Gustavo Schwenkler

Boston University - Questrom School of Business

Assistant Professor

595 Commonwealth Ave

Boston, MA 02466

United States

http://www.gustavo-schwenkler.com

  • Boston University - Questrom School of Business

SCHOLARLY PAPERS

8

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14

CROSSREF CITATIONS

12

Scholarly Papers (8)

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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 - Management Science & Engineering, Stanford University - Management Science & Engineering and Boston University - Questrom School of Business
Downloads 851 (28,958)
Citation 10

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 Boston University - Questrom School of Business
Downloads 403 (76,289)

Abstract:

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

3.

The Network of Firms Implied by the News

Number of pages: 59 Posted: 12 Feb 2019 Last Revised: 30 Oct 2019
Gustavo Schwenkler and Hannan Zheng
Boston University - Questrom School of Business and Boston University - Department of Finance & Economics
Downloads 175 (183,262)
Citation 1

Abstract:

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

4.

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 - Management Science & Engineering and Boston University - Questrom School of Business
Downloads 155 (200,292)
Citation 13

Abstract:

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

5.

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 - Management Science & Engineering, Boston University - Questrom School of Business and Imperial College London - Department of Mathematics
Downloads 141 (216,440)
Citation 1

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

6.

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 - Management Science & Engineering and Boston University - Questrom School of Business
Downloads 91 (296,279)
Citation 3

Abstract:

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Density estimator, parameter estimator, exact simulation, simulated likelihood

7.

Efficient Inference and Filtering for Multivariate Jump-Diffusions

Boston University Questrom School of Business Research Paper
Number of pages: 77 Posted: 16 Aug 2017 Last Revised: 13 Sep 2018
Francois Guay and Gustavo Schwenkler
Boston University and Boston University - Questrom School of Business
Downloads 59 (377,843)
Citation 3

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

8.

Estimating the Dynamics of Consumption Growth

Number of pages: 50 Posted: 17 Mar 2018 Last Revised: 01 Oct 2018
Gustavo Schwenkler
Boston University - Questrom School of Business
Downloads 29 (495,885)
Citation 1

Abstract:

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