Til Schuermann : Citation Profile

Are you Til Schuermann?

19

H index

24

i10 index

2294

Citations

RESEARCH PRODUCTION:

24

Articles

51

Papers

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   27 years (1993 - 2020). See details.
   Cites by year: 84
   Journals where Til Schuermann has often published
   Relations with other researchers
   Recent citing documents: 220.    Total self citations: 29 (1.25 %)

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   Permalink: http://citec.repec.org/psc73
   Updated: 2022-07-02    RAS profile: 2022-05-27    
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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 (134)

Chudik, Alexander (70)

Feldkircher, Martin (46)

Huber, Florian (42)

Mohaddes, Kamiar (39)

Rebucci, Alessandro (32)

Lucas, Andre (26)

Cesa-Bianchi, Ambrogio (21)

Koopman, Siem Jan (20)

Dees, Stephane (20)

Xu, TengTeng (19)

Cites to:

Pesaran, M (38)

Diebold, Francis (21)

Gordy, Michael (19)

Berger, Allen (18)

Lando, David (18)

Rajan, Raghuram (11)

Jarrow, Robert (11)

Acharya, Viral (10)

Dees, Stephane (10)

merton, robert (10)

Duffie, Darrell (10)

Main data

Where Til Schuermann has published?

Journals with more than one article published# docs
Journal of Banking & Finance4
International Journal of Forecasting3
Economic Policy Review2
Review of Financial Studies2
Current Issues in Economics and Finance2
Journal of Business & Economic Statistics2

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 / CESifo4
NBER Working Papers / National Bureau of Economic Research, Inc3
IEPR Working Papers / Institute of Economic Policy Research (IEPR)2

Recent works citing Til Schuermann (2021 and 2020)

YearTitle of citing document
2020On the Dependence between Default Risk and Recovery Rates in Structural Models. (2020). Fermanian, Jean-David. In: Annals of Economics and Statistics. RePEc:adr:anecst:y:2020:i:140:p:45-82.

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2022The Critical Role of Education and ICT in Promoting Environmental Sustainability in Eastern and Southern Africa: A Panel VAR Approach. (2022). Shobande, Olatunji ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:22/006.

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2021A Multicountry Model of the Term Structures of Interest Rates with a GVAR. (2021). Moura, Rubens ; Candelon, Bertrand. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021007.

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2022Bargaining over a Divisible Good in the Market for Lemons. (2022). Monzon, Ignacio ; Maestri, Lucas ; Gerardi, Dino. In: Working Papers. RePEc:aoz:wpaper:111.

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2021Dealing 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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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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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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2020Business Cycles as Collective Risk Fluctuations. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2012.04506.

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2021Uncertainty spill-overs: when policy and financial realms overlap. (2021). Dragomirescu-Gaina, Catalin ; Bacchiocchi, Emanuele. In: Papers. RePEc:arx:papers:2102.06404.

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2022Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs. (2021). Pfarrhofer, Michael ; Huber, Florian ; Feldkircher, Martin ; Koop, Gary. In: Papers. RePEc:arx:papers:2103.04944.

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2021A new class of conditional Markov jump processes with regime switching and path dependence: properties and maximum likelihood estimation. (2021). Surya, Budhi. In: Papers. RePEc:arx:papers:2107.07026.

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2022Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2021Funding liquidity, credit risk and unconventional monetary policy in the Euro area: a GVAR approach. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2111.01078.

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2020A Simulation Study: Obtaining a Sufficient Sample Size of Discrete-Time Markov Chains of Investment in a Short Frequency of Time. (2020). Muhammad, Shamsul Rijal ; Sarsour, Wajeeh Mustafa. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:906-919.

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2021The economics of non-bank financial intermediation: why do we need to fill the regulation gap?. (2021). Trapanese, Maurizio. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_625_21.

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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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2021Testing external habits in an asset pricing model. (2021). Goenka, Aditya ; D'Addona, Stefano ; Boschi, Melisso . In: Discussion Papers. RePEc:bir:birmec:21-11.

