11435 documents matched the search for Julia Schaumburg in authors.
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Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory,
Julia Schaumburg,
in Computational Statistics & Data Analysis
(2012)
Keywords: Value at risk; Nonparametric quantile regression; Risk management; Extreme value statistical applications; Monotonization;
Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory,
Julia Schaumburg,
from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
(2010)
Keywords: Value at Risk, nonparametric quantile regression, risk management, extreme value theory, monotonization, CAViaR
Registered author: Julia Schaumburg
Smooth marginalized particle filters for dynamic network effect models,
Dieter Wang and Julia Schaumburg,
from Tinbergen Institute
(2020)
Keywords: Dynamic network effects, Multiple networks, Nonlinear state-space model, Smooth marginalized particle filter, COVID-19
Networking the Yield Curve: Implications for Monetary Policy,
Tatjana Dahlhaus, Julia Schaumburg and Tatevik Sekhposyan,
from Bank of Canada
(2021)
Keywords: Econometric and statistical methods; Interest rates; Monetary policy implementation
Bank Business Models at Zero Interest Rates,
Andre Lucas, Julia Schaumburg and Bernd Schwaab,
in Journal of Business & Economic Statistics
(2019)
Bank business models at zero interest rates,
Andre Lucas, Julia Schaumburg and Bernd Schwaab,
from European Central Bank
(2017)
Keywords: bank business models, clustering, finite mixture model, low interest rates, score-driven model
Networking the yield curve: implications for monetary policy,
Tatjana Dalhaus, Julia Schaumburg and Tatevik Sekhposyan,
from European Central Bank
(2021)
Keywords: dynamic networks, monetary policy, yield-curve
Accounting for missing values in score-driven time-varying parameter models,
Andre Lucas, Anne Opschoor and Julia Schaumburg,
in Economics Letters
(2016)
Keywords: Generalized autoregressive score models; Missing values; Expectation–Maximization;
Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe,
Hannes Böhm, Julia Schaumburg and Lena Tonzer,
in IMF Economic Review
(2022)
Financial network systemic risk contributions,
Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle,
from Center for Financial Studies (CFS)
(2013)
Keywords: time-varying systemic risk contribution, systemic risk network, network topology estimation, Value at Risk
Beyond dimension two: A test for higher-order tail risk,
Carsten Bormann, Julia Schaumburg and Melanie Schienle,
from Karlsruhe Institute of Technology (KIT), Department of Economics and Management
(2016)
Keywords: decomposition of multivariate tail dependence, multivariate extreme values, stable tail dependence function, extreme dependence modeling
Beyond dimension two: A test for higher-order tail risk,
Carsten Bormann, Melanie Schienle and Julia Schaumburg,
from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
(2014)
Keywords: decomposition of tail dependence, multivariate extreme values, stable tail dependence function, subsample bootstrap, tail correlation
Financial network systemic risk contributions,
Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle,
from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
(2012)
Keywords: Systemic risk contribution, systemic risk network, Value at Risk, network topology, two-step quantile regression, time-varying parameters
Forecasting systemic impact in financial networks,
Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle,
from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
(2013)
Keywords: forecasting systemic risk contributions, time-varying systemic risk network, model selection with regularization in quantiles
Financial network systemic risk contributions,
Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle,
from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
(2011)
Keywords: systemic risk contribution, systemic risk network, Value at Risk, network topology, two-step quantile regression, time-varying parameters
Forecasting systemic impact in financial networks,
Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle,
in International Journal of Forecasting
(2014)
Keywords: Systemic risk network; Prediction; Tail risk; Systemic relevance; Tail risk transmission;
Beyond Dimension two: A Test for Higher-Order Tail Risk,
Carsten Bormann, Julia Schaumburg and Melanie Schienle,
in Journal of Financial Econometrics
(2016)
Financial Network Systemic Risk Contributions,
Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle,
in Review of Finance
(2015)
Financial linkages and sectoral business cycle synchronisation: Evidence from Europe,
Hannes Böhm, Julia Schaumburg and Lena Tonzer,
from Halle Institute for Economic Research (IWH)
(2020)
