8
H index
8
i10 index
381
Citations
Rafael Schmidt : Citation Profile
Bank for International Settlements (BIS) | RESEARCH PRODUCTION: 12 Articles 3 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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18 years (2002 - 2020). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Rafael Schmidt. | Is cited by:
| Cites to:
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Main data
Where Rafael Schmidt has published?
| Journals with more than one article published | # docs |
|---|---|
| Quantitative Finance | 2 |
| Insurance: Mathematics and Economics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Discussion Paper Series 2: Banking and Financial Studies / Deutsche Bundesbank | 2 |
Recent works citing Rafael Schmidt (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | The Pricing Kernel under Proportional Ambiguity. (2025). Spengemann, Marco. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:700. Full description at Econpapers || Download paper |
| 2025 | High-dimensional copula-based Wasserstein dependence. (2025). Gijbels, Irne ; de Keyser, Steven. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:204:y:2025:i:c:s0167947324001804. Full description at Econpapers || Download paper |
| 2024 | Diversification value of green Bonds: Fresh evidence from China. (2024). Huang, Ziling ; Zhou, You ; Lin, Lichao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001797. Full description at Econpapers || Download paper |
| 2025 | Hedging political risk in international portfolios. (2025). Pagliardi, Giovanni ; Lotfi, Somayyeh ; Zenios, Stavros A ; Paparoditis, Efstathios. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:2:p:629-646. Full description at Econpapers || Download paper |
| 2025 | Wall Street sneezes and global finance catches a cold: How does geopolitical risk contribute? A tale of tail. (2025). Neto, David. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s154461232401691x. Full description at Econpapers || Download paper |
| 2024 | Parametric dependence between random vectors via copula-based divergence measures. (2024). de Keyser, Steven ; Gijbels, Irene. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:203:y:2024:i:c:s0047259x24000435. Full description at Econpapers || Download paper |
| 2025 | On the exact region determined by Spearman’s ρ and Blest’s measure of rank correlation ν for bivariate extreme-value copulas. (2025). Tschimpke, Marco. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:205:y:2025:i:c:s0047259x24000848. Full description at Econpapers || Download paper |
| 2025 | Measuring and testing tail equivalence. (2025). Kato, Shogo ; Koike, Takaaki ; Yoshiba, Toshinao. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:209:y:2025:i:c:s0047259x25000557. Full description at Econpapers || Download paper |
| 2024 | A New Class of Bivariate Distributions: Properties, Estimation, and Modeling. (2024). Shahbaz, Muhammad Qaiser ; Darwish, Jumanah Ahmed. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:24:p:4021-:d:1549816. Full description at Econpapers || Download paper |
| 2024 | Estimation of $$ P[Y. (2024). Kale, M M ; Naik-Nimbalkar, U V ; Patil, Dipak D. In: Annals of Data Science. RePEc:spr:aodasc:v:11:y:2024:i:4:d:10.1007_s40745-023-00487-z. Full description at Econpapers || Download paper |
| 2024 | Permutation test of tail dependence. (2024). Brborovi, Darko ; Basrak, Bojan. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:1:d:10.1007_s10260-023-00723-z. Full description at Econpapers || Download paper |
| 2024 | Nonparametric estimator of the tail dependence coefficient: balancing bias and variance. (2024). , Maxime ; Garcin, Matthieu. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:8:d:10.1007_s00362-024-01582-w. Full description at Econpapers || Download paper |
| 2024 | Extreme expectile estimation for short-tailed data, with an application to market risk assessment. (2024). STUPFLER, Gilles ; Padoan, Simone A ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:127937. Full description at Econpapers || Download paper |
| 2025 | Risk measures beyond quantiles. (2025). Stupfler, Gilles ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:130486. Full description at Econpapers || Download paper |
Works by Rafael Schmidt:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Computing platforms for big data analytics and artificial intelligence In: IFC Reports. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Non‐parametric Estimation of Tail Dependence In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 102 |
| 2006 | Multivariate distribution models with generalized hyperbolic margins In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 20 |
| 2005 | Estimating the tail-dependence coefficient: Properties and pitfalls In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 91 |
| 2009 | Modelling dynamic portfolio risk using risk drivers of elliptical processes In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
| 2007 | Modelling dynamic portfolio risk using risk drivers of elliptical processes.(2007) In: Discussion Paper Series 2: Banking and Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2007 | Multivariate conditional versions of Spearmans rho and related measures of tail dependence In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 30 |
| 2010 | Scaling of Lévy–Student processes In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 5 |
| 2007 | Multivariate extensions of Spearmans rho and related statistics In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 40 |
| 2010 | Statistical Inference for Sharpe Ratio In: Palgrave Macmillan Books. [Citation analysis] | chapter | 1 |
| 2008 | Forecasting German mortality using panel data procedures In: Journal of Population Economics. [Full Text][Citation analysis] | article | 8 |
| 2002 | Tail dependence for elliptically contoured distributions In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 47 |
| 2007 | Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence In: Metrika: International Journal for Theoretical and Applied Statistics. [Full Text][Citation analysis] | article | 20 |
| 2012 | Measuring large comovements in financial markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2003 | A semi-parametric approach to risk management In: Quantitative Finance. [Full Text][Citation analysis] | article | 12 |
| 2009 | Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach In: Discussion Paper Series 2: Banking and Financial Studies. [Full Text][Citation analysis] | paper | 0 |
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