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
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::874621ad1280579e9157cdc7d4a8a341
https://doi.org/10.1093/jjfinec/nbac038
https://doi.org/10.1093/jjfinec/nbac038
Autor:
Stefano Corradin, Bernd Schwaab
Publikováno v:
European Economic Review. 153:104402
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ff55df76e8f8fcd600d79b98c4603469
https://doi.org/10.1016/j.euroecorev.2023.104402
https://doi.org/10.1016/j.euroecorev.2023.104402
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
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8a13d89687307cfa8649a853259680fd
https://research.vu.nl/en/publications/ab12751d-1c19-4ea6-afd3-5953e919dd87
https://research.vu.nl/en/publications/ab12751d-1c19-4ea6-afd3-5953e919dd87
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
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fb79ecee995dbb7d478b1d3bf6677381
https://doi.org/10.3390/jrfm15110530
https://doi.org/10.3390/jrfm15110530
Autor:
Sulkhan Chavleishvili, Stephan Alexander Fahr, Manfred Kremer, Simone Manganelli, Bernd Schwaab
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::871b0fcc1ec144016a4a8ba247fe438e
https://doi.org/10.2139/ssrn.3850509
https://doi.org/10.2139/ssrn.3850509
Autor:
Sulkhan Chavleishvili, Robert F. Engle, Stephan Alexander Fahr, Manfred Kremer, Simone Manganelli, Bernd Schwaab
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a97e2358f94844e45160966fa0f127e8
https://doi.org/10.2139/ssrn.3859109
https://doi.org/10.2139/ssrn.3859109
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c1ec4f31e59bb6699360cd1f79975c8b
https://doi.org/10.2139/ssrn.3896132
https://doi.org/10.2139/ssrn.3896132
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
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9a911b899b19a5468e1ac88f336bba15
https://doi.org/10.2139/ssrn.3857400
https://doi.org/10.2139/ssrn.3857400
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
Publikováno v:
SSRN Electronic Journal.
A dynamic semi-parametric framework is proposed to study time variation in tail fatness of sovereign bond yield changes during the 2010--2012 euro area sovereign debt crisis measured at a high (15-minute) frequency. The framework builds on the Genera
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2f6dc4ef96ae044572984a6b8ee1a2c6
https://doi.org/10.2139/ssrn.3727897
https://doi.org/10.2139/ssrn.3727897