
2016Accounting for Missing Values in Score-Driven Time-Varying Parameter Models.(2016) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 1
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2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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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: 18
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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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2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
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2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 32
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2010Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory In: SFB 649 Discussion Papers.
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2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
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2012Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 96
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2015Financial Network Systemic Risk Contributions.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 96
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2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 96
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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 In: Journal of Financial Econometrics.
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2016Beyond dimension two: A test for higher-order tail risk.(2016) In: Working Paper Series in Economics.
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This paper has another version. Agregated cites: 1
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2019Bank Business Models at Zero Interest Rates In: Journal of Business & Economic Statistics.
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2014A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk In: Tinbergen Institute Discussion Papers.
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