15
H index
18
i10 index
904
Citations
European Central Bank | 15 H index 18 i10 index 904 Citations RESEARCH PRODUCTION: 24 Articles 38 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Bernd Schwaab. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Research Bulletin | 6 |
Journal of Business & Economic Statistics | 4 |
Journal of Econometrics | 2 |
Journal of Empirical Finance | 2 |
Journal of Applied Econometrics | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
Working Paper Series / European Central Bank | 19 |
Tinbergen Institute Discussion Papers / Tinbergen Institute | 13 |
Working Paper Series / Sveriges Riksbank (Central Bank of Sweden) | 4 |
Year | Title of citing document |
---|---|
2024 | Asymmetric uncertainty : Nowcasting using skewness in real-time data. (2024). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601. Full description at Econpapers || Download paper |
2024 | Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns. (2024). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564. Full description at Econpapers || Download paper |
2024 | Generating density nowcasts for U.S. GDP growth with deep learning: Bayes by Backprop and Monte Carlo dropout. (2024). , Krist'Of ; Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2405.15579. Full description at Econpapers || Download paper |
2024 | A Spatio-Temporal Machine Learning Model for Mortgage Credit Risk: Default Probabilities and Loan Portfolios. (2024). Sigrist, Fabio ; Kundig, Pascal. In: Papers. RePEc:arx:papers:2410.02846. Full description at Econpapers || Download paper |
2024 | From rotational to scalar invariance: Enhancing identifiability in score-driven factor models. (2024). Dzuverovic, Emilija ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Papers. RePEc:arx:papers:2412.01367. Full description at Econpapers || Download paper |
2024 | Asymmetric expectations of monetary policy. (2024). Busetto, Filippo. In: Bank of England working papers. RePEc:boe:boeewp:1058. Full description at Econpapers || Download paper |
2024 | Growth-at-risk for macroprudential policy stance assessment: a survey. (2024). Škrinjarić, Tihana. In: Bank of England working papers. RePEc:boe:boeewp:1075. Full description at Econpapers || Download paper |
2024 | Four years into NextGenerationEU: what impact on the euro area economy. (2024). Huber, Christian ; Modery, Wolfgang ; Dorrucci, Ettore ; Jacquinot, Pascal ; de Stefani, Roberta ; Benalal, Nicholai ; Bouabdallah, Othman ; Bakowski, Krzysztof ; Zwick, Christoph ; Zorell, Nico ; Szrfi, Bla ; Rodrguez-Vives, Marta ; Nerlich, Carolin. In: Occasional Paper Series. RePEc:ecb:ecbops:2024362. Full description at Econpapers || Download paper |
2025 | Capital markets union: a deep dive - Five measures to foster a single market for capital. (2025). Arampatzi, Alexia-Styliani ; Christie, Rebecca ; van Overbeek, Fons ; Rouveyrol, Clment ; Parisi, Laura ; Evrard, Johanne. In: Occasional Paper Series. RePEc:ecb:ecbops:2025369. Full description at Econpapers || Download paper |
2025 | Investment funds and euro disaster risk. (2025). Kaufmann, Christoph ; Georgiadis, Georgios ; Longaric, Pablo Anaya ; Cera, Katharina. In: Working Paper Series. RePEc:ecb:ecbwps:20253029. Full description at Econpapers || Download paper |
2024 | Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan. (2024). Ruan, Jia ; Ni, Jianhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x. Full description at Econpapers || Download paper |
2024 | Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods. (2024). Haddou, Samira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000111. Full description at Econpapers || Download paper |
2024 | Do preferred habitat investors exist? Evidence from the UK government bond market. (2024). Joyce, Michael ; Giese, Julia ; Worlidge, Jack ; Meaning, Jack. In: Economics Letters. RePEc:eee:ecolet:v:234:y:2024:i:c:s0165176523004883. Full description at Econpapers || Download paper |
2024 | Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939. Full description at Econpapers || Download paper |
2024 | A new ordinal mixed-data sampling model with an application to corporate credit rating levels. (2024). Calabrese, Raffaella ; Goldmann, Leonie ; Crook, Jonathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1111-1126. Full description at Econpapers || Download paper |
2024 | Improving efficiency in supply chains with a capital-constrained app developer under the agency contract. (2024). Avinadav, Tal ; Levy, Priel. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:3:p:991-1005. Full description at Econpapers || Download paper |
2024 | The 2008 short-selling ban’s impact on tail risk. (2024). Bostandzic, Denefa ; Bartl, Jonas ; Irresberger, Felix ; Weiss, Gregor ; Yang, Ruomei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000677. Full description at Econpapers || Download paper |
2024 | Does systemic risk in the fund markets predict future economic downturns?. (2024). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000218. Full description at Econpapers || Download paper |
2024 | Structured factor copulas for modeling the systemic risk of European and United States banks. (2024). Nguyen, Hoang ; Galeano, Pedro ; Ausn, Concepcin M ; Virbickait, Audron. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005532. Full description at Econpapers || Download paper |