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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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2020The impact of credit risk mispricing on mortgage lending during the subprime boom. (2020). Kay, Benjamin S ; Kahn, James A. In: BIS Working Papers. RePEc:bis:biswps:875.

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2020A Multi-Country BVAR Model for the External Sector. (2020). Korotkikh, Olga. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:4:p:98-112.

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2021Variations in the Effects of a Single Monetary Policy: The Case of Russian Regions. (2021). Shulgin, Andrei ; Novak, Anna ; Napalkov, Vadim. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:80:y:2021:i:1:p:3-45.

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2020Spillover Effects of Russian Monetary Policy Shocks on the Eurasian Economic Union. (2020). Abramov, Vladislav. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps60.

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2021Modelling of Chinese corporate bond default – A machine learning approach. (2021). Zhuo, Zhuyao ; Lu, Zhou. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:5:p:6147-6191.

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2021CROSS?SECTIONAL DEPENDENCE AND SPILLOVERS IN SPACE AND TIME: WHERE SPATIAL ECONOMETRICS AND GLOBAL VAR MODELS MEET. (2021). Elhorst, J.Paul ; Tereanu, Eugen ; Gross, Marco. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:1:p:192-226.

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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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2021Do ECBs Monetary Policies Benefit EMEs? A GVAR Analysis on the Global Financial and Sovereign Debt Crises and Postcrises Period. (2021). Colabella, Andrea. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:2:p:472-494.

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2021International Effects of Euro Area Forward Guidance. (2021). Siklos, Pierre ; Feldkircher, Martin ; Böck, Maximilian ; Bock, Maximilian. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1066-1110.

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2021Commercial Mortgage?Backed Security Pricing with Real Estate Liquidity Risk. (2021). Wu, Chunchi ; Liu, Peng ; Kozhanov, Igor ; Chen, Peimin. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:s2:p:490-525.

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2020Macroeconomic spillover effects of the Chinese economy. (2020). Sznajderska, Anna ; Kapuściński, Mariusz ; Kapuciski, Mariusz. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:4:p:992-1019.

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2020Employment effects of COVID?19 across Chilean regions: An application of the translog cost function. (2020). Modrego, Felix ; Bahamonde, Hector ; Canales, Andrea. In: Regional Science Policy & Practice. RePEc:bla:rgscpp:v:12:y:2020:i:6:p:1151-1167.

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2021Separating retail and investment banking: evidence from the UK. (2020). Elliott, David ; Chavaz, Matthieu. In: Bank of England working papers. RePEc:boe:boeewp:0892.

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2021Foreign vulnerabilities, domestic risks: the global drivers of GDP-at-Risk. (2021). Lloyd, Simon ; Panchev, Konstantin ; Manuel, ED. In: Bank of England working papers. RePEc:boe:boeewp:0940.

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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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2020Measuring Global Macroeconomic Uncertainty. (2020). Moramarco, Graziano. In: Working Papers. RePEc:bol:bodewp:wp1148.

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2020A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model. (2020). Rebucci, Alessandro ; Pesaran, M ; Mohaddes, Kamiar ; Chudik, A ; Raissi, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2088.

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2021Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk. (2021). Manuel, Ed ; Lloyd, Simon ; Panchev, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2156.

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2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Wu, J ; Tang, H ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2237.

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2021.

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2020Macro Stress Testing Credit Risk: Case of Madagascar Banking Sector. (2020). Rakotonirainy, Miora ; Razafindravonona, Jean ; Rasolomanana, Christian. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:9:y:2020:i:2:p:199-218.

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2020Macroprudential Liquidity Stress Test: An Application to Indonesian Banks. (2020). Nattan, Raquela Renanda ; Harun, Cicilia Anggadewi ; Taruna, Aditya Anta. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:9:y:2020:i:si:p:165-187.

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2020The Determinants of Indonesia’s Business Cycle. (2020). Bary, Pakasa ; Cinditya, Anggita ; Harahap, Berry A. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:9:y:2020:i:si:p:215-235.

