14
H index
18
i10 index
828
Citations
European Central Bank | 14 H index 18 i10 index 828 Citations RESEARCH PRODUCTION: 17 Articles 33 Papers 1 Chapters RESEARCH ACTIVITY: 13 years (2008 - 2021). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/psc589 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Bernd Schwaab. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Research Bulletin | 4 |
Journal of Business & Economic Statistics | 3 |
Journal of Empirical Finance | 2 |
Journal of Applied Econometrics | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Paper Series / European Central Bank | 16 |
Tinbergen Institute Discussion Papers / Tinbergen Institute | 13 |
Working Paper Series / Sveriges Riksbank (Central Bank of Sweden) | 3 |
Year | Title of citing document |
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2023 | Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043. Full description at Econpapers || Download paper |
2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper |
2023 | Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362. Full description at Econpapers || Download paper |
2023 | Bridging 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 |
2023 | Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.11586. Full description at Econpapers || Download paper |
2023 | Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns. (2023). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564. Full description at Econpapers || Download paper |
2023 | Euro Area Monetary Policy Effects. Does the Shape of the Yield Curve Matter?. (2023). Pagliari, Maria Sole ; Sestieri, Giulia ; Rossi, Barbara ; Penalver, Adrian ; Odendahl, Florens. In: Working papers. RePEc:bfr:banfra:912. Full description at Econpapers || Download paper |
2023 | Central bank asset purchases in response to the Covid-19 crisis. (2023). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:68. Full description at Econpapers || Download paper |
2023 | Do uninformed traders move prices? Evidence from the Bank of Japans ETF purchasing program. (2023). Philip, Richard ; Liang, Lantian ; Kwan, Amy ; Bouffler, Luke. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:1:p:5-18. Full description at Econpapers || Download paper |
2023 | The conditional path of central bank asset purchases. (2023). Bozou, Caroline ; Creel, Jerome ; Hubert, Paul ; Blot, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-15. Full description at Econpapers || Download paper |
2023 | The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area. (2023). Signoretti, Federico ; Nikolov, Kalin ; Ambrocio, Gene ; Heider, Florian ; Jovanovic, Mario ; Lewis, Vivien ; Miettinen, Pavo ; Policy, Monetary ; Bonatti, Guido ; Prieto, Esteban ; Redak, Vanessa ; Altavilla, Carlo ; Geiger, Felix ; Chalamandaris, Dimitrios ; Fourel, Valere ; Jan, Jansen David ; Kok, Christoffer ; Mazelis, Falk ; Balfoussia, Hiona ; Licak, Marek ; Patriek, Matic ; Pogulis, Armands ; Adolf, Petra ; Garabedian, Garo ; Cassar, Alan ; Weigert, Benjamin ; Fahr, Stephan ; Ioannidis, Michael ; Vlassopoulos, Thomas ; Maddaloni, Angela ; Klein, Melanie ; Papageorghiou, Maria ; Galati, Gabriele ; Fernandez, Luis ; Busch, Ulrike ; Valderrama, Maria ; Bussiere, Mat |
2023 | Monetary policy and local industry structure. (2023). Steininger, Lea ; Popov, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20232778. Full description at Econpapers || Download paper |
2023 | Dynamic 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 |
2023 | Quantifying financial stability trade-offs for monetary policy: a quantile VAR approach. (2023). Lund-Thomsen, Frederik ; Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232833. Full description at Econpapers || Download paper |
2023 | Measuring systemic financial stress and its risks for growth. (2023). Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232842. Full description at Econpapers || Download paper |
2023 | Financial stability considerations in the conduct of monetary policy. (2023). Dieckelmann, Daniel ; Bochmann, Paul ; Ruzicka, Josef ; Fahr, Stephan. In: Working Paper Series. RePEc:ecb:ecbwps:20232870. Full description at Econpapers || Download paper |
2023 | Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169. Full description at Econpapers || Download paper |
2023 | Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. (2023). Vrins, Frederic ; Barbagli, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001335. Full description at Econpapers || Download paper |
2023 | Cross-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 |
2023 | Firm 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 |
2023 | Machine learning for corporate default risk: Multi-period prediction, frailty correlation, loan portfolios, and tail probabilities. (2023). Leuenberger, Nicola ; Sigrist, Fabio. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1390-1406. Full description at Econpapers || Download paper |
2023 | An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models. (2023). Nguyen, HA. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:103-121. Full description at Econpapers || Download paper |
2023 | Systemic risks in the cryptocurrency market: Evidence from the FTX collapse. (2023). Matkovskyy, Roman ; Jalan, Akanksha. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000442. Full description at Econpapers || Download paper |
