18
H index
27
i10 index
1940
Citations
Til Schuermann : Citation Profile
| RESEARCH PRODUCTION: 21 Articles 51 Papers 4 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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23 years (1993 - 2016). 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:
| Cites to:
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Main data
Where Til Schuermann has published?
| Journals with more than one article published | # docs |
|---|---|
| Staff Reports | 8 |
| Journal of Banking & Finance | 4 |
| International Journal of Forecasting | 3 |
| Current Issues in Economics and Finance | 2 |
| Journal of Business & Economic Statistics | 2 |
| Economic Policy Review | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / University of Pennsylvania, Wharton School, Weiss Center | 7 |
| CESifo Working Paper Series / CESifo Group Munich | 4 |
| IEPR Working Papers / Institute of Economic Policy Research (IEPR) | 2 |
Recent works citing Til Schuermann (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2019 | Assessing 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. Full description at Econpapers || Download paper | |
| 2017 | Yields 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. Full description at Econpapers || Download paper | |
| 2017 | Cross 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. Full description at Econpapers || Download paper | |
| 2018 | Cross 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. Full description at Econpapers || Download paper | |
| 2017 | Robust and Consistent Estimation of Generators in Credit Risk. (2017). Reis, Goncalo Dos ; Smith, Greig. In: Papers. RePEc:arx:papers:1702.08867. Full description at Econpapers || Download paper | |
| 2019 | Dealing with cross-country heterogeneity in panel VARs using finite mixture models. (2018). Huber, Florian. In: Papers. RePEc:arx:papers:1804.01554. Full description at Econpapers || Download paper | |
| 2018 | Econophysics Beyond General Equilibrium: the Business Cycle Model. (2018). Olkhov, Victor. In: Papers. RePEc:arx:papers:1804.04721. Full description at Econpapers || Download paper | |
| 2020 | Capturing 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. Full description at Econpapers || Download paper | |
| 2018 | Randomization Tests for Equality in Dependence Structure. (2018). Seo, Juwon. In: Papers. RePEc:arx:papers:1811.02105. Full description at Econpapers || Download paper | |
| 2019 | A 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. Full description at Econpapers || Download paper | |
| 2020 | A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour. (2019). Griveau-Billion, Théophile ; Calderhead, Ben. In: Papers. RePEc:arx:papers:1904.08153. Full description at Econpapers || Download paper | |
| 2019 | The international effects of central bank information shocks. (2019). Stelzer, Anna ; Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:1912.03158. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2019 | Estimation 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. Full description at Econpapers || Download paper | |
| 2018 | Dependence 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. Full description at Econpapers || Download paper | |
| 2017 | Terms-of-Trade and House Price Fluctuations: A Cross-Country Study. (2017). Corrigan, Paul . In: Staff Working Papers. RePEc:bca:bocawp:17-1. Full description at Econpapers || Download paper | |
| 2019 | Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16. Full description at Econpapers || Download paper | |
| 2017 | Capturing macroprudential regulation effectiveness: A DSGE approach with shadow intermediaries. (2017). Lubello, Federico ; Rouabah, Abdelaziz. In: BCL working papers. RePEc:bcl:bclwop:bclwp114. Full description at Econpapers || Download paper | |
| 2019 | Do 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. Full description at Econpapers || Download paper | |
| 2019 | The 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. Full description at Econpapers || Download paper | |
| 2020 | Demand 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. Full description at Econpapers || Download paper | |
| 2018 | Funding 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. Full description at Econpapers || Download paper | |
| 2019 | The Global Financial Cycle and US Monetary Policy in an Interconnected World. (2019). Galesi, Alessandro ; Dees, Stephane. In: Working papers. RePEc:bfr:banfra:744. Full description at Econpapers || Download paper | |
| 2017 | Back-testing European stress tests. (2017). PHILIPPON, Thomas ; Camara, Boubacar ; Pessarossi, P. In: Débats économiques et financiers. RePEc:bfr:decfin:26. Full description at Econpapers || Download paper | |
| 2020 | Stress testing in Latin America: A comparison of approaches and methodologies. (2020). Bank for International Settlements, . In: BIS Papers. RePEc:bis:bisbps:108. Full description at Econpapers || Download paper | |
| 2017 | Global 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. Full description at Econpapers || Download paper | |
| 2018 | The cross-border credit channel and lending standards surveys. (2018). Siklos, Pierre ; Filardo, Andrew. In: BIS Working Papers. RePEc:bis:biswps:723. Full description at Econpapers || Download paper | |
| 2018 | Corporate 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. Full description at Econpapers || Download paper | |
| 2019 | Cross 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. Full description at Econpapers || Download paper | |
| 2018 | BANK 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. Full description at Econpapers || Download paper | |
| 2018 | OPENNESS 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. Full description at Econpapers || Download paper | |
| 2018 | DURATION 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. Full description at Econpapers || Download paper | |
| 2017 | An 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. Full description at Econpapers || Download paper | |
