Meet the Researchers
Filip Zikes
[email protected]
Education
- Ph.D., Financial Econometrics, Imperial College London, 2011
- Market liquidity, OTC markets, interconnectedness
Principal Economist
Board of Governors of the Federal Reserve System
2017 - presentEconomist/Senior Economist
Board of Governors of the Federal Reserve System
2015 - 2017Economist/Senior Economist
Bank of England
2011 - 2015
- Banks as Regulated Traders
Antonio Falato, Diana Iercosan, and Filip Zikes
Journal of Financial Economics (Forthcoming)
See also » FRB Working Paper (2021) - What Makes HFTs Tick? Tick Size Changes and Information Advantage in a Market with Fast and Slow Traders
Alain Chaboud, Avery Dao, Clara Vega, and Filip Zikes
Management Science (Forthcoming)
https://doi.org/10.1287/mnsc.2022.02935 - When Do Low-Frequency Measures Really Measure Effective Spreads? Evidence from Equity and Foreign Exchange Markets
Mohammad R Jahan-Parvar and Filip Zikes
Review of Financial Studies (2023)
https://doi.org/10.1093/rfs/hhad028 - Liquidity Provision and Co-insurance in Bank Syndicates
Kevin F. Kiernan, Vladimir Yankov, and Filip Zikes
Finance and Economics Discussion Series (2021)
https://doi.org/10.17016/FEDS.2021.060 - The Evolution of Price Discovery in an Electronic Market
Alain Chaboud, Erik Hjalmarsson, and Filip Zikes
Journal of Banking & Finance (2021)
https://doi.org/10.1016/j.jbankfin.2021.106171
See also » FRB Working Paper (2020) - Banks as Regulated Traders
Antonio Falato, Diana Iercosan, and Filip Zikes
Finance and Economics Discussion Series (2021)
https://doi.org/10.17016/FEDS.2019.005r1 - Household and Business Debt: A Fire-Sale Risk Analysis
Fang Cai, Gene Kang, Gazi I. Kara, Nathan Swem, and Filip Zikes
FEDS Notes (2021)
https://doi.org/10.17016/2380-7172.2625 - When do low-frequency measures really measure transaction costs?
Mohammad R. Jahan-Parvar and Filip Zikes
Finance and Economics Discussion Series (2019)
https://doi.org/10.17016/FEDS.2019.051 - Time-Varying Lasso
George Kapetanios and Filip Zikes
Economics Letters (2018)
https://doi.org/10.1016/j.econlet.2018.04.029 - Funding Constraints and Liquidity in Two-Tiered OTC Markets
Evangelos Benos and Filip Žikeš
Journal of Financial Markets (2018)
https://doi.org/10.1016/j.finmar.2018.01.002 - Identifying Contagion in a Banking Network
Alan Morrison, Michalis Vasios, Mungo Wilson, and Filip Zikes
Finance and Economics Discussion Series (2017)
https://doi.org/10.17016/FEDS.2017.082 - Interactions Among High-Frequency Traders
Evangelos Benos, James Brugler, Erik Hjalmarsson, and Filip Zikes
Journal of Financial and Quantitative Analysis (2017)
https://doi.org/10.1017/S0022109017000485 - Measuring Transaction Costs in the Absence of Timestamps
Filip Zikes
Finance and Economics Discussion Series (2017)
https://doi.org/10.17016/FEDS.2017.045 - Modeling and Forecasting Persistent Financial Durations
Filip Zikes, Jozef Baruník, and Nikhil Shenai
Econometric Reviews (2017)
https://doi.org/10.1080/07474938.2014.977057 - Systemic Risk in Derivatives Markets: A Pilot Study Using CDS Data
Robleh Ali, Nick Vause, and Filip Zikes
Financial Stability Paper (2016) - Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market
Liudas Giraitis, George Kapetanios, Anne Wetherilt, and Filip Zikes
Journal of Applied Econometrics (2016)
https://doi.org/10.1002/jae.2457 - Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility
Filip Zikes and Jozef Barunik
Journal of Financial Econometrics (2016)
https://doi.org/10.1093/jjfinec/nbu029 - Design-Free Estimation of Variance Matrices
Karim M. Abadir, Walter Distaso, and Filip Zikes
Journal of Econometrics (2014)
https://doi.org/10.1016/j.jeconom.2014.03.010 - Implicit Intraday Interest Rate in the UK Unsecured Overnight Money Market
Marius Jurgilas and Filip Zikes
Journal of Financial Intermediation (2014)
https://doi.org/10.1016/j.jfi.2013.11.002 - The Structure and Dynamics of the UK Credit Default Swap Market
Evangelos Benos, Anne Wetherilt, and Filip Zikes
Financial Stability Paper (2013) - OTC Derivatives Reform and Collateral Demand Impact
Che Sidanius and Filip Zikes
Financial Stability Paper (2012) - Volatility Transmission in Emerging European Foreign Exchange Markets
Vit Bubak, Evžen Kočenda, and Filip Zikes
Journal of Banking & Finance (2011)
https://doi.org/10.1016/j.jbankfin.2011.03.012
seminar
July 2019U.S. Securities and Exchange Commission, Washington, DC
Banks as regulated traders
seminar
May 2019U.S Commodity Futures Trading Commission, Washington, DC
Banks as regulated traders
discussion
January 2019American Economic Association Meetings, Atlanta, GA
Discussion of "The Impact of QE on Liquidity: Evidence from the UK Corporate Bond Purchase Scheme" by L. Boneva et al.
