Til Schuermann : Citation Profile


Are you Til Schuermann?

18

H index

27

i10 index

1940

Citations

RESEARCH PRODUCTION:

21

Articles

51

Papers

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   23 years (1993 - 2016). See details.
   Cites by year: 84
   Journals where Til Schuermann has often published
   Relations with other researchers
   Recent citing documents: 305.    Total self citations: 28 (1.42 %)

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   Permalink: http://citec.repec.org/psc73
   Updated: 2020-05-16    RAS profile: 2019-01-31    
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Relations with other researchers


Works with:

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

Is cited by:

Pesaran, M (115)

Chudik, Alexander (55)

Feldkircher, Martin (34)

Huber, Florian (30)

Mohaddes, Kamiar (24)

Lucas, Andre (22)

Österholm, Pär (18)

Cesa-Bianchi, Ambrogio (18)

Dees, Stephane (17)

Koopman, Siem Jan (17)

Adrian, Tobias (16)

Cites to:

Pesaran, M (77)

Diebold, Francis (24)

Dees, Stephane (24)

Gordy, Michael (22)

Lando, David (21)

Smith, L. Vanessa (20)

Duffie, Darrell (17)

Berger, Allen (16)

Holly, Sean (15)

Jarrow, Robert (14)

Acharya, Viral (11)

Main data


Where Til Schuermann has published?


Journals with more than one article published# docs
Staff Reports8
Journal of Banking & Finance4
International Journal of Forecasting3
Current Issues in Economics and Finance2
Journal of Business & Economic Statistics2
Economic Policy Review2

Working Papers Series with more than one paper published# docs
Working Papers / University of Pennsylvania, Wharton School, Weiss Center7
CESifo Working Paper Series / CESifo Group Munich4
IEPR Working Papers / Institute of Economic Policy Research (IEPR)2

Recent works citing Til Schuermann (2018 and 2017)


YearTitle of citing document
2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

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2017Yields on sovereign debt, fragmentation and monetary policy transmission in the euro area: A GVAR approach. (2017). Sosvilla-Rivero, Simon ; Icaza, Victor Echevarria . In: Working Papers. RePEc:aee:wpaper:1701.

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2017Cross country maize market linkages in Africa: integration and price transmission across local and global markets. (2017). Kaminski, Jonathan ; Pierre, Guillaume. In: 2017 International Congress, August 28-September 1, 2017, Parma, Italy. RePEc:ags:eaae17:261280.

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2018Cross country maize market linkages in Africa: integration and price transmission across local and global markets. (2018). Kaminsky, J ; Pierre, G. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277126.

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2017Robust and Consistent Estimation of Generators in Credit Risk. (2017). Reis, Goncalo Dos ; Smith, Greig. In: Papers. RePEc:arx:papers:1702.08867.

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2019Dealing with cross-country heterogeneity in panel VARs using finite mixture models. (2018). Huber, Florian. In: Papers. RePEc:arx:papers:1804.01554.

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2018Econophysics Beyond General Equilibrium: the Business Cycle Model. (2018). Olkhov, Victor. In: Papers. RePEc:arx:papers:1804.04721.

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2020Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations. (2018). Smith, Greig ; Reis, Goncalo Dos ; Pfeuffer, Marius. In: Papers. RePEc:arx:papers:1809.09889.

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2018Randomization Tests for Equality in Dependence Structure. (2018). Seo, Juwon. In: Papers. RePEc:arx:papers:1811.02105.

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2019A copula based Markov Reward approach to the credit spread in European Union. (2019). Storchi, Loriano ; Scocchera, Stefania ; Regnault, Philippe ; Petroni, Filippo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:1902.00691.

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2020A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour. (2019). Griveau-Billion, Théophile ; Calderhead, Ben. In: Papers. RePEc:arx:papers:1904.08153.

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2019The international effects of central bank information shocks. (2019). Stelzer, Anna ; Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:1912.03158.