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2021Sowing the Seeds of Financial Crises: Endogenous Asset Creation and Adverse Selection. (2021). Caramp, Nicolas. In: Working Papers. RePEc:cda:wpaper:342.

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2020Covid-19 Outbreak, Social Response, and Early Economic Effects: A Global VAR Analysis of Cross-Country Interdependencies. (2020). Milani, Fabio. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8518.

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2020A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model. (2020). Rebucci, Alessandro ; Mohaddes, Kamiar ; Pesaran, Hashem M ; Chudik, Alexander ; Raissi, Mehdi. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8588.

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2021Forecasting Brazilian Inflation with the Hybrid New Keynesian Phillips Curve: Assessing the Predictive Role of Trading Partners. (2021). Medel, Carlos A.. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:900.

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2020Demand for safety, risky loans: A model of securitization. (2020). Villacorta, Alonso ; Velez, Anatoli Segura. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14313.

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2021Fragmentation in the European Monetary Union: Is it really over?. (2021). Luisi, Angelo ; Candelon, Bertrand ; Roccazzella, Francesco. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_016.

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2021Financial Conditions, Local Competition, and Local Market Leaders: The Case of Real Estate Developers. (2021). Leung, Charles ; Yang, Zan ; Ka, Charles ; Fan, Ying. In: ISER Discussion Paper. RePEc:dpr:wpaper:1130.

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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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2021Measuring the cost of equity of euro area banks. (2021). Rycx, Francois ; Palligkinis, Spyros ; Odonnell, Charles ; Mosthaf, Jonas ; Fernandes, Cecilia Melo ; Kick, Heinrich ; Grodzicki, Maciej ; Dumitru, Ana-Maria ; de Ryck, Jeroen ; Bochmann, Paul ; Altavilla, Carlo ; Carlo Altavilla , . In: Occasional Paper Series. RePEc:ecb:ecbops:2021254.

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2022A study on the EBA stress test results: influence of bank, portfolio, and country-level characteristics. (2022). Tarancon, Javier ; Suarez, Nuria ; Poblacion, Francisco Javier ; Hernandez, Javier. In: Working Paper Series. RePEc:ecb:ecbwps:20222648.

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2020External imbalances from a GVAR perspective. (2020). Tamarit, Cecilio ; Carrion-i-Silvestre, Josep ; Camarero, Mariam ; Author, Mariam Camarero. In: Working Papers. RePEc:eec:wpaper:2005.

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2021Time-varying inter-urban housing price spillovers in China: Causes and consequences. (2021). Yang, Haisheng ; Li, Jie ; Lu, Yunzhi. In: Journal of Asian Economics. RePEc:eee:asieco:v:77:y:2021:i:c:s1049007821001251.

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2020How does capital buffer affect bank risk-taking? New evidence from China using quantile regression. (2020). Sun, Chen ; Zhang, Jinyi ; Jiang, Hai. In: China Economic Review. RePEc:eee:chieco:v:60:y:2020:i:c:s1043951x19300537.

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2020Do stress tests affect bank liquidity creation?. (2020). Onali, Enrico ; Chevapatrakul, Thanaset ; Ahmed, Shamim ; Vu, Thach. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920300663.

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2021Dividends and financial health: Evidence from U.S. bank holding companies. (2021). Wu, DA ; Tripathy, Niranjan ; Zheng, YI. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302522.

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2020Liquidity backstops and dynamic debt runs. (2020). Yue, Vivian ; Wei, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300841.

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2021Media connection and return comovement. (2021). Tu, Jun ; Guo, LI ; Chen, Zilin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:130:y:2021:i:c:s0165188921001263.

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2020Revisiting the effects of NAFTA. (2020). Khan, Nazmus Sadat. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:1-16.

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2021Capturing the nonlinear impact in distress state: Enhancing scenario design of stress test. (2021). Harun, Cicilia ; Taruna, Aditya Anta. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:265-288.