2024 | Quantitative easing and bank risk-taking: Evidence from the federal reserves large-scale asset purchases. (2024). Zhang, Zheng ; Wang, Wenxue ; Song, Ciji. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007827. Full description at Econpapers || Download paper |
2024 | Time-varying default risk of Chinese-listed companies: From empirical test to theoretical conjecture. (2024). Qin, Zhaohui ; Chen, Yijie ; Fan, Yali ; Wang, Xiaowan ; Andrianarimanana, Mihasina Harinaivo ; Duok, Dhornor Tarir. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008699. Full description at Econpapers || Download paper |
2024 | Temporal networks and financial contagion. (2024). Nocciola, Luca ; Franch, Fabio ; Vouldis, Angelos. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093. Full description at Econpapers || Download paper |
2024 | Bond convenience curves and funding costs. (2024). Sihvonen, Markus ; Nissinen, Juuso. In: Journal of International Economics. RePEc:eee:inecon:v:151:y:2024:i:c:s0022199624000965. Full description at Econpapers || Download paper |
2024 | Assessment of Economic Policy Uncertainty spillovers: A cross-border analysis of global and BRIC economies. (2024). Hassan, M. Kabir ; Kayani, Umar ; Khan, Maaz ; Nawaz, Farrukh ; Dejan, Austin. In: International Economics. RePEc:eee:inteco:v:179:y:2024:i:c:s2110701724000532. Full description at Econpapers || Download paper |
2024 | Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Zhang, Xuan ; Kim, Minjoo ; Yan, Cheng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798. Full description at Econpapers || Download paper |
2024 | Central bank policies and financial markets: Lessons from the euro crisis. (2024). Nedeljkovic, Milan ; Mody, Ashoka. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002248. Full description at Econpapers || Download paper |
2024 | Operational loss recoveries and the macroeconomic environment: Evidence from the U.S. banking sector. (2024). Frame, Scott W ; McLemore, Ping ; Lazaryan, Nika ; Mihov, Atanas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:165:y:2024:i:c:s0378426624001377. Full description at Econpapers || Download paper |
2024 | Asset purchases and sovereign bond spreads in the euro area during the pandemic. (2024). Blotevogel, Robert ; Hudecz, Gergely ; Vangelista, Elisabetta. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001791. Full description at Econpapers || Download paper |
2024 | Heterogeneous macro and financial effects of ECB asset purchase programs. (2024). Kole, Erik ; van der Zwan, Terri ; van der Wel, Michel. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000603. Full description at Econpapers || Download paper |
2024 | Do retail-oriented banks have less non-performing loans?. (2024). Farne, Matteo ; Vouldis, Angelos. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494924000070. Full description at Econpapers || Download paper |
2024 | Same actions, different effects: The conditionality of monetary policy instruments. (2024). Hubert, Paul ; Creel, Jerome ; Bozou, Caroline ; Blot, Christophe. In: Journal of Monetary Economics. RePEc:eee:moneco:v:147:y:2024:i:s:s0304393224000497. Full description at Econpapers || Download paper |
2024 | A database: How the euro crisis ended: Not with a (fiscal) bang but a whimper. (2024). Köhler, Ekkehard ; Hirsch, Patrick ; Palhuca, Leonardo ; Kohler, Ekkehard A. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1422-1441. Full description at Econpapers || Download paper |
2024 | Liquidity pressure and the sovereign-bank diabolic loop. (2024). Hassan, M. Kabir ; Janbaz, M ; Floreani, J ; Dreassi, A. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1039-1057. Full description at Econpapers || Download paper |
2024 | The asymmetric response of sovereign credit default swaps spreads to risk aversion, investor sentiment and monetary policy shocks. (2024). Haddou, Samira. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:244-272. Full description at Econpapers || Download paper |
2024 | Financial stability: A scientometric analysis and research agenda. (2024). Challita, Sandra ; ben Jabeur, Sami ; Ballouk, Hossein ; Chen, Chaomei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924000874. Full description at Econpapers || Download paper |
2024 | Measuring the impact of the EU health emergency response authority on the economic sectors and the public sentiment. (2024). Ahelegbey, Daniel Felix ; Cerchiello, Paola ; Celani, Alessandro. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:92:y:2024:i:c:s0038012124000417. Full description at Econpapers || Download paper |
2025 | Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter. (2025). Zhang, Xin ; Schwaab, Bernd ; Lucas, Andr ; Dinnocenzo, Enzo. In: Working Paper Series. RePEc:hhs:rbnkwp:0446. Full description at Econpapers || Download paper |
2024 | Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI. (2024). Uribe, Jorge ; Chuliá, Helena ; Khalili, Sabuhi ; Chulia, Helena. In: IREA Working Papers. RePEc:ira:wpaper:202402. Full description at Econpapers || Download paper |
