Research output per year
Research output per year
Personal profile
Personal information
I am an associate professor in Econometrics at Vrije Universiteit Amsterdam, a research professor at Halle Institute for Economic Research, a Tinbergen Institute research fellow, and a visiting researcher at De Nederlandsche Bank. I obtained my Ph.D. from Humboldt-Universität zu Berlin in 2013.
Research
My research interests include time series and financial econometrics flavoured with (spatial) panel and machine learning methods, and applications to topics in empirical finance, systemic risk, and financial stability.
Grants
2015: NWO-Veni grant
2020: NWO-vidi grant
Teaching
B. Sc. Econometrics and Operations Research
B. Sc. track Econometrics and Data Science
M. Sc. Econometrics and Operations Research
Faculty Minor Applied Econometrics: A Big Data Experience for All
Ancillary activities
No ancillary activities
Ancillary activities are updated daily
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Network
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Clustering Dynamics and Persistence for Financial Multivariate Panel Data
Custodio Joao, I., Lucas, A. & Schaumburg, J., 10 May 2021, Tinbergen Institute.Research output: Working paper › Professional
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Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels
Koopman, S. J., Schaumburg, J. & Wiersma, Q., 21 Jan 2021, 008/III ed., Tinbergen Instituut, (TI discussion paper series; no. 21-008/III).Research output: Working paper › Professional
Open Access -
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
Koopman, S. J., Gorgi, P. & Schaumburg, J., 28 Jun 2021, Tinbergen Institute.Research output: Working paper › Professional
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Dynamic clustering of multivariate panel data
Lucas, A., Schaumburg, J. & Schwaab, B., 4 Feb 2020, III ed., Tinbergen Institute.Research output: Working paper › Professional
Open Access -
Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe
Boehm, H., Schaumburg, J. & Tonzer, L., 4 Feb 2020, III ed., Tinbergen Institute, (TI Discussion Paper Series; vol. 20-008/III).Research output: Working paper › Professional
Open Access