Julia Schaumburg : Citation Profile


Are you Julia Schaumburg?

Vrije Universiteit Amsterdam

5

H index

4

i10 index

238

Citations

RESEARCH PRODUCTION:

8

Articles

21

Papers

RESEARCH ACTIVITY:

   10 years (2010 - 2020). See details.
   Cites by year: 23
   Journals where Julia Schaumburg has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 11 (4.42 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc415
   Updated: 2021-01-23    RAS profile: 2020-04-01    
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Relations with other researchers


Works with:

Lucas, Andre (10)

Schwaab, Bernd (7)

Nucera, Federico (3)

Wang, Dieter (3)

Lelyveld, Iman (3)

Schienle, Melanie (2)

Tonzer, Lena (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 (11)

Billio, Monica (8)

Giudici, Paolo (8)

Caporin, Massimiliano (8)

Hallin, Marc (8)

Schienle, Melanie (7)

Brownlees, Christian (7)

Ahelegbey, Daniel Felix (6)

Gnabo, Jean-Yves (6)

Lucas, Andre (6)

Cites to:

Koopman, Siem Jan (18)

Lucas, Andre (18)

Creal, Drew (11)

Härdle, Wolfgang (7)

Engle, Robert (7)

Hautsch, Nikolaus (6)

Acharya, Viral (6)

Imbs, Jean (6)

Schwaab, Bernd (6)

Peydro, Jose-Luis (4)

Reinhart, Carmen (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 Institute8
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany5
Working Paper Series / European Central Bank2

Recent works citing Julia Schaumburg (2021 and 2020)


YearTitle of citing document
2020An AI approach to measuring financial risk. (2020). Benschop, Thijs ; Borke, Lukas ; Hardle, Wolfgang Karl ; Yu, Lining . In: Papers. RePEc:arx:papers:2009.13222.

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2020TailCoR. (2020). Ley, Christophe ; Babi, Sladjana ; Veredas, David ; Ricci, Lorenzo. In: Papers. RePEc:arx:papers:2011.14817.

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2020Implications of negative interest rates for the net interest margin and lending of euro area banks. (2020). Klein, Melanie . In: BIS Working Papers. RePEc:bis:biswps:848.

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2020Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100.

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2020Text-Based Linkages and Local Risk Spillovers in the Equity Market. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20115.

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2020Negative Interest Rates and Bank Lending. (2020). Brown, Martin. In: CESifo Forum. RePEc:ces:ifofor:v:21:y:2020:i:01:p:18-23.

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2020Negative Interest Rates in the Five Eurozone Countries from Central and Eastern Europe. (2020). Staehr, Karsten ; Reigl, Nicolas. In: CESifo Forum. RePEc:ces:ifofor:v:21:y:2020:i:01:p:24-30.

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2020Price dividend ratio and long-run stock returns: a score driven state space model. (2020). Petrella, Ivan ; Delle Monache, Davide ; Venditti, Fabrizio. In: Working Paper Series. RePEc:ecb:ecbwps:20202369.

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2020Negative monetary policy rates and systemic banks’ risk-taking: evidence from the euro area securities register. (2020). Peydro, Jose-Luis ; Maddaloni, Angela ; Bubeck, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20202398.

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2020Interest rate risk and monetary policy normalisation in the euro area. (2020). Reghezza, Alessio ; Dacri, Costanza Rodriguez ; Molyneux, Philip ; Pancotto, Livia. In: Working Paper Series. RePEc:ecb:ecbwps:20202496.

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2020Business connectedness or market risk? Evidence from financial institutions in China. (2020). Li, Zheng ; Lu, Yanchen ; Liang, QI. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x20301000.

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2020Spatial spillover effects and risk contagion around G20 stock markets based on volatility network. (2020). Lu, Yang ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302815.

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2020Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach. (2020). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301986.

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2020Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network. (2020). Zhuang, Xintian ; Zhang, Weiping ; Lu, Yang ; Wang, Jian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301455.

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2020On the impact of quantitative easing on credit standards and systemic risk: The Japanese experience. (2020). Vu, Anh Nguyet . In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302459.

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2020Negative interest rates policy and banks’ risk-taking: Empirical evidence. (2020). BOUNGOU, Whelsy. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519303817.

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2020Fixed effects spatial panel data models with time-varying spatial dependence. (2020). Qu, XI ; Guo, Juncong. In: Economics Letters. RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303220.

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2020Why have negative nominal interest rates had such a small effect on bank performance? Cross country evidence. (2020). Spiegel, Mark ; Rose, Andrew ; Lopez, Jose. In: European Economic Review. RePEc:eee:eecrev:v:124:y:2020:i:c:s0014292120300349.

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2020Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach. (2020). Yao, Kai ; Chevapatrakul, Thanaset ; Nguyen, Linh Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:333-355.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2020Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework. (2020). Zhuang, Xintian ; Zhang, Weiping ; Wang, Jian ; Lu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521919305381.

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2020Financial network linkages to predict economic output. (2020). Wang, Dan ; Huang, Wei-qiang . In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301746.