Keywords: financial integration, business cycle synchronisation, industry dynamics, spatial model
Do information contagion and business model similarities explain bank credit risk commonalities?,
Dieter Wang, Iman Lelyveld and Julia Schaumburg,
from European Systemic Risk Board
(2019)
Keywords: bank business model similarities, credit spread puzzle, dynamic network effects model., information contagion, portfolio overlap measure
A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk,
Carsten Bormann, Melanie Schienle and Julia Schaumburg,
from Tinbergen Institute
(2014)
Keywords: decomposition of tail dependence, multivariate extreme values, stable tail dependence function, subsample bootstrap, tail correlation
Bank Business Models at Zero Interest Rates,
Andre Lucas, Julia Schaumburg and Bernd Schwaab,
from Tinbergen Institute
(2016)
Keywords: bank business models, clustering; finite mixture model, score-driven model, low interest rates
Accounting for Missing Values in Score-Driven Time-Varying Parameter Models,
Andre Lucas, Anne Opschoor and Julia Schaumburg,
from Tinbergen Institute
(2016)
Keywords: generalized autoregressive score models, missing completely at random, Expectation-Maximization
Do information contagion and business model similarities explain bank credit risk commonalities?,
Dieter Wang, Iman Lelyveld and Julia Schaumburg,
from Tinbergen Institute
(2018)
Keywords: Information contagion; credit spread puzzle; bank business model similarities; portfolio overlap measure; dynamic network effects model
Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe,
Hannes Boehm, Julia Schaumburg and Lena Tonzer,
from Tinbergen Institute
(2020)
Keywords: Financial Integration, Business Cycle Synchronization, Industry Dynamics, Spatial Model
Dynamic clustering of multivariate panel data,
Andre Lucas, Julia Schaumburg and Bernd Schwaab,
from Tinbergen Institute
(2020)
Keywords: dynamic clustering, panel data, Hidden Markov Model, score-driven dynamics, bank business models
Bootstrapping GARCH Models Under Dependent Innovations,
Eric Beutner, Julia Schaumburg and Barend Spanjers,
from Tinbergen Institute
(2024)
Keywords: GARCH, Dependent Innovations, Residual Block Bootstrap
Dynamic clustering of multivariate panel data,
Igor Custodio Joao, Andre Lucas, Julia Schaumburg and Bernd Schwaab,
from European Central Bank
(2021)
Keywords: bank business models, dynamic clustering, Hidden Markov Model, panel data, score-driven dynamics
Dynamic nonparametric clustering of multivariate panel data,
Igor Custodio Joao, Andre Lucas, Julia Schaumburg and Bernd Schwaab,
from European Central Bank
(2023)
Keywords: cluster membership persistence, dynamic clustering, insurance industry, shrinkage, sil-houette index
Dynamic clustering of multivariate panel data,
Igor Custodio João, Andre Lucas, Julia Schaumburg and Bernd Schwaab,
in Journal of Econometrics
(2023)
Keywords: Dynamic clustering; Panel data; Hidden Markov Model; Score-driven dynamics; Bank business models;
Do negative interest rates make banks less safe?,
Federico Calogero Nucera, Andre Lucas, Julia Schaumburg and Bernd Schwaab,
from European Central Bank
(2017)
Keywords: bank business model, negative interest rates, systemic risk, unconventional monetary policy measures
Do negative interest rates make banks less safe?,
Federico Calogero Nucera, Andre Lucas, Julia Schaumburg and Bernd Schwaab,
in Economics Letters
(2017)
Keywords: Negative interest rates; Bank business model; Systemic risk; Unconventional monetary policy measures;
Dynamic Nonparametric Clustering of Multivariate Panel Data*,
Igor Custodio João, Julia Schaumburg, Andre Lucas and Bernd Schwaab,
in Journal of Financial Econometrics
(2024)
Keywords: cluster membership persistence, dynamic clustering, insurance industry, shrinkage, silhouette index
Spillover dynamics for systemic risk measurement using spatial financial time series models,
Francisco Blasques, Siem Jan Koopman, Andre Lucas and Julia Schaumburg,
from Verein für Socialpolitik / German Economic Association
(2014)
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors,
Paolo Gorgi, Siem Jan Koopman and Julia Schaumburg,
in Journal of Econometrics
(2024)
Keywords: Time-varying parameters; Vector autoregressive model; Dynamic factor model; Kalman filter; Generalized autoregressive conditional heteroskedasticity; Orthogonal impulse response functions;
Spillover dynamics for systemic risk measurement using spatial financial time series models,
Francisco Blasques, Siem Jan Koopman, Andre Lucas and Julia Schaumburg,
in Journal of Econometrics
(2016)
Keywords: Spatial correlation; Time-varying parameters; Systemic risk; European debt crisis; Generalized autoregressive scores;
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models,
Francisco Blasques, Siem Jan Koopman, Andre Lucas and Julia Schaumburg,
