Julia Schaumburg : Citation Profile

Are you Julia Schaumburg?

Vrije Universiteit Amsterdam

9

H index

8

i10 index

495

Citations

RESEARCH PRODUCTION:

8

Articles

30

Papers

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 45
   Journals where Julia Schaumburg has often published
   Relations with other researchers
   Recent citing documents: 94.    Total self citations: 16 (3.13 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc415
   Updated: 2024-12-03    RAS profile: 2023-02-24    
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Relations with other researchers

Works with:

Lucas, Andre (3)

Schwaab, Bernd (2)

Sekhposyan, Tatevik (2)

Koopman, Siem Jan (2)

Tonzer, Lena (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Julia Schaumburg.

Is cited by:

Barigozzi, Matteo (15)

Härdle, Wolfgang (15)

Lucas, Andre (14)

Wang, Gang-Jin (13)

Billio, Monica (13)

Wang, Weining (12)

Brownlees, Christian (11)

Caporin, Massimiliano (11)

Schienle, Melanie (10)

Ahelegbey, Daniel Felix (9)

Giudici, Paolo (9)

Cites to:

Lucas, Andre (35)

Koopman, Siem Jan (29)

Schwaab, Bernd (19)

Engle, Robert (15)

Creal, Drew (14)

Härdle, Wolfgang (10)

Hautsch, Nikolaus (10)

Acemoglu, Daron (8)

Hafner, Christian (7)

Manganelli, Simone (7)

Acharya, Viral (7)

Main data

Where Julia Schaumburg has published?

Journals with more than one article published# docs
Economics Letters2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute11
SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk5
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany5
Working Paper Series / European Central Bank3

Recent works citing Julia Schaumburg (2024 and 2023)

YearTitle of citing document
2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2023Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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2024Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2023Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model. (2023). Simsek, Yasin ; Cakmakli, Cem. In: Papers. RePEc:arx:papers:2301.13692.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2024Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy. (2024). Huang, Difang ; Wu, Boyao ; Wang, Yuhang ; Chen, Muzi. In: Papers. RePEc:arx:papers:2403.19439.

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2024Statistical Validation of Contagion Centrality in Financial Networks. (2024). Feinstein, Zachary ; Sadeghi, Agathe. In: Papers. RePEc:arx:papers:2404.14337.

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2024GDP?network CoVaR: A tool for assessing growth?at?risk. (2021). Tizzanini, Giacomo ; De Meo, Emanuele . In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:2:n:e12181.

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2023The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57.

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2023Where does the risk lie? Systemic risk and tail risk networks in the Chinese financial market. (2023). Gao, Chenyin ; Deng, Yang. In: Pacific Economic Review. RePEc:bla:pacecr:v:28:y:2023:i:2:p:167-190.

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2024Global Linkages across Sectors and Frequency Bands: A Band Spectral Panel Regression Approach. (2024). Sussmuth, Bernd ; Lyu, Jingjing. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10970.

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2023Dynamic nonparametric clustering of multivariate panel data. (2023). Schwaab, Bernd ; Schaumburg, Julia ; Lucas, Andre ; Joao, Igor Custodio. In: Working Paper Series. RePEc:ecb:ecbwps:20232780.

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2023Do market-based networks reflect true exposures between banks?. (2023). Karamysheva, Madina ; Craig, Ben ; Salakhova, Dilyara. In: Working Paper Series. RePEc:ecb:ecbwps:20232867.

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2024Decomposing systemic risk: the roles of contagion and common exposures. (2024). Hipp, Ruben ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20242929.

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2023Semiparametric function-on-function quantile regression model with dynamic single-index interactions. (2023). Lian, Heng ; Zhang, Yuanyuan ; Zhu, Hanbing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000385.

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2023Fast estimation of a large TVP-VAR model with score-driven volatilities. (2023). Hong, Yongmiao ; Ye, Shiqi ; Zheng, Tingguo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:157:y:2023:i:c:s0165188923001689.