2025 | The Indirect Diversification Benefits of Investing in Japanese Firms: An Alternative Perspective. (2025). Berrill, Jenny ; Chadha, Pearlean. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:32:y:2025:i:1:d:10.1007_s10690-024-09448-9. Full description at Econpapers || Download paper |
2024 | A Review of Generalized Hyperbolic Distributions. (2024). Jiang, Xiao ; Hitchen, Thomas ; Nadarajah, Saralees. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:1:d:10.1007_s10614-023-10457-5. Full description at Econpapers || Download paper |
2025 | Political uncertainty and sovereign bond markets. (2025). Jankowitsch, Rainer ; Handler, Lukas. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:39:y:2025:i:1:d:10.1007_s11408-024-00461-6. Full description at Econpapers || Download paper |
2024 | Household debt service ratio in a developing economy: borrower-based analytical tools and macroprudential policy overview in Kazakhstan. (2024). Ybrayev, Zhandos ; Kairullayev, Yerlan ; Zharkynbay, Talgat ; Talakin, Andrey. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:25:y:2024:i:1:d:10.1057_s41261-023-00218-7. Full description at Econpapers || Download paper |
2024 | The rise of common public debt in Europe: a new chapter in fiscal integration?. (2024). Riet, AD. In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:41:y:2024:i:2:d:10.1007_s40888-024-00326-1. Full description at Econpapers || Download paper |
2024 | Implicit score-driven filters for time-varying parameter models. (2024). van Dijk, Dick ; Lange, Rutger-Jan ; van Os, Bram. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220066. Full description at Econpapers || Download paper |
2024 | Bootstrapping GARCH Models Under Dependent Innovations. (2024). Schaumburg, Julia ; Beutner, Eric ; Spanjers, Barend. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240008. Full description at Econpapers || Download paper |
2024 | Testing for Clustering Under Switching. (2024). Joo, Igor Custodio. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240052. Full description at Econpapers || Download paper |
2024 | Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Gorgi, Paolo ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240062. Full description at Econpapers || Download paper |
2024 | Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter. (2024). Lucas, Andre ; D'Innocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240069. Full description at Econpapers || Download paper |
2024 | The Transmission of Monetary Policy Shocks: Evidence from Japan. (2024). Nakazono, Yoshiyuki ; Tango, Kento ; Yano, Ritsu. In: TUPD Discussion Papers. RePEc:toh:tupdaa:57. Full description at Econpapers || Download paper |
2025 | Unconventional monetary policy in the Euro area: Impacts on loans, employment, and investment. (2025). Pereira, Francisco ; Afonso, Antonio. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:1:p:190-220. Full description at Econpapers || Download paper |
2024 | Forecasting and stress testing with quantile vector autoregression. (2024). Manganelli, Simone ; Chavleishvili, Sulkhan. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:1:p:66-85. Full description at Econpapers || Download paper |
2024 | Class‐imbalanced financial distress prediction with machine learning: Incorporating financial, management, textual, and social responsibility features into index system. (2024). Song, Yinghua ; Li, Shixuan ; Zhao, Shengzhe ; Jiang, Minzhe. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:593-614. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2019 | Risk endogeneity at the lender/investor-of-last-resort In: BIS Working Papers. [Full Text][Citation analysis] | paper | 4 |
2019 | Risk endogeneity at the lender/investor-of-last-resort.(2019) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2020 | Risk endogeneity at the lender/investor-of-last-resort.(2020) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2019 | Risk endogeneity at the lender/investor-of-last-resort.(2019) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
In: . [Full Text][Citation analysis] | paper | 7 | |
2011 | New methodologies for systemic risk measurement In: Research Bulletin. [Full Text][Citation analysis] | article | 0 |
2012 | Conditional probabilities and contagion measures for euro area sovereign default risk In: Research Bulletin. [Full Text][Citation analysis] | article | 25 |
2012 | Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2017 | Bank business models at negative interest rates In: Research Bulletin. [Full Text][Citation analysis] | article | 5 |
2019 | Unconventional monetary policy operations – to what extent is there an upside for central bank balance sheet risks? In: Research Bulletin. [Full Text][Citation analysis] | article | 0 |
2021 | A novel risk management perspective for macroprudential policy In: Research Bulletin. [Full Text][Citation analysis] | article | 3 |
2023 | The safe asset potential of EU-issued bonds In: Research Bulletin. [Full Text][Citation analysis] | article | 1 |
2011 | Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series. [Full Text][Citation analysis] | paper | 38 |
2012 | Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series. [Full Text][Citation analysis] | paper | 28 |
2012 | Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008.(2012) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | article | |
