Gustavo Schwenkler

Santa Clara University - Department of Finance

Santa Clara, CA 95053

United States

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 22,138

in Total Papers Downloads

2,924

SSRN CITATIONS
Rank 19,673

SSRN RANKINGS

Top 19,673

in Total Papers Citations

30

CROSSREF CITATIONS

23

Scholarly Papers (10)

1.

Exploring the Sources of Default Clustering

Journal of Financial Economics 129 (2018), 154-183
Number of pages: 73 Posted: 05 May 2008 Last Revised: 31 Jul 2018
Shahriar Azizpour, Kay Giesecke and Gustavo Schwenkler
Stanford University - Department of Management Science & Engineering, Stanford University - Department of Management Science & Engineering and Santa Clara University - Department of Finance
Downloads 897 (33,657)
Citation 20

Abstract:

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Correlated default, contagion, frailty, fitness test, time change

2.

The Systemic Effects of Benchmarking

Number of pages: 53 Posted: 20 Aug 2015 Last Revised: 31 Jan 2019
Diogo Duarte, Kyounghwan Lee and Gustavo Schwenkler
Florida International University (FIU) - Department of Finance, Boston University - Department of Finance & Economics and Santa Clara University - Department of Finance
Downloads 597 (58,033)
Citation 1

Abstract:

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Benchmarking, Institutional investors, retail investors, tail risk, heterogenous agents

3.
Downloads 561 ( 62,794)
Citation 4

The Network of Firms Implied by the News

Boston University Questrom School of Business Research Paper No. 3320859
Number of pages: 59 Posted: 07 Jun 2020
Gustavo Schwenkler, Hannan Zheng and Hannan Zheng
Santa Clara University - Department of Finance and Fidelity Investments, Inc.Boston University - Department of Finance & Economics
Downloads 451 (81,333)
Citation 4

Abstract:

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Networks, contagion, predictability, risk measurement, machine learning, natural language processing

The Network of Firms Implied by the News

ESRB: Working Paper Series No. 2020/108
Number of pages: 61 Posted: 05 Nov 2020
Gustavo Schwenkler, Hannan Zheng and Hannan Zheng
Santa Clara University - Department of Finance and Fidelity Investments, Inc.Boston University - Department of Finance & Economics
Downloads 56 (468,316)

Abstract:

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contagion, machine learning, natural language processing, networks, predictability, risk measurement

The Network of Firms Implied by the News

ESRB Working Paper Series No. 2020/108
Number of pages: 61 Posted: 31 Jul 2020
Gustavo Schwenkler, Hannan Zheng and Hannan Zheng
Santa Clara University - Department of Finance and Fidelity Investments, Inc.Boston University - Department of Finance & Economics
Downloads 54 (476,220)

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contagion, machine learning, natural language processing, networks, predictability, risk measurement

Inference for Large Financial Systems

Boston University Questrom School of Business Research Paper
Number of pages: 56 Posted: 04 Aug 2017 Last Revised: 09 Jan 2019
Kay Giesecke, Gustavo Schwenkler and Justin Sirignano
Stanford University - Department of Management Science & Engineering, Santa Clara University - Department of Finance and Imperial College London - Department of Mathematics
Downloads 228 (170,627)
Citation 1

Abstract:

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Interacting stochastic systems, likelihood inference, weak limits, large system asymptotics, indirect inference

Inference for Large Financial Systems

Mathematical Finance, Vol. 30, Issue 1, pp. 3-46, 2020
Number of pages: 44 Posted: 29 May 2020
Kay Giesecke, Gustavo Schwenkler and Justin Sirignano
Stanford University - Department of Management Science & Engineering, Santa Clara University - Department of Finance and Imperial College London - Department of Mathematics
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computational efficiency, large interacting stochastic systems, likelihood inference, statistical efficiency

5.

Filtered Likelihood for Point Processes

Journal of Econometrics, Vol. 204, No. 1, 2018
Number of pages: 21 Posted: 29 Jul 2011 Last Revised: 08 Jun 2018
Kay Giesecke and Gustavo Schwenkler
Stanford University - Department of Management Science & Engineering and Santa Clara University - Department of Finance
Downloads 166 (227,622)
Citation 17

Abstract:

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point process, filtering, parametric maximum likelihood, asymptotic theory, likelihood approximation

6.

News-Driven Peer Co-Movement in Crypto Markets

Number of pages: 61 Posted: 06 May 2020 Last Revised: 07 Sep 2021
Gustavo Schwenkler, Hannan Zheng and Hannan Zheng
Santa Clara University - Department of Finance and Fidelity Investments, Inc.Boston University - Department of Finance & Economics
Downloads 135 (269,349)
Citation 1

Abstract:

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Cryptocurrencies, peers, co-movement, financial news, natural language processing.

7.

Preventing COVID-19 Fatalities: State versus Federal Policies

Number of pages: 53 Posted: 29 Oct 2020 Last Revised: 15 Dec 2020
Jean-Paul Renne, Guillaume Roussellet and Gustavo Schwenkler
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), McGill University - Desautels Faculty of Management and Santa Clara University - Department of Finance
Downloads 111 (310,628)

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8.

Simulated Likelihood Estimators for Discretely Observed Jump-Diffusions

Journal of Econometrics, Vol. 213, 2019
Number of pages: 48 Posted: 03 Nov 2014 Last Revised: 29 Oct 2019
Kay Giesecke and Gustavo Schwenkler
Stanford University - Department of Management Science & Engineering and Santa Clara University - Department of Finance
Downloads 97 (339,939)
Citation 4

Abstract:

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Density estimator, parameter estimator, exact simulation, simulated likelihood

9.

Efficient Inference and Filtering for Multivariate Jump-Diffusions

Number of pages: 50 Posted: 16 Aug 2017 Last Revised: 27 Aug 2020
Francois Guay and Gustavo Schwenkler
Boston University and Santa Clara University - Department of Finance
Downloads 94 (346,695)
Citation 3

Abstract:

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Multivariate jump-diffusion, exact likelihood inference, asymptotic efficiency, filtering, computational efficiency

10.

Estimating the Dynamics of Consumption Growth

Number of pages: 50 Posted: 17 Mar 2018 Last Revised: 01 Oct 2018
Gustavo Schwenkler
Santa Clara University - Department of Finance
Downloads 38 (539,541)
Citation 3

Abstract:

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Consumption growth, long-run risks, disasters, predictability, estimation