conference
December 2018Market Microstructure: Confronting Many Viewpoints #5, Paris, France
When do low-frequency measures really measure transaction costs?
conference
November 20182018 Annual Central Bank Conference on the Microstructure of Financial Markets, Hong Kong
The changing nature of price discovery: Evidence from the FX market 2008-2015
discussion
February 2018Midwest Finance Association Meetings, San Antonio, TX
Discussion of "Price Dissemination and Uninformed Trading: Does Technology Mitigate Investor Bias?" by B. Bliss, M. Warachka, and M. Weidenm
seminar
October 2017U.S. Commodity Futures Trading Commission, Washington, DC
Identifying contagion in a banking network
conference
September 201717th FDIC-JFSR Fall Bank Research Conference, Arlington, VA
Identifying contagion in a banking network
conference
July 2017IFABS 2017, Oxford, U.K.
Identifying contagion in a banking network
conference
June 2017Western Economic Association International Annual Conference, San Diego, CA
Identifying contagion in a banking network
conference
October 201626th Annual Meeting of the Midwest Econometrics Group, Urbana-Champaign, IL
Measuring transaction costs in the absence of time stamps
conference
October 2016Systemic Risk in Derivatives Markets, LSE, London, UK
Identifying contagion in a banking network
conference
SeptemberInternational Conference on Financial Cycles, Systemic Risk, Interconnectedness, and Policy Options for Resilience, Sydney, Australia
Identifying contagion in a banking network
discussion
SeptemberInternational Conference on Financial Cycles, Systemic Risk, Interconnectedness, and Policy Options for Resilience, Sydney, Australia
Discussion of "The Changing International Network of Sovereign Debt and Financial Institutions" by M. Dungey, J. Harvey and V. Volkov
conference
June 2016IAAE 2016 Annual Conference, Milan, Italy
Measuring transaction costs in the absence of time stamps
conference
June 2016IRMC 2016, Jerusalem, Israel
Liquidity determinants in the UK gilt market
seminar
December 2015King's College, University of London
Liquidity and dealer activity in the UK gilt market during the financial crisis
conference
December 2015The 9th International Conference on Computational and Financial Econometrics
Time-varying LASSO
conference
March 2015Second International Conference on Sovereign Bond Markets. European Central Bank.
Liquidity and dealer activity in the UK gilt market during the financial crisis
conference
February 2015The Development of Securities Markets. Trends, Risks and Policies. Bocconi University.
Interactions among high-frequency traders
seminar
January 2015University of York, U.K.
Interactions among high-frequency traders
seminar
Novermber 2014Czech Academy of Sciences, Prague, Czech Rep.
Interactions among high-frequency traders
conference
June 2014IAAE 2014 Annual Conference. London, U.K.
Estimating the dynamics and persistence of financial networks with application to the sterling money market
seminar
March 2014University of Liverpool, U.K.
Estimating the dynamics and persistence of financial networks with application to the sterling money market
seminar
October 2013Czech Academy of Sciences, Prague, Czech Rep.
Model-free estimation of large variance matrices
discussion
June 20138th Financial Intermediation Research Society Conference. Dubrovnik, Croatia.
Discussion of "Crash Sensitivity and the Cross Section of Expected Stock Returns" by S. Ruenzi and F. Weigert
discussion
April 2013Third Pubic Policy Symposium on OTC Derivatives, FRB Chicago.
Panel 2: Collateral Demands
conference
April 2012DNB-Tilburg Financial Infrastructure Research Confrerence. Amsterdam, Netherlands.
Implicit intraday interest rate in the sterling unsecured money market
conference
September 2011Norges Bank Workshop on Financial Intermediation. Oslo, Norway.
Implicit intraday interest rate in the sterling unsecured money market
conference
December 2010CFE-ERCIM. London, UK.
Model-free estimation of large variance matrices
conference
April 201018th Annual SNDE Symposium. Novara, Italy.
Modeling and forecasting persistent financial durations
conference
October 20095th London-Oxbridge Time Series Workshop. Trinity College, Cambridge, UK.
Model-free estimation of large variance matrices
conference
June 2009North American Summer Meeting of the Econometric Society. Boston, MA.
Semiparametric conditional quantile models for financial returns and realized volatility
conference
April 200917th Annual SNDE Symposium. Atlanta, GA.
Semiparametric conditional quantile models for financial returns and realized volatility
Conference Organization
October 13, 2014 | Bank of England, London, UK
Systemic Risk and Macro-Prudential Regulation: Perspectives from Network Analysis
Local organizer
March 7-8, 2019 | Federal Reserve Board, Washington, D.C.
Federal Reserve Conference on the Interconnectedness of Financial Systems
Local organizer
December 2-3, 2021 | Federal Reserve Board, Washington, D.C.
Second Federal Reserve Conference on the Interconnectedness of Financial
Local organizer
October 19-20, 2023 | Federal Reserve Board, Washington, D.C.
18th Central Bank Conference on the Microstructure of Financial Markets
Local organizer, program committee
Referee
- Journal of Econometrics
- Journal of Business and Economic Statistics
- Journal of Applied Econometrics
- Econometric Reviews
- Management Science
- Journal of the European Economic Association
- Review of Financial Studies
- Journal of Financial Intermediation
- Journal of Financial Markets
- Journal of Banking and Finance
- Journal of Empirical Finance
- Quantitative Finance
- Czech Journal of Economics and Finance
- Czech Science Foundation