Xin Zhang

Sveriges Riksbank - Research Division

Research Economist

S-103 37 Stockholm

Sweden

SCHOLARLY PAPERS

6

DOWNLOADS

822

SSRN CITATIONS
Rank 21,528

SSRN RANKINGS

Top 21,528

in Total Papers Citations

36

CROSSREF CITATIONS

10

Scholarly Papers (6)

Modeling Financial Sector Joint Tail Risk in the Euro Area

Tinbergen Institute Discussion Paper 13-063/IV/DSF56
Number of pages: 36 Posted: 18 May 2013 Last Revised: 13 Oct 2014
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 314 (133,644)
Citation 8

Abstract:

Loading...

systemic risk; dynamic equicorrelation; generalized hyperbolic distribution; law of large numbers; large portfolio approximation.

2.

Conditional Probabilities for Euro Area Sovereign Default Risk

Tinbergen Institute Discussion Paper No. 11-176/2/DSF29
Number of pages: 37 Posted: 14 Dec 2011 Last Revised: 29 Jun 2012
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 271 (156,559)
Citation 5

Abstract:

Loading...

sovereign credit risk, higher order moments, time-varying parameters, financial stability

Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting

Tinbergen Institute Discussion Paper No. 14-092/IV/DSF77
Number of pages: 32 Posted: 26 Jul 2014 Last Revised: 10 Sep 2015
Andre Lucas and Xin Zhang
Vrije Universiteit Amsterdam - School of Business and Economics and Sveriges Riksbank - Research Division
Downloads 106 (347,709)
Citation 3

Abstract:

Loading...

dynamic volatilities; dynamic higher-order moments; integrated generalized autoregressive score models; Exponentially Weighted Moving Average (EWMA); Value-at-Risk (VaR)

Modeling Extreme Events: Time-Varying Extreme Tail Shape

Tinbergen Institute Discussion Paper 2020-076/III
Number of pages: 63 Posted: 04 Jan 2021
Bernd Schwaab, Xin Zhang and Andre Lucas
European Central Bank (ECB) - Directorate General Research, Sveriges Riksbank - Research Division and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 40 (579,291)

Abstract:

Loading...

Dynamic Tail Risk, Observation-Driven Models, Extreme Value Theory, European Central Bank (ECB), Securities Markets Programme (SMP)

5.

Conditional Euro Area Sovereign Default Risk

Riksbank Research Paper Series No. 100, Sveriges Riksbank Working Paper Series No. 269
Number of pages: 40 Posted: 15 Aug 2013
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 75 (426,642)
Citation 25

Abstract:

Loading...

sovereign credit risk, higher order moments, time-varying parameters, financial stability

Spread the Word: International Spillovers from Central Bank Communication

BIS Working Paper No. 824
Number of pages: 55 Posted: 13 Dec 2019
Sveriges Riksbank - Ministry of Finance (Sweden), Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Sveriges Riksbank - Research Division
Downloads 16 (751,071)
Citation 2

Abstract:

Loading...

communication, monetary policy, international policy transmission