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Julia Schaumburg
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Financial network systemic risk contributions
N Hautsch, J Schaumburg, M Schienle
Review of Finance 19 (2), 685-738, 2015
4372015
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
1012016
Forecasting systemic impact in financial networks
N Hautsch, J Schaumburg, M Schienle
International Journal of Forecasting 30 (3), 781-794, 2014
902014
Do negative interest rates make banks less safe?
F Nucera, A Lucas, J Schaumburg, B Schwaab
Economics Letters 159, 112-115, 2017
822017
Bank business models at zero interest rates
A Lucas, J Schaumburg, B Schwaab
Journal of Business & Economic Statistics 37 (3), 542-555, 2019
682019
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
62*2012
Accounting for missing values in score-driven time-varying parameter models
A Lucas, A Opschoor, J Schaumburg
Economics Letters 148, 96-98, 2016
102016
Time-varying vector autoregressive models with structural dynamic factors
P Gorgi, SJ Koopman, J Schaumburg
Tinbergen Institute, The Netherlands and Aarhus University, Denmark, 17, 2017
8*2017
Do information contagion and business model similarities explain bank credit risk commonalities?
D Wang, I van Lelyveld, J Schaumburg
ESRB: Working Paper Series, 2019
52019
Dynamic clustering of multivariate panel data
A Lucas, J Schaumburg, B Schwaab
Tinbergen Institute Discussion Paper 2020-009/III, 2019
32019
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
32016
Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe
H Böhm, J Schaumburg, L Tonzer
Tinbergen Institute Discussion Paper 2020-008/III, 2020
22020
Dynamic clustering of multivariate panel data
IC Joao, A Lucas, J Schaumburg, B Schwaab
Journal of Econometrics, 2022
12022
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
12021
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
SJ Koopman, P Gorgi, J Schaumburg
2021
Networking the yield curve: Implications for monetary policy
T Dalhaus, J Schaumburg, T Sekhposyan
ECB Working Paper, 2021
2021
Clustering Dynamics and Persistence for Financial Multivariate Panel Data
IC João, A Lucas, J Schaumburg
Tinbergen Institute Discussion Paper, 2021
2021
Smooth marginalized particle filters for dynamic network effect models
D Wang, J Schaumburg
Tinbergen Institute Discussion Paper, 2020
2020
Web Appendix to Dynamic clustering of multivariate panel data
IC Joao, A Lucas, J Schaumburg, B Schwaab
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Artikelen 1–19