Bernd Schwaab : Citation Profile


Are you Bernd Schwaab?

European Central Bank

10

H index

10

i10 index

344

Citations

RESEARCH PRODUCTION:

13

Articles

23

Papers

1

Chapters

RESEARCH ACTIVITY:

   9 years (2008 - 2017). See details.
   Cites by year: 38
   Journals where Bernd Schwaab has often published
   Relations with other researchers
   Recent citing documents: 84.    Total self citations: 17 (4.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc589
   Updated: 2018-08-11    RAS profile: 2018-03-05    
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Relations with other researchers


Works with:

Lucas, Andre (21)

Koopman, Siem Jan (9)

Zhang, Xin (6)

Nucera, Federico (6)

Creal, Drew (2)

Eser, Fabian (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bernd Schwaab.

Is cited by:

Lucas, Andre (44)

Koopman, Siem Jan (21)

Blasques, Francisco (20)

Schaumburg, Julia (12)

Fratzscher, Marcel (11)

Hautsch, Nikolaus (9)

Schienle, Melanie (9)

Nadal De Simone, Francisco (9)

Ehrmann, Michael (8)

Beetsma, Roel (8)

Giudici, Paolo (7)

Cites to:

Koopman, Siem Jan (58)

Lucas, Andre (56)

Duffie, Darrell (26)

Creal, Drew (17)

Ng, Serena (10)

Bai, Jushan (10)

Zhou, Hao (10)

Pedersen, Lasse (10)

Vayanos, Dimitri (9)

Reichlin, Lucrezia (8)

pan, jun (8)

Main data


Where Bernd Schwaab has published?


Journals with more than one article published# docs
Research Bulletin3
Journal of Applied Econometrics2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute11
Working Paper Series / European Central Bank10

Recent works citing Bernd Schwaab (2018 and 2017)


YearTitle of citing document
2017Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.05944.

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2018Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan . In: Papers. RePEc:arx:papers:1803.07843.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2017Making room for the needy: the credit-reallocation effects of the ECB’s corporate QE. (2017). Mayordomo, Sergio ; Gimeno, Ricardo ; Arce, Oscar. In: Working Papers. RePEc:bde:wpaper:1743.

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2017Price impact of bond supply shocks: Evidence from the Eurosystems asset purchase program.. (2017). Nguyen, Benoît ; Arrata, W. In: Working papers. RePEc:bfr:banfra:623.

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2017Scarcity effects of QE: A transaction-level analysis in the Bund market. (2017). Schrimpf, Andreas ; Riordan, Ryan ; Hofer, Heiko ; Schlepper, Kathi . In: BIS Working Papers. RePEc:bis:biswps:625.

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2018Systemic Risk and Financial Fragility in the Chinese Economy: A Dynamic Factor Model Approach. (2018). Vasilenko, Alexey. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps30.

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Blasques, Francisco ; Koopman, Siem Jan ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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2018Mortgages: estimating default correlation and forecasting default risk. (2018). Neumann, Tobias . In: Bank of England working papers. RePEc:boe:boeewp:0708.

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2018Testing the systemic risk differences in banks. (2018). Jokivuolle, Esa ; Vioto, Davide ; Tunaru, Radu. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_013.

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2017The Portfolio Rebalancing Effects of the ECBs Asset Purchase Programme. (2017). Dunne, Peter ; Bua, Giovanna. In: Research Technical Papers. RePEc:cbi:wpaper:07/rt/17.

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2017Quantitative Easing in the Euro Area - An Event Study Approach. (2017). Urbschat, Florian ; Watzka, Sebastian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6709.

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2017Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas. (2017). san Miguel, Pedro Galeano ; Nguyen, Hoang ; Ausin, Maria Concepcion. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24552.

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2018The Term Structure of Redenomination Risk. (2018). Kim, Chi Hyun ; Bayer, Christian ; Kriwoluzky, Alexander. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1740.

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2017Inside asset purchase programs: the effects of unconventional policy on banking competition. (2017). Wedow, Michael ; Koetter, Michael ; Podlich, Natalia . In: Working Paper Series. RePEc:ecb:ecbwps:20172017.

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2017Flow effects of central bank asset purchases on euro area sovereign bond yields: evidence from a natural experiment. (2017). Holm-Hadulla, Fédéric ; De Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20172052.

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2017The importance of being special: repo markets during the crisis. (2017). Corradin, Stefano ; Maddaloni, Angela . In: Working Paper Series. RePEc:ecb:ecbwps:20172065.

