J ULIA S CHAUMBURG
Contact
Department of Econometrics and Data Science
School of Business and Economics, Vrije Universiteit Amsterdam
De Boelelaan 1105, 1081 HV Amsterdam, The Netherlands+31 (0)20 59 82653
j.schaumburg@vu.nl
http://juliaschaumburg.com

Current position and affiliations
9/2023–

Vrije Universiteit Amsterdam
Professor of Econometric Methods and Applications
Head of Department Econometrics and Data Science

2/2019–Halle Institute for Economic Research
Research professor

9/2016–

Tinbergen InstituteResearch fellow

Education
10/2008–2/2013

Dr. rer. pol. (Ph.D.) in Economics
Chair of Econometrics, Humboldt-Universität zu Berlin

10/2003–9/2008

Diplom (M.Sc. equivalent) in Economics
Universität Mannheim

8/2007–12/2007

Visiting Student
National University of Singapore

Research interests
Time series and financial econometrics, statistical learning, econometric analysis of high-dimensionaldata, financial stability, macro-financial spillovers, climate econometrics.

Grants and honors
2021–2026

9/20192018–20192016–20188/2011NWO Vidi research grant (800.000 e)
Title: “Statistical learning over time: closing the gap between time-series econometrics and the statistical learning literature”.
Engle Prize (1.500 US-$)Prize from Journal of Financial Econometrics for the paper “Beyond dimension
two: A test for higher-order tail risk”.
ECB Lamfalussy research fellow (10.000 e)
Title: “Networking the Yield Curve”.
NWO Veni research grant (249.000 e)
Title: “The Econometrics of Dynamic Interdependence and the Empirics of Financial Risks, Nonstandard Monetary Policy, and Economic Growth”.
Travel grant awarded by Deutsche Bundesbank (500 e)
Grant to present the paper “Financial Network Systemic Risk Contributions” atthe European Meeting of the Econometric Society in Oslo, 2011.

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Past positions
9/2013–8/2023

Vrije Universiteit Amsterdam
Associate professor of econometrics (7/2018–8/2023)
Assistant professor of econometrics (9/2014–6/2018; tenured since 8/2017)
Postdoctoral researcher (9/2013-8/2014)

10/2012–8/2013

Institute for Empirical Economics, Leibniz University Hannover
Research and teaching assistant

11/2008–9/2012

Chair of Econometrics, Humboldt-Universität zu Berlin
Research and teaching assistant.

Visiting positions
5–10/2023

Part-time external research consultant
World Bank, Washington DC, USA.

4–5/2017

External research consultant
European Central Bank, Financial Research, Frankfurt/Main, Germany.

Research output
Peer-reviewed academic publications
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors,with Paolo Gorgi and Siem Jan Koopman. Journal of Econometrics, 105750, available online.
https://doi.org/10.1016/j.jeconom.2024.105750.
Dynamic nonparametric clustering of multivariate panel data, with Igor Custodio João, Andre Lucas,
and Bernd Schwaab. Journal of Financial Econometrics, 22(2), (2024), pp. 335–374.
Dynamic clustering of multivariate panel data, with Igor Custodio João, André Lucas and BerndSchwaab. Journal of Econometrics, Volume 237 (2023), Issue 2, 105281, pp. 1–18.
Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe, with Hannes Boehm and Lena Tonzer. IMF Economic Review, 70, (2022), pp. 698–734.
Bank business models at zero interest rates with André Lucas and Bernd Schwaab, Journal of Business& Economic Statistics, 37(3) (2019), pp. 542-555.
Do negative interest rates make banks less safe? with André Lucas, Federico Nucera, and Bernd
Schwaab, Economics Letters, 159 (2017), pp. 112-115.
Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models,with Francisco Blasques, Siem Jan Koopman, and André Lucas, Journal of Econometrics, 195 (2016), pp.
211–223.
Beyond dimension two: A test for higher-order tail risk, with Carsten Bormann and Melanie Schienle.
Journal of Financial Econometrics, 14 (2016), pp. 552-580.
Winner of 2019 Engle Prize from the Journal of Financial Econometrics for the best paper by a young author in
2016, 2017 and 2018.
Accounting for Missing Values in Score-Driven Time-Varying Parameter Models, with André Lucasand Anne Opschoor. Economics Letters, 148, (2016), pp. 96–98.
Financial Network Systemic Risk Contributions, with Nikolaus Hautsch and Melanie Schienle. Reviewof Finance 19 (2015), pp. 685–738.
Forecasting systemic impact in financial networks, with Nikolaus Hautsch and Melanie Schienle. International Journal of Forecasting 30 (2014), pp. 781–794.

