19
H index
24
i10 index
2294
Citations
| 19 H index 24 i10 index 2294 Citations RESEARCH PRODUCTION: 24 Articles 51 Papers 4 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 4 |
International Journal of Forecasting | 3 |
Economic Policy Review | 2 |
Review of Financial Studies | 2 |
Current Issues in Economics and Finance | 2 |
Journal of Business & Economic Statistics | 2 |
Year | Title of citing document | |
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2020 | On 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2022 | Bargaining over a Divisible Good in the Market for Lemons. (2022). Monzon, Ignacio ; Maestri, Lucas ; Gerardi, Dino. In: Working Papers. RePEc:aoz:wpaper:111. Full description at Econpapers || Download paper | |
2021 | 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 | |
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 | |
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 | |
2020 | Business Cycles as Collective Risk Fluctuations. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2012.04506. Full description at Econpapers || Download paper | |
2021 | Uncertainty spill-overs: when policy and financial realms overlap. (2021). Dragomirescu-Gaina, Catalin ; Bacchiocchi, Emanuele. In: Papers. RePEc:arx:papers:2102.06404. Full description at Econpapers || Download paper | |
2022 | Approximate 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. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2022 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper | |
2021 | Funding liquidity, credit risk and unconventional monetary policy in the Euro area: a GVAR approach. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2111.01078. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2021 | The 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. 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 | |
2021 | Testing external habits in an asset pricing model. (2021). Goenka, Aditya ; D'Addona, Stefano ; Boschi, Melisso . In: Discussion Papers. RePEc:bir:birmec:21-11. 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 | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2021 | Variations 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. Full description at Econpapers || Download paper | |
2020 | Spillover 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. Full description at Econpapers || Download paper | |
2021 | Modelling 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. Full description at Econpapers || Download paper | |
2021 | CROSS?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. Full description at Econpapers || Download paper | |
2020 | Estimating the probability of default for noâ€default and lowâ€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 | |
2021 | Do 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. Full description at Econpapers || Download paper | |
2021 | International 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. Full description at Econpapers || Download paper | |
2021 | Commercial 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. Full description at Econpapers || Download paper | |
2020 | Macroeconomic 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. Full description at Econpapers || Download paper | |
2020 | Employment 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. Full description at Econpapers || Download paper | |
2021 | Separating retail and investment banking: evidence from the UK. (2020). Elliott, David ; Chavaz, Matthieu. In: Bank of England working papers. RePEc:boe:boeewp:0892. Full description at Econpapers || Download paper | |
2021 | Foreign 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. 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 | |
2020 | Measuring Global Macroeconomic Uncertainty. (2020). Moramarco, Graziano. In: Working Papers. RePEc:bol:bodewp:wp1148. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2021 | Foreign 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2020 | Macro 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. Full description at Econpapers || Download paper | |
2020 | Macroprudential 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. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2021 | Sowing the Seeds of Financial Crises: Endogenous Asset Creation and Adverse Selection. (2021). Caramp, Nicolas. In: Working Papers. RePEc:cda:wpaper:342. Full description at Econpapers || Download paper | |
2020 | Covid-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. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2021 | Forecasting 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. Full description at Econpapers || Download paper | |
2020 | Demand for safety, risky loans: A model of securitization. (2020). Villacorta, Alonso ; Velez, Anatoli Segura. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14313. Full description at Econpapers || Download paper | |
2021 | Fragmentation 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. Full description at Econpapers || Download paper | |
2021 | Financial 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. 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 | |
2021 | Measuring 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2020 | External imbalances from a GVAR perspective. (2020). Tamarit, Cecilio ; Carrion-i-Silvestre, Josep ; Camarero, Mariam ; Author, Mariam Camarero. In: Working Papers. RePEc:eec:wpaper:2005. Full description at Econpapers || Download paper | |
2021 | Time-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. Full description at Econpapers || Download paper | |
2020 | How 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. Full description at Econpapers || Download paper | |
2020 | Do 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. Full description at Econpapers || Download paper | |
2021 | Dividends 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. Full description at Econpapers || Download paper | |
2020 | Liquidity 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. Full description at Econpapers || Download paper | |
2021 | Media 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. Full description at Econpapers || Download paper | |
2020 | Revisiting 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. Full description at Econpapers || Download paper | |
2021 | Capturing 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. Full description at Econpapers || Download paper | |
2020 | Exploring 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. Full description at Econpapers || Download paper | |
2020 | Bank 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. Full description at Econpapers || Download paper | |
2020 | Procyclical 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. Full description at Econpapers || Download paper | |
2020 | Equity 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. Full description at Econpapers || Download paper | |
2020 | Does 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. Full description at Econpapers || Download paper | |
2020 | Liquidity 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. Full description at Econpapers || Download paper | |