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2017Do we want these two to tango? On zombie firms and stressed banks in Europe. (2017). Setzer, Ralph ; Koetter, Michael ; Westphal, Andreas ; Storz, Manuela. In: Working Paper Series. RePEc:ecb:ecbwps:20172104.

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2017On collateral: implications for financial stability and monetary policy. (2017). Hoerova, Marie ; Heider, Florian ; Corradin, Stefano . In: Working Paper Series. RePEc:ecb:ecbwps:20172107.

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2018Agent-based model of system-wide implications of funding risk. (2018). Halaj, Grzegorz ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20182121.

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2018Private and public risk sharing in the euro area. (2018). Cimadomo, Jacopo ; Giuliodori, Massimo ; Furtuna, Oana . In: Working Paper Series. RePEc:ecb:ecbwps:20182148.

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2018Predicting failure risk using financial ratios: Quantile hazard model approach. (2018). Chen, Cathy W. S. ; Tian, Shaonan ; Dong, Manh Cuong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:204-220.

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2018Filtered likelihood for point processes. (2018). Giesecke, Kay ; Schwenkler, Gustavo. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:33-53.

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2017Fuzzy decision fusion approach for loss-given-default modeling. (2017). Nazemi, Abdolreza ; Fabozzi, Frank J ; Heidenreich, Konstantin ; Pour, Farnoosh Fatemi . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:780-791.

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2017From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Recchioni, Maria Cristina ; Tedeschi, Gabriele . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1116-1135.

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2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

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2018Industry specific defaults. (2018). Kwon, Tae Yeon ; Lee, Yoonjung. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:45-58.

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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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2017Credit risk interconnectedness: What does the market really know?. (2017). Brownlees, Christian ; Abbassi, Puriya ; Podlich, Natalia ; Hans, Christina . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:1-12.

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2017Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models. (2017). Neves, Cesar ; Hoeltgebaum, Henrique ; Fernandes, Cristiano . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:48-57.

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2017The bank-lending channel and monetary policy during pre- and post-2007 crisis. (2017). laopodis, nikiforos ; Kouretas, Georgios ; Salachas, Evangelos N. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:176-187.

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2017The equity-like behaviour of sovereign bonds. (2017). Dufour, Alfonso ; Varotto, Simone ; Stancu, Andrei . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:25-46.

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2018Improving forecasting performance using covariate-dependent copula models. (2018). Li, Feng ; Kang, Yanfei . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:456-476.

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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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2018Macroeconomic variable selection for creditor recovery rates. (2018). Nazemi, Abdolreza ; Fabozzi, Frank J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:89:y:2018:i:c:p:14-25.

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2017Debt correlations in the wake of the financial crisis: What are appropriate default correlations for structured products?. (2017). Nickerson, Jordan ; Griffin, John M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:454-474.

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2018Quantitative easing auctions of Treasury bonds. (2018). Song, Zhaogang ; Zhu, Haoxiang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:1:p:103-124.

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2018Exploring the sources of default clustering. (2018). Azizpour, S ; Schwenkler, G ; Giesecke, K. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:154-183.

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2017Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis. (2017). Fratzscher, Marcel ; Ehrmann, Michael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:26-44.

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2017Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme. (2017). Beetsma, Roel ; Widijanto, Daniel ; Giuliodori, Massimo ; de Jong, Frank. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:75:y:2017:i:c:p:14-31.

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2017The effectiveness of the ECB’s unconventional monetary policy: Comparative evidence from crisis and non-crisis Euro-area countries. (2017). Jäger, Jannik ; Grigoriadis, Theocharis ; Jager, Jannik . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:78:y:2017:i:c:p:21-43.

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2018Unobservable country bond premia and fragmentation. (2018). De Santis, Roberto A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:82:y:2018:i:c:p:1-25.

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2018“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2018). Afonso, Antonio ; Kontonikas, Alexandros ; Gadea, Maria Dolores ; Arghyrou, Michael G. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:1-30.

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2018Modeling inter-country spatial financial interactions with Graphical Lasso: An application to sovereign co-risk evaluation. (2018). Arbia, Giuseppe ; Zappa, Diego ; Facchinetti, Silvia ; Bramante, Riccardo. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:70:y:2018:i:c:p:72-79.

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2017Contained crisis and socialized risk. (2017). Nakabayashi, Masaki. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:231-241.