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2020Do conventional monetary policy instruments matter in unconventional times?. (2020). Buchholz, Manuel ; Tonzer, Lena ; Schmidt, Kirsten. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301242.

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2020Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data. (2020). Graler, Benedikt ; Scherer, Matthias ; Huttner, Amelie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301631.

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2020Volatility connectedness in global foreign exchange markets. (2020). Wang, Gang-Jin ; Wen, Tiange. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:54:y:2020:i:c:s1042444x20300062.

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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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2020Specification Tests for Temporal Heterogeneity in Spatial Panel Data Models with Fixed Effects. (2020). Yang, Zhenlin ; Xu, Yuhong. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:81:y:2020:i:c:s0166046219300328.

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2020Estimation of fixed effects spatial dynamic panel data models with small T and unknown heteroskedasticity. (2020). Yang, Zhenlin ; Li, Liyao. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:81:y:2020:i:c:s0166046219301139.

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2020From me to you: Measuring connectedness between Eurozone financial institutions. (2020). Angelini, Eliana ; Foglia, Matteo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919301886.

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2020Issues Regarding the Use of the Policy Rate Tool. (2020). Zarutskie, Rebecca ; King, Thomas ; Campbell, Jeffrey ; Orlik, Anna . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-70.

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2020Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions. (2020). Zeldea, Cristina. In: Administrative Sciences. RePEc:gam:jadmsc:v:10:y:2020:i:3:p:52-:d:396470.

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2020A Tail Dependence-Based MST and Their Topological Indicators in Modeling Systemic Risk in the European Insurance Sector. (2020). Wanat, Stanisław ; Denkowska, Anna. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:39-:d:348740.

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2020Forecasting Financial Networks. (2020). Caraiani, Petre. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09925-8.

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2020Business Cycle Spatial Synchronization: Measuring a Synchronization Parameter. (2020). Fukui, Shinya. In: Discussion Papers. RePEc:koe:wpaper:2009.

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2020Systemic Risk and the COVID Challenge in the European Banking Sector. (2020). di Giorgio, Giorgio ; Borri, Nicola. In: Working Papers CASMEF. RePEc:lui:casmef:2005.

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2020Network VAR models to Measure Financial Contagion. (2020). Ahelegbey, Daniel Felix ; Hashem, Shatha Qamhieh ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0178.

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2020A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series. (2020). Ahelegbey, Daniel Felix ; Carvalho, Luis ; Kolaczyk, Eric D. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0181.

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2020Modeling Turning Points In Global Equity Market. (2020). Ahelegbey, Daniel Felix ; Billio, Monica ; Casarin, Roberto. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0195.

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2020Network Risk in the European Sovereign CDS Market. (2020). Todorova, Zornitsa. In: The Review of Finance and Banking. RePEc:rfb:journl:v:12:y:2020:i:2:p:137-154.

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2020Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid. (2020). Härdle, Wolfgang ; Lessmann, Stefan ; Hardle, Wolfgang Karl ; Lux, Marius. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-019-00934-7.

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2020Networks and market-based measures of systemic risk: the European banking system in the aftermath of the financial crisis. (2020). Pederzoli, Chiara ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00247-4.

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2020From FDI network topology to macroeconomic instability. (2020). Ricchiuti, Giorgio ; Masi, Giulia. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00275-0.

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2020Banks, Money, and the Zero Lower Bound on Deposit Rates. (2020). Wang, Xuan ; Kumhof, Michael. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200050.

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2020Networks in risk spillovers: A multivariate GARCH perspective. (2020). Pelizzon, Loriana ; Billio, Monica ; Frattarolo, Lorenzo ; Caporin, Massimiliano. In: Working Papers. RePEc:ven:wpaper:2020:16.

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2020Implications of negative interest rates for the net interest margin and lending of euro area banks. (2020). Klein, Melanie. In: Discussion Papers. RePEc:zbw:bubdps:102020.

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2020Marginal returns to talent for material risk takers in banking. (2020). Wagner, Konstantin ; Stieglitz, Moritz. In: IWH Discussion Papers. RePEc:zbw:iwhdps:202020.

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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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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: 1
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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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2017Do negative interest rates make banks less safe?.(2017) In: Economics Letters.
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This paper has another version. Agregated cites: 23
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2017Do Negative Interest Rates Make Banks Less Safe?.(2017) In: Tinbergen Institute Discussion Papers.
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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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article4
2016Accounting for missing values in score-driven time-varying parameter models In: Economics Letters.
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2016Accounting for Missing Values in Score-Driven Time-Varying Parameter Models.(2016) In: Tinbergen Institute Discussion Papers.
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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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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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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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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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2015Financial Network Systemic Risk Contributions.(2015) In: Review of Finance.
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2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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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.(2016) 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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2014A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk In: Tinbergen Institute Discussion Papers.
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2020Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe In: Tinbergen Institute Discussion Papers.
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2020Financial linkages and sectoral business cycle synchronisation: Evidence from Europe.(2020) In: IWH Discussion Papers.
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2020Dynamic clustering of multivariate panel data In: Tinbergen Institute Discussion Papers.
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