Rafael Schmidt

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A semi-parametric approach to risk management Quantitative Finance	2019-01-14	Paper
Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence Metrika	2015-10-14	Paper
Measuring large comovements in financial markets Quantitative Finance	2014-01-24	Paper
Modelling dynamic portfolio risk using risk drivers of elliptical processes Insurance Mathematics & Economics	2009-05-12	Paper
Multivariate distribution models with generalized hyperbolic margins Computational Statistics and Data Analysis	2008-12-11	Paper
Multivariate conditional versions of Spearman's rho and related measures of tail dependence Journal of Multivariate Analysis	2007-07-19	Paper
Multivariate extensions of Spearman's rho and related statistics Statistics & Probability Letters	2007-04-19	Paper
Non-parametric Estimation of Tail Dependence Scandinavian Journal of Statistics	2006-12-08	Paper
Interplay between distributional and temporal dependence. An empirical study with high-frequency asset returns	2006-10-23	Paper
Estimating the tail-dependence coefficient: properties and pitfalls Insurance Mathematics & Economics	2005-09-29	Paper
Tail dependence for elliptically contoured distributions Mathematical Methods of Operations Research	2003-07-16	Paper

Research outcomes over time

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