2023 | Uncertainty in systemic risks rankings: Bayesian and frequentist analysis. (2023). Goldman, Elena. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004002. Full description at Econpapers || Download paper |
2023 | The Bank of Japans equity purchases and stock illiquidity. (2023). Yamada, Kazuo ; Takahashi, Hidenori ; Leung, Woon Sau ; el Kalak, Izidin. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s138641812200060x. Full description at Econpapers || Download paper |
2023 | Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality. (2023). Sha, Yezhou ; Yin, Shiqi ; Zhang, Ping. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000513. Full description at Econpapers || Download paper |
2023 | Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735. Full description at Econpapers || Download paper |
2023 | Covid-19, credit risk management modeling, and government support. (2023). Telg, Sean ; Lucas, Andre ; Dubinova, Anna. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622002187. Full description at Econpapers || Download paper |
2023 | Does unconventional monetary policy boost local economic development? The case of TLTROs and Italy. (2023). al Tamimi, Hussein ; Molyneux, Philip ; Duqi, Andi ; Perdichizzi, Salvatore. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003168. Full description at Econpapers || Download paper |
2023 | Is bank resilience affected by unconventional monetary policy in the Euro area?. (2023). mamatzakis, emmanuel ; Avalos, Fernando. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001656. Full description at Econpapers || Download paper |
2023 | Is controlling shareholders credit risk contagious to firms? — Evidence from China. (2023). Sun, Xuchu ; Li, Tangrong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002074. Full description at Econpapers || Download paper |
2023 | Predicting loss given default of unsecured consumer loans with time-varying survival scores. (2023). Bellotti, Anthony ; Li, Zhiyong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x2300015x. Full description at Econpapers || Download paper |
2023 | Particle MCMC in Forecasting Frailty-Correlated Default Models with Expert Opinion. (2023). Nguyen, HA. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:7:p:334-:d:1193913. Full description at Econpapers || Download paper |
2023 | Rating transitions forecasting: a filtering approach. (2023). Picard, Tom ; Lelong, Jerome ; Cousin, Areski. In: Post-Print. RePEc:hal:journl:hal-03347521. Full description at Econpapers || Download paper |
2023 | Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis ; Bampinas, Georgios. In: Post-Print. RePEc:hal:journl:hal-04164277. Full description at Econpapers || Download paper |
2023 | Macroprudential stance assessment: problems of measurement, literature review and some comments for the case of Croatia. (2023). Škrinjarić, Tihana. In: Working Papers. RePEc:hnb:wpaper:72. Full description at Econpapers || Download paper |
2023 | Easier said than done: Predicting downside risks to house prices in Croatia. (2023). Škrinjarić, Tihana ; Sabol, Maja. In: Working Papers. RePEc:hnb:wpaper:73. Full description at Econpapers || Download paper |
2023 | The two-component Beta-t-QVAR-M-lev: a new forecasting model. (2023). Blazsek, Szabolcs ; Cardia, Michel Ferreira ; Sheng, Hsia Hua ; Fuerst, Franz ; Arestis, Philip. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00431-4. Full description at Econpapers || Download paper |
2023 | Financial risk assessment in shipping: a holistic machine learning based methodology. (2023). Boulougouris, Evangelos ; Lyridis, Dimitrios ; Clintworth, Mark. In: Maritime Economics & Logistics. RePEc:pal:marecl:v:25:y:2023:i:1:d:10.1057_s41278-020-00183-2. Full description at Econpapers || Download paper |
2023 | Quantifying 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 |
2023 | Is the regulatory downturn LGD adequate? Performance analysis and alternative methods. (2023). Imanto, Christopher Paulus ; Hartmann-Wendels, Thomas. In: Journal of the Operational Research Society. RePEc:taf:tjorxx:v:74:y:2023:i:3:p:736-747. Full description at Econpapers || Download paper |
2023 | Consistency, 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 |
2023 | Monetary Policy and Local Industry Structure. (2023). Popov, Alexander A ; Steininger, Lea. In: Department of Economics Working Papers. RePEc:wiw:wiwwuw:wuwp333. Full description at Econpapers || Download paper |
2023 | Monetary Policy and Local Industry Structure. (2023). Steininger, Lea ; Popov, Alexander A. In: Department of Economics Working Paper Series. RePEc:wiw:wus005:35832981. Full description at Econpapers || Download paper |
2023 | Bank 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 |
2023 | Nonstandard monetary policies and bank profitability: The case of Spain. (2023). Tercerolucas, David. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2248-2277. Full description at Econpapers || Download paper |
2023 | Are 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 |
2023 | . Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2019 | Risk endogeneity at the lender/investor-of-last-resort In: BIS Working Papers. [Full Text][Citation analysis] | paper | 4 |
2019 | Risk endogeneity at the lender/investor-of-last-resort.(2019) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2020 | Risk endogeneity at the lender/investor-of-last-resort.(2020) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2019 | Risk endogeneity at the lender/investor-of-last-resort.(2019) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2011 | New methodologies for systemic risk measurement In: Research Bulletin. [Full Text][Citation analysis] | article | 0 |