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2023Interconnectedness and extreme risk: Evidence from dual banking systems. (2023). bouoiyour, jamal ; Addi, Abdelhamid. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200387x.

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2023Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669.

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2023Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365.

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2024The determinants of systemic risk contagion. (2024). Erden, Lutfi ; Ozkan, Brahim ; Atasoy, Burak Sencer. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x.

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2023Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054.

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2023Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels. (2023). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s106294082300058x.

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2024Contagion 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.

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2024Do preferred habitat investors exist? Evidence from the UK government bond market. (2024). Meaning, Jack ; Joyce, Michael ; Giese, Julia ; Worlidge, Jack. In: Economics Letters. RePEc:eee:ecolet:v:234:y:2024:i:c:s0165176523004883.

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2023A spatial panel quantile model with unobserved heterogeneity. (2023). Lu, Lina ; Li, Kunpeng ; Ando, Tomohiro. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:191-213.

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2023Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2023). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:s:p:70-90.

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2023Identifying latent group structures in spatial dynamic panels. (2023). Su, Liangjun ; Xu, Xingbai ; Wang, Wuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1955-1980.

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2023Dynamic clustering of multivariate panel data. (2023). Lucas, Andre ; Joo, Igor Custodio ; Schwaab, Bernd ; Schaumburg, Julia. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622000689.

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2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

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2024Modeling Turning Points in the Global Equity Market. (2024). Casarin, Roberto ; Billio, Monica ; Ahelegbey, Daniel Felix. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:60-75.

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2023Firm behaviour under negative deposit rates. (2023). Abildgren, Kim ; Kuchler, Andreas. In: European Economic Review. RePEc:eee:eecrev:v:151:y:2023:i:c:s001429212200229x.

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2023Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347.

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2024Improving efficiency in supply chains with a capital-constrained app developer under the agency contract. (2024). Levy, Priel ; Avinadav, Tal. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:3:p:991-1005.

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2023Tail-event driven NETwork dependence in emerging markets. (2023). Yousaf, Imran ; Ali, Shoaib ; Yarovaya, Larisa ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000887.

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2023Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250.

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2023Risk network of global energy markets. (2023). Uddin, Gazi ; Okhrin, Yarema ; Rahman, Md Lutfur ; Jayasekera, Ranadeva ; Yahya, Muhammad ; Luo, Tianqi. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003808.

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2023The risk spillover of high carbon enterprises in China: Evidence from the stock market. (2023). Yin, Hua ; Zhu, Pingheng ; Wu, Baohui ; Wen, Fenghua. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004371.

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2023Does the Achilles heel of guarantee networks drive financial distress?. (2023). Zhen, Weihao ; Wu, Wuqing ; Wang, Yirui ; Shan, Yuan George. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001515.

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2023Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004088.

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2023Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295.

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2024Fintech development and corporate credit risk: Evidence from an emerging market. (2024). Zhou, Peng ; Wu, Xiaomeng ; Mo, Lingyu ; Tan, Changchun. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000164.

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2024Does 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.

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2024Systemic risk prediction using machine learning: Does network connectedness help prediction?. (2024). Wang, Gang-Jin ; Zhu, You ; Chen, Yan ; Xie, Chi. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000796.

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2024When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets. (2024). Shafiullah, Muhammad ; Naeem, Muhammad Abubakr ; Karim, Sitara. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001340.

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2024A study of interconnections and contagion among Chinese financial institutions using a ?CoV aR network. (2022). Xu, Zezhou ; Mo, Dongxu ; Chen, Yan. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321003950.

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2023Interconnectedness of financial institutions based on pledged shares in China. (2023). Liu, Zhidong ; Yan, Guan. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005238.

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2024Risk contagion and diversification among sovereign CDS, stock, foreign exchange and commodity markets: Fresh evidence from G7 and BRICS countries. (2024). Zhang, Shuguang ; He, Zhipeng. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002976.

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2024Temporal networks and financial contagion. (2024). Nocciola, Luca ; Vouldis, Angelos ; Franch, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093.

