Julia Schaumburg

VU University Amsterdam

De Boelelaan 1105

Amsterdam, ND North Holland 1081 HV

Netherlands

http://juliaschaumburg.com

Tinbergen Institute

Gustav Mahlerplein 117

Amsterdam, 1082 MS

Netherlands

http://juliaschaumburg.com

SCHOLARLY PAPERS

15

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SSRN CITATIONS
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Top 8,278

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178

CROSSREF CITATIONS

24

Scholarly Papers (15)

1.
Downloads 339 (163,681)
Citation 2

Dynamic Clustering of Multivariate Panel Data

ECB Working Paper No. 2021/2577
Number of pages: 54 Posted: 30 Jul 2021
Igor Custodio João, Andre Lucas, Julia Schaumburg, Julia Schaumburg and Bernd Schwaab
VU University Amsterdam, Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 193 (285,305)
Citation 1

Abstract:

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Dynamic Clustering of Multivariate Panel Data

Tinbergen Institute Discussion Paper 2020-009/III
Number of pages: 47 Posted: 05 Mar 2020
Andre Lucas, Julia Schaumburg, Julia Schaumburg and Bernd Schwaab
Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 146 (363,942)
Citation 1

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dynamic clustering, panel data, Hidden Markov Model, score-driven dynamics, bank business models

2.

Financial Network Systemic Risk Contributions

Number of pages: 57 Posted: 26 Aug 2013
Nikolaus Hautsch, Julia Schaumburg, Julia Schaumburg and Melanie Schienle
University of Vienna - Department of Statistics and Operations Research, VU University AmsterdamTinbergen Institute and Humboldt University of Berlin - School of Business and Economics
Downloads 255 (219,876)
Citation 45

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systemic risk contribution, systemic risk network, Value at Risk, network topology, two-step quantile regression, time-varying parameters

3.
Downloads 202 (274,477)
Citation 32

Do Negative Interest Rates Make Banks Less Safe?

Tinbergen Institute Discussion Papers, 2017
Number of pages: 9 Posted: 26 Apr 2017
Federico Nucera, Andre Lucas, Julia Schaumburg, Julia Schaumburg and Bernd Schwaab
Bank of Italy, Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 127 (406,729)
Citation 25

Abstract:

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negative interest rates, bank business model, systemic risk, unconventional monetary policy measures

Do Negative Interest Rates Make Banks Less Safe?

ECB Working Paper No. 2098
Number of pages: 17 Posted: 14 Sep 2017
Federico Nucera, Andre Lucas, Julia Schaumburg, Julia Schaumburg and Bernd Schwaab
Bank of Italy, Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 75 (583,895)
Citation 8

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negative interest rates, bank business model, systemic risk, unconventional monetary policy measures

Do Information Contagion and Business Model Similarities Explain Bank Credit Risk Commonalities?

ESRB: Working Paper Series No. 2019/94
Number of pages: 42 Posted: 05 Nov 2020
Dieter Wang, Iman van Lelyveld, Julia Schaumburg and Julia Schaumburg
World Bank, De Nederlandsche Bank and VU University AmsterdamTinbergen Institute
Downloads 73 (593,196)

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bank business model similarities, credit spread puzzle, dynamic network effects model., information contagion, portfolio overlap measure

Do Information Contagion and Business Model Similarities Explain Bank Credit Risk Commonalities?

De Nederlandsche Bank Working Paper No. 619
Number of pages: 42 Posted: 24 Dec 2018
Dieter Wang, Iman van Lelyveld, Julia Schaumburg and Julia Schaumburg
World Bank, De Nederlandsche Bank and VU University AmsterdamTinbergen Institute
Downloads 69 (612,561)
Citation 2

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Information contagion, credit spread puzzle, bank business model similarities, portfolio overlap measure, dynamic network effects model

Do Information Contagion and Business Model Similarities Explain Bank Credit Risk Commonalities?

Tinbergen Institute Discussion Paper 2018-100/IV
Number of pages: 36 Posted: 02 Jan 2019
Dieter Wang, Iman van Lelyveld, Julia Schaumburg and Julia Schaumburg
World Bank, De Nederlandsche Bank and VU University AmsterdamTinbergen Institute
Downloads 41 (784,121)

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Information contagion, credit spread puzzle, bank business model similarities, portfolio overlap measure, dynamic network effects model

5.

Forecasting Systemic Impact in Financial Networks

Number of pages: 28 Posted: 26 Aug 2013
Nikolaus Hautsch, Julia Schaumburg, Julia Schaumburg and Melanie Schienle
University of Vienna - Department of Statistics and Operations Research, VU University AmsterdamTinbergen Institute and Humboldt University of Berlin - School of Business and Economics
Downloads 119 (425,559)
Citation 4

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forecasting systemic risk contributions, time-varying systemic risk network, model selection with regularization in quantiles

6.

Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models

Tinbergen Institute Discussion Paper 14-107/III
Number of pages: 48 Posted: 15 Aug 2014 Last Revised: 18 Aug 2014
Francisco Blasques, Francisco Blasques, Siem Jan Koopman, Andre Lucas, Julia Schaumburg and Julia Schaumburg
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and VU University AmsterdamTinbergen Institute
Downloads 117 (431,076)
Citation 15

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Spatial correlation, time-varying parameters, systemic risk, European debt crisis, generalized autoregressive score

7.

Bank Business Models at Zero Interest Rates

ECB Working Paper No. 2084
Number of pages: 70 Posted: 04 Jul 2017
Andre Lucas, Julia Schaumburg, Julia Schaumburg and Bernd Schwaab
Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 107 (460,440)

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Bank Business Models; Clustering; Finite Mixture Model; Score-Driven Model; Low Interest Rate

8.

Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels

Tinbergen Institute Discussion Paper 2021-008/III
Number of pages: 36 Posted: 18 Feb 2021
Siem Jan Koopman, Julia Schaumburg, Julia Schaumburg and Quint Wiersma
Vrije Universiteit Amsterdam - School of Business and Economics, VU University AmsterdamTinbergen Institute and VU University Amsterdam
Downloads 95 (499,431)

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high-dimensional factor model, Lasso, spatial error model, yield curve

9.

Networking the Yield Curve: Implications for Monetary Policy

ECB Working Paper No. 2021/2532
Number of pages: 37 Posted: 19 Mar 2021
Tatjana Dalhaus, Julia Schaumburg, Julia Schaumburg and Tatevik Sekhposyan
Government of Canada - Bank of Canada, VU University AmsterdamTinbergen Institute and Texas A&M University - Department of Economics
Downloads 77 (567,586)

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10.

Bank Business Models at Zero Interest Rates

Tinbergen Institute Discussion Paper 16-066/IV
Number of pages: 56 Posted: 30 Aug 2016
Andre Lucas, Julia Schaumburg, Julia Schaumburg and Bernd Schwaab
Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 76 (571,961)
Citation 21

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bank business models, clustering, finite mixture model, score-driven model, low interest rates

11.

Clustering Dynamics and Persistence for Financial Multivariate Panel Data

Tinbergen Institute Discussion Paper 2021-040/III
Number of pages: 35 Posted: 11 May 2021
Igor Custodio João, Andre Lucas, Julia Schaumburg and Julia Schaumburg
VU University Amsterdam, Vrije Universiteit Amsterdam and VU University AmsterdamTinbergen Institute
Downloads 62 (637,572)

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dynamic clustering, shrinkage, cluster membership persistence, Silhouette index, insurance

12.

Dynamic Nonparametric Clustering of Multivariate Panel Data

ECB Working Paper No. 2023/2780
Number of pages: 59 Posted: 14 Feb 2023
Igor Custodio João, Andre Lucas, Bernd Schwaab, Julia Schaumburg and Julia Schaumburg
VU University Amsterdam, Vrije Universiteit Amsterdam, European Central Bank (ECB) - Directorate General Research and VU University AmsterdamTinbergen Institute
Downloads 60 (647,973)

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cluster membership persistence, dynamic clustering, insurance industry, shrinkage, sil-houette index

13.

Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors

Tinbergen Institute Discussion Paper 2021-056/III
Number of pages: 30 Posted: 08 Jul 2021
Paolo Gorgi, Paolo Gorgi, Siem Jan Koopman, Julia Schaumburg and Julia Schaumburg
VU University Amsterdam - Faculty of Economics and Business AdministrationUniversity of Padua, Vrije Universiteit Amsterdam - School of Business and Economics and VU University AmsterdamTinbergen Institute
Downloads 60 (647,973)

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time-varying parametersvector autoregressive model, dynamic factor model, Kalman filter, generalized autoregressive conditional heteroskedasticity, orthogonal impulse response function

14.

Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe

Tinbergen Institute Discussion Paper 2020-008/III
Number of pages: 26 Posted: 05 Mar 2020
Hannes Böhm, Julia Schaumburg, Julia Schaumburg and Lena Tonzer
affiliation not provided to SSRN, VU University AmsterdamTinbergen Institute and Halle Institute for Economic Research
Downloads 58 (658,660)

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Financial Integration, Business Cycle Synchronization, Industry Dynamics, Spatial Model

15.

Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

Tinbergen Institute Discussion Paper 16-067/IV
Number of pages: 7 Posted: 31 Aug 2016
Andre Lucas, Anne Opschoor, Julia Schaumburg and Julia Schaumburg
Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam and VU University AmsterdamTinbergen Institute
Downloads 49 (711,164)
Citation 4

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generalized autoregressive score models, missing completely at random, Expectation-Maximization