Cai, J.J., Lin, Y., Schaumburg, J. and Wang, C. (2026). Estimation and inference for the persistence of extremely high temperatures Econometrics Journal.
Julia Schaumburg
University
Vrije Universiteit Amsterdam
E-mail
Research field
Data Science and Econometrics
Interests
Applied Econometrics, Econometrics, Financial Econometrics, Risk Management
Website
Key publications
Gorgi, P., Koopman, S.J. and Schaumburg, J. (2024). Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors Journal of Econometrics, 244(2):1--23.
Custodio João, I., Lucas, A., Schaumburg, J. and Schwaab, B. (2023). Dynamic clustering of multivariate panel data Journal of Econometrics, 237(2, Part B):1--18.
Lucas, A., Schaumburg, J. and Schwaab, B. (2019). Bank Business Models at Zero Interest Rates Journal of Business and Economic Statistics, 37(3):542--555.
Blasques, F., Koopman, S., Lucas, A. and Schaumburg, J. (2016). Spillover dynamics for systemic risk measurement using spatial financial time series models Journal of Econometrics, 195(2):211--223.
Publications
Cai, J.J., Lin, Y., Schaumburg, J. and Wang, C. (2026). Estimation and inference for the persistence of extremely high temperatures Econometrics Journal.
João, I.C., Schaumburg, J., Lucas, A. and Schwaab, B. (2024). Dynamic Nonparametric Clustering of Multivariate Panel Data Journal of Financial Econometrics, 22(2):335--374.
Gorgi, P., Koopman, S.J. and Schaumburg, J. (2024). Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors Journal of Econometrics, 244(2):1--23.
Custodio João, I., Lucas, A., Schaumburg, J. and Schwaab, B. (2023). Dynamic clustering of multivariate panel data Journal of Econometrics, 237(2, Part B):1--18.
Lucas, A., Schaumburg, J. and Schwaab, B. (2019). Bank Business Models at Zero Interest Rates Journal of Business and Economic Statistics, 37(3):542--555.
Nucera, F., Lucas, A., Schaumburg, J. and Schwaab, B. (2017). Do negative interest rates make banks less safe? Economics Letters, 159:112--115.
Lucas, A., Opschoor, A. and Schaumburg, J. (2016). Accounting for Missing Values in Score-Driven Time-Varying Parameter Models Economics Letters, 148:96--98.
Blasques, F., Koopman, S., Lucas, A. and Schaumburg, J. (2016). Spillover dynamics for systemic risk measurement using spatial financial time series models Journal of Econometrics, 195(2):211--223.
Bormann, C., Schaumburg, J. and Schienle, M. (2016). Beyond Dimension two: A Test for Higher-Order Tail Risk Journal of Financial Econometrics, 14(3):442--480.
Hautsch, N., Schaumburg, J. and Schienle, M. (2015). Financial Network Systemic Risk Contributions Review of Finance, 19(2):685--738.
Hautsch, N., Schaumburg, J. and Schienle, M. (2014). Forecasting systemic impact in financial networks International Journal of Forecasting, 30(3):781--794.
Schaumburg, J. (2012). Predicting extreme Value at Risk: Nonparametric quantile regression with refinements from extreme value theory Computational Statistics and Data Analysis, 56(12):4081--4096.