2012 | Conditional probabilities and contagion measures for euro area sovereign default risk In: Research Bulletin. [Full Text][Citation analysis] | article | 25 |
2012 | Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2017 | Bank business models at negative interest rates In: Research Bulletin. [Full Text][Citation analysis] | article | 5 |
2019 | Unconventional monetary policy operations – to what extent is there an upside for central bank balance sheet risks? In: Research Bulletin. [Full Text][Citation analysis] | article | 0 |
2011 | Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series. [Full Text][Citation analysis] | paper | 35 |
2012 | Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series. [Full Text][Citation analysis] | paper | 26 |
2012 | Dynamic 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. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
2013 | Assessing asset purchases within the ECB’s securities markets programme In: Working Paper Series. [Full Text][Citation analysis] | paper | 78 |
2013 | Conditional and joint credit risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2013 | Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 74 |
2011 | Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 74 | paper | |
2014 | Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 74 | article | |
2015 | Modeling financial sector joint tail risk in the euro area In: Working Paper Series. [Full Text][Citation analysis] | paper | 14 |
2015 | Modeling financial sector joint tail risk in the euro area.(2015) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2017 | Modeling Financial Sector Joint Tail Risk in the Euro Area.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2016 | The information in systemic risk rankings In: Working Paper Series. [Full Text][Citation analysis] | paper | 32 |
2016 | The information in systemic risk rankings.(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | article | |
2015 | The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
2016 | Global credit risk: world country and industry factors In: Working Paper Series. [Full Text][Citation analysis] | paper | 19 |
2015 | Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2017 | Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
2017 | Bank business models at zero interest rates In: Working Paper Series. [Full Text][Citation analysis] | paper | 28 |
2019 | Bank Business Models at Zero Interest Rates.(2019) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | article | |
2016 | Bank Business Models at Zero Interest Rates.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
2017 | Do negative interest rates make banks less safe? In: Working Paper Series. [Full Text][Citation analysis] | paper | 44 |
2017 | Do negative interest rates make banks less safe?.(2017) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | article | |
2017 | Do Negative Interest Rates Make Banks Less Safe?.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
2018 | Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment In: Working Paper Series. [Full Text][Citation analysis] | paper | 21 |
2018 | Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment.(2018) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
2021 | Modeling extreme events: time-varying extreme tail shape In: Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2020 | Modeling extreme events: time-varying extreme tail shape.(2020) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2021 | A risk management perspective on macroprudential policy In: Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2021 | Euro area sovereign bond risk premia during the Covid-19 pandemic In: Working Paper Series. [Full Text][Citation analysis] | paper | 13 |
2021 | The risk management approach to macro-prudential policy In: Working Paper Series. [Full Text][Citation analysis] | paper | 11 |
2011 | Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics. [Full Text][Citation analysis] | article | 75 |
2014 | Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
2016 | Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB?s Securities Markets Programme In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 175 |
2013 | Conditional euro area sovereign default risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 92 |
2014 | Conditional Euro Area Sovereign Default Risk.(2014) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 92 | article | |
2013 | Discussion of Bank Funding and Financial Stability In: RBA Annual Conference Volume (Discontinued). [Full Text][Citation analysis] | chapter | 0 |
2008 | Forecasting Cross-Sections of Frailty-Correlated Default In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2010 | Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2010 | Systemic Risk Diagnostics In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
2014 | Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2014 | A 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. [Full Text][Citation analysis] | paper | 14 |
2020 | Dynamic clustering of multivariate panel data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
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