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Predicting extreme Value at Risk: Nonparametric quantile regression with refinements from extreme
value theory. Computational Statistics & Data Analysis 56 (2012), pp. 4081-4096.
Other publications
Financial Development and Fragility : A Clustering Analysis, joint with Igor Custodio João, Pietro
Calice and Andre Lucas, World Bank Policy Research Working Paper No. 10850, 2024.
Responsibility and climate, published in De Actuaris (June 2024), 31, 5, p. 38-39.
Opinie: Samenwerken met Shell past universiteiten nu echt niet meer, joint with Petra Verdonk, Hans
Ossebaard and Remco Kort, published in Trouw on October 1, 2022.
Working papers
Fire-sale channels, portfolio overlap networks and the credit spread puzzle, with Dieter Wang (WorldBank) and Iman van Lelyveld (VU and DNB). DNB Working Paper No. 619. TI Discussion Paper No.
18-100/IV.
Bootstrapping GARCH Models Under Dependent Innovations, with Eric Beutner and Barend Spanjers. TI Discussion Paper No. 2024-008/III.
Networking the Yield Curve: Implications for monetary policy, with Tatjana Dahlhaus (Bank of Canada) and Tatevik Sekhposyan (Texas A&M University). ECB Working paper No. 2532.
Winner of a 2018 ECB Lamfalussy Fellowship.
Regularized estimation of heterogeneous panel data models with dynamic factors and local crosssectional dependence, with Quint Wiersma and Siem Jan Koopman. TI Discussion Paper No. 21-008/III.
Asset pricing with dynamic peer networks, with Dieter Wang (World Bank). TI Discussion Paper No.
20-023/III.
Ongoing work
Multi-period Forecasting of Macro variables at Risk using Parsimonious Neural Networks, joint withLukas Hoesch and Sicco Kooiker.
Climate change and weather persistence, joint with Barend Spanjers, Eric Beutner, and Dim Coumou.
Grouping panels of extremes, joint with Chenhui Wang, Juan Juan Cai, and Yicong Lin.
Self-driving neural networks for yield curve modelling, joint with Marcin Zamojski.
Predicting volatility using optimal combinations of realized measures, joint with Paolo Gorgi andRolf Steenmetser.

Ph.D. supervision
Completed
Dieter Wang (graduation: 2021), joint supervision with I. van Lelyveld.
Dissertation title: Empirical Studies on Financial Stability and Natural Capital.
First placement: World Bank.
Quint Wiersma (graduation: 2024), joint supervision with S.J. Koopman.
Dissertation title: Dynamic Models for Multi-Dimensional Time SeriesFirst placement: VU Amsterdam.
Ongoing
Igor Custodio João (since 2020), joint supervision with A. Lucas.
Barend Spanjers (since 2022), joint supervision with E. Beutner.
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Sicco Kooiker (since 2023), joint supervision with L. Hoesch.
Chenhui Wang (since 2023), joint supervision with J. Cai.
Committee member
Constanza Martinez (Tilburg University, graduation: 2024).

