Fingerprint The fingerprint is based on mining the text of the scientific documents related to the associated persons. Based on that an index of weighted terms is created, which defines the key subjects of research unit

Model Mathematics
Volatility Mathematics
Forecasting Mathematics
Credit Risk Mathematics
Time-varying Mathematics
Heterogeneous Agents Mathematics
Dynamic Factor Model Mathematics
Time Series Models Mathematics

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Profiles

Photo of Michela Altieri
20162017
Photo of M. Boes

M. Boes

Person: Academic

20072018
Photo of Wilko Bolt
19962017
Photo of S.A. Borovkova
19992017

Research Output 1979 2018

A dynamic network model of the unsecured interbank lending market

Blasques, F., Bräuning, F. & Lelyveld, I. V., May 2018, In : Journal of Economic Dynamics and Control. 90, p. 310-342 33 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Dynamic Networks
Network Model
Dynamic Model
Credit Risk
Monitoring

A Stochastic Recurrence Equations Approach for Score Driven Correlation Models

Blasques, F., Lucas, A. & Silde, E., 2018, In : Econometric Reviews. 37, 2, p. 166-181

Research output: Contribution to JournalArticleAcademicpeer-review

Decomposition
Sufficiency
Rescaling
Maximum likelihood estimator
Asymptotic normality

Bank Business Models at Zero Interest Rates

Lucas, A., Schaumburg, J. & Schwaab, B., 25 May 2018, (Accepted/In press) In : Journal of Business and Economic Statistics. p. 1-14 14 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Business Model
Interest Rates
interest rate
bank
Zero

Bank market power and the intensity of borrower discouragement: analysis of SMEs across developed and developing European countries

Mol-Gómez-Vázquez, A., Hernández-Cánovas, G. & Koëter-Kant, J., 27 Apr 2018, In : Small Business Economics. p. 1-15 15 p.

Research output: Contribution to JournalArticleAcademicpeer-review

European countries
Market power
Small and medium-sized enterprises
Industrial organization
European banking

Bayesian dynamic modeling of high-frequency integer price changes

Barra, I., Borowska, A. & Koopman, S. J., 1 Jun 2018, In : Journal of Financial Econometrics. 16, 3, p. 384-424 41 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Price changes
Dynamic modeling
Ticks
Integer
Modeling

Activities 1997 2016

Netspar (External organisation)

van der Lecq, S. G. (Member)
20162017

Activity: MembershipScientific

Journal of Credit Risk (Journal)

Lucas, A. (Member of editorial board)
2016

Activity: Peer review and Editorial workEditorial workScientific

Review of Asset Pricing Studies (Journal)

Menkveld, A. J. (Member of editorial board)
2016

Activity: Peer review and Editorial workEditorial workScientific

Journal of Derivatives (Journal)

Menkveld, A. J. (Member of editorial board)
20152016

Activity: Peer review and Editorial workEditorial workScientific

Prizes

Best Paper Award, Prize for Excellence in Research, Inquire UK

R.G.W. Kraussl (Recipient), 2010

Prize: Prize / AwardScientific

Best Paper Award FMA Europe

T.C. Dyakov (Recipient), 2013

Prize: Prize / AwardScientific

Best Paper Award Inquire Europe

R.G.W. Kraussl (Recipient), 2010

Prize: Prize / AwardScientific

DSF research fellowship grant

D.G. Stefanova (Recipient), 2010

Prize: Prize / AwardScientific

Finalist Best Paper Award, Academy of Management

R.G.W. Kraussl (Recipient), 2010

Prize: Prize / AwardScientific

Press / Media

Interview over risicogedrag en de kredietcrisis

M.J. van den Assem

22/10/08

1 media contribution

Press/Media: Other