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2017A Multivariate Analysis for Risk Capital Estimation in Insurance Industry: Vine Copulas. (2017). Mejdoub, Hanene ; Ben Arab, Mounira . In: Asian Development Policy Review. RePEc:asi:adprev:2017:p:100-119.

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2019Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure. (2019). Serlenga, Laura ; Shin, Yongcheol ; Kapetanios, George. In: SERIES. RePEc:bai:series:series_wp_03-2019.

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2018Dependence of Structural Breaks in Rating Transition Dynamics on Economic and Market Variations. (2018). Xing, Haipeng ; Chen, Ying. In: Review of Economics & Finance. RePEc:bap:journl:180101.

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2017Terms-of-Trade and House Price Fluctuations: A Cross-Country Study. (2017). Corrigan, Paul . In: Staff Working Papers. RePEc:bca:bocawp:17-1.

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2019Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

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2017Capturing macroprudential regulation effectiveness: A DSGE approach with shadow intermediaries. (2017). Lubello, Federico ; Rouabah, Abdelaziz. In: BCL working papers. RePEc:bcl:bclwop:bclwp114.

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2019Do the ECB’s monetary policies benefit emerging market economies? A GVAR analysis on the crisis and post-crisis period. (2019). Colabella, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1207_19.

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2019The international transmission of US tax shocks: a proxy-SVAR approach. (2019). Natoli, Filippo ; Metelli, Luca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1223_19.

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2020Demand for safety, risky loans: A model of securitization. (2020). Villacorta, Alonso ; Segura, Anatoli. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1260_20.

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2018Funding liquidity without banks: evidence from a shock to the cost of very short-term debt. (2018). Cardona-Sosa, Lina ; Strahan, Philip E ; Restrepo, Felipe. In: Borradores de Economia. RePEc:bdr:borrec:1056.

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2019The Global Financial Cycle and US Monetary Policy in an Interconnected World. (2019). Galesi, Alessandro ; Dees, Stephane. In: Working papers. RePEc:bfr:banfra:744.

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2017Back-testing European stress tests. (2017). PHILIPPON, Thomas ; Camara, Boubacar ; Pessarossi, P. In: Débats économiques et financiers. RePEc:bfr:decfin:26.

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2020Stress testing in Latin America: A comparison of approaches and methodologies. (2020). Bank for International Settlements, . In: BIS Papers. RePEc:bis:bisbps:108.

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2017Global impact of US and euro area unconventional monetary policies: a comparison. (2017). Zhu, Feng ; Lombardi, Marco ; Chen, Qianying ; Ross, Alex . In: BIS Working Papers. RePEc:bis:biswps:610.

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2018The cross-border credit channel and lending standards surveys. (2018). Siklos, Pierre ; Filardo, Andrew. In: BIS Working Papers. RePEc:bis:biswps:723.

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2018Corporate distress prediction in China: a machine learning approach. (2018). Jiang, YI ; Jones, Stewart. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:4:p:1063-1109.

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2019Cross country maize market linkages in Africa: integration and price transmission across local and global markets. (2019). Kaminski, Jonathan ; Pierre, Guillaume. In: Agricultural Economics. RePEc:bla:agecon:v:50:y:2019:i:1:p:79-90.

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2018BANK COMPETITION AND FINANCIAL STABILITY: LIQUIDITY RISK PERSPECTIVE. (2018). Kim, Jeongsim. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:36:y:2018:i:2:p:337-362.

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2018OPENNESS AND STRUCTURAL LABOR MARKET REFORMS: EX ANTE COUNTERFACTUALS. (2018). Lastauskas, Povilas ; Stakenas, Julius. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:36:y:2018:i:4:p:723-757.

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2018DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS. (2018). Prigent, Jean-Luc ; Karaa, Adel ; ben Ayed, Myriam. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1870-1886.

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2017An Unexpected Crisis? Looking at Pricing Effectiveness of Heterogeneous Banks. (2017). Vacca, Valerio. In: Economic Notes. RePEc:bla:ecnote:v:46:y:2017:i:2:p:171-206.

