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Research Output 2012 2019

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Article
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
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
2016

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

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

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
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