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Julia Schaumburg

Personal Details

First Name:Julia
Middle Name:
Last Name:Schaumburg
Suffix:
RePEc Short-ID:psc415
[This author has chosen not to make the email address public]

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. 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.
  2. 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.
  3. 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.
  4. Tatjana Dahlhaus & Julia Schaumburg & Tatevik Sekhposyan, 2021. "Networking the Yield Curve: Implications for Monetary Policy," Staff Working Papers 21-4, Bank of Canada.
  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. Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017. "Bank business models at zero interest rates," Working Paper Series 2084, European Central Bank.
  10. Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017. "Do negative interest rates make banks less safe?," Working Paper Series 2098, European Central Bank.
  11. 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.
  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. Bormann, Carsten & Schienle, Melanie & Schaumburg, Julia, 2014. "Beyond dimension two: A test for higher-order tail risk," SFB 649 Discussion Papers 2014-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  14. Bormann, Carsten & Schienle, Melanie & Schaumburg, Julia, 2014. "Beyond dimension two: A test for higher-order tail risk," SFB 649 Discussion Papers 2014-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  15. 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.
  16. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2013. "Forecasting systemic impact in financial networks," SFB 649 Discussion Papers 2013-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  17. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2013. "Forecasting systemic impact in financial networks," SFB 649 Discussion Papers 2013-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  18. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2012. "Financial network systemic risk contributions," SFB 649 Discussion Papers 2012-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  19. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2012. "Financial network systemic risk contributions," SFB 649 Discussion Papers 2012-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  20. Schaumburg, Julia, 2010. "Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory," SFB 649 Discussion Papers 2010-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  21. Schaumburg, Julia, 2010. "Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory," SFB 649 Discussion Papers 2010-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    repec:hum:wpaper:sfb649dp2011-072 is not listed on IDEAS

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. 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.
  4. Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016. "Beyond Dimension two: A Test for Higher-Order Tail Risk," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 552-580.
  5. 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.
  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 (13) 2010-04-17 2014-10-03 2014-11-12 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 (10) 2010-04-17 2011-11-07 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-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
  4. NEP-BAN: Banking (6) 2011-11-07 2012-09-09 2013-11-22 2017-05-07 2017-09-17 2019-05-20. 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-CBA: Central Banking (4) 2017-05-07 2017-09-17 2021-02-01 2021-03-29
  8. NEP-ORE: Operations Research (4) 2020-02-24 2020-05-25 2021-05-24 2021-07-19
  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 and 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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