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2023Quantile connectedness and the determinants between FinTech and traditional financial institutions: Evidence from China. (2023). Uddin, Gazi ; Wang, Gang-Jin ; Chen, Yan ; Xie, Chi ; Zhu, You. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323001011.

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2023The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051.

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2024Leveraged finance exposure in the banking system: Systemic risk and interconnectedness. (2024). Ranalli, M G ; Tanzi, Musile P ; de Novellis, G ; Stanghellini, E. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001580.

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2023Forecasting short-term defaults of firms in a commercial network via Bayesian spatial and spatio-temporal methods. (2023). Montagna, Silvia ; Argiento, Raffaele ; Berloco, Claudia. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1065-1077.

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2023The case for CASE: Estimating heterogeneous systemic effects. (2023). Zhu, Guangwei ; Escanciano, Juan Carlos ; Du, Zaichao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:157:y:2023:i:c:s0378426623002133.

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2024Do retail-oriented banks have less non-performing loans?. (2024). Vouldis, Angelos ; Farne, Matteo. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494924000070.

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2023Dynamic spillover effects among international crude oil markets from the time-frequency perspective. (2023). Zhang, Xiaoming ; Xu, Chao ; Zhou, Hegang ; Lee, Chien-Chiang. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006614.

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2023The extreme risk connectedness of the global financial system: G7 and BRICS evidence. (2023). Lu, Shuai ; Li, Shaofang ; Chen, Ning. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:69:y:2023:i:c:s1042444x23000312.

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2023Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market. (2023). Cheng, Lee-Young ; Wang, Shengjin ; Yang, Yuhong ; Li, Ruihai ; Shen, Anran ; Zheng, Yingfei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000379.

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2023Mechanism-based deep learning for tray efficiency soft-sensing in distillation process. (2023). Cui, Zhe ; Li, Chuankun ; Tian, Wende ; Wang, Shaochen ; Liu, Bin. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:231:y:2023:i:c:s0951832022006275.

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2023The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Panzica, Roberto ; Billio, Monica. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223.

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2023What impacts foreign capital flows to Chinas stock markets? Evidence from financial risk spillover networks. (2023). Li, Songsong ; Xu, Hao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:559-577.

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2024Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions. (2024). Wang, Gang-Jin ; Zhou, Xuewei ; Ouyang, Zisheng ; Lu, Min ; Liu, Shuwen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:909-928.

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2023Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000703.

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2023Financial networks and systemic risk vulnerabilities: A tale of Indian banks. (2023). Bekiros, Stelios ; Khan, Mohammad Azeem ; Wadhwani, Akshay ; Tiwari, Shiv Ratan ; Ahmad, Wasim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000880.

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2024Over-expected shocks and financial market security: Evidence from Chinas markets. (2024). Sensoy, Ahmet ; Chen, Shoudong ; Li, Yueshan ; Wang, LU. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003203.

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2024Corporate bond defaults and spillover effects on bank risk: Evidence from city commercial banks in China. (2024). Wang, Yaxin ; Ouyang, Yiling ; Gao, Haoyu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000448.

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2024Imported financial risk in global stock markets: Evidence from the interconnected network. (2024). Liu, KE ; Lu, Min ; Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400093x.

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2024Network Risk and Key Players: A Structural Analysis of Interbank Liquidity. (2014). Yuan, Kathy ; Julliard, Christian ; Denbee, Edward. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp734.

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2023Modelling Systemic Risk in Morocco’s Banking System. (2023). Madkour, Jaouad ; el Msiyah, Cherif ; Kyoud, Ayoub. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:2:p:70-:d:1151988.

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2023Evolution, Forecasting, and Driving Mechanisms of the Digital Financial Network: Evidence from China. (2023). Hong, Yuxuan ; Xiao, Wenqian ; Wang, Kexing ; Liang, Juan ; Chen, Shihui ; Du, Linyu ; Zhu, Yuqi ; Shen, Siwei ; Ding, Rui. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:22:p:16072-:d:1282623.

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2023Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72..

