Zobrazeno 1 - 10
of 45
pro vyhledávání: '"Bernd Schwaab"'
Publikováno v:
Journal of Financial Econometrics. Oxford University Press
João, I C, Schaumburg, J, Lucas, A & Schwaab, B 2022, ' Dynamic Nonparametric Clustering of Multivariate Panel Data ', Journal of Financial Econometrics . https://doi.org/10.1093/jjfinec/nbac038
João, I C, Schaumburg, J, Lucas, A & Schwaab, B 2022, ' Dynamic Nonparametric Clustering of Multivariate Panel Data ', Journal of Financial Econometrics . https://doi.org/10.1093/jjfinec/nbac038
We introduce a new dynamic clustering method for multivariate panel data characterized by time-variation in cluster locations and shapes, cluster compositions, and possibly the number of clusters. To avoid overly frequent cluster switching (flickerin
Autor:
Stefano Corradin, Bernd Schwaab
Publikováno v:
European Economic Review. 153:104402
Publikováno v:
Caballero, D, Lucas, A, Schwaab, B & Zhang, X 2020, ' Risk endogeneity at the lender/investor-of-last-resort ', Journal of Monetary Economics, vol. 116, pp. 283-297 . https://doi.org/10.1016/j.jmoneco.2019.11.003
Journal of Monetary Economics, 116, 283-297. Elsevier
Journal of Monetary Economics, 116, 283-297. Elsevier
To what extent can a central bank influence its own balance sheet credit risks during a financial crisis through unconventional monetary policy operations? To study this question we develop a risk measurement framework to infer the time-variation in
Publikováno v:
Journal of Risk and Financial Management; Volume 15; Issue 11; Pages: 530
A safe asset is of high credit quality, retains its value in difficult times, and is traded in liquid markets. We show that bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over G
Autor:
Bernd Schwaab, Johannes Breckenfelder
Publikováno v:
Journal of Empirical Finance. 49:247-262
We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European Central Bank’s release of stress test results for 130 significant banks on October 26, 2014. We document that following this inform
Autor:
Sulkhan Chavleishvili, Stephan Alexander Fahr, Manfred Kremer, Simone Manganelli, Bernd Schwaab
Publikováno v:
SSRN Electronic Journal.
Autor:
Sulkhan Chavleishvili, Robert F. Engle, Stephan Alexander Fahr, Manfred Kremer, Simone Manganelli, Bernd Schwaab
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk-free rates and a term premium, ii) default risk premium, iii) redenomination risk premium, iv) liquidity risk premium, and a v) segmentatio
Publikováno v:
Lucas, A, Schaumburg, J & Schwaab, B 2020 ' Dynamic clustering of multivariate panel data ' III edn, Tinbergen Institute . < https://papers.tinbergen.nl/20009.pdf >
Vrije Universiteit Amsterdam
Vrije Universiteit Amsterdam
We propose a dynamic clustering model for studying time-varying group structures in multivariate panel data. The model is dynamic in three ways: First, the cluster means and covariance matrices are time-varying to track gradual changes in cluster cha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::de0edc5ee2eb74b33de006109935e06a
https://research.vu.nl/en/publications/b300fb6d-8972-4c40-aa86-e8d8880da2ec
https://research.vu.nl/en/publications/b300fb6d-8972-4c40-aa86-e8d8880da2ec