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2017How Useful Is Basel IIIs Liquidity Coverage Ratio? Evidence From US Bank Holding Companies. (2017). Du, Brian. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:5:p:902-919.

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2018Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236.

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2019Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model. (2019). Huber, Florian ; Feldkircher, Martin ; Doppelhofer, Gernot ; Cuaresma, Jesus Crespo. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:182:y:2019:i:3:p:831-861.

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2017Movers and stayers in the farming sector: accounting for unobserved heterogeneity in structural change. (2017). Saint-Cyr, Legrand ; Piet, Laurent. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:4:p:777-795.

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2020Estimating the probability of default for no‐default and low‐default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107.

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2017Optimal Enterprise Risk Management and Decision Making With Shared and Dependent Risks. (2017). Ai, Jing ; Wang, Tianyang ; Brockett, Patrick L. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:4:p:1127-1169.

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2017Idiosyncratic and international transmission of shocks in the G7: Does EMU matter?. (2017). Bettendorf, Timo. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:4:p:856-890.

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2018The Impact of Uncertainty on Financial Institutions. (2018). Xu, Bing ; Caglayan, Mustafa ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:939.

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2020Win-Win? Assessing the global impact of the Chinese economy. (2020). Herrala, Risto ; Orlandi, Fabrice. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2020_004.

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2018CONTAGION AND CORRELATION IN EMPIRICAL MODELS OF BANK CREDIT RISK IN ISRAEL. (2018). Beenstock, Michael ; Khatib, Mahmood. In: Israel Economic Review. RePEc:boi:isrerv:v:15:y:2018:i:1:p:1-34.

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2017Dependency between Risks and the Insurer’s Economic Capital: A Copula-based GARCH Model. (2017). Jeungbo, Shim ; Seung-Hwan, Lee . In: Asia-Pacific Journal of Risk and Insurance. RePEc:bpj:apjrin:v:11:y:2017:i:1:p:29:n:3.

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2018Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR. (2018). Pesaran, M ; Mohaddes, Kamiar ; Chudik, Alexander. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1874.

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2017Global and Domestic Modeling of Macroeconomic Shocks: A GVAR Analysis of Ireland. (2017). Walsh, Graeme ; Rice, Jonathan ; O'Grady, Michael. In: Research Technical Papers. RePEc:cbi:wpaper:09/rt/17.

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2019Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR. (2019). Pesaran, M ; Mohaddes, Kamiar ; Chudik, Alexander. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7454.

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2017Forecasting Chilean inflation with the hybrid new keynesian Phillips curve: globalisation, combination, and accuracy. (2017). Medel, Carlos A.. In: Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchec:v:20:y:2017:i:3:p:004-050.

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2018The Procyclicality of Expected Credit Loss Provisions. (2018). Suarez, Javier ; Abad, Jorge. In: Working Papers. RePEc:cmf:wpaper:wp2018_1806.

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2017Estimating and Forecasting Default Risk: Evidence from Jamaica. (2017). Bailey, Sherene A ; Senior, Andrene. In: Monetaria. RePEc:cml:moneta:v:xxxix:y:2017:i:1:p:133-162.

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2018Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe. (2018). Feldkircher, Martin ; Fadejeva, Ludmila ; Benecka, Sona. In: Working Papers. RePEc:cnb:wpaper:2018/2.

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2017A comparative review of the role of income inequality in economic crisis theories and its contribution to the financial crisis of 2007-2009. (2017). Goda, Thomas. In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA. RePEc:col:000443:015442.

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2019INTEGRATION OF FINANCIAL RISKS WITH NON FINANCIAL RISKS: AN EXPLORATORY STUDY FROM PAKISTANI CONTEXT. (2019). ALI, SYED ALAMDAR . In: Copernican Journal of Finance & Accounting. RePEc:cpn:umkcjf:v:8:y:2019:i:2:p:49-65.

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2017Backtesting European Stress Tests. (2017). PHILIPPON, Thomas ; Camara, Boubacar ; Pessarossi, Pierre. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11805.

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2017Risk Management and Regulation. (2017). Adrian, Tobias. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12422.

