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Details about Julia Schaumburg

E-mail:
Workplace:School of Business and Economics, Vrije Universiteit Amsterdam (VU University Amsterdam), (more information at EDIRC)

Access statistics for papers by Julia Schaumburg.

Last updated 2015-08-06. Update your information in the RePEc Author Service.

Short-id: psc415


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Working Papers

2014

  1. A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Beyond dimension two: A test for higher-order tail risk
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  3. Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
    Also in Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) Downloads View citations (5)

2013

  1. Financial network systemic risk contributions
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (29)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2012) Downloads View citations (9)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2011) Downloads View citations (7)

    See also Journal Article in Review of Finance (2015)
  2. Forecasting systemic impact in financial networks
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (11)
    See also Journal Article in International Journal of Forecasting (2014)

2010

  1. Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)

Journal Articles

2015

  1. Financial Network Systemic Risk Contributions
    Review of Finance, 2015, 19, (2), 685-738 Downloads View citations (18)
    See also Working Paper (2013)

2014

  1. Forecasting systemic impact in financial networks
    International Journal of Forecasting, 2014, 30, (3), 781-794 Downloads View citations (9)
    See also Working Paper (2013)
 
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