Teaching
Lectures and seminars”Fair, Transparent and Interpretable Machine Learning” (VU, course coordinator, 2024)”Artificial Intelligence: Data Mining & Machine Learning” (VU, lecturer, 2024)”Data Science for Executives” (VU, lecturer, since 2022)”Data Science” MBA in International Business (VU, lecturer, 2022–2023)”Econometrics III” (VU, course coordinator, 2017–2023)”Introductory Econometrics for Business and Economics” (VU, course coordinator, 2019–2020)”Introduction to Econometrics” (VU, course coordinator, 2016–2018)”Econometrics II” (VU, lecturer, 2015–2016)”Applied Quantitative Economics” (VU, course coordinator, 2015–2016)”Topics in Microeconometric Theory and Applications” (LU Hannover, seminar instructor, 2013)“Empirische Wirtschaftsforschung” (Empirical Economics) (LU Hannover, lecturer, 2013)“Econometric Methods” (HU Berlin, exercise sessions, 2009–2012)“Einführung in die Ökonometrie” (Introduction to Econometrics) (HU Berlin, exercise sessions, 2009–2012)
ThesesSupervision of numerous BSc and MSc theses in Econometrics & Operations Research, as well as MPhil
theses at Tinbergen Institute (since 2013).
Teaching qualifications
Seniorkwalificatie onderwijs (Senior teaching qualification), 2022.
Basiskwalificatie onderwijs (Basic teaching qualification), 2017.

Organization, faculty service
Head of Department Econometrics and Data Science, School of Business and Economics (since 2023).
Member of program committee Econometrics and Operations Research (2016–2018; 2021–2023).
Program coordinator B.Sc. and M.Sc. Econometrics and Operations Research (2018–2021).
Coordinator of faculty minor “Applied Econometrics: A Big Data Experience for All” (2016–2021).
Acting program director B.Sc. and M.Sc. Econometrics and Operations Research (12/2018–9/2019).

Academic Activities
Associate editor: International Journal of Forecasting (since 2023), Oxford Open Economics (since 2021).
Memberships: Standing fields committee of econometrics (“Ausschuss für Ökonometrie”) in the German Economic Association (elected member), Society for Financial Econometrics, Econometric Society,4CV | J. Schaumburg

German Economic Association, International Association for Applied Econometrics.
Program committee: Econometric Society Summer Meeting 2024, Econometric Society European Winter Meeting 2021, 2022; Society for Financial Econometrics (SoFiE) Annual Conference 2017, 2018, 2019,2020, 2021, 2022, 2023, 2024.
Session organizer: Computational and Financial Econometrics conference 2020, 2024; 15th Workshop
on Stochastic Models, Statistics and Their Applications, Delft, 2024.
Referee service for Advances in Statistical Analysis, Computational Statistics & Data Analysis, Economics Letters, Empirical Economics, European Journal of Finance, Extremes, International Journal ofCentral Banking, International Journal of Forecasting, International Journal of Information Technology& Decision Making, Journal of the American Statistical Association, Journal of Applied Econometrics,Journal of Banking & Finance, Journal of Business & Economic Statistics, Journal of Commodity Markets,Journal of Econometrics, Journal of Economic Dynamics and Control, Journal of Financial Econometrics,
Journal of Financial Stability, Journal of International Money and Finance, Journal of Multivariate Analysis, Management Science, Quantitative Finance, Regional Science and Urban Economics, Review ofFinancial Studies, Risk Journals, Scandinavian Journal of Economics, Statistical Papers.

Seminar and conference presentations∗ scheduled

2025

Rome Tor Vergata University∗ .

2024

ICSDS conference, Nice (invited)∗ ; Econometric Institute Rotterdam∗ ; De NederlandscheBank∗ ; Quantitative Finance and Financial Econometrics Workshop, Marseille (invited); 15thWorkshop on Stochastic Models, Statistics and Their Applications, Delft (session organizerand invited speaker); Maastricht University; Cologne University.

2023

DSSV-ECDA 2023, Antwerp (invited); ECB Forecasting Conference (invited discussion andposter); Workshop on Financial Econometrics, Machine Learning, and Big Data, Universitat Pompeu Fabra Barcelona (invited); Tilburg University; Econometrics committee annualmeeting, Schloss Hasenwinkel (invited); CREST, Paris.