| 2017 | How 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. Full description at Econpapers || Download paper | |
| 2018 | Home 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. Full description at Econpapers || Download paper | |
| 2019 | Spillovers 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. Full description at Econpapers || Download paper | |
| 2017 | Movers 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. Full description at Econpapers || Download paper | |
| 2020 | Estimating 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. Full description at Econpapers || Download paper | |
| 2017 | Optimal 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. Full description at Econpapers || Download paper | |
| 2017 | Idiosyncratic 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. Full description at Econpapers || Download paper | |
| 2018 | The Impact of Uncertainty on Financial Institutions. (2018). Xu, Bing ; Caglayan, Mustafa ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:939. Full description at Econpapers || Download paper | |
| 2020 | Win-Win? Assessing the global impact of the Chinese economy. (2020). Herrala, Risto ; Orlandi, Fabrice. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2020_004. Full description at Econpapers || Download paper | |
| 2018 | CONTAGION 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. Full description at Econpapers || Download paper | |
| 2017 | Dependency 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. Full description at Econpapers || Download paper | |
| 2018 | Identifying 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. Full description at Econpapers || Download paper | |
| 2017 | Global 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. Full description at Econpapers || Download paper | |
| 2019 | Identifying 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. Full description at Econpapers || Download paper | |
| 2017 | Forecasting 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. Full description at Econpapers || Download paper | |
| 2018 | The Procyclicality of Expected Credit Loss Provisions. (2018). Suarez, Javier ; Abad, Jorge. In: Working Papers. RePEc:cmf:wpaper:wp2018_1806. Full description at Econpapers || Download paper | |
| 2017 | Estimating 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. Full description at Econpapers || Download paper | |
| 2018 | Spillovers 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. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2019 | INTEGRATION 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. Full description at Econpapers || Download paper | |
| 2017 | Backtesting European Stress Tests. (2017). PHILIPPON, Thomas ; Camara, Boubacar ; Pessarossi, Pierre. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11805. Full description at Econpapers || Download paper | |
| 2017 | Risk Management and Regulation. (2017). Adrian, Tobias. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12422. Full description at Econpapers || Download paper | |
| 2018 | The Procyclicality of Expected Credit Loss Provisions. (2018). Suarez, Javier ; Abad, Jorge. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13135. Full description at Econpapers || Download paper | |
| 2018 | A Review of Shadow Banking. (2018). Adrian, Tobias ; Cetorelli, Nicola ; Breuer, Peter ; Ashcraft, Adam. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13363. Full description at Econpapers || Download paper | |
| 2019 | Stress Testing Networks: The Case of Central Counterparties. (2019). Cecchetti, Stephen ; Schoenholtz, Kermit ; Berner, Richard. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13604. Full description at Econpapers || Download paper | |
| 2019 | Stress Testing and Bank Lending. (2019). Zeng, Jing ; Shapiro, Joel. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13907. Full description at Econpapers || Download paper | |
| 2017 | Propagation 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. Full description at Econpapers || Download paper | |
| 2017 | ON 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. Full description at Econpapers || Download paper | |
| 2018 | Value-at-Risk prediction using option-implied risk measures. (2018). Zhou, Chen ; Schindelhauer, Kai. In: DNB Working Papers. RePEc:dnb:dnbwpp:613. Full description at Econpapers || Download paper | |
| 2019 | Capital regulations and the management of credit commitments during crisis times. (2019). Valderrama, Maria Teresa ; Pelzl, Paul. In: DNB Working Papers. RePEc:dnb:dnbwpp:661. Full description at Econpapers || Download paper | |
| 2020 | What 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. Full description at Econpapers || Download paper | |
| 2017 | Destabilizing 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. Full description at Econpapers || Download paper | |
| 2017 | Subsidising car purchases in the euro area: any spill-over on production?. (2017). Paredes, Joan. In: Working Paper Series. RePEc:ecb:ecbwps:20172094. Full description at Econpapers || Download paper | |
| 2019 | Impact 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. Full description at Econpapers || Download paper | |
| 2017 | Loss 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. Full description at Econpapers || Download paper | |
| 2017 | Tourism 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. Full description at Econpapers || Download paper | |
| 2017 | Modelling 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. Full description at Econpapers || Download paper | |
| 2019 | A 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. Full description at Econpapers || Download paper | |
| 2017 | Financialization 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. Full description at Econpapers || Download paper | |
| 2017 | On 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2019 | Measuring 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. Full description at Econpapers || Download paper | |
| 2018 | Measuring 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. Full description at Econpapers || Download paper | |
