Gustavo Schwenkler

Santa Clara University - Department of Finance

Santa Clara, CA 95053

United States

  • Santa Clara University - Department of Finance

SCHOLARLY PAPERS

11

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30

CROSSREF CITATIONS

23

Scholarly Papers (11)

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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 - Department of Management Science & Engineering, Stanford University - Department of Management Science & Engineering and Santa Clara University - Department of Finance
Downloads 914 (36,545)
Citation 20

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

2.

The Network of Firms Implied by the News

Downloads 647 ( 57,990)
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 521 (75,424)
Citation 4

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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: 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 68 (459,869)

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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: 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 58 (498,618)

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

3.

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, Boston University - Department of Finance & Economics and Santa Clara University - Department of Finance
Downloads 634 (59,508)
Citation 1

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

4.

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 260 (164,948)
Citation 1

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

5.

Inference for Large Financial Systems

Downloads 260 (164,948)

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 259 (165,005)
Citation 1

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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
Downloads 1 (930,985)

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computational efficiency, large interacting stochastic systems, likelihood inference, statistical efficiency

6.

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 173 (239,981)
Citation 17

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

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 133 (296,611)

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8.

Why does news coverage predict returns? Evidence from the underlying editor preferences for risky stocks

Number of pages: 43 Posted: 07 Dec 2021 Last Revised: 11 Apr 2022
Gustavo Schwenkler, Hannan Zheng and Hannan Zheng
Santa Clara University - Department of Finance and Fidelity Investments, Inc.Boston University - Department of Finance & Economics
Downloads 113 (333,870)

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News coverage, attention constraints, risk signals, predictability, natural language processing.

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 108 (344,421)
Citation 3

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

10.

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 100 (362,518)
Citation 5

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Density estimator, parameter estimator, exact simulation, simulated likelihood

11.

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 46 (542,783)
Citation 3

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