Search Results - "Schaumburg, Julia"

Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory by Schaumburg, Julia

“…A framework is introduced allowing us to apply nonparametric quantile regression to Value at Risk (VaR) prediction at any probability level of interest. A…”
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Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors by Gorgi, Paolo, Koopman, Siem Jan, Schaumburg, Julia

“…We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic…”
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Spillover dynamics for systemic risk measurement using spatial financial time series models by Blasques, Francisco, Koopman, Siem Jan, Lucas, Andre, Schaumburg, Julia

“…We extend the well-known static spatial Durbin model by introducing a time-varying spatial dependence parameter. The updating steps for this model are…”
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Financial Network Systemic Risk Contributions by Hautsch, N., Schaumburg, J., Schienle, M.

“…We propose the realized systemic risk beta as a measure of financial companies' contribution to systemic risk, given network interdependence between firms'…”
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Do negative interest rates make banks less safe? by Nucera, Federico, Lucas, André, Schaumburg, Julia, Schwaab, Bernd

“…We study the impact of increasingly negative central bank policy rates on banks’ propensity to become undercapitalized in a financial crisis (‘SRisk’). We find…”
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Bank Business Models at Zero Interest Rates by Lucas, André, Schaumburg, Julia, Schwaab, Bernd

“…We propose a novel observation-driven finite mixture model for the study of banking data. The model accommodates time-varying component means and covariance…”
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Forecasting systemic impact in financial networks by Hautsch, Nikolaus, Schaumburg, Julia, Schienle, Melanie

“…We propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a five-year sample including the…”
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Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe by Böhm, Hannes, Schaumburg, Julia, Tonzer, Lena

“…We analyze whether financial integration leads to converging or diverging business cycles using a dynamic spatial model. Our model allows for contemporaneous…”
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Dynamic clustering of multivariate panel data by Custodio João, Igor, Lucas, André, Schaumburg, Julia, Schwaab, Bernd

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Accounting for missing values in score-driven time-varying parameter models by Lucas, André, Opschoor, Anne, Schaumburg, Julia

“…Two alternative perspectives on dealing with missing data in the context of the score-driven time-varying parameter models of Creal et al. (2013) and Harvey…”
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Dynamic Nonparametric Clustering of Multivariate Panel Data by Custodio João, Igor, Schaumburg, Julia, Lucas, André, Schwaab, Bernd

“…Abstract We introduce a new dynamic clustering method for multivariate panel data characterized by time-variation in cluster locations and shapes, cluster…”
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Beyond Dimension two: A Test for Higher-Order Tail Risk by Bormann, Carsten, Schaumburg, Julia, Schienle, Melanie

“…In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test for detecting situations when such…”
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