Details about Julia Schaumburg

Access statistics for papers by Julia Schaumburg.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: psc415

Working Papers

2021

1. Clustering Dynamics and Persistence for Financial Multivariate Panel Data
   Tinbergen Institute Discussion Papers, Tinbergen Institute
2. Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
3. Networking the Yield Curve: Implications for Monetary Policy
   Staff Working Papers, Bank of Canada View citations (1)
   Also in Working Paper Series, European Central Bank (2021) View citations (1)
4. Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

2020

5. Dynamic clustering of multivariate panel data
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
6. Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
   Also in IWH Discussion Papers, Halle Institute for Economic Research (IWH) (2020) View citations (2)
7. Smooth marginalized particle filters for dynamic network effect models
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2019

8. Do information contagion and business model similarities explain bank credit risk commonalities?
   ESRB Working Paper Series, European Systemic Risk Board View citations (2)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2018) View citations (3)

2017

9. Bank business models at zero interest rates
   Working Paper Series, European Central Bank View citations (10)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) View citations (3)
   See also Journal Article Bank Business Models at Zero Interest Rates, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) View citations (21) (2019)
10. Do Negative Interest Rates Make Banks Less Safe?
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (45)
    Also in Working Paper Series, European Central Bank (2017) View citations (47)
    See also Journal Article Do negative interest rates make banks less safe?, Economics Letters, Elsevier (2017) View citations (45) (2017)

2016

11. Accounting for Missing Values in Score-Driven Time-Varying Parameter Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    See also Journal Article Accounting for missing values in score-driven time-varying parameter models, Economics Letters, Elsevier (2016) View citations (6) (2016)
12. Beyond dimension two: A test for higher-order tail risk
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management View citations (1)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2014)
    See also Journal Article Beyond Dimension two: A Test for Higher-Order Tail Risk, Journal of Financial Econometrics, Oxford University Press (2016) View citations (1) (2016)

2014

13. A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute
14. Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (16)
    Also in VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) View citations (7)
    See also Journal Article Spillover dynamics for systemic risk measurement using spatial financial time series models, Journal of Econometrics, Elsevier (2016) View citations (71) (2016)

2013

15. Financial network systemic risk contributions
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (35)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2012) View citations (6)
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2011) View citations (3)
    See also Journal Article Financial Network Systemic Risk Contributions, Review of Finance, European Finance Association (2015) View citations (204) (2015)
16. Forecasting systemic impact in financial networks
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Forecasting systemic impact in financial networks, International Journal of Forecasting, Elsevier (2014) View citations (42) (2014)

2010

17. Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Journal Articles

2019

1. Bank Business Models at Zero Interest Rates
   Journal of Business & Economic Statistics, 2019, 37, (3), 542-555 View citations (21)
   See also Working Paper Bank business models at zero interest rates, Working Paper Series (2017) View citations (10) (2017)

2017

2. Do negative interest rates make banks less safe?
   Economics Letters, 2017, 159, (C), 112-115 View citations (45)
   See also Working Paper Do Negative Interest Rates Make Banks Less Safe?, Tinbergen Institute Discussion Papers (2017) View citations (45) (2017)

2016

3. Accounting for missing values in score-driven time-varying parameter models
   Economics Letters, 2016, 148, (C), 96-98 View citations (6)
   See also Working Paper Accounting for Missing Values in Score-Driven Time-Varying Parameter Models, Tinbergen Institute Discussion Papers (2016) View citations (5) (2016)
4. Beyond Dimension two: A Test for Higher-Order Tail Risk
   Journal of Financial Econometrics, 2016, 14, (3), 552-580 View citations (1)
   See also Working Paper Beyond dimension two: A test for higher-order tail risk, Working Paper Series in Economics (2016) View citations (1) (2016)
5. Spillover dynamics for systemic risk measurement using spatial financial time series models
   Journal of Econometrics, 2016, 195, (2), 211-223 View citations (71)
   See also Working Paper Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models, Tinbergen Institute Discussion Papers (2014) View citations (16) (2014)

2015

6. Financial Network Systemic Risk Contributions
   Review of Finance, 2015, 19, (2), 685-738 View citations (204)
   See also Working Paper Financial network systemic risk contributions, CFS Working Paper Series (2013) View citations (35) (2013)

2014

7. Forecasting systemic impact in financial networks
   International Journal of Forecasting, 2014, 30, (3), 781-794 View citations (42)
   See also Working Paper Forecasting systemic impact in financial networks, SFB 649 Discussion Papers (2013) (2013)

2012

8. Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory
   Computational Statistics & Data Analysis, 2012, 56, (12), 4081-4096 View citations (10)