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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

6

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Rank 32,888

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Top 32,888

in Total Papers Downloads

1,094

CITATIONS
Rank 16,914

SSRN RANKINGS

Top 16,914

in Total Papers Citations

20

Scholarly Papers (6)

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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: 07 Jul 2017
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 478 (28,580)
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 - Questrom School of Business
Downloads 95 (187,369)
Citation 3

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 - Questrom School of Business
Downloads 43 (163,892)

Abstract:

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

4.

Efficient Parameter Estimation for Multivariate Jump-Diffusions

Boston University Questrom School of Business Research Paper
Number of pages: 53 Posted: 16 Aug 2017
Francois Guay and Gustavo Schwenkler
Boston University and Boston University - Questrom School of Business
Downloads 24 (428,820)

Abstract:

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

5.

Simulated Likelihood Estimators for Discretely Observed Jump-Diffusions

Number of pages: 56 Posted: 03 Nov 2014 Last Revised: 22 Aug 2017
Kay Giesecke and Gustavo Schwenkler
Stanford University - Management Science & Engineering and Boston University - Questrom School of Business
Downloads 20 (322,540)

Abstract:

Density estimator, parameter estimator, exact simulation, simulated likelihood

6.

Inference for Large Financial Systems

Boston University Questrom School of Business Research Paper
Number of pages: 44 Posted: 04 Aug 2017
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 0 (418,903)

Abstract:

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

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