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2020Exploring GDP growth volatility spillovers across countries. (2020). Mutshinda, Crispin ; ben Sita, Bernard ; Arayssi, Mahmoud ; Abosedra, Salah. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:577-589.

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2020Bank fee-based shocks and the U.S. business cycle. (2020). Theoret, Raymond ; Calmes, Christian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940817303595.

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2020Procyclical ratings and market reactions. (2020). Mortenson, Kristian ; Kemper, Kristopher J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301372.

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2020Equity market and money supply spillovers and economic growth in BRICS economies: A global vector autoregressive approach. (2020). Sohag, Kazi ; Alqahtani, Faisal ; Kutan, Ali M ; Samargandi, Nahla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303255.

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2020Does bank capitalization matter for bank stock returns?. (2020). Scholtens, Bert ; Huang, Qiubin ; de Haan, Jakob. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300681.

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2020Liquidity creation and bank profitability. (2020). Niu, Jijun ; Duan, Ying. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301479.

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2022Predictability of tail risks of Canada and the U.S. Over a Century: The role of spillovers and oil tail Risks?. (2022). Salisu, Afees ; Pierdzioch, Christian ; GUPTA, RANGAN. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002163.

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2021Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure. (2021). shin, yongcheol ; Serlenga, Laura ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:504-531.

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2021Facing an unfortunate trade-off: policy responses, lessons and spill-overs during the COVID-19 pandemic. (2021). Dragomirescu-Gaina, Catalin. In: Economics & Human Biology. RePEc:eee:ehbiol:v:43:y:2021:i:c:s1570677x21000769.

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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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2020Spatial scale and product mix economies in U.S. banking with simultaneous spillover regimes. (2020). Kenjegaliev, Amangeldi ; Kenjegalieva, Karligash ; Glass, Anthony J. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:693-711.

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2020Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default. (2020). Andreeva, Galina ; Crook, Jonathan ; Wang, Zheqi. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:725-738.

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2020Communication and financial supervision: How does disclosure affect market stability?. (2020). Venegoni, Andrea ; Vena, Luigi ; Pacicco, Fausto. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:1-15.

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2020Financial liquidity, geopolitics, and oil prices. (2020). Abdel-Latif, Hany ; El-Gamal, Mahmoud. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988319302634.

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2020Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies. (2020). Tiwari, Aviral ; Nasreen, Samia ; Elsayed, Ahmed H. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301870.

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2021Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions. (2021). Yamagata, Takashi ; Tarui, Nori ; Smith, Vanessa L. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s014098832100075x.

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2020Liquidity creation and funding ability during the interbank lending crunch. (2020). Beladi, Hamid ; How, Janice ; Park, Jason ; Hu, May. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919303254.

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2021The real impact of ratings-based capital rules on the finance-growth nexus. (2021). Wu, Eliza ; Hassan, Gazi ; Hasan, Iftekhar ; Kim, Suk-Joong. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302714.

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2021The Impact of Supervisory Stress Tests on Bank Ex-Ante Risk-Taking Behaviour: Empirical Evidence from a Quasi-Natural Experiment. (2021). Vo, Xuan Vinh ; Luu, Hiep Ngoc. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521920302301.

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2022International spillover effects of unconventional monetary policies of major central banks. (2022). Okimoto, Tatsuyoshi ; Inoue, Tomoo. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921002854.

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2021A two-stage general approach to aggregate multiple bank risks. (2021). Li, Jian Ping ; Wei, LU ; Zhu, Xiaoqian. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s154461232030533x.

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2021Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium. (2021). Vespro, Cristina ; van Roy, Patrick ; Ferrari, Stijn. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301042.

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2021Liquidity risk and bank performance during financial crises. (2021). Huang, Shu-Chun ; Chen, Yehning. In: Journal of Financial Stability. RePEc:eee:finsta:v:56:y:2021:i:c:s1572308921000668.

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2021Rollover risk and stress test credibility. (2021). Pereira, Ana Elisa. In: Games and Economic Behavior. RePEc:eee:gamebe:v:129:y:2021:i:c:p:370-399.