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2017Eurozone bond market dynamics, ECB monetary policy and financial stress. (2017). Labondance, Fabien ; Hubert, Paul ; Creel, Jerome ; Blot, Christophe. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1718.

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2018The Response of European Energy Prices to ECB Monetary Policy. (2018). Torro, Hipolit. In: Working Papers. RePEc:fem:femwpa:2018.09.

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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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2018Sovereign Adaptive Risk Modeling and Implications for the Eurozone GREXIT Case. (2018). Escalera, Morgan ; Tarrant, Wayne . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:48-:d:145007.

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2018Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan . In: Working Papers. RePEc:hal:wpaper:hal-01739310.

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2018A macroeconomic reverse stress test. (2018). Grundke, Peter ; Pliszka, Kamil. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0655-8.

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2017Quantitative Easing in the Euro Area. (2017). Urbschat, Florian ; Watzka, Sebastian. In: Discussion Papers in Economics. RePEc:lmu:muenec:37365.

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2018Financial friction sources in emerging economies: Structural estimation of sovereign default models. (2018). Yamazaki, Takefumi. In: Discussion papers. RePEc:mof:wpaper:ron303.

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2018Effects of asset purchases and financial stability measures on term premia in the euro area. (2018). Moessner, Richhild. In: National Institute of Economic and Social Research (NIESR) Discussion Papers. RePEc:nsr:niesrd:489.

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2018Economic Policy Uncertainty and the Volatility of Sovereign CDS Spreads. (2018). Raunig, Burkhard. In: Working Papers. RePEc:onb:oenbwp:219.

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2018ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds. (2018). Trebesch, Christoph ; Zettelmeyer, Jeromin. In: IMF Economic Review. RePEc:pal:imfecr:v:66:y:2018:i:2:d:10.1057_s41308-018-0051-y.

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2017Measuring bank contagion in Europe using binary spatial regression models. (2017). Calabrese, Raffaella ; Giudici, Paolo S ; Elkink, Johan A. In: Journal of the Operational Research Society. RePEc:pal:jorsoc:v:68:y:2017:i:12:d:10.1057_s41274-017-0189-4.

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2017Fiscal Policy Interventions at the Zero Lower Bound. (2017). Nguyen, Duc Khuong ; Paltalidis, Nikos ; Boubaker, Sabri. In: MPRA Paper. RePEc:pra:mprapa:84673.

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2018Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan . In: MPRA Paper. RePEc:pra:mprapa:85331.

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2017Foreword – The crisis, ten years after: Lessons learnt for monetary and financial research. (2017). Beyer, Andreas ; Mendicino, Caterina ; Coeure, Benoit. In: Economie et Statistique / Economics and Statistics. RePEc:prs:ecsecs:estat_0336-1454_2017_num_494_1_10781.

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2017Foreword – The crisis, ten years after: Lessons learnt for monetary and financial research. (2017). Beyer, Andreas ; Mendicino, Caterina ; Coeure, Benoit. In: Économie et Statistique. RePEc:prs:ecstat:estat_0336-1454_2017_num_494_1_10781.

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2018Sovereign Stress, Banking Stress, and the Monetary Transmission Mechanism in the Euro Area. (2018). Holtemoller, Oliver ; Scherer, Jan-Christopher. In: ADBI Working Papers. RePEc:ris:adbiwp:0811.

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2017Eurozone bond market dynamics, ECB monetary policy and financial stress. (2017). Labondance, Fabien ; Hubert, Paul ; Creel, Jerome ; Blot, Christophe. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/8vns9so6b9pnqfo7eebjgfann.

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2018Systemic risk, financial markets, and performance of financial institutions. (2018). Sun, Edward ; Yu, Min-Teh. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2113-8.

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2017The nature of sellers’ cyber credit in C2C e-commerce: the perspective of social capital. (2017). Liang, Kun ; Jia, Zelin ; Ning, Weihong ; Lin, Zhangxi ; Jiang, Cuiqing. In: Electronic Commerce Research. RePEc:spr:elcore:v:17:y:2017:i:1:d:10.1007_s10660-016-9231-x.

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2017Corporate bankruptcy prediction: a high dimensional analysis. (2017). Jones, Stewart . In: Review of Accounting Studies. RePEc:spr:reaccs:v:22:y:2017:i:3:d:10.1007_s11142-017-9407-1.

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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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2017A Financial Connectedness Analysis for Turkey. (2017). Camlica, Ferhat ; Ozen, Etkin ; Gunes, Didem . In: Working Papers. RePEc:tcb:wpaper:1719.

