Til Schuermann : Citation Profile


Are you Til Schuermann?

18

H index

23

i10 index

1732

Citations

RESEARCH PRODUCTION:

21

Articles

51

Papers

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   23 years (1993 - 2016). See details.
   Cites by year: 75
   Journals where Til Schuermann has often published
   Relations with other researchers
   Recent citing documents: 244.    Total self citations: 28 (1.59 %)

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   Permalink: http://citec.repec.org/psc73
   Updated: 2019-08-17    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 (108)

Chudik, Alexander (50)

Huber, Florian (29)

Feldkircher, Martin (29)

Mohaddes, Kamiar (23)

Lucas, Andre (20)

Cesa-Bianchi, Ambrogio (18)

Österholm, Pär (18)

Dees, Stephane (16)

Koopman, Siem Jan (15)

Rebucci, Alessandro (15)

Cites to:

Pesaran, M (35)

Diebold, Francis (20)

Gordy, Michael (19)

Lando, David (17)

Berger, Allen (16)

Rajan, Raghuram (14)

Dees, Stephane (10)

Jarrow, Robert (10)

Duffie, Darrell (9)

Perraudin, William (9)

Morgan, Donald (9)

Main data


Where Til Schuermann has published?


Journals with more than one article published# docs
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
Staff Reports / Federal Reserve Bank of New York8
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). Pierre, G ; Kaminsky, J. 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). Smith, Greig ; Reis, Goncalo Dos . 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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2018Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations. (2018). Pfeuffer, Marius ; Smith, Greig ; Reis, Goncalo Dos . 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 Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour. (2019). Calderhead, Ben ; Griveau-Billion, Th'Eophile. In: Papers. RePEc:arx:papers:1904.08153.

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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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2019Labor Composite 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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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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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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2017Global impact of US and euro area unconventional monetary policies: a comparison. (2017). Lombardi, Marco ; Ross, Alex ; Chen, Qianying ; Zhu, Feng. 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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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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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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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). Mohaddes, Kamiar ; Pesaran, H ; Chudik, A. 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). Rice, Jonathan ; Walsh, Graeme ; 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). Mohaddes, Kamiar ; Pesaran, Hashem M ; 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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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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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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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). Schindelhauer, Kai ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

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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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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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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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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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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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2017Systemic risk and cross-sectional hedge fund returns. (2017). Hwang, In Chang ; Kim, Tong Suk ; In, Francis ; Xu, Simon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:109-130.

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2017Systemic risk with endogenous loss given default. (2017). Ijtsma, Pieter ; Spierdijk, Laura. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:145-157.

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2018Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138.

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2017Oil prices and the global economy: Is it different this time around?. (2017). Pesaran, M ; Mohaddes, Kamiar. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:315-325.

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2018Dynamic and directional network connectedness of crude oil and currencies: Evidence from implied volatility. (2018). Singh, Vipul Kumar ; Kumar, Pawan ; Nishant, Shreyank. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:48-63.

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2017Effect of rollover risk on default risk: Evidence from bank financing. (2017). Pea, Juan Ignacio ; Wang, Chih-Wei ; Chiu, Wan-Chien. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:130-143.

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2017Bank market power, asset liquidity and funding liquidity: International evidence. (2017). Skully, Michael ; Nguyen, MY ; Perera, Shrimal . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:23-38.

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2018Debt market illiquidity and correlated default risk. (2018). Javadi, Siamak ; Mollagholamali, Mohsen. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:266-273.

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2019Financial sector bailouts, sovereign bailouts, and the transfer of credit risk. (2019). Nguyen, Viet Hoang ; Huang, Jingong ; Greenwood-Nimmo, Matthew. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:121-142.

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2017Stress tests and asset quality reviews of banks: A policy announcement tool. (2017). Venegoni, Andrea ; Lazzari, Valter ; Vena, Luigi. In: Journal of Financial Stability. RePEc:eee:finsta:v:32:y:2017:i:c:p:86-98.

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2017The effect of foreclosure laws on securitization: Evidence from U.S. states. (2017). Milonas, Kristoffer. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:1-22.

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2017Evaluating the effectiveness of the new EU bank regulatory framework: A farewell to bail-out?. (2017). Maccaferri, Sara ; Benczur, Peter ; Giudici, Marco Petracco ; Di Girolamo, Francesca ; Cariboni, Jessica ; Cannas, Giuseppina . In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:207-223.

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2018Financial stress and equilibrium dynamics in term interbank funding markets. (2018). Yoldas, Emre ; Senyuz, Zeynep. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:136-149.

