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Gustavo Schwenkler

Boston University - Department of Finance & Economics

Assistant Professor

595 Commonwealth Avenue

Boston, MA 02215

United States

http://people.bu.edu/gas

  • Boston University - Department of Finance & Economics

SCHOLARLY PAPERS

4

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CITATIONS
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Top 16,882

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20

Scholarly Papers (4)

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1.

Exploring the Sources of Default Clustering

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 72 Posted: 05 May 2008 Last Revised: 25 May 2017
Shahriar Azizpour, Kay Giesecke and Gustavo Schwenkler
Stanford University - Management Science & Engineering, Stanford University - Management Science & Engineering and Boston University - Department of Finance & Economics
Downloads 478 (29,108)
Citation 17

Abstract:

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

2.

Filtered Likelihood for Point Processes

Number of pages: 50 Posted: 29 Jul 2011 Last Revised: 10 Jun 2017
Kay Giesecke and Gustavo Schwenkler
Stanford University - Management Science & Engineering and Boston University - Department of Finance & Economics
Downloads 95 (189,255)
Citation 2

Abstract:

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

3.

The Systemic Effects of Benchmarking

Number of pages: 52 Posted: 20 Aug 2015 Last Revised: 21 Jan 2017
Diogo Duarte, Kyounghwan Lee and Gustavo Schwenkler
Florida International University (FIU) - Department of Finance, Boston University - Department of Finance & Economics and Boston University - Department of Finance & Economics
Downloads 43 (169,939)

Abstract:

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

4.

Simulated Likelihood Estimators for Discretely Observed Jump-Diffusions

Number of pages: 52 Posted: 03 Nov 2014 Last Revised: 11 Oct 2016
Kay Giesecke and Gustavo Schwenkler
Stanford University - Management Science & Engineering and Boston University - Department of Finance & Economics
Downloads 20 (333,550)

Abstract:

Density estimator, parameter estimator, exact simulation, simulated likelihood

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