Details about Rafael Schmidt

Access statistics for papers by Rafael Schmidt.

Last updated 2022-03-24. Update your information in the RePEc Author Service.

Short-id: psc913

Working Papers

2020

1. Computing platforms for big data analytics and artificial intelligence
   IFC Reports, Bank for International Settlements

2009

2. Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach
   Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

2007

3. Modelling dynamic portfolio risk using risk drivers of elliptical processes
   Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (2)
   See also Journal Article Modelling dynamic portfolio risk using risk drivers of elliptical processes, Insurance: Mathematics and Economics, Elsevier (2009) View citations (2) (2009)

Journal Articles

2012

1. Measuring large comovements in financial markets
   Quantitative Finance, 2012, 12, (7), 1037-1049 View citations (1)

2010

2. Scaling of Lévy–Student processes
   Physica A: Statistical Mechanics and its Applications, 2010, 389, (7), 1455-1463 View citations (5)

2009

3. Modelling dynamic portfolio risk using risk drivers of elliptical processes
   Insurance: Mathematics and Economics, 2009, 44, (2), 229-244 View citations (2)
   See also Working Paper Modelling dynamic portfolio risk using risk drivers of elliptical processes, Discussion Paper Series 2: Banking and Financial Studies (2007) View citations (2) (2007)

2008

4. Forecasting German mortality using panel data procedures
   Journal of Population Economics, 2008, 21, (3), 541-555 View citations (8)

2007

5. Multivariate conditional versions of Spearman's rho and related measures of tail dependence
   Journal of Multivariate Analysis, 2007, 98, (6), 1123-1140 View citations (30)
6. Multivariate extensions of Spearman's rho and related statistics
   Statistics & Probability Letters, 2007, 77, (4), 407-416 View citations (39)
7. Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence
   Metrika: International Journal for Theoretical and Applied Statistics, 2007, 66, (3), 323-354 View citations (19)

2006

8. Multivariate distribution models with generalized hyperbolic margins
   Computational Statistics & Data Analysis, 2006, 50, (8), 2065-2096 View citations (20)
9. Non‐parametric Estimation of Tail Dependence
   Scandinavian Journal of Statistics, 2006, 33, (2), 307-335 View citations (97)

2005

10. Estimating the tail-dependence coefficient: Properties and pitfalls
    Insurance: Mathematics and Economics, 2005, 37, (1), 80-100 View citations (93)

2003

11. A semi-parametric approach to risk management
    Quantitative Finance, 2003, 3, (6), 426-441 View citations (12)

2002

12. Tail dependence for elliptically contoured distributions
    Mathematical Methods of Operations Research, 2002, 55, (2), 301-327 View citations (52)

Chapters

2010

1. Statistical Inference for Sharpe Ratio
   Palgrave Macmillan