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2018The Procyclicality of Expected Credit Loss Provisions. (2018). Suarez, Javier ; Abad, Jorge. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13135.

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2018A Review of Shadow Banking. (2018). Adrian, Tobias ; Cetorelli, Nicola ; Breuer, Peter ; Ashcraft, Adam. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13363.

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2019Stress Testing Networks: The Case of Central Counterparties. (2019). Cecchetti, Stephen ; Schoenholtz, Kermit ; Berner, Richard. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13604.

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2019Stress Testing and Bank Lending. (2019). Zeng, Jing ; Shapiro, Joel. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13907.

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2017Propagation of economic shocks from Russia and Western European countries to CEE-Baltic countries: a comparative analysis. (2017). Khan, Nazmus. In: CQE Working Papers. RePEc:cqe:wpaper:6517.

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2017ON THE INTERACTION BETWEEN ECONOMIC GROWTH AND BUSINESS CYCLES. (2017). Mendieta-Muñoz, Ivan ; Mendieta-Muoz, Ivan. In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:04:p:982-1022_00.

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2018Value-at-Risk prediction using option-implied risk measures. (2018). Zhou, Chen ; Schindelhauer, Kai. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

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2019Capital regulations and the management of credit commitments during crisis times. (2019). Valderrama, Maria Teresa ; Pelzl, Paul. In: DNB Working Papers. RePEc:dnb:dnbwpp:661.

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2020What is the information value of banks stress tests? An investigation using banks bond split ratings. (2020). Sauviat, Alain ; Distinguin, Isabelle ; Dala, Moustapha Daouda. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00414.

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2017Destabilizing effects of bank overleveraging on real activity - an analysis based on a threshold MCS-GVAR. (2017). Semmler, Willi ; Henry, Jerome ; Gross, Marco. In: Working Paper Series. RePEc:ecb:ecbwps:20172081.

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2017Subsidising car purchases in the euro area: any spill-over on production?. (2017). Paredes, Joan. In: Working Paper Series. RePEc:ecb:ecbwps:20172094.

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2019Impact of higher capital buffers on banks’ lending and risk-taking: evidence from the euro area experiments. (2019). Varraso, Paolo ; Marques, Aurea Ponte ; Budrys, Ymantas ; Peeters, Jonas ; Cappelletti, Giuseppe. In: Working Paper Series. RePEc:ecb:ecbwps:20192292.

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2017Loss Given Default Estimating by the Conditional Minimum Value. (2017). Ammari, Mustapha ; Lakhnati, Ghizlane. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-99.

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2017Tourism expenditures and crisis transmission: A general equilibrium GVAR analysis with network theory. (2017). Soklis, George ; Michaelides, Panayotis ; Konstantakis, Konstantinos. In: Annals of Tourism Research. RePEc:eee:anture:v:66:y:2017:i:c:p:74-94.

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2017Modelling the interdependence of tourism demand: The global vector autoregressive approach. (2017). Cao, Zheng ; Li, Gang ; Song, Haiyan. In: Annals of Tourism Research. RePEc:eee:anture:v:67:y:2017:i:c:p:1-13.

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2019A review of research on tourism demand forecasting. (2019). Park, Jinah ; Song, Haiyan. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:338-362.

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2017Financialization as strategy: Accounting for inter-organizational value creation in the European real estate industry. (2017). Botzem, Sebastian ; Dobusch, Leonhard . In: Accounting, Organizations and Society. RePEc:eee:aosoci:v:59:y:2017:i:c:p:31-43.

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2017On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options. (2017). Oosterlee, Cornelis W ; Leitao, Alvaro ; Grzelak, Lech A. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:293:y:2017:i:c:p:461-479.

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2018The implications of China’s slowdown for international trade. (2018). Blagrave, Patrick ; Vesperoni, Esteban. In: Journal of Asian Economics. RePEc:eee:asieco:v:56:y:2018:i:c:p:36-47.