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2021Forecasting mortality with international linkages: A global vector-autoregression approach. (2021). Shi, Yanlin ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:59-75.

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2021Global imbalances, external adjustment and propagated shocks: An African perspective from a global VAR model. (2021). Omoshoro-Jones, Oyeyinka ; Bonga-Bonga, Lumengo. In: International Economics. RePEc:eee:inteco:v:165:y:2021:i:c:p:186-203.

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2020The cross-border credit channel and lending standards surveys. (2020). Siklos, Pierre L ; Filardo, Andrew J. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300901.

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2021The leverage anomaly in U.S. bank stock returns. (2021). Venmans, Frank. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001384.

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2020The term structure of volatility predictability. (2020). Zakamulin, Valeriy. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:723-737.

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2020Bayesian loss given default estimation for European sovereign bonds. (2020). Rosch, Daniel ; Kellner, Ralf ; Jobst, Rainer . In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1073-1091.

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2021Measuring the Connectedness of the Global Economy. (2021). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:899-919.

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2020Cross-border transmission of emergency liquidity. (2020). Koetter, Michael ; Kick, Thomas ; Storz, Manuela. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426618300384.

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2020International effects of a compression of euro area yield curves. (2020). Huber, Florian ; Feldkircher, Martin ; Gruber, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s037842661930072x.

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2020Banking stress test effects on returns and risks. (2020). de Haan, Jakob ; Neretina, Ekaterina ; Sahin, Cenkhan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:117:y:2020:i:c:s0378426620301096.

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2020Liquidity at risk: Joint stress testing of solvency and liquidity. (2020). Valderrama, Laura ; Kotlicki, Artur ; Cont, Rama. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301370.

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2020Economic policy uncertainty and the supply of business loans. (2020). Civelli, Andrea ; Barraza, Santiago. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:121:y:2020:i:c:s0378426620302454.

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2021Double the insurance, double the funds?. (2021). Stone, Anna-Leigh. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002405.

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2022Housing networks and driving forces. (2022). Hurn, Stan ; Wang, Ben ; Shi, Shuping. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002685.

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2022Predicting the stressed expected loss of large U.S. banks. (2022). Jondeau, Eric ; Khalilzadeh, Amir. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002727.

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2022Sensitivity-implied tail-correlation matrices. (2022). Schlutter, Sebastian ; Paulusch, Joachim. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002843.

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2022Stress testing and bank business patterns: A regression discontinuity study. (2022). Steele, Suzanne ; Garcia, Raffi E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:135:y:2022:i:c:s0378426620302260.

