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Bernd Schwaab : Citation Profile


Are you Bernd Schwaab?

European Central Bank

10

H index

10

i10 index

294

Citations

RESEARCH PRODUCTION:

9

Articles

20

Papers

1

Chapters

RESEARCH ACTIVITY:

   8 years (2008 - 2016). See details.
   Cites by year: 36
   Journals where Bernd Schwaab has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 16 (5.16 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc589
   Updated: 2018-02-17    RAS profile: 2017-02-06    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Lucas, Andre (15)

Koopman, Siem Jan (9)

Zhang, Xin (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 (45)

Koopman, Siem Jan (21)

Blasques, Francisco (20)

Schaumburg, Julia (12)

Fratzscher, Marcel (10)

Hautsch, Nikolaus (9)

Nadal De Simone, Francisco (9)

Schienle, Melanie (9)

Ehrmann, Michael (8)

Beetsma, Roel (7)

Giudici, Paolo (7)

Cites to:

Koopman, Siem Jan (62)

Lucas, Andre (62)

Duffie, Darrell (26)

Creal, Drew (21)

Zhou, Hao (10)

Ng, Serena (10)

Bai, Jushan (10)

Pedersen, Lasse (10)

Vayanos, Dimitri (9)

Zhang, Xin (9)

Kapadia, Nikunj (8)

Main data


Where Bernd Schwaab has published?


Journals with more than one article published# docs
Journal of Business & Economic Statistics2
Research Bulletin2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute10
Working Paper Series / European Central Bank8

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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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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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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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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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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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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2017Do negative interest rates make banks less safe?. (2017). Lucas, Andre ; Schwaab, Bernd ; Schaumburg, Julia ; Nucera, Federico. In: Economics Letters. RePEc:eee:ecolet:v:159:y:2017:i:c:p:112-115.

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

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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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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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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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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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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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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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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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article24
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: 24
paper
2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
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paper20
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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paper16
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: 16
article
2013Assessing asset purchases within the ECB’s securities markets programme In: Working Paper Series.
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paper55
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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paper27
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: 27
paper
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: 27
article
2015Modeling financial sector joint tail risk in the euro area In: Working Paper Series.
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paper3
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: 3
paper
2016The information in systemic risk rankings In: Working Paper Series.
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paper5
2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 5
article
2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 5
paper
2016Global credit risk: world country and industry factors In: Working Paper Series.
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paper3
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: 3
paper
2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
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article24
2014Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting.
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article2
2016Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme In: Journal of Financial Economics.
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article32
2013Conditional euro area sovereign default risk In: Working Paper Series.
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paper47
2014Conditional Euro Area Sovereign Default Risk.(2014) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 47
article
2013Discussion of Bank Funding and Financial Stability In: RBA Annual Conference Volume.
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chapter0
2008Forecasting Cross-Sections of Frailty-Correlated Default In: Tinbergen Institute Discussion Papers.
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paper3
2010Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective In: Tinbergen Institute Discussion Papers.
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paper5
2010Systemic Risk Diagnostics In: Tinbergen Institute Discussion Papers.
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paper11
2014Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics In: Tinbergen Institute Discussion Papers.
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paper10
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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paper4
2016Bank Business Models at Zero Interest Rates In: Tinbergen Institute Discussion Papers.
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paper1

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