7
H index
5
i10 index
432
Citations
Vrije Universiteit Amsterdam | 7 H index 5 i10 index 432 Citations RESEARCH PRODUCTION: 8 Articles 25 Papers RESEARCH ACTIVITY: 11 years (2010 - 2021). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/psc415 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Julia Schaumburg. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Economics Letters | 2 |
Working Papers Series with more than one paper published | # docs |
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Tinbergen Institute Discussion Papers / Tinbergen Institute | 11 |
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany | 5 |
Working Paper Series / European Central Bank | 3 |
Year | Title of citing document |
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2023 | Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542. Full description at Econpapers || Download paper |
2023 | Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424. Full description at Econpapers || Download paper |
2023 | Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610. Full description at Econpapers || Download paper |
2023 | A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper |
2023 | Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model. (2023). Simsek, Yasin ; Cakmakli, Cem. In: Papers. RePEc:arx:papers:2301.13692. Full description at Econpapers || Download paper |
2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper |
2023 | The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57. Full description at Econpapers || Download paper |
2023 | Where does the risk lie? Systemic risk and tail risk networks in the Chinese financial market. (2023). Gao, Chenyin ; Deng, Yang. In: Pacific Economic Review. RePEc:bla:pacecr:v:28:y:2023:i:2:p:167-190. Full description at Econpapers || Download paper |
2023 | Dynamic nonparametric clustering of multivariate panel data. (2023). Schwaab, Bernd ; Schaumburg, Julia ; Lucas, Andre ; Joao, Igor Custodio. In: Working Paper Series. RePEc:ecb:ecbwps:20232780. Full description at Econpapers || Download paper |
2023 | Do market-based networks reflect true exposures between banks?. (2023). Karamysheva, Madina ; Craig, Ben ; Salakhova, Dilyara. In: Working Paper Series. RePEc:ecb:ecbwps:20232867. Full description at Econpapers || Download paper |
2023 | Semiparametric function-on-function quantile regression model with dynamic single-index interactions. (2023). Lian, Heng ; Zhang, Yuanyuan ; Zhu, Hanbing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000385. Full description at Econpapers || Download paper |
2023 | Interconnectedness and extreme risk: Evidence from dual banking systems. (2023). bouoiyour, jamal ; Addi, Abdelhamid. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200387x. Full description at Econpapers || Download paper |
2023 | Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669. Full description at Econpapers || Download paper |
2023 | Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365. Full description at Econpapers || Download paper |
2023 | Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054. Full description at Econpapers || Download paper |
2023 | Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels. (2023). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s106294082300058x. Full description at Econpapers || Download paper |
2023 | A spatial panel quantile model with unobserved heterogeneity. (2023). Lu, Lina ; Li, Kunpeng ; Ando, Tomohiro. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:191-213. Full description at Econpapers || Download paper |
2023 | Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2023). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:s:p:70-90. Full description at Econpapers || Download paper |
2023 | Identifying latent group structures in spatial dynamic panels. (2023). Su, Liangjun ; Xu, Xingbai ; Wang, Wuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1955-1980. Full description at Econpapers || Download paper |
2023 | Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29. Full description at Econpapers || Download paper |
2023 | Firm behaviour under negative deposit rates. (2023). Abildgren, Kim ; Kuchler, Andreas. In: European Economic Review. RePEc:eee:eecrev:v:151:y:2023:i:c:s001429212200229x. Full description at Econpapers || Download paper |
2023 | Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347. Full description at Econpapers || Download paper |
2023 | Tail-event driven NETwork dependence in emerging markets. (2023). Yousaf, Imran ; Ali, Shoaib ; Yarovaya, Larisa ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000887. Full description at Econpapers || Download paper |
2023 | Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250. Full description at Econpapers || Download paper |
2023 | Risk network of global energy markets. (2023). Uddin, Gazi ; Okhrin, Yarema ; Rahman, Md Lutfur ; Jayasekera, Ranadeva ; Yahya, Muhammad ; Luo, Tianqi. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003808. Full description at Econpapers || Download paper |
2023 | Does the Achilles heel of guarantee networks drive financial distress?. (2023). Zhen, Weihao ; Wu, Wuqing ; Wang, Yirui ; Shan, Yuan George. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001515. Full description at Econpapers || Download paper |
2023 | Forecasting short-term defaults of firms in a commercial network via Bayesian spatial and spatio-temporal methods. (2023). Montagna, Silvia ; Argiento, Raffaele ; Berloco, Claudia. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1065-1077. Full description at Econpapers || Download paper |
2023 | Dynamic spillover effects among international crude oil markets from the time-frequency perspective. (2023). Zhang, Xiaoming ; Xu, Chao ; Zhou, Hegang ; Lee, Chien-Chiang. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006614. Full description at Econpapers || Download paper |
2023 | The extreme risk connectedness of the global financial system: G7 and BRICS evidence. (2023). Lu, Shuai ; Li, Shaofang ; Chen, Ning. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:69:y:2023:i:c:s1042444x23000312. Full description at Econpapers || Download paper |
2023 | Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market. (2023). Cheng, Lee-Young ; Wang, Shengjin ; Yang, Yuhong ; Li, Ruihai ; Shen, Anran ; Zheng, Yingfei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000379. Full description at Econpapers || Download paper |
2023 | Mechanism-based deep learning for tray efficiency soft-sensing in distillation process. (2023). Cui, Zhe ; Li, Chuankun ; Tian, Wende ; Wang, Shaochen ; Liu, Bin. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:231:y:2023:i:c:s0951832022006275. Full description at Econpapers || Download paper |
2023 | The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Panzica, Roberto ; Billio, Monica. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223. Full description at Econpapers || Download paper |
