8
H index
8
i10 index
364
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 |
|---|---|
| Insurance: Mathematics and Economics | 2 |
| Quantitative Finance | 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 (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Nonparametric estimator of the tail dependence coefficient: balancing bias and variance. (2021). , Maxime ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2111.11128. Full description at Econpapers || Download paper |
| 2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper |
| 2023 | Correlation versus co-fractality: Evidence from foreign-exchange-rate variances. (2023). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000479. Full description at Econpapers || Download paper |
| 2023 | ESG, risk, and (tail) dependence. (2023). Paterlini, Sandra ; Czado, Claudia ; Sahin, Ozge ; Bax, Karoline. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000297. Full description at Econpapers || Download paper |
| 2023 | Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation. (2023). Faias, Jose Afonso. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000593. Full description at Econpapers || Download paper |
| 2023 | Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach. (2023). Herrera, Rodrigo ; Gaete, Michael. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000533. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Statistical error bounds for weighted mean and median, with application to robust aggregation of cryptocurrency data. (2023). Maurice, Anne-Claire ; Gobet, Emmanuel ; Echenim, Mnacho ; Allouche, Michael. In: Working Papers. RePEc:hal:wpaper:hal-04017151. Full description at Econpapers || Download paper |
| 2023 | Heterogeneous tail generalized common factor modeling. (2023). Polak, Pawe ; Paolella, Marc S ; Naf, Jeffrey ; Hediger, Simon. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-023-00083-z. Full description at Econpapers || Download paper |
| 2023 | Optimising portfolio diversification and dimensionality. (2023). Staal, A ; Sabanis, S ; Kroeske, J ; Kalcsics, J ; Gondzio, J ; Garcia, S ; Barkhagen, M. In: Journal of Global Optimization. RePEc:spr:jglopt:v:85:y:2023:i:1:d:10.1007_s10898-022-01202-7. Full description at Econpapers || Download paper |
| 2023 | Trivariate Probabilistic Assessments of the Compound Flooding Events Using the 3-D Fully Nested Archimedean (FNA) Copula in the Semiparametric Distribution Setting. (2023). Simonovic, Slobodan P ; Latif, Shahid. In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA). RePEc:spr:waterr:v:37:y:2023:i:4:d:10.1007_s11269-023-03448-6. Full description at Econpapers || Download paper |
| 2023 | Assessment of the Joint Impact of Rainfall Characteristics on Urban Flooding and Resilience Using the Copula Method. (2023). Xu, Chong-Yu ; Zhang, Xiang ; Lee, Junghwan ; Chen, Hua ; Liu, Jie ; Yoon, Sun-Kwon ; Kim, Jong-Suk ; Xie, Kun. In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA). RePEc:spr:waterr:v:37:y:2023:i:4:d:10.1007_s11269-023-03453-9. Full description at Econpapers || Download paper |
| 2023 | Optimal pooling and distributed inference for the tail index and extreme quantiles. (2022). Stupfler, Gilles ; Padoan, Simone A ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:126783. Full description at Econpapers || Download paper |
| 2023 | Extreme expectile estimation for short-tailed data, with an application to market risk assessment. (2023). STUPFLER, Gilles ; Padoan, Simone A ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:127937. 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 | 95 |
| 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 | 88 |
| 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 | 37 |
| 2010 | Statistical Inference for Sharpe Ratio In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
| 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 | 18 |
| 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 | 11 |
| 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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