from Tinbergen Institute
(2014)
Keywords: Spatial correlation, time-varying parameters, systemic risk, European debt crisis, generalized autoregressive score
Do Negative Interest Rates Make Banks Less Safe?,
Federico Calogero Nucera, Andre Lucas, Julia Schaumburg and Bernd Schwaab,
from Tinbergen Institute
(2017)
Keywords: negative interest rates, bank business model, systemic risk, unconventional monetary policy measures
Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels,
Siem Jan Koopman, Julia Schaumburg and Quint Wiersma,
from Tinbergen Institute
(2021)
Keywords: high-dimensional factor model, Lasso, spatial error model, yield curve
Clustering Dynamics and Persistence for Financial Multivariate Panel Data,
Igor Custodio João, Andre Lucas and Julia Schaumburg,
from Tinbergen Institute
(2021)
Keywords: dynamic clustering, shrinkage, cluster membership persistence, Silhouette index, insurance
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors,
Paolo Gorgi, Siem Jan Koopman and Julia Schaumburg,
from Tinbergen Institute
(2021)
Keywords: time-varying parametersvector autoregressive model, dynamic factor model, Kalman filter, generalized autoregressive conditional heteroskedasticity, orthogonal impulse response function
Financial Development and Fragility: A Clustering Analysis,
Igor Custodio João, Pietro Calice, Andre Lucas and Julia Schaumburg,
from The World Bank
(2024)
Registered author: Ernst Schaumburg
Garment exports from Vietnam: changes in supplier strategies,
Henrik Schaumburg-Müller,
in Journal of the Asia Pacific Economy
(2009)
Private-sector development in a transition economy: The case of Vietnam,
Henrik Schaumburg-müller,
in Development in Practice
(2005)
Registered author: Ingrid Marie Schaumburg Huitfeldt
The role of the cranial CT scan in municipal hospitals,
A.B. Sterman and H.H. Schaumburg,
in American Journal of Public Health
(1980)
Relative valuation and analyst target price forecasts,
Zhi Da and Ernst Schaumburg,
in Journal of Financial Markets
(2011)
Keywords: Target price Relative valuation Return reversal
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy,
Dobrislav Dobrev and Ernst Schaumburg,
in Journal of Financial Econometrics
(2017)
Keywords: tail risk, non-parametric estimation, risk-neutral probability, return predictability
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy,
Dobrislav Dobrev and Ernst Schaumburg,
in Journal of Financial Econometrics
(2017)
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy,
Dobrislav Dobrev and Ernst Schaumburg,
in Journal of Financial Econometrics
(2017)
An Investigation of the Gains from Commitment in Monetary Policy,
Ernst Schaumburg and Andrea Tambalotti,
from University Library of Munich, Germany
(2003)
Keywords: Commitment, discretion, credibility, welfare
An Investigation of the Gains from Commitment in Monetary Policy,
Andrea Tambalotti and Ernst Schaumburg,
from Econometric Society
(2004)
Keywords: Commitment, discretion, credibility, welfare
An investigation of the gains from commitment in monetary policy,
Ernst Schaumburg and Andrea Tambalotti,
in Journal of Monetary Economics
(2007)
Likelihood Analysis of Seasonal Cointegration,
Soren Johansen and Ernst Schaumburg,
from European University Institute
(1997)
Keywords: ECONOMETRICS
Likelihood analysis of seasonal cointegration,
Soren Johansen and Ernst Schaumburg,
in Journal of Econometrics
(1998)
What to Make of Market Measures of Inflation Expectations?,
David Lucca and Ernst Schaumburg,
from Federal Reserve Bank of New York
(2011)
Keywords: TIPS breakevens; Inflation swaps; inflation expectations
An investigation of the gains from commitment in monetary policy,
Ernst Schaumburg and Andrea Tambalotti,
from Federal Reserve Bank of New York
(2003)
Keywords: Monetary policy; central banking
Cross-Sectional Asset Pricing Tests,
Ravi Jagannathan, Ernst Schaumburg and Guofu Zhou,
in Annual Review of Financial Economics
(2010)
Keywords: factor models, stochastic discount factor, asset pricing tests
A Closer Look at the Short-Term Return Reversal,
Zhi Da, Qianqiu Liu and Ernst Schaumburg,
in Management Science
(2014)
Keywords: short-term return reversal, liquidity, sentiment, fundamental news
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY,
Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg,
in Econometric Theory
(2014)
Jump-robust volatility estimation using nearest neighbor truncation,
Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg,
in Journal of Econometrics
(2012)
Keywords: High-frequency data; Integrated variance; Finite activity jumps; Realized volatility; Jump robustness; Nearest neighbor truncation; Intraday U-shape patterns;
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation,
Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg,