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2018The regional effects of macroeconomic shocks in China. (2018). Chen, Anping ; Groenewold, Nicolaas. In: China Economic Review. RePEc:eee:chieco:v:48:y:2018:i:c:p:139-154.

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2019Measuring the covariance risk of consumer debt portfolios. (2019). Madeira, Carlos. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:104:y:2019:i:c:p:21-38.

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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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2018Financial stress, regime switching and spillover effects: Evidence from a multi-regime global VAR model. (2018). Semmler, Willi ; Chen, Pu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:318-348.

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2018Debt dynamics in Europe: A Network General Equilibrium GVAR approach. (2018). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Tsionas, Efthymios G. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:175-202.

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2018Debt and stabilization policy: Evidence from a Euro Area FAVAR. (2018). Zubairy, Sarah ; Jackson Young, Laura ; Owyang, Michael T. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:67-91.

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2017Assessing the efficacy of borrower-based macroprudential policy using an integrated micro-macro model for European households. (2017). Gross, Marco ; Poblacion, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:510-528.

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2017Investigating Global Imbalances: Empirical evidence from a GVAR approach. (2017). Bettendorf, Timo. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:201-210.

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2017Adverse risk interaction: An integrated approach. (2017). Boovi, Milo ; Ivanovi, Jelena. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:67-74.

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2017Understanding Chinese provincial real estate investment: A Global VAR perspective. (2017). Rudkin, Simon ; Chen, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:248-260.

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2018RiskRank: Measuring interconnected risk. (2018). Mezei, Jozsef ; Sarlin, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:41-50.

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2019Spillovers from Japans Unconventional Monetary Policy: A global VAR Approach. (2019). Ganelli, Giovanni ; Tawk, Nour . In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:147-163.

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2019The global effects of productivity gains in Asian emerging economies. (2019). Vahid, Farshid ; Anderson, Heather ; Dumrongrittikul, Taya . In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:127-140.

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2019The evolution of monetary policy effectiveness under macroeconomic instability. (2019). Lopez-Buenache, German. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:221-233.

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2018The adjustment of bank ratings in the financial crisis: International evidence. (2018). Salvador, Carlos ; Pastor, Jose Manuel ; de Guevara, Juan Fernandez. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:289-313.

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2018Regional or global shock? A global VAR analysis of Asian economic and financial integration. (2018). Li, Sheue ; Sato, Kiyotaka . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:232-248.

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2019Bank risk aggregation with forward-looking textual risk disclosures. (2019). Zhu, Xiaoqian ; Li, Jianping ; Wenli, Guo ; Wei, LU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306168.

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2019Mean group estimation in presence of weakly cross-correlated estimators. (2019). Pesaran, M ; Chudik, Alexander. In: Economics Letters. RePEc:eee:ecolet:v:175:y:2019:i:c:p:101-105.

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2018Generating univariate fractional integration within a large VAR(1). (2018). Hecq, Alain ; Chevillon, Guillaume ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:54-65.

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2018Modeling maxima with autoregressive conditional Fréchet model. (2018). Zhao, Zifeng ; Chen, Rong ; Zhang, Zhengjun. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:325-351.

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2019A multiple testing approach to the regularisation of large sample correlation matrices. (2019). Pesaran, M ; Bailey, Natalia ; Smith, Vanessa L. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:507-534.

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2018International spillovers of (un)conventional monetary policy: The effect of the ECB and the US Fed on non-euro EU countries. (2018). Horvath, Roman ; Hajek, Jan. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:1:p:91-105.

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2018Uncovering the heterogeneous effects of ECB unconventional monetary policies across euro area countries. (2018). Galesi, Alessandro ; Burriel, Pablo. In: European Economic Review. RePEc:eee:eecrev:v:101:y:2018:i:c:p:210-229.

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2019Forecasting retailer product sales in the presence of structural change. (2019). Fildes, Robert ; Huang, Tao ; Soopramanien, Didier. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:2:p:459-470.

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2020Does risk aversion affect bank output loss? The case of the Eurozone. (2020). mamatzakis, emmanuel ; Ongena, Steven ; Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1127-1145.