2022 | Predictability 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. Full description at Econpapers || Download paper | |
2021 | Estimation 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. Full description at Econpapers || Download paper | |
2021 | Facing 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. 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 | |
2020 | Spatial 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. Full description at Econpapers || Download paper | |
2020 | Reducing 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. Full description at Econpapers || Download paper | |
2020 | Communication 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. Full description at Econpapers || Download paper | |
2020 | Financial 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. Full description at Econpapers || Download paper | |
2020 | Time-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. Full description at Econpapers || Download paper | |
2021 | Assessing 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. Full description at Econpapers || Download paper | |
2020 | Liquidity 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2022 | International 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. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2021 | Sensitivity 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. Full description at Econpapers || Download paper | |
2021 | Liquidity 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. Full description at Econpapers || Download paper | |
2021 | Rollover 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. Full description at Econpapers || Download paper | |
2021 | Forecasting 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. Full description at Econpapers || Download paper | |
2021 | Global 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. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | Bayesian 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. Full description at Econpapers || Download paper | |
2021 | Measuring 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. Full description at Econpapers || Download paper | |
2020 | Cross-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. Full description at Econpapers || Download paper | |
2020 | International 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. Full description at Econpapers || Download paper | |
2020 | Banking 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. Full description at Econpapers || Download paper | |
2020 | Liquidity 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. Full description at Econpapers || Download paper | |
2020 | Economic 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. Full description at Econpapers || Download paper | |
2021 | Double the insurance, double the funds?. (2021). Stone, Anna-Leigh. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002405. Full description at Econpapers || Download paper | |
2022 | Housing 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. Full description at Econpapers || Download paper | |
2022 | Predicting 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. Full description at Econpapers || Download paper | |
2022 | Sensitivity-implied tail-correlation matrices. (2022). Schlutter, Sebastian ; Paulusch, Joachim. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002843. Full description at Econpapers || Download paper | |
2022 | Stress 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. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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Year | Title | Type | Cited |
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2004 | Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 655 |
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: 655 | 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: 655 | paper | |
2010 | Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model.(2010) In: EcoMod2003. [Full Text][Citation analysis] This paper has another version. Agregated cites: 655 | 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: 655 | paper | |
2004 | Rejoinder In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
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2003 | Macroeconomic Dynamics and Credit Risk: A Global Perspective.(2003) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 169 | paper | |
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: 169 | article | |
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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 |
2009 | Rejoinder to comments on forecasting economic and financial variables with global VARs In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 88 |
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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: 229 | paper | |
2004 | Measurement, estimation and comparison of credit migration matrices In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 56 |
2006 | Confidence intervals for probabilities of default In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 30 |
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1998 | Horizon problems and extreme events in financial risk management In: Economic Policy Review. [Full Text][Citation analysis] | article | 24 |
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: 24 | paper | |
2007 | Hedge funds, financial intermediation, and systemic risk In: Economic Policy Review. [Full Text][Citation analysis] | article | 9 |
2007 | Hedge funds, financial intermediation, and systemic risk.(2007) In: Staff Reports. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
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 | 19 |
2008 | Understanding the securitization of subprime mortgage credit In: Staff Reports. [Full Text][Citation analysis] | paper | 208 |
2008 | Understanding the Securitization of Subprime Mortgage Credit.(2008) In: Foundations and Trends(R) in Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 208 | article | |
2009 | Macroprudential supervision of financial institutions: lessons from the SCAP In: Staff Reports. [Full Text][Citation analysis] | paper | 60 |
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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 |
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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 | 18 |
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 | 12 |
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: 12 | 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 | 119 |
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: 119 | article | |
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: 119 | article | |
2020 | Capital Adequacy Pre? and Postcrisis and the Role of Stress Testing In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 1 |
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 |
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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 |
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2022. Contact: CitEc Team