from Department of Economics and Business Economics, Aarhus University
(2009)
Keywords: High-frequency data, Integrated variance, Finite activity jumps, Realized volatility, Jump robustness, Nearest neighbor truncation
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation,
Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg,
from Department of Economics and Business Economics, Aarhus University
(2011)
Keywords: Neighborhood Truncation Estimator, Functional Filtering, Integrated Quarticity, Inference on Integrated Variance, High-Frequency Data
Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease!,
Ravi Jagannathan, Mudit Kapoor and Ernst Schaumburg,
in Journal of Financial Intermediation
(2013)
Keywords: Globalization; Financial crisis; Global imbalance; Labor supply shock;
Firms in Developing Countries: A Theoretical Probe into the Borderland of Business Studies and Development Studies,
Michael W Hansen and Henrik Schaumburg-Müller,
in The European Journal of Development Research
(2010)
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation,
Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg,
from National Bureau of Economic Research, Inc
(2011)
Intertemporal Disturbances,
Giorgio Primiceri, Ernst Schaumburg and Andrea Tambalotti,
from National Bureau of Economic Research, Inc
(2006)
Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease!,
Ravi Jagannathan, Mudit Kapoor and Ernst Schaumburg,
from National Bureau of Economic Research, Inc
(2009)
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation,
Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg,
from National Bureau of Economic Research, Inc
(2009)
Duration-Based Volatility Estimation,
Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg,
from Institute of Economic Research, Hitotsubashi University
(2009)
Intertemporal disturbances,
Giorgio Primiceri, Ernst Schaumburg and Andrea Tambalotti,
from Society for Economic Dynamics
(2006)
Keywords: Business Cycle, Fluctuations, Euler equation, shocks, frictions
A robust neighborhood truncation approach to estimation of integrated quarticity,
Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg,
from Board of Governors of the Federal Reserve System (U.S.)
(2013)
Continuing the Conversation on Liquidity,
Tobias Adrian, Michael Fleming and Ernst Schaumburg,
from Federal Reserve Bank of New York
(2016)
Keywords: Liquidity; Regulation; Dealers
The Evolution of Workups in the U.S. Treasury Securities Market,
Michael Fleming, Ernst Schaumburg and Ron Yang,
from Federal Reserve Bank of New York
(2015)
Keywords: Liquidity; Treasury Market; Workup
Introduction to a Series on Market Liquidity,
Tobias Adrian, Michael Fleming and Ernst Schaumburg,
from Federal Reserve Bank of New York
(2015)
Keywords: Regulation; Liquidity; Dealers
Introduction to a Series on Market Liquidity: Part 2,
Tobias Adrian, Michael Fleming and Ernst Schaumburg,
from Federal Reserve Bank of New York
(2015)
Keywords: Regulation; Dealers; Liquidity
Decomposing short-term return reversal,
Zhi Da, Qianqiu Liu and Ernst Schaumburg,
from Federal Reserve Bank of New York
(2011)
Keywords: Rate of return; Liquidity (Economics)
Jump-robust volatility estimation using nearest neighbor truncation,
Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg,
from Federal Reserve Bank of New York
(2010)
Keywords: Stocks - Rate of return; Stock market; Stock - Prices
About some difficulties with interpreting and measuring corporate performance,
Julia,
in Bank i Kredyt
(2011)
Keywords: corporate performace, industrial organisation, corporate finance, financial ratios
100 Jahre Tarifvertragsverordnung - Meilenstein der Arbeitsrechtsgeschichte: Tagungsband,
Luitwin Mallmann, Stefan Schaumburg, Thorsten Schulten and Roman Zitzelsberger,
from Hugo Sinzheimer Institute for Labour and Social Security Law (HSI), Hans Böckler Foundation
(2019)
Characteristic-Sorted Portfolios: Estimation and Inference,
Matias Cattaneo, Richard Crump, Max Farrell and Ernst Schaumburg,
in The Review of Economics and Statistics
(2020)
Characteristic-Sorted Portfolios: Estimation and Inference,
Matias Cattaneo, Richard Crump, Max Farrell and Ernst Schaumburg,
from arXiv.org
(2019)
Calculating and Using Second Order Accurate Solutions of Discrete Time Dynamic Equilibrium Models,
Henry Kim, Jinill Kim, Ernst Schaumburg and Christopher Sims,
from Department of Economics, Tufts University
(2005)
Calculating and Using Second Order Accurate Solutions of Discrete Time,
Jinill Kim, Sunghyun Kim, Ernst Schaumburg and Christopher Sims,
from UCLA Department of Economics
(2003)
Calculating and using second order accurate solutions of discrete time dynamic equilibrium models,
Jinill Kim, Sunghyun Kim, Ernst Schaumburg and Christopher Sims,
from Board of Governors of the Federal Reserve System (U.S.)