2022

Virtual Israel Macro Meeting; Tinbergen Econometrics Workshop, Rotterdam (invited); Universität Duisburg-Essen; NBER-NSF Time Series Conference, Boston; Statistische Woche,Münster (invited), ESEM Milano.

2021

Conference in Honor of Fabio Canova, Hydra, Greece; Armenian Economics Association Annual Meeting; IBRN Meeting: Low Interest Rates and International Banking (invited discussion); 13th Annual SoFiE Conference, San Diego; Konstanz University.

2020

Technical University Dortmund, Mathematical Statistics Seminar, Weierstrass Institute Berlin; Standing fields committee of econometrics in the German Economic Association, Schloss
Rauischholzhausen (invited).

2019

CFE London (invited); Heidelberg University; George Washington University, D.C.; Bayreuth
University; German Economic Association Annual Conference, Leipzig (invited); ESEMManchester; IAAE Annual Conference, Nicosia; Workshop on Bank Business Models, CassBusiness School London (invited discussion).

2018

University of Gothenburg; Conference on “Financial Cycles and Regulation”, Deutsche Bundesbank, Frankfurt (invited discussion); TI Dutch Network Economics Day, Amsterdam;
Workshop Applied Time Series Econometrics, Federal Reserve St. Louis (invited); IAAE Annual Conference, Montreal; 11th Annual SoFiE Conference, Lugano.

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2017

University of Rotterdam; University of Exeter; ECB Workshop Money markets, monetary
policy implementation and central bank balance sheets, Frankfurt (invited discussion), HeiKaMEtrics Conference on Financial Econometrics, Heidelberg; ESEM Lisbon; IAAE Annual Conference, Sapporo; EABCN-PWC-EUI Conference: Time-varying models for monetary
policy and financial stability, Florence; Society for Nonlinear Dynamics and Econometrics
Annual Symposium, Paris; RMSE Meeting, Rotterdam; Risk and Macro Finance Research
Seminar, University of Amsterdam.

2016

13th Christmas Meeting of German Economists Abroad, DIW Berlin; De NederlandscheBank, Amsterdam; 7th Bundesbank-CFS-ECB Workshop on Macro and Finance, Frankfurt;
RiskLab/BoF/ESRB Conference on Systemic Risk Analytics, Helsinki; Karlsruhe Institute ofTechnology; Workshop Forecasting and Financial Markets, Rotterdam (invited discussion);
University of Groningen; Tinbergen Institute, Amsterdam.

2015

RMSE Meeting, Cologne; Banque de France Conference on Endogenous Financial Networksand Equilibrium Dynamics, Paris (invited discussion); SYRTO Conference on Systemic Risk,Amsterdam (invited discussion); Halle Institute for Economic Research; ETH Zurich RiskCenter.

2014

German Economic Association Annual Conference, Hamburg; ESEM, Toulouse; IAAE Annual Conference, London; 7th Annual SoFiE Conference, Toronto; Workshop on Dynamic
Models driven by the Score of Predictive Likelihoods, La Laguna.

2013

Computational and Financial Econometrics Conference (CFE), London; 2nd Workshop in
Applied Economics, NIW Hannover; Vrije Universiteit Amsterdam; Leibniz Universität
Hannover.

2012

Computational and Financial Econometrics Conference (CFE), Oviedo; Workshop “Methodsand Challenges in Financial Risk Measurement”, Kloster Drübeck; Deutsche Bundesbank,Frankfurt/Main; Campus for Finance Research Conference, Vallendar.

2011

Econometric Society European Meeting (ESEM), Oslo; CRC 649 Conference, Motzen; 2ndHumboldt-Copenhagen Conference in Financial Econometrics, Copenhagen.

2010

International Symposion on Econometric Theory and Applications (SETA), Singapore; Netherlands Econometric Study Group Conference, Leuven.

2009

Spring Meeting of Young Economists, Istanbul.

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