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Julia Schaumburg

Personal Details

First Name:Julia
Middle Name:
Last Name:Schaumburg
Suffix:
RePEc Short-ID:psc415

Affiliation

School of Business and Economics
Vrije Universiteit Amsterdam

Amsterdam, Netherlands
http://sbe.vu.nl/
RePEc:edi:fewvunl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Igor Custodio João & Andre Lucas & Julia Schaumburg, 2021. "Clustering Dynamics and Persistence for Financial Multivariate Panel Data," Tinbergen Institute Discussion Papers 21-040/III, Tinbergen Institute.
  2. Siem Jan Koopman & Julia Schaumburg & Quint Wiersma, 2021. "Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels," Tinbergen Institute Discussion Papers 21-008/III, Tinbergen Institute.
  3. Tatjana Dahlhaus & Julia Schaumburg & Tatevik Sekhposyan, 2021. "Networking the Yield Curve: Implications for Monetary Policy," Staff Working Papers 21-4, Bank of Canada.
  4. Paolo Gorgi & Siem Jan Koopman & Julia Schaumburg, 2021. "Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors," Tinbergen Institute Discussion Papers 21-056/III, Tinbergen Institute.
  5. Hannes Boehm & Julia Schaumburg & Lena Tonzer, 2020. "Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe," Tinbergen Institute Discussion Papers 20-008/III, Tinbergen Institute.
  6. Dieter Wang & Julia Schaumburg, 2020. "Smooth marginalized particle filters for dynamic network effect models," Tinbergen Institute Discussion Papers 20-023/III, Tinbergen Institute.
  7. André Lucas & Julia Schaumburg & Bernd Schwaab, 2020. "Dynamic clustering of multivariate panel data," Tinbergen Institute Discussion Papers 20-009/III, Tinbergen Institute.
  8. Wang, Dieter & van Lelyveld, Iman & Schaumburg, Julia, 2019. "Do information contagion and business model similarities explain bank credit risk commonalities?," ESRB Working Paper Series 94, European Systemic Risk Board.
  9. Federico Nucera & Andre Lucas & Julia Schaumburg & Bernd Schwaab, 2017. "Do Negative Interest Rates Make Banks Less Safe?," Tinbergen Institute Discussion Papers 17-041/IV, Tinbergen Institute.
  10. Andre Lucas & Anne Opschoor & Julia Schaumburg, 2016. "Accounting for Missing Values in Score-Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers 16-067/IV, Tinbergen Institute.
  11. Andre Lucas & Julia Schaumburg & Bernd Schwaab, 2016. "Bank Business Models at Zero Interest Rates," Tinbergen Institute Discussion Papers 16-066/IV, Tinbergen Institute.
  12. Carsten Bormann & Melanie Schienle & Julia Schaumburg, 2014. "A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk," Tinbergen Institute Discussion Papers 14-024/III, Tinbergen Institute, revised 23 Jun 2014.
  13. Carsten Bormann & Melanie Schienle & Julia Schaumburg, 2014. "Beyond dimension two: A test for higher-order tail risk," SFB 649 Discussion Papers SFB649DP2014-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  14. Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg, 2014. "Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models," Tinbergen Institute Discussion Papers 14-107/III, Tinbergen Institute.
  15. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2013. "Forecasting systemic impact in financial networks," SFB 649 Discussion Papers SFB649DP2013-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  16. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2011. "Financial Network Systemic Risk Contributions," SFB 649 Discussion Papers SFB649DP2011-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  17. Julia Schaumburg, 2010. "Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory," SFB 649 Discussion Papers SFB649DP2010-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

Articles

  1. André Lucas & Julia Schaumburg & Bernd Schwaab, 2019. "Bank Business Models at Zero Interest Rates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 542-555, July.
  2. Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017. "Do negative interest rates make banks less safe?," Economics Letters, Elsevier, vol. 159(C), pages 112-115.
  3. Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016. "Beyond Dimension two: A Test for Higher-Order Tail Risk," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(3), pages 552-580.
  4. Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2016. "Spillover dynamics for systemic risk measurement using spatial financial time series models," Journal of Econometrics, Elsevier, vol. 195(2), pages 211-223.
  5. Lucas, André & Opschoor, Anne & Schaumburg, Julia, 2016. "Accounting for missing values in score-driven time-varying parameter models," Economics Letters, Elsevier, vol. 148(C), pages 96-98.
  6. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
  7. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2014. "Forecasting systemic impact in financial networks," International Journal of Forecasting, Elsevier, vol. 30(3), pages 781-794.
  8. Schaumburg, Julia, 2012. "Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 4081-4096.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 26 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (12) 2010-04-17 2014-10-03 2015-02-16 2015-04-25 2016-02-29 2016-09-04 2017-07-09 2020-02-24 2020-05-25 2021-02-08 2021-05-24 2021-07-19. Author is listed
  2. NEP-RMG: Risk Management (11) 2010-04-17 2011-11-07 2012-09-09 2013-02-08 2013-11-22 2014-10-03 2015-02-16 2015-04-25 2016-02-29 2019-01-07 2019-05-20. Author is listed
  3. NEP-BAN: Banking (7) 2011-11-07 2012-09-09 2013-02-08 2013-11-22 2017-05-07 2017-09-17 2019-05-20. Author is listed
  4. NEP-NET: Network Economics (7) 2011-11-07 2012-09-09 2013-02-08 2013-11-22 2020-02-17 2020-02-24 2020-05-25. Author is listed
  5. NEP-MAC: Macroeconomics (6) 2015-04-25 2020-02-17 2020-02-24 2021-02-01 2021-03-29 2021-07-19. Author is listed
  6. NEP-EEC: European Economics (5) 2016-09-04 2017-07-09 2019-05-20 2020-02-17 2020-02-24. Author is listed
  7. NEP-ORE: Operations Research (5) 2014-10-03 2020-02-24 2020-05-25 2021-05-24 2021-07-19. Author is listed
  8. NEP-CBA: Central Banking (4) 2017-05-07 2017-09-17 2021-02-01 2021-03-29
  9. NEP-ETS: Econometric Time Series (3) 2015-04-25 2020-02-24 2021-07-19
  10. NEP-FOR: Forecasting (2) 2010-04-17 2013-02-08
  11. NEP-OPM: Open Economy Macroeconomics (2) 2020-02-17 2020-02-24
  12. NEP-URE: Urban & Real Estate Economics (2) 2015-02-16 2015-04-25
  13. NEP-BEC: Business Economics (1) 2019-05-20
  14. NEP-CFN: Corporate Finance (1) 2013-02-08
  15. NEP-IAS: Insurance Economics (1) 2021-05-24
  16. NEP-MON: Monetary Economics (1) 2021-03-29
  17. NEP-REG: Regulation (1) 2011-11-07

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