| 2018 | Financial 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. Full description at Econpapers || Download paper | |
| 2018 | Debt 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. Full description at Econpapers || Download paper | |
| 2018 | Debt 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. Full description at Econpapers || Download paper | |
| 2017 | Assessing 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. Full description at Econpapers || Download paper | |
| 2017 | Investigating 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. Full description at Econpapers || Download paper | |
| 2017 | Adverse 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. Full description at Econpapers || Download paper | |
| 2017 | Understanding 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. Full description at Econpapers || Download paper | |
| 2018 | RiskRank: Measuring interconnected risk. (2018). Mezei, Jozsef ; Sarlin, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:41-50. Full description at Econpapers || Download paper | |
| 2019 | Spillovers 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. Full description at Econpapers || Download paper | |
| 2019 | The 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. Full description at Econpapers || Download paper | |
| 2019 | The 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2018 | Regional 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. Full description at Econpapers || Download paper | |
| 2019 | Bank 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. Full description at Econpapers || Download paper | |
| 2019 | Mean 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. Full description at Econpapers || Download paper | |
| 2018 | Generating 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. Full description at Econpapers || Download paper | |
| 2018 | Modeling 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. Full description at Econpapers || Download paper | |
| 2019 | A 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. Full description at Econpapers || Download paper | |
| 2018 | International 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. Full description at Econpapers || Download paper | |
| 2018 | Uncovering 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. Full description at Econpapers || Download paper | |
| 2019 | Forecasting 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. Full description at Econpapers || Download paper | |
| 2020 | Does 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. Full description at Econpapers || Download paper | |
| 2017 | Chinas 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. Full description at Econpapers || Download paper | |
| 2018 | Tail 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. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Til Schuermann has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Til Schuermann:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2004 | Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 502 |
| 2001 | Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model.(2001) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 502 | paper | |
| 2001 | Modelling regional interdependencies using a global error-correcting macroeconometric model.(2001) In: 10th International Conference on Panel Data, Berlin, July 5-6, 2002. [Full Text][Citation analysis] This paper has another version. Agregated cites: 502 | paper | |
| 2003 | Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model.(2003) In: EcoMod2003. [Full Text][Citation analysis] This paper has another version. Agregated cites: 502 | paper | |
| 2002 | Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model.(2002) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 502 | paper | |
| 2004 | Rejoinder In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2003 | Macroeconomic Dynamics and Credit Risk: A Global Perspective In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 146 |
| 2006 | Macroeconomic Dynamics and Credit Risk: A Global Perspective.(2006) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 146 | article | |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective.() In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 146 | paper | ||
| 2005 | Scope for Credit Risk Diversification In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2005 | Scope for Credit Risk Diversification.(2005) In: IEPR Working Papers. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2005 | The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 3 |
| 2005 | The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification.(2005) In: IEPR Working Papers. [Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2008 | Forecasting Economic and Financial Variables with Global VARs In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 87 |
| 2009 | Forecasting economic and financial variables with global VARs.(2009) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 87 | article | |
| 2005 | Firm Heterogeneity and Credit Risk Diversification In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 15 |
| 2005 | Global Business Cycles and Credit Risk In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 12 |
| 2008 | Forecasting Economic and Financial Variables with Global VARs In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2003 | Macroeconomic Dynamics and Credit Risk: A Global Perspective In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 17 |
| 2012 | Robust Capital Regulation In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
| 2012 | Robust capital regulation.(2012) In: Current Issues in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 2013 | Stress Testing Banks In: Working Papers. [Full Text][Citation analysis] | paper | 29 |
| 2014 | Stress testing banks.(2014) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | article | |
