Julia Schaumburg : Citation Profile


Are you Julia Schaumburg?

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.
   Cites by year: 39
   Journals where Julia Schaumburg has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 15 (3.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc415
   Updated: 2024-01-16    RAS profile: 2021-07-26    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Lucas, Andre (3)

Tonzer, Lena (2)

Koopman, Siem Jan (2)

Sekhposyan, Tatevik (2)

Schwaab, Bernd (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)

Caporin, Massimiliano (11)

Härdle, Wolfgang (11)

Billio, Monica (11)

Wang, Weining (10)

Lucas, Andre (9)

Schienle, Melanie (9)

Brownlees, Christian (9)

Giudici, Paolo (9)

Koopman, Siem Jan (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)

Acemoglu, Daron (8)

Hautsch, Nikolaus (8)

Imbs, Jean (7)

Hafner, Christian (7)

Dekel, Eddie (6)

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 (2024 and 2023)


YearTitle of citing document
2023Dynamic 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

2023Learning 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

2023Cross-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

2023A 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

2023Bridging 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

2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

Full description at Econpapers || Download paper

2023The 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

2023Where 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

2023Dynamic 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

2023Do 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

2023Semiparametric 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

2023Interconnectedness 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

2023Frequency 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

2023Cross-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

2023Time-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

2023Cross-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

2023A 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

2023Reprint 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

2023Identifying 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

2023Networks 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

2023Firm 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

2023Optimal 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

2023Tail-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

2023Systemic 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

2023Risk 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

2023Does 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

2023Forecasting 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

2023Dynamic 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

2023The 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

2023Spillover 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

2023Mechanism-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

2023The 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

2023What 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

2023Multilayer 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

2023Financial 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

2023Modelling 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

2023Evolution, 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

2023Measuring 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

2023Dynamic 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

2023Quantifying 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

2023Stock 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

2023An 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

2023Does 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

2023Consistency, 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

2023Bank 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

2023Jump 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

2023Are 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

2023Forecasting 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

Works by Julia Schaumburg:


YearTitleTypeCited
2021Networking the Yield Curve: Implications for Monetary Policy In: Staff Working Papers.
[Full Text][Citation analysis]
paper1
2021Networking 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
2017Bank business models at zero interest rates In: Working Paper Series.
[Full Text][Citation analysis]
paper27
2019Bank 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
2016Bank 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
2017Do negative interest rates make banks less safe? In: Working Paper Series.
[Full Text][Citation analysis]
paper43
2017Do negative interest rates make banks less safe?.(2017) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 43
article
2017Do 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
2012Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article8
2016Accounting for missing values in score-driven time-varying parameter models In: Economics Letters.
[Full Text][Citation analysis]
article7
2016Accounting 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
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
[Full Text][Citation analysis]
article69
2014Spillover 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
2014Spillover 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
2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
[Full Text][Citation analysis]
article51
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51
paper
2010Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper5
2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper212
2012Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 212
paper
2015Financial Network Systemic Risk Contributions.(2015) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 212
article
2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 212
paper
2014Beyond dimension two: A test for higher-order tail risk In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper1
2016Beyond 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
2016Beyond 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
2019Do information contagion and business model similarities explain bank credit risk commonalities? In: ESRB Working Paper Series.
[Full Text][Citation analysis]
paper3
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 nother version. Agregated cites: 3
paper
2014A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2020Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper1
2020Financial 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
2020Dynamic clustering of multivariate panel data In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper1
2021Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper2
2021Clustering Dynamics and Persistence for Financial Multivariate Panel Data In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2021Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team