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2017Chinas slowdown and global financial market volatility: Is world growth losing out?. (2017). Raissi, Mehdi ; Mohaddes, Kamiar ; Cashin, Paul. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:164-175.

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2018Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network. (2018). Ugolini, Andrea ; Arismendi Zambrano, Juan ; Rivera-Castro, Miguel A. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:164-189.

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More than 100 citations found, this list is not complete...

Til Schuermann has edited the books:


YearTitleTypeCited

Works by Til Schuermann:


YearTitleTypeCited
2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model In: Journal of Business & Economic Statistics.
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article502
2001Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model.(2001) In: Cambridge Working Papers in Economics.
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This paper has another version. Agregated cites: 502
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2001Modelling regional interdependencies using a global error-correcting macroeconometric model.(2001) In: 10th International Conference on Panel Data, Berlin, July 5-6, 2002.
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This paper has another version. Agregated cites: 502
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2003Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model.(2003) In: EcoMod2003.
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This paper has another version. Agregated cites: 502
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2002Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model.(2002) In: Center for Financial Institutions Working Papers.
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This paper has another version. Agregated cites: 502
paper
2004Rejoinder In: Journal of Business & Economic Statistics.
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article0
2003Macroeconomic Dynamics and Credit Risk: A Global Perspective In: Cambridge Working Papers in Economics.
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paper146
2006Macroeconomic Dynamics and Credit Risk: A Global Perspective.(2006) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 146
article
Macroeconomic Dynamics and Credit Risk: A Global Perspective.() In: Center for Financial Institutions Working Papers.
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This paper has another version. Agregated cites: 146
paper
2005Scope for Credit Risk Diversification In: Cambridge Working Papers in Economics.
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paper1
2005Scope for Credit Risk Diversification.(2005) In: IEPR Working Papers.
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This paper has another version. Agregated cites: 1
paper
2005The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification In: Cambridge Working Papers in Economics.
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paper3
2005The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification.(2005) In: IEPR Working Papers.
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This paper has another version. Agregated cites: 3
paper
2008Forecasting Economic and Financial Variables with Global VARs In: Cambridge Working Papers in Economics.
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paper87
2009Forecasting economic and financial variables with global VARs.(2009) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 87
article
2005Firm Heterogeneity and Credit Risk Diversification In: CESifo Working Paper Series.
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paper15
2005Global Business Cycles and Credit Risk In: CESifo Working Paper Series.
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paper12
2008Forecasting Economic and Financial Variables with Global VARs In: CESifo Working Paper Series.
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paper5
2003Macroeconomic Dynamics and Credit Risk: A Global Perspective In: CESifo Working Paper Series.
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paper17
2012Robust Capital Regulation In: CEPR Discussion Papers.
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paper7
2012Robust capital regulation.(2012) In: Current Issues in Economics and Finance.
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This paper has another version. Agregated cites: 7
article
2013Stress Testing Banks In: Working Papers.
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paper29
2014Stress testing banks.(2014) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 29
article
2013Stress Testing Bank Profitability In: Working Papers.
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paper1
2014Bank Capital for Operational Risk: A Tale of Fragility and Instability In: Working Papers.
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paper2
2015Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management In: Working Papers.
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paper1
2015Stress Testing Convergence In: Working Papers.
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paper0
2016Stress Testing in Wartime and in Peacetime In: Working Papers.
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paper4
2016Stress Testing in Wartime and in Peacetime.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
2001The efficiency-equity trade-off of schooling outcomes: public education expenditures and welfare in Mexico In: Economics of Education Review.
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article3
2008Firm heterogeneity and credit risk diversification In: Journal of Empirical Finance.
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article15
2009Rejoinder to comments on forecasting economic and financial variables with global VARs In: International Journal of Forecasting.
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article67
2002Ratings migration and the business cycle, with application to credit portfolio stress testing In: Journal of Banking & Finance.
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article185
2000Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing.(2000) In: Center for Financial Institutions Working Papers.
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This paper has another version. Agregated cites: 185