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2017Cyclicality in Losses on Bank Loans. (2017). Kole, Erik ; Keijsers, Bart ; Diris, Bart . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150050.

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2018Generalized Autoregressive Method of Moments. (2018). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150138.

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2017Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns. (2017). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160069.

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2017Private and Public Risk Sharing in the Euro Area. (2017). Cimadomo, Jacopo ; Giuliodori, Massimo M ; Furtuna, Oana . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170064.

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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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2018Forecasting economic time series using score-driven dynamic models with mixed-data sampling. (2018). Li, Mengheng ; Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180026.

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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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2017When central banks buy corporate bonds: : Target selection and impact of the European Corporate Sector Purchase Program. (2017). Lugo, Stefano ; Galema, R J. In: Working Papers. RePEc:use:tkiwps:1716.

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2018Country-Specific Euro Area Government Bond Yield Reactions to ECB’s Non-Standard Monetary Policy Announcements. (2018). Fendel, Ralf ; Neugebauer, Frederik. In: WHU Working Paper Series - Economics Group. RePEc:whu:wpaper:18-02.

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2017Scarcity effects of QE: A transaction-level analysis in the Bund market. (2017). Schrimpf, Andreas ; Hofer, Heiko ; Riordan, Ryan ; Schlepper, Kathi . In: Discussion Papers. RePEc:zbw:bubdps:062017.

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2017The financial market effects of the ECBs asset purchase programs. (2017). Lewis, Vivien ; Roth, Markus . In: Discussion Papers. RePEc:zbw:bubdps:232017.

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2017The European sovereign debt crisis: What have we learned?. (2017). Stefanova, Denitsa ; Kräussl, Roman ; Lehnert, Thorsten ; Kraussl, Roman. In: CFS Working Paper Series. RePEc:zbw:cfswop:567.

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2018ECB interventions in distressed sovereign debt markets: The case of Greek bonds. (2018). Trebesch, Christoph ; Zettelmeyer, Jeromin. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2101.

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2018Sovereign stress, banking stress, and the monetary transmission mechanism in the Euro area. (2018). Holtemöller, Oliver ; Scherer, Jan-Christopher ; Holtemoller, Oliver. In: IWH Discussion Papers. RePEc:zbw:iwhdps:32018.

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2017Eurozone exit risk. (2017). Eichler, Stefan ; Rovekamp, Ingmar . In: CEPIE Working Papers. RePEc:zbw:tudcep:0717.

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Works by Bernd Schwaab:


YearTitleTypeCited
2011New methodologies for systemic risk measurement In: Research Bulletin.
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article0
2012Conditional probabilities and contagion measures for euro area sovereign default risk In: Research Bulletin.
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article26
2012Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk.(2012) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 26
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2017Bank business models at negative interest rates In: Research Bulletin.
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article0
2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
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paper23
2012Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series.
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paper18
2012Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008.(2012) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 18
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2013Assessing asset purchases within the ECB’s securities markets programme In: Working Paper Series.
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paper58
2013Conditional and joint credit risk In: Working Paper Series.
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paper2
2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
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paper29
2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 29
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2014Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 29
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2015Modeling financial sector joint tail risk in the euro area In: Working Paper Series.
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paper5
2015Modeling financial sector joint tail risk in the euro area.(2015) In: Working Paper Series.
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This paper has another version. Agregated cites: 5
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2017Modeling Financial Sector Joint Tail Risk in the Euro Area.(2017) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 5
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2016The information in systemic risk rankings In: Working Paper Series.
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2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 7
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2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 7
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2016Global credit risk: world country and industry factors In: Working Paper Series.
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paper6
2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 6
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2017Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 6
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2017Bank business models at zero interest rates In: Working Paper Series.
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paper1
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?.(2017) In: Tinbergen Institute Discussion Papers.
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2014Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting.
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2014Conditional Euro Area Sovereign Default Risk.(2014) In: Journal of Business & Economic Statistics.
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2008Forecasting Cross-Sections of Frailty-Correlated Default In: Tinbergen Institute Discussion Papers.
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2010Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective In: Tinbergen Institute Discussion Papers.
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2010Systemic Risk Diagnostics In: Tinbergen Institute Discussion Papers.
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2014Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics In: Tinbergen Institute Discussion Papers.
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2014A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area In: Tinbergen Institute Discussion Papers.
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