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Home | People | Julia Schaumburg

Julia Schaumburg

Research Fellow

Vrije Universiteit Amsterdam
applied econometrics, econometrics, financial econometrics, risk management

List of publications

André Lucas and Julia Schaumburg and Bernd Schwaab. 2018. Bank Business Models at Zero Interest Rates. Journal of Business and Economic Statistics, 1--14, 0735-0015

Federico Nucera and André Lucas and Julia Schaumburg and Bernd Schwaab. 2017. Do negative interest rates make banks less safe?. Economics Letters, 159, 112--115, 0165-1765

F. Blasques and S.J. Koopman and A. Lucas and J. Schaumburg. 2016. Spillover dynamics for systemic risk measurement using spatial financial time series models. Journal of Econometrics, 195, 211--223, 0304-4076

A. Lucas and A. Opschoor and J. Schaumburg. 2016. Accounting for Missing Values in Score-Driven Time-Varying Parameter Models. Economics Letters, 148, 96--98, 0165-1765

C. Bormann and J. Schaumburg and M. Schienle. 2016. Beyond Dimension two: A Test for Higher-Order Tail Risk. Journal of Financial Econometrics, 14, 442--480, 1479-8409

N. Hautsch and J. Schaumburg and M. Schienle. 2015. Financial Network Systemic Risk Contributions. Review of Finance, 19, 685--738, 1572-3097

N. Hautsch and J. Schaumburg and M. Schienle. 2014. Forecasting systemic impact in financial networks. International Journal of Forecasting, 30, 781--794, 0169-2070