paper
2004Measurement, estimation and comparison of credit migration matrices In: Journal of Banking & Finance.
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article47
2006Confidence intervals for probabilities of default In: Journal of Banking & Finance.
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article23
2008Credit rating dynamics and Markov mixture models In: Journal of Banking & Finance.
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article41
2006A general approach to integrated risk management with skewed, fat-tailed risks In: Journal of Financial Economics.
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article96
2006Hedging bank liquidity risk In: Proceedings.
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paper0
2004Why were banks better off in the 2001 recession? In: Current Issues in Economics and Finance.
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article6
1998Horizon problems and extreme events in financial risk management In: Economic Policy Review.
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article22
1998Horizon Problems and Extreme Events in Financial Risk Management.(1998) In: Center for Financial Institutions Working Papers.
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This paper has another version. Agregated cites: 22
paper
2007Hedge funds, financial intermediation, and systemic risk In: Economic Policy Review.
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article7
2004A general approach to integrated risk management with skewed, fat-tailed risks In: Staff Reports.
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paper19
2004Estimating probabilities of default In: Staff Reports.
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paper8
2006Visible and hidden risk factors for banks In: Staff Reports.
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paper16
2007Hedge funds, financial intermediation, and systemic risk In: Staff Reports.
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paper8
2008Forecasting economic and financial variables with global VARs In: Staff Reports.
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paper4
2008Understanding the securitization of subprime mortgage credit In: Staff Reports.
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paper139
2009Macroprudential supervision of financial institutions: lessons from the SCAP In: Staff Reports.
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paper56
2011Robust capital regulation In: Staff Reports.
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paper6
1993Exact maximum likelihood estimation of ARCH models In: Working Papers.
[Citation analysis]
paper2
1998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
paper52
1998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management.(1998) In: Center for Financial Institutions Working Papers.
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paper
1998Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper15
1998Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management.(1998) In: Center for Financial Institutions Working Papers.
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This paper has another version. Agregated cites: 15
paper
2005A review of recent books on credit risk In: Journal of Applied Econometrics.
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article1
2005Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC? In: Journal of Financial Services Research.
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article13
2007How Do Banks Manage Liquidity Risk? Evidence from the Equity and Deposit Markets in the Fall of 1998 In: NBER Chapters.
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chapter5
2004How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998.(2004) In: NBER Working Papers.
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This paper has another version. Agregated cites: 5
paper
2007Global Business Cycles and Credit Risk In: NBER Chapters.
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chapter18
2005Global Business Cycles and Credit Risk.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 18
paper
1996Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models In: NBER Technical Working Papers.
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paper6
2006Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions In: NBER Working Papers.
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paper84
2009Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions.(2009) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 84
article
2008Understanding the Securitization of Subprime Mortgage Credit In: Foundations and Trends(R) in Finance.
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article91
2002Deposit Insurance and Risk Management of the U.S. Banking System: How Much? How Safe? Who Pays? In: Center for Financial Institutions Working Papers.
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paper4
2002Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates In: Center for Financial Institutions Working Papers.
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paper10
2003Measurement and Estimation of Credit Migration Matrices In: Center for Financial Institutions Working Papers.
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paper7
2003Metrics for Comparing Credit Migration Matrices In: Center for Financial Institutions Working Papers.
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paper5
The New Basel Capital Accord and Questions for Research In: Center for Financial Institutions Working Papers.
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paper5
1997Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think In: Center for Financial Institutions Working Papers.
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paper20
2009The Seven Deadly Frictions of Subprime Mortgage Credit Securitization In: World Scientific Book Chapters.
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chapter0
2015Model Risk and the Great Financial Crisis In: World Scientific Book Chapters.
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chapter0
1994Why You May Need Not Worry About Finite Sample Bias In Simulated Maximum Likelihood Estimation In: Discussion Papers.
[Citation analysis]
paper0
1997Businessmens Expectations Are Neither Rational nor Adaptive In: ZEW Discussion Papers.
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paper2

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