2013 | Assessing asset purchases within the ECB’s securities markets programme In: Working Paper Series. [Full Text][Citation analysis] | paper | 81 |
2013 | Conditional and joint credit risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2013 | Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 81 |
2011 | Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 81 | paper | |
2014 | Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 81 | article | |
2015 | Modeling financial sector joint tail risk in the euro area In: Working Paper Series. [Full Text][Citation analysis] | paper | 15 |
2015 | Modeling financial sector joint tail risk in the euro area.(2015) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2017 | Modeling Financial Sector Joint Tail Risk in the Euro Area.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
2016 | The information in systemic risk rankings In: Working Paper Series. [Full Text][Citation analysis] | paper | 34 |
2016 | The information in systemic risk rankings.(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
2015 | The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
2016 | Global credit risk: world country and industry factors In: Working Paper Series. [Full Text][Citation analysis] | paper | 22 |
2015 | Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2017 | Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
2017 | Bank business models at zero interest rates In: Working Paper Series. [Full Text][Citation analysis] | paper | 28 |
2019 | Bank Business Models at Zero Interest Rates.(2019) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | article | |
2016 | Bank Business Models at Zero Interest Rates.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
2017 | Do negative interest rates make banks less safe? In: Working Paper Series. [Full Text][Citation analysis] | paper | 47 |
2017 | Do negative interest rates make banks less safe?.(2017) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | article | |
2017 | Do Negative Interest Rates Make Banks Less Safe?.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2018 | Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment In: Working Paper Series. [Full Text][Citation analysis] | paper | 24 |
2018 | Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment.(2018) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
2021 | Modeling extreme events: time-varying extreme tail shape In: Working Paper Series. [Full Text][Citation analysis] | paper | 6 |
2023 | Modeling extreme events:time-varying extreme tail shape.(2023) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2024 | Modeling Extreme Events: Time-Varying Extreme Tail Shape.(2024) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2020 | Modeling extreme events: time-varying extreme tail shape.(2020) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2021 | A risk management perspective on macroprudential policy In: Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2021 | Euro area sovereign bond risk premia during the Covid-19 pandemic In: Working Paper Series. [Full Text][Citation analysis] | paper | 19 |
2021 | The risk management approach to macro-prudential policy In: Working Paper Series. [Full Text][Citation analysis] | paper | 12 |
2021 | Dynamic clustering of multivariate panel data In: Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2023 | Dynamic clustering of multivariate panel data.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2020 | Dynamic clustering of multivariate panel data.(2020) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2022 | Can EU bonds serve as euro-denominated safe assets? In: Working Paper Series. [Full Text][Citation analysis] | paper | 5 |
2022 | Can EU Bonds Serve as Euro-Denominated Safe Assets?.(2022) In: JRFM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2023 | Dynamic nonparametric clustering of multivariate panel data In: Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2024 | Dynamic Nonparametric Clustering of Multivariate Panel Data*.(2024) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2011 | Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics. [Full Text][Citation analysis] | article | 81 |
2023 | Euro area sovereign bond risk premia before and during the Covid-19 pandemic In: European Economic Review. [Full Text][Citation analysis] | article | 2 |
2014 | Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 6 |
2016 | Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 178 |
2013 | Conditional euro area sovereign default risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 99 |
2014 | Conditional Euro Area Sovereign Default Risk.(2014) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 99 | article | |
2013 | Discussion of Bank Funding and Financial Stability In: RBA Annual Conference Volume (Discontinued). [Full Text][Citation analysis] | chapter | 0 |
2008 | Forecasting Cross-Sections of Frailty-Correlated Default In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2010 | Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2010 | Systemic Risk Diagnostics In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
2014 | Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2014 | A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 14 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team