| 2013 | Stress Testing Bank Profitability In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Bank Capital for Operational Risk: A Tale of Fragility and Instability In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Stress Testing Convergence In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Stress Testing in Wartime and in Peacetime In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Stress Testing in Wartime and in Peacetime.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2001 | The efficiency-equity trade-off of schooling outcomes: public education expenditures and welfare in Mexico In: Economics of Education Review. [Full Text][Citation analysis] | article | 3 |
| 2008 | Firm heterogeneity and credit risk diversification In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 15 |
| 2009 | Rejoinder to comments on forecasting economic and financial variables with global VARs In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 67 |
| 2002 | Ratings migration and the business cycle, with application to credit portfolio stress testing In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 185 |
| 2000 | Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing.(2000) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 185 | paper | |
| 2004 | Measurement, estimation and comparison of credit migration matrices In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 47 |
| 2006 | Confidence intervals for probabilities of default In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 23 |
| 2008 | Credit rating dynamics and Markov mixture models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 41 |
| 2006 | A general approach to integrated risk management with skewed, fat-tailed risks In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 96 |
| 2006 | Hedging bank liquidity risk In: Proceedings. [Citation analysis] | paper | 0 |
| 2004 | Why were banks better off in the 2001 recession? In: Current Issues in Economics and Finance. [Full Text][Citation analysis] | article | 6 |
| 1998 | Horizon problems and extreme events in financial risk management In: Economic Policy Review. [Full Text][Citation analysis] | article | 22 |
| 1998 | Horizon Problems and Extreme Events in Financial Risk Management.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2007 | Hedge funds, financial intermediation, and systemic risk In: Economic Policy Review. [Full Text][Citation analysis] | article | 7 |
| 2004 | A general approach to integrated risk management with skewed, fat-tailed risks In: Staff Reports. [Full Text][Citation analysis] | paper | 19 |
| 2004 | Estimating probabilities of default In: Staff Reports. [Full Text][Citation analysis] | paper | 8 |
| 2006 | Visible and hidden risk factors for banks In: Staff Reports. [Full Text][Citation analysis] | paper | 16 |
| 2007 | Hedge funds, financial intermediation, and systemic risk In: Staff Reports. [Full Text][Citation analysis] | paper | 8 |
| 2008 | Forecasting economic and financial variables with global VARs In: Staff Reports. [Full Text][Citation analysis] | paper | 4 |
| 2008 | Understanding the securitization of subprime mortgage credit In: Staff Reports. [Full Text][Citation analysis] | paper | 139 |
| 2009 | Macroprudential supervision of financial institutions: lessons from the SCAP In: Staff Reports. [Full Text][Citation analysis] | paper | 56 |
| 2011 | Robust capital regulation In: Staff Reports. [Full Text][Citation analysis] | paper | 6 |
| 1993 | Exact maximum likelihood estimation of ARCH models In: Working Papers. [Citation analysis] | paper | 2 |
| 1998 | Pitfalls 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] | paper | 52 |
| 1998 | Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | paper | |
| 1998 | Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 15 |
| 1998 | Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 2005 | A review of recent books on credit risk In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2005 | Deposit 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. [Full Text][Citation analysis] | article | 13 |
| 2007 | How Do Banks Manage Liquidity Risk? Evidence from the Equity and Deposit Markets in the Fall of 1998 In: NBER Chapters. [Full Text][Citation analysis] | chapter | 5 |
| 2004 | How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2007 | Global Business Cycles and Credit Risk In: NBER Chapters. [Full Text][Citation analysis] | chapter | 18 |
| 2005 | Global Business Cycles and Credit Risk.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 1996 | Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2006 | Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions In: NBER Working Papers. [Full Text][Citation analysis] | paper | 84 |
| 2009 | Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 84 | article | |
| 2008 | Understanding the Securitization of Subprime Mortgage Credit In: Foundations and Trends(R) in Finance. [Full Text][Citation analysis] | article | 91 |
| 2002 | Deposit Insurance and Risk Management of the U.S. Banking System: How Much? How Safe? Who Pays? In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2002 | Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2003 | Measurement and Estimation of Credit Migration Matrices In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2003 | Metrics for Comparing Credit Migration Matrices In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 5 |
| The New Basel Capital Accord and Questions for Research In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 5 | |
| 1997 | Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 20 |
| 2009 | The Seven Deadly Frictions of Subprime Mortgage Credit Securitization In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2015 | Model Risk and the Great Financial Crisis In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 1994 | Why You May Need Not Worry About Finite Sample Bias In Simulated Maximum Likelihood Estimation In: Discussion Papers. [Citation analysis] | paper | 0 |
| 1997 | Businessmens Expectations Are Neither Rational nor Adaptive In: ZEW Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
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