Photo of Filip Zikes

Filip Zikes

Education

  • Ph.D., Financial Econometrics, Imperial College London, 2011
Current Research Topics
  • Market liquidity, OTC markets, interconnectedness
  • Principal Economist

    Board of Governors of the Federal Reserve System

    2017 - present
  • Economist/Senior Economist

    Board of Governors of the Federal Reserve System

    2015 - 2017
  • Economist/Senior Economist

    Bank of England

    2011 - 2015
  • 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 (Forthcoming)
    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 2019

    U.S. Securities and Exchange Commission, Washington, DC

    Banks as regulated traders

  • seminar

    May 2019

    U.S Commodity Futures Trading Commission, Washington, DC

    Banks as regulated traders

  • discussion

    January 2019

    American 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 2018

    Market Microstructure: Confronting Many Viewpoints #5, Paris, France

    When do low-frequency measures really measure transaction costs?

  • conference

    November 2018

    2018 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 2018

    Midwest 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 2017

    U.S. Commodity Futures Trading Commission, Washington, DC

    Identifying contagion in a banking network

  • conference

    September 2017

    17th FDIC-JFSR Fall Bank Research Conference, Arlington, VA

    Identifying contagion in a banking network

  • conference

    July 2017

    IFABS 2017, Oxford, U.K.

    Identifying contagion in a banking network

  • conference

    June 2017

    Western Economic Association International Annual Conference, San Diego, CA

    Identifying contagion in a banking network

  • conference

    October 2016

    26th Annual Meeting of the Midwest Econometrics Group, Urbana-Champaign, IL

    Measuring transaction costs in the absence of time stamps

  • conference

    October 2016

    Systemic Risk in Derivatives Markets, LSE, London, UK

    Identifying contagion in a banking network

  • conference

    September

    International Conference on Financial Cycles, Systemic Risk, Interconnectedness, and Policy Options for Resilience, Sydney, Australia

    Identifying contagion in a banking network

  • discussion

    September

    International 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 2016

    IAAE 2016 Annual Conference, Milan, Italy

    Measuring transaction costs in the absence of time stamps

  • conference

    June 2016

    IRMC 2016, Jerusalem, Israel

    Liquidity determinants in the UK gilt market

  • seminar

    December 2015

    King's College, University of London

    Liquidity and dealer activity in the UK gilt market during the financial crisis

  • conference

    December 2015

    The 9th International Conference on Computational and Financial Econometrics

    Time-varying LASSO

  • conference

    March 2015

    Second International Conference on Sovereign Bond Markets. European Central Bank.

    Liquidity and dealer activity in the UK gilt market during the financial crisis

  • conference

    February 2015

    The Development of Securities Markets. Trends, Risks and Policies. Bocconi University.

    Interactions among high-frequency traders

  • seminar

    January 2015

    University of York, U.K.

    Interactions among high-frequency traders

  • seminar

    Novermber 2014

    Czech Academy of Sciences, Prague, Czech Rep.

    Interactions among high-frequency traders

  • conference

    June 2014

    IAAE 2014 Annual Conference. London, U.K.

    Estimating the dynamics and persistence of financial networks with application to the sterling money market

  • seminar

    March 2014

    University of Liverpool, U.K.

    Estimating the dynamics and persistence of financial networks with application to the sterling money market

  • seminar

    October 2013

    Czech Academy of Sciences, Prague, Czech Rep.

    Model-free estimation of large variance matrices

  • discussion

    June 2013

    8th 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 2013

    Third Pubic Policy Symposium on OTC Derivatives, FRB Chicago.

    Panel 2: Collateral Demands

  • conference

    April 2012

    DNB-Tilburg Financial Infrastructure Research Confrerence. Amsterdam, Netherlands.

    Implicit intraday interest rate in the sterling unsecured money market

  • conference

    September 2011

    Norges Bank Workshop on Financial Intermediation. Oslo, Norway.

    Implicit intraday interest rate in the sterling unsecured money market

  • conference

    December 2010

    CFE-ERCIM. London, UK.

    Model-free estimation of large variance matrices

  • conference

    April 2010

    18th Annual SNDE Symposium. Novara, Italy.

    Modeling and forecasting persistent financial durations

  • conference

    October 2009

    5th London-Oxbridge Time Series Workshop. Trinity College, Cambridge, UK.

    Model-free estimation of large variance matrices

  • conference

    June 2009

    North American Summer Meeting of the Econometric Society. Boston, MA.

    Semiparametric conditional quantile models for financial returns and realized volatility

  • conference

    April 2009

    17th 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
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Last Update: December 1, 2023