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Research Output 2012 2019

2019

Bank Business Models at Zero Interest Rates

Lucas, A., Schaumburg, J. & Schwaab, B., 2019, In : Journal of Business and Economic Statistics. 37, 3, p. 542-555 14 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Business Model
Interest Rates
interest rate
bank
Zero
2018

Do information contagion and business model similarities explain bank credit risk commonalities?

Wang, D., van Lelyveld, I. P. P. & Schaumburg, J., 2018, 100/IV ed., Amsterdam: Tinbergen Institute, 36 p. (TI Discussion Paper Series; vol. 2018, no. 100/IV).

Research output: Working paperAcademic

2017

Do negative interest rates make banks less safe?

Nucera, F., Lucas, A., Schaumburg, J. & Schwaab, B., 2017, In : Economics Letters. 159, October, p. 112-115 4 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Interest rates
Business model
Financial crisis
Income
Propensity

Do Negative Interest Rates Make Banks Less Safe?

Nucera, F., Lucas, A., Schaumburg, J. & Schwaab, B., 2017, Amsterdam: Tinbergen Institute, 9 p. (TI Discussion Paper Series; no. 17-041/IV).

Research output: Working paperAcademic

2016

Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

Lucas, A., Opschoor, A. & Schaumburg, J., 2016, Amsterdam: Tinbergen Institute, 7 p. (TI Discussion Series; no. 16-067/IV).

Research output: Working paperProfessional

Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

Lucas, A., Opschoor, A. & Schaumburg, J., 2016, In : Economics Letters. 148, p. 96-98

Research output: Contribution to JournalArticleAcademicpeer-review

Missing values
Time-varying parameter model
Missing data
Transition dynamics

Bank Business Models at Zero Interest Rates

Lucas, A., Schaumburg, J. & Schwaab, B., 2016, Amsterdam: Tinbergen Institute, 56 p. (TI Discussion Series; no. 16-066/IV).

Research output: Working paperProfessional

Beyond Dimension two: A Test for Higher-Order Tail Risk

Bormann, C., Schaumburg, J. & Schienle, M., 2016, In : Journal of Financial Econometrics. 14, 3, p. 442-480

Research output: Contribution to JournalArticleAcademicpeer-review

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, F., Koopman, S. J., Lucas, A. & Schaumburg, J., 2016, In : Journal of Econometrics. 195, 2, p. 211-223

Research output: Contribution to JournalArticleAcademicpeer-review

Financial time series
Spillover
Time series models
Systemic risk
Risk measurement
2015

Financial Network Systemic Risk Contributions

Hautsch, N., Schaumburg, J. & Schienle, M., 2015, In : Review of Finance. 19, 2, p. 685-738

Research output: Contribution to JournalArticleAcademicpeer-review

Systemic risk
Financial networks
Value at risk
Time-varying
Spillover
2014

A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk

Bormann, C., Schienle, M. & Schaumburg, J., 2014, Amsterdam: Tinbergen Institute, 33 p. (TI Discussion Paper; no. 14-024/III).

Research output: Working paperProfessional

Forecasting systemic impact in financial networks

Hautsch, N., Schaumburg, J. & Schienle, M., 2014, In : International Journal of Forecasting. 30, 3, p. 781-794

Research output: Contribution to JournalArticleAcademicpeer-review

Financial networks
Systemic risk
European banks
Market conditions
Financial crisis

Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models

Blasques, F., Koopman, S. J., Lucas, A. & Schaumburg, J., 2014, Amsterdam: Tinbergen Institute, 48 p. (TI Discussion Paper; no. 14-107/III).

Research output: Working paperProfessional

2012

Predicting extreme Value at Risk: Nonparametric quantile regression with refinements from extreme value theory

Schaumburg, J., 2012, In : Computational Statistics and Data Analysis. 56, 12, p. 4081-4096

Research output: Contribution to JournalArticleAcademicpeer-review

Extreme Value Theory
Quantile Regression
Value at Risk
Extreme Values
Nonparametric Regression