2023 | What impacts foreign capital flows to Chinas stock markets? Evidence from financial risk spillover networks. (2023). Li, Songsong ; Xu, Hao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:559-577. Full description at Econpapers || Download paper |
2023 | Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000703. Full description at Econpapers || Download paper |
2023 | Financial networks and systemic risk vulnerabilities: A tale of Indian banks. (2023). Bekiros, Stelios ; Khan, Mohammad Azeem ; Wadhwani, Akshay ; Tiwari, Shiv Ratan ; Ahmad, Wasim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000880. Full description at Econpapers || Download paper |
2023 | Modelling Systemic Risk in Morocco’s Banking System. (2023). Madkour, Jaouad ; el Msiyah, Cherif ; Kyoud, Ayoub. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:2:p:70-:d:1151988. Full description at Econpapers || Download paper |
2023 | Evolution, Forecasting, and Driving Mechanisms of the Digital Financial Network: Evidence from China. (2023). Hong, Yuxuan ; Xiao, Wenqian ; Wang, Kexing ; Liang, Juan ; Chen, Shihui ; Du, Linyu ; Zhu, Yuqi ; Shen, Siwei ; Ding, Rui. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:22:p:16072-:d:1282623. Full description at Econpapers || Download paper |
2023 | Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72.. Full description at Econpapers || Download paper |
2023 | Dynamic dependencies and return connectedness among stock, gold and Bitcoin markets: Evidence from South Asia and China. (2023). Ahmed, Abdullahi D ; Lu, Ran ; Zeng, Hongjun. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:18:y:2023:i:1:p:49-87. Full description at Econpapers || Download paper |
2023 | Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework. (2023). Zhou, Wei-Xing ; Jawadi, Fredj ; Xu, Hai-Chuan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02338-x. Full description at Econpapers || Download paper |
2023 | Stock profiling using time–frequency-varying systematic risk measure. (2023). Mestre, Roman. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00457-7. Full description at Econpapers || Download paper |
2023 | An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach. (2023). Frimpong, Ophelia ; Ntiamoah, Bernard O ; Aidoo, Eric N ; Ampofo, Richard T ; Sasu, Daniel. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09613-8. Full description at Econpapers || Download paper |
2023 | Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model. (2023). Sampi, James ; Koopman, S J ; Gorgi, P ; Blasques, F. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230007. Full description at Econpapers || Download paper |
2023 | Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230051. Full description at Econpapers || Download paper |
2023 | Bank lending margins in a negative interest rate environment. (2023). Mawusi, Charles ; Boungou, Whelsy. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:886-901. Full description at Econpapers || Download paper |
2023 | Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions. (2023). Huang, Chuangxia ; Yang, Xiaoguang ; Liu, Hong ; Chen, Shan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1201-1213. Full description at Econpapers || Download paper |
2023 | Are lower interest rates really associated with higher growth? New empirical evidence on the interest rate thesis from 19 countries. (2023). Werner, Richard A ; Lee, Kangsoek. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3960-3975. Full description at Econpapers || Download paper |
2023 | Forecasting inflation time series using score?driven dynamic models and combination methods: The case of Brazil. (2023). Lucena, Fernando Antonio ; Dias, Carlos Henrique. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:369-401. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2021 | Networking the Yield Curve: Implications for Monetary Policy In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | Networking the yield curve: implications for monetary policy.(2021) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2017 | Bank business models at zero interest rates In: Working Paper Series. [Full Text][Citation analysis] | paper | 27 |
2019 | Bank Business Models at Zero Interest Rates.(2019) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
2016 | Bank Business Models at Zero Interest Rates.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2017 | Do negative interest rates make banks less safe? In: Working Paper Series. [Full Text][Citation analysis] | paper | 43 |
2017 | Do negative interest rates make banks less safe?.(2017) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 43 | article | |
2017 | Do Negative Interest Rates Make Banks Less Safe?.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 43 | paper | |
2012 | Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 8 |
2016 | Accounting for missing values in score-driven time-varying parameter models In: Economics Letters. [Full Text][Citation analysis] | article | 7 |
2016 | Accounting for Missing Values in Score-Driven Time-Varying Parameter Models.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2016 | Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 69 |
2014 | Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 69 | paper | |
2014 | Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 69 | paper | |
2014 | Forecasting systemic impact in financial networks In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 51 |
2013 | Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
2010 | Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2011 | Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 212 |
2012 | Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 212 | paper | |
2015 | Financial Network Systemic Risk Contributions.(2015) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 212 | article | |
2013 | Financial network systemic risk contributions.(2013) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 212 | paper | |
2014 | Beyond dimension two: A test for higher-order tail risk In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Beyond Dimension two: A Test for Higher-Order Tail Risk.(2016) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2016 | Beyond dimension two: A test for higher-order tail risk.(2016) In: Working Paper Series in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2019 | Do information contagion and business model similarities explain bank credit risk commonalities? In: ESRB Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2018 | Do information contagion and business model similarities explain bank credit risk commonalities?.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2014 | A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Financial linkages and sectoral business cycle synchronisation: Evidence from Europe.(2020) In: IWH Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2020 | Dynamic clustering of multivariate panel data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Clustering Dynamics and Persistence for Financial Multivariate Panel Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
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