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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.
[Full Text][Citation analysis]		article655
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: 655		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: 655		paper
2010Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model.(2010) In: EcoMod2003.
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This paper has another version. Agregated cites: 655		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: 655		paper
2004Rejoinder In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2003Macroeconomic Dynamics and Credit Risk: A Global Perspective In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper169
2003Macroeconomic Dynamics and Credit Risk: A Global Perspective.(2003) In: CESifo Working Paper Series.
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2006Macroeconomic 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: 169		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: 169		paper
2005Scope for Credit Risk Diversification In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper4
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: 4		paper
2008Forecasting Economic and Financial Variables with Global VARs In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper118
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: 118		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: 118		article
2008Forecasting economic and financial variables with global VARs.(2008) In: Staff Reports.
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This paper has another version. Agregated cites: 118		paper
2005Firm Heterogeneity and Credit Risk Diversification In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper32
2008Firm heterogeneity and credit risk diversification.(2008) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 32		article
2005Global Business Cycles and Credit Risk In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper31
2007Global Business Cycles and Credit Risk.(2007) In: NBER Chapters.
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This paper has another version. Agregated cites: 31		chapter
2005Global Business Cycles and Credit Risk.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 31		paper
2012Robust Capital Regulation In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper14
2012Robust capital regulation.(2012) In: Current Issues in Economics and Finance.
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This paper has another version. Agregated cites: 14		article
2011Robust capital regulation.(2011) In: Staff Reports.
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This paper has another version. Agregated cites: 14		paper
2013Stress Testing Banks In: Working Papers.
[Full Text][Citation analysis]		paper54
2014Stress testing banks.(2014) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 54		article
2013Stress Testing Bank Profitability In: Working Papers.
[Full Text][Citation analysis]		paper1
2014Bank Capital for Operational Risk: A Tale of Fragility and Instability In: Working Papers.
[Full Text][Citation analysis]		paper3
2015Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management In: Working Papers.
[Full Text][Citation analysis]		paper1
2015Stress Testing Convergence In: Working Papers.
[Full Text][Citation analysis]		paper1
2016Stress Testing in Wartime and in Peacetime In: Working Papers.
[Full Text][Citation analysis]		paper9
2016Stress Testing in Wartime and in Peacetime.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 9		paper
2001The efficiency-equity trade-off of schooling outcomes: public education expenditures and welfare in Mexico In: Economics of Education Review.
[Full Text][Citation analysis]		article3
2009Rejoinder to comments on forecasting economic and financial variables with global VARs In: International Journal of Forecasting.
[Full Text][Citation analysis]		article88
2002Ratings migration and the business cycle, with application to credit portfolio stress testing In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article229
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: 229		paper
2004Measurement, estimation and comparison of credit migration matrices In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article56
2006Confidence intervals for probabilities of default In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article30
2008Credit rating dynamics and Markov mixture models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article53
2006A general approach to integrated risk management with skewed, fat-tailed risks In: Journal of Financial Economics.
[Full Text][Citation analysis]		article126
2004A general approach to integrated risk management with skewed, fat-tailed risks.(2004) In: Staff Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 126		paper
2006Hedging bank liquidity risk In: Proceedings.
[Citation analysis]		paper0
2004Why were banks better off in the 2001 recession? In: Current Issues in Economics and Finance.
[Full Text][Citation analysis]		article8
1998Horizon problems and extreme events in financial risk management In: Economic Policy Review.
[Full Text][Citation analysis]		article24
1998Horizon Problems and Extreme Events in Financial Risk Management.(1998) In: Center for Financial Institutions Working Papers.
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2007Hedge funds, financial intermediation, and systemic risk In: Economic Policy Review.
[Full Text][Citation analysis]		article9
2007Hedge funds, financial intermediation, and systemic risk.(2007) In: Staff Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2004Estimating probabilities of default In: Staff Reports.
[Full Text][Citation analysis]		paper8
2006Visible and hidden risk factors for banks In: Staff Reports.
[Full Text][Citation analysis]		paper19
2008Understanding the securitization of subprime mortgage credit In: Staff Reports.
[Full Text][Citation analysis]		paper208
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: 208		article
2009Macroprudential supervision of financial institutions: lessons from the SCAP In: Staff Reports.
[Full Text][Citation analysis]		paper60
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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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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article1
2005A review of recent books on credit risk.(2005) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 1		article
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.
[Full Text][Citation analysis]		article18
2007How Do Banks Manage Liquidity Risk? Evidence from the Equity and Deposit Markets in the Fall of 1998 In: NBER Chapters.
[Full Text][Citation analysis]		chapter12
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: 12		paper
1996Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models In: NBER Technical Working Papers.
[Full Text][Citation analysis]		paper6
2006Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions In: NBER Working Papers.
[Full Text][Citation analysis]		paper119
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: 119		article
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: 119		article
2020Capital Adequacy Pre? and Postcrisis and the Role of Stress Testing In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article1
2002Deposit 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]		paper4
2002Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]		paper10
2003Measurement and Estimation of Credit Migration Matrices In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]		paper7
2003Metrics for Comparing Credit Migration Matrices In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]		paper5
The New Basel Capital Accord and Questions for Research In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper20
2009The Seven Deadly Frictions of Subprime Mortgage Credit Securitization In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2015Model Risk and the Great Financial Crisis In: World Scientific Book Chapters.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper3

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2022. Contact: CitEc Team