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2023Dynamic dependencies and return connectedness among stock, gold and Bitcoin markets: Evidence from South Asia and China. (2023). Ahmed, Abdullahi D ; Lu, Ran ; Zeng, Hongjun. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:18:y:2023:i:1:p:49-87.

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2023Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework. (2023). Zhou, Wei-Xing ; Jawadi, Fredj ; Xu, Hai-Chuan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02338-x.

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2023Stock profiling using time–frequency-varying systematic risk measure. (2023). Mestre, Roman. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00457-7.

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2023An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach. (2023). Frimpong, Ophelia ; Ntiamoah, Bernard O ; Aidoo, Eric N ; Ampofo, Richard T ; Sasu, Daniel. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09613-8.

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2023Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model. (2023). Sampi, James ; Koopman, S J ; Gorgi, P ; Blasques, F. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230007.

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2023Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230051.

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2023Bank lending margins in a negative interest rate environment. (2023). Mawusi, Charles ; Boungou, Whelsy. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:886-901.

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2023Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions. (2023). Huang, Chuangxia ; Yang, Xiaoguang ; Liu, Hong ; Chen, Shan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1201-1213.

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2023Are lower interest rates really associated with higher growth? New empirical evidence on the interest rate thesis from 19 countries. (2023). Werner, Richard A ; Lee, Kangsoek. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3960-3975.

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2023Forecasting inflation time series using score?driven dynamic models and combination methods: The case of Brazil. (2023). Lucena, Fernando Antonio ; Dias, Carlos Henrique. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:369-401.

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Works by Julia Schaumburg:

YearTitleTypeCited
2021Networking the Yield Curve: Implications for Monetary Policy In: Staff Working Papers.
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2021Networking the yield curve: implications for monetary policy.(2021) In: Working Paper Series.
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This paper has nother version. Agregated cites: 1		paper
2017Bank business models at zero interest rates In: Working Paper Series.
[Full Text][Citation analysis]		paper30
2019Bank Business Models at Zero Interest Rates.(2019) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 30		article
2016Bank Business Models at Zero Interest Rates.(2016) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 30		paper
2017Do negative interest rates make banks less safe? In: Working Paper Series.
[Full Text][Citation analysis]		paper46
2017Do negative interest rates make banks less safe?.(2017) In: Economics Letters.
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This paper has nother version. Agregated cites: 46		article
2017Do Negative Interest Rates Make Banks Less Safe?.(2017) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 46		paper
2012Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article9
2016Accounting for missing values in score-driven time-varying parameter models In: Economics Letters.
[Full Text][Citation analysis]		article7
2016Accounting for Missing Values in Score-Driven Time-Varying Parameter Models.(2016) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 7		paper
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article75
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
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2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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This paper has nother version. Agregated cites: 75		paper
2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
[Full Text][Citation analysis]		article40
.() In: .
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2010Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper5
2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper10
2012Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper16
2013Forecasting systemic impact in financial networks In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper12
2014Beyond dimension two: A test for higher-order tail risk In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2016Beyond Dimension two: A Test for Higher-Order Tail Risk In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2016Beyond dimension two: A test for higher-order tail risk.(2016) In: Working Paper Series in Economics.
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2015Financial Network Systemic Risk Contributions In: Review of Finance.
[Full Text][Citation analysis]		article234
2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 234		paper
.() In: .
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This paper has nother version. Agregated cites: 234		paper
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2019Do information contagion and business model similarities explain bank credit risk commonalities? In: ESRB Working Paper Series.
[Full Text][Citation analysis]		paper3
2018Do information contagion and business model similarities explain bank credit risk commonalities?.(2018) In: Tinbergen Institute Discussion Papers.
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2014A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2020Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper2
2020Financial linkages and sectoral business cycle synchronisation: Evidence from Europe.(2020) In: IWH Discussion Papers.
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This paper has nother version. Agregated cites: 2		paper
2020Dynamic clustering of multivariate panel data In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2021Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper2
2021Clustering Dynamics and Persistence for Financial Multivariate Panel Data In: Tinbergen Institute Discussion Papers.
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2021Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors In: Tinbergen Institute Discussion Papers.
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