(2003)
Keywords: Econometric models; Monetary policy
Primary Dealer Participation in the Secondary U.S. Treasury Market,
Michael Fleming, Frank M. Keane and Ernst Schaumburg,
from Federal Reserve Bank of New York
(2016)
Keywords: Treasury; Trading volume; Dealer
Characteristic-Sorted Portfolios: Estimation and Inference,
Matias Cattaneo, Richard Crump, Max Farrell and Ernst Schaumburg,
from Federal Reserve Bank of New York
(2016)
Keywords: portfolio sorts; nonparametric estimation; partitioning; tuning parameter selection
Chinese and Indian Multinationals in Denmark: Is There Anything Special About Them?,
Jens Erik Torp, Michael W. Hansen and Henrik Schaumburg-Müller,
from Palgrave Macmillan
(2011)
Keywords: Foreign Direct Investment, Wind Turbine, Entry Mode, Outward Foreign Direct Investment, Strategic Intent
What Explains Asian Investments in Denmark?,
Michael W. Hansen, Jens Erik Torp and Henrik Schaumburg-Müller,
from Palgrave Macmillan
(2012)
Keywords: Foreign Direct Investment, Wind Turbine, Asia Pacific Journal, Foreign Direct Investment Flow, Chinese Investment
Recovery from fast crashes: Role of mutual funds,
Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Mila Getmansky Sherman and Darya Yuferova,
in Journal of Financial Markets
(2022)
Keywords: Liquidity provision; Market fragility; Flash crash; Slow-moving capital;
Recovery from fast crashes: Role of mutual funds,
Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Mila Getmansky Sherman and Darya Yuferova,
from Leibniz Institute for Financial Research SAFE
(2021)
Keywords: Liquidity Provision, Market Fragility, Flash Crash, Slow-Moving Capital
LandScape: a simple method to aggregate p-values and other stochastic variables without a priori grouping,
Wiuf Carsten, Schaumburg-Müller Pallesen Jonatan, Foldager Leslie and Grove Jakob,
in Statistical Applications in Genetics and Molecular Biology
(2016)
Keywords: association mapping, genome scan, multiple testing, random walk
Stock Price Crashes: Role of Slow-Moving Capital,
Mila Getmansky, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg and Darya Yuferova,
from National Bureau of Economic Research, Inc
(2017)
Deterministic Income with Deterministic and Stochastic Interest Rates,
Julia Eisenberg,
from arXiv.org
(2016)
EDUCATION POLICY IN UKRAINE: THE FACTORS OF AFFECTING QUALITY MANAGEMENT MECHANISMS,
Shistopal Julia,
in Management
(2015)
Keywords: state educational policy, state regulation of education and science, governance, efficiency, law, legislation, education, the education system in Ukraine, the factors that influenced the educational sphere, high-quality education
Principles Of Formation Of Regional Ecological And Economic Partnership Under The Current Market Conditions,
Julia Bystryakova,
in Economics of Nature and the Environment
(2011)
Methodological Aspects Of Conservation And Protection Of Water Resources In The Water Treatment,
Julia Cherednichenko,
in Economics of Nature and the Environment
(2011)
The Current State Of Secondary Resource Usage In Ukraine,
Julia Makovetska,
in Economics of Nature and the Environment
(2011)
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