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2018The dark side of stress tests: Negative effects of information disclosure. (2018). Goncharenko, Roman ; Pinto, Roberto ; Hledik, Juraj. In: Journal of Financial Stability. RePEc:eee:finsta:v:37:y:2018:i:c:p:49-59.

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2018On the accuracy of alternative approaches for calibrating bank stress test models. (2018). Kupiec, Paul H. In: Journal of Financial Stability. RePEc:eee:finsta:v:38:y:2018:i:c:p:132-146.

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2018Measuring the propagation of financial distress with Granger-causality tail risk networks. (2018). Trapin, Luca ; Pirino, Davide ; Lillo, Fabrizio ; Corsi, Fulvio. In: Journal of Financial Stability. RePEc:eee:finsta:v:38:y:2018:i:c:p:18-36.

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2018An empirical study of bank stress testing for auto loans. (2018). Wu, Deming ; Wang, Qing ; Fang, Ming. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:79-89.

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2017To bi, or not to bi? Differences between spillover estimates from bilateral and multilateral multi-country models. (2017). Georgiadis, Georgios. In: Journal of International Economics. RePEc:eee:inecon:v:107:y:2017:i:c:p:1-18.

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2019Finance and synchronization. (2019). Saleheen, Jumana ; Imbs, Jean ; Cesa-Bianchi, Ambrogio. In: Journal of International Economics. RePEc:eee:inecon:v:116:y:2019:i:c:p:74-87.

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2018Copula approaches for modeling cross-sectional dependence of data breach losses. (2018). Eling, Martin ; Jung, Kwangmin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:167-180.

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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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article478
2001Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model.(2001) In: Cambridge Working Papers in Economics.
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paper
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: 478
paper
2003Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model.(2003) In: EcoMod2003.
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This paper has another version. Agregated cites: 478
paper
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: 478
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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paper140
2003Macroeconomic Dynamics and Credit Risk: A Global Perspective.(2003) In: CESifo Working Paper Series.
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paper
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: 140
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: 140
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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paper88
2008Forecasting Economic and Financial Variables with Global VARs.(2008) In: CESifo Working Paper Series.
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This paper has another version. Agregated cites: 88
paper
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: 88
article
2008Forecasting economic and financial variables with global VARs.(2008) In: Staff Reports.
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This paper has another version. Agregated cites: 88
paper
2005Firm Heterogeneity and Credit Risk Diversification In: CESifo Working Paper Series.
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paper29
2008Firm heterogeneity and credit risk diversification.(2008) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 29
article
2005Global Business Cycles and Credit Risk In: CESifo Working Paper Series.
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paper21
2007Global Business Cycles and Credit Risk.(2007) In: NBER Chapters.
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This paper has another version. Agregated cites: 21
chapter
2005Global Business Cycles and Credit Risk.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 21
paper
2012Robust Capital Regulation In: CEPR Discussion Papers.
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paper12
2012Robust capital regulation.(2012) In: Current Issues in Economics and Finance.
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This paper has another version. Agregated cites: 12
article
2011Robust capital regulation.(2011) In: Staff Reports.
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This paper has another version. Agregated cites: 12
paper
2013Stress Testing Banks In: Working Papers.
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paper22
2014Stress testing banks.(2014) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 22
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
2009Rejoinder to comments on forecasting economic and financial variables with global VARs In: International Journal of Forecasting.
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article64
2002Ratings migration and the business cycle, with application to credit portfolio stress testing In: Journal of Banking & Finance.
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article178
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: 178
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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article22
2008Credit rating dynamics and Markov mixture models In: Journal of Banking & Finance.
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article37
2006A general approach to integrated risk management with skewed, fat-tailed risks In: Journal of Financial Economics.
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article108
2004A general approach to integrated risk management with skewed, fat-tailed risks.(2004) In: Staff Reports.
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This paper has another version. Agregated cites: 108
paper
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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article4
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
2007Hedge funds, financial intermediation, and systemic risk.(2007) In: Staff Reports.
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This paper has another version. Agregated cites: 7
paper
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
2008Understanding the securitization of subprime mortgage credit In: Staff Reports.
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paper137
2008Understanding the Securitization of Subprime Mortgage Credit.(2008) In: Foundations and Trends(R) in Finance.
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This paper has another version. Agregated cites: 137
article
2009Macroprudential supervision of financial institutions: lessons from the SCAP In: Staff Reports.
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paper56
1993Exact maximum likelihood estimation of ARCH models In: Working Papers.
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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.
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paper51
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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article12
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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chapter1
1996Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models In: NBER Technical Working Papers.
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paper6
2004How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998 In: NBER Working Papers.
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paper4
2006Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions In: NBER Working Papers.
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paper76
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: 76
article
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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