Photo of Filip Zikes

Filip Zikes

Education

  • Ph.D., Financial Econometrics, Imperial College London, 2011
  • M.Sc., Finance and Econometrics, Queen Mary University of London, 2006
  • M.A., Economics, Charles University in Prague, 2003
Current Research Topics
  • Market liquidity, OTC markets, interconnectedness
  • Senior Economist

    Board of Governors of the Federal Reserve System

    2016 - present
  • Economist

    Board of Governors of the Federal Reserve System

    2015 - 2016
  • Senior Economist

    Bank of England

    2014 - 2015
  • Economist

    Bank of England

    2011 - 2013
  • Morrison, Alan, Michalis Vasios, Mungo Wilson, and Filip Zikes (2017). "Identifying Contagion in a Banking Network," Staff Working Paper No. 642. Bank of England.
  • Zikes, Filip, Jozef Baruník, and Nikhil Shenai (forthcoming). "Modeling and Forecasting Persistent Financial Durations," Econometric Reviews.
  • Ali, Robleh, Nick Vause, and Filip Zikes (2016). "Systemic Risk in Derivatives Markets: A Pilot Study Using CDS Data," Financial Stability Paper 38. Bank of England.
  • Benos, Evangelos, and Filip Zikes (2016). "Liquidity Determinants in the UK Gilt Market" Staff Working Paper No. 600. Bank of England.
  • Giraitis, Liudas, George Kapetanios, Anne Wetherilt, and Filip Zikes (2016). "Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market," Journal of Applied Econometrics, vol. 31, no. 1, pp. 58-84.
  • Zikes, Filip, and Jozef Barunik (2016). "Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility," Journal of Financial Econometrics, vol. 14, no. 1, pp. 185-226.
  • Benos, Evangelos, James Brugler, Erik Hjalmarsson and Filip Zikes (2015). "Interactions Among High-frequency Traders," Working Paper 523. Bank of England.
  • Abadir, Karim M., Walter Distaso, and Filip Zikes (2014). "Design-Free Estimation of Variance Matrices," Journal of Econometrics, vol. 181, no. 2, pp. 165-180.
  • Jurgilas, Marius, and Filip Zikes (2014). "Implicit Intraday Interest Rate in the UK Unsecured Overnight Money Market," Journal of Financial Intermediation, vol. 23, no. 2, pp. 232-254.
  • Benos, Evangelos, Anne Wetherilt, and Filip Zikes (2013). "The Structure and Dynamics of the UK Credit Default Swap Market," Financial Stability Paper 25. Bank of England.
  • Sidanius, Che and Filip Zikes (2012). "OTC Derivatives Reform and Collateral Demand Impact," Financial Stability Paper 18. Bank of England.
  • Bubak, Vit, Evzen Kocenda, and Filip Zikes (2011). "Volatility Transmission in Emerging European Foreign Exchange Markets," Journal of Banking and Finance, vol. 35, no. 11, pp. 2829-2841.
  • 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

Referee
  • Journal of Business and Economic Statistics
  • Journal of Econometrics
  • Journal of Applied Econometrics
  • Econometric Reviews
  • Journal of Banking and Finance
  • Journal of Empirical Finance
  • Quantitative Finance
  • Czech Journal of Economics and Finance
  • Czech Science Foundation
Last update: May 19, 2017