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Details about Julia Schaumburg

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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 2019-07-19. Update your information in the RePEc Author Service.

Short-id: psc415


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Working Papers

2019

  1. Do information contagion and business model similarities explain bank credit risk commonalities?
    ESRB Working Paper Series, European Systemic Risk Board Downloads
    Also in DNB Working Papers, Netherlands Central Bank, Research Department (2018) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2018) Downloads

2017

  1. Bank business models at zero interest rates
    Working Paper Series, European Central Bank Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2019)
  2. Do Negative Interest Rates Make Banks Less Safe?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    Also in Working Paper Series, European Central Bank (2017) Downloads View citations (7)

    See also Journal Article in Economics Letters (2017)

2016

  1. Accounting for Missing Values in Score-Driven Time-Varying Parameter Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Economics Letters (2016)
  2. Beyond dimension two: A test for higher-order tail risk
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering Downloads View citations (1)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2014) Downloads

    See also Journal Article in Journal of Financial Econometrics (2016)

2014

  1. A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (15)
    Also in Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2016)

2013

  1. Financial network systemic risk contributions
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (33)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2011) Downloads View citations (7)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2012) Downloads View citations (9)

    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 (5)

Journal Articles

2019

  1. Bank Business Models at Zero Interest Rates
    Journal of Business & Economic Statistics, 2019, 37, (3), 542-555 Downloads
    See also Working Paper (2017)

2017

  1. Do negative interest rates make banks less safe?
    Economics Letters, 2017, 159, (C), 112-115 Downloads View citations (4)
    See also Working Paper (2017)

2016

  1. Accounting for missing values in score-driven time-varying parameter models
    Economics Letters, 2016, 148, (C), 96-98 Downloads View citations (1)
    See also Working Paper (2016)
  2. Beyond Dimension two: A Test for Higher-Order Tail Risk
    Journal of Financial Econometrics, 2016, 14, (3), 552-580 Downloads View citations (1)
    See also Working Paper (2016)
  3. Spillover dynamics for systemic risk measurement using spatial financial time series models
    Journal of Econometrics, 2016, 195, (2), 211-223 Downloads View citations (9)
    See also Working Paper (2014)

2015

  1. Financial Network Systemic Risk Contributions
    Review of Finance, 2015, 19, (2), 685-738 Downloads View citations (53)
    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 (22)
    See also Working Paper (2013)

2012

  1. Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory
    Computational Statistics & Data Analysis, 2012, 56, (12), 4081-4096 Downloads View citations (3)
 
Page updated 2019-08-17