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Julia Schaumburg
Julia Schaumburg
Professor of Econometric Methods and Applications, Vrije Universiteit Amsterdam
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Financial network systemic risk contributions
N Hautsch, J Schaumburg, M Schienle
Review of Finance 19 (2), 685-738, 2015
5902015
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
F Blasques, SJ Koopman, A Lucas, J Schaumburg
Journal of Econometrics 195 (2), 211-223, 2016
1552016
Do negative interest rates make banks less safe?
F Nucera, A Lucas, J Schaumburg, B Schwaab
Economics Letters 159, 112-115, 2017
1072017
Forecasting systemic impact in financial networks
N Hautsch, J Schaumburg, M Schienle
International Journal of Forecasting 30 (3), 781-794, 2014
1032014
Bank business models at zero interest rates
A Lucas, J Schaumburg, B Schwaab
Journal of Business & Economic Statistics 37 (3), 542-555, 2019
792019
Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory
J Schaumburg
Computational Statistics & Data Analysis 56 (12), 4081-4096, 2012
73*2012
Dynamic clustering of multivariate panel data
IC Joao, A Lucas, J Schaumburg, B Schwaab
Journal of Econometrics, 2022
16*2022
Do information contagion and business model similarities explain bank credit risk commonalities?
D Wang, I van Lelyveld, J Schaumburg
ESRB: Working Paper Series, 2019
112019
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
P Gorgi, SJ Koopman, J Schaumburg
Tinbergen Institute Discussion Paper 2021-056/III, 2021
10*2021
Accounting for missing values in score-driven time-varying parameter models
A Lucas, A Opschoor, J Schaumburg
Economics letters 148, 96-98, 2016
102016
Financial linkages and sectoral business cycle synchronization: Evidence from europe
H Bhm, J Schaumburg, L Tonzer
IMF Economic Review 70 (4), 698-734, 2022
62022
Networking the yield curve: implications for monetary policy
T Dalhaus, J Schaumburg, T Sekhposyan
ECB Working Paper, 2021
52021
Beyond dimension two: A test for higher-order tail risk
C Bormann, J Schaumburg, M Schienle
Journal of Financial Econometrics 14 (3), 552-580, 2016
42016
Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels
SJ Koopman, J Schaumburg, Q Wiersma
Tinbergen Institute Discussion Paper 2021-008/III, 2021
22021
Dynamic nonparametric clustering of multivariate panel data
I Custodio Joo, J Schaumburg, A Lucas, B Schwaab
Journal of Financial Econometrics 22 (2), 335-374, 2024
12024
Bootstrapping GARCH models under dependent innovations
E Beutner, J Schaumburg, B Spanjers
Tinbergen Institute Discussion Paper, 2024
2024
Opinie: Samenwerken met Shell past universiteiten nu echt niet meer
P Verdonk, H Ossebaard, R Kort, J Schaumburg
Trouw, 2022
2022
Smooth marginalized particle filters for dynamic network effect models
D Wang, J Schaumburg
Tinbergen Institute Discussion Paper, 2020
2020
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Artikelen 1–18