Julia Schaumburg : Citation Profile


Are you Julia Schaumburg?

Vrije Universiteit Amsterdam

4

H index

3

i10 index

114

Citations

RESEARCH PRODUCTION:

2

Articles

9

Papers

RESEARCH ACTIVITY:

   5 years (2010 - 2015). See details.
   Cites by year: 22
   Journals where Julia Schaumburg has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 4 (3.39 %)

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   Permalink: http://citec.repec.org/psc415
   Updated: 2018-06-23    RAS profile: 2015-08-06    
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Relations with other researchers


Works with:

Schienle, Melanie (5)

Hautsch, Nikolaus (4)

Blasques, Francisco (2)

Lucas, Andre (2)

Koopman, Siem Jan (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 (10)

Härdle, Wolfgang (10)

Gnabo, Jean-Yves (7)

Peltonen, Tuomas (6)

Lucas, Andre (6)

Hallin, Marc (6)

Giudici, Paolo (5)

Caporin, Massimiliano (5)

Hautsch, Nikolaus (5)

Brownlees, Christian (5)

Schienle, Melanie (4)

Cites to:

Lucas, Andre (8)

Koopman, Siem Jan (8)

Härdle, Wolfgang (7)

Hautsch, Nikolaus (5)

Hunt, Jennifer (4)

Burda, Michael (4)

Creal, Drew (4)

Schwaab, Bernd (4)

Schienle, Melanie (3)

Einmahl, John (3)

Straetmans, Stefan (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 (2018 and 2017)


YearTitle of citing document
2017Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach. (2017). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe. In: Papers. RePEc:arx:papers:1708.02073.

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2017Computational Analysis of the structural properties of Economic and Financial Networks. (2017). Emmert-Streib, Frank ; Dehmer, Matthias ; Jodlbauer, Herbert ; Yli-Harja, Olli ; Tripathi, Shailesh ; Kanniainen, Juho ; Baltakys, Kestutis ; Musa, Aliyu. In: Papers. RePEc:arx:papers:1710.04455.

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2017A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

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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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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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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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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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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:958-969.

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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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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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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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2017FRM: a Financial Risk Meter based on penalizing tail events occurrence. (2017). Härdle, Wolfgang ; Borke, Lukas ; Benschop, Thijs ; 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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2017Confidence bands for coefficients in high dimensional linear models with error-in-variables. (2017). Chernozhukov, Victor ; Kaul, Abhishek ; Belloni, Alexandre. In: CeMMAP working papers. RePEc:ifs:cemmap:22/17.

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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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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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2017Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433.

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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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2017Finite Sample Optimality of Score-Driven Volatility Models. (2017). Lucas, Andre ; Blasques, Francisco ; van Vlodrop, Andries. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170111.

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2018Missing Observations in Observation-Driven Time Series Models. (2018). Blasques, Francisco ; Koopman, Siem Jan ; 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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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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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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Works by Julia Schaumburg:


YearTitleTypeCited
2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
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article24
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 24
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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paper71
2012Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 71
paper
2015Financial Network Systemic Risk Contributions.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 71
article
2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 71
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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paper15
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: 15
paper

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