Rafael Schmidt : Citation Profile

Bank for International Settlements (BIS)

8

H index

8

i10 index

372

Citations

RESEARCH PRODUCTION:

12

Articles

3

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2002 - 2020). See details.
   Cites by year: 20
   Journals where Rafael Schmidt has often published
   Relations with other researchers
   Recent citing documents: 7.    Total self citations: 6 (1.59 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc913
   Updated: 2025-03-22    RAS profile: 2022-03-24    
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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:

Matkovskyy, Roman (10)

cerrato, mario (5)

Gallo, Giampiero (5)

Cipollini, Fabrizio (4)

Ruenzi, Stefan (4)

Engle, Robert (4)

La Croix, Sumner (4)

Durante, Fabrizio (4)

Sosvilla-Rivero, Simon (4)

Yarovaya, Larisa (4)

Einmahl, John (3)

Cites to:

Bollerslev, Tim (7)

Engle, Robert (5)

Einmahl, John (4)

Andersen, Torben (3)

Diebold, Francis (3)

Rigobon, Roberto (3)

Forbes, Kristin (3)

Cavallo, Alberto (2)

Dacorogna, Michel (2)

Stulz, René (2)

Wooldridge, Jeffrey (1)

Main data

Production by document typechapterarticlepaper2002200320042005200620072008200920102011201220132014201520162017201820192020052.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published200220032004200520062007200820092010201120122013201420152016201720182019202005101520Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2003200420052006200720082009201020112012201320142015201620172018201920202021202220232024202502040Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year2002200320042005200620072008200920102011201220132014201520162017201820192020050100150Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 8Most cited documents12345678910050100150Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025030510h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Rafael Schmidt has published?

Journals with more than one article published# docs
Quantitative Finance2
Insurance: Mathematics and Economics2

Working Papers Series with more than one paper published# docs
Discussion Paper Series 2: Banking and Financial Studies / Deutsche Bundesbank2

Recent works citing Rafael Schmidt (2025 and 2024)

Year  ↓Title of citing document  ↓
2025The 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

2024Diversification 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

2024Parametric 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

2024.

Full description at Econpapers || Download paper

2024Extreme 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  ↓
2020Computing platforms for big data analytics and artificial intelligence In: IFC Reports.
[Full Text][Citation analysis]		paper0
2006Non‐parametric Estimation of Tail Dependence In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article96
2006Multivariate distribution models with generalized hyperbolic margins In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article20
2005Estimating the tail-dependence coefficient: Properties and pitfalls In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article91
2009Modelling dynamic portfolio risk using risk drivers of elliptical processes In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article4
2007Modelling 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
2007Multivariate conditional versions of Spearmans rho and related measures of tail dependence In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article30
2010Scaling of Lévy–Student processes In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article5
2007Multivariate extensions of Spearmans rho and related statistics In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article39
2010Statistical Inference for Sharpe Ratio In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2008Forecasting German mortality using panel data procedures In: Journal of Population Economics.
[Full Text][Citation analysis]		article8
2002Tail dependence for elliptically contoured distributions In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]		article47
2007Nonparametric 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]		article19
2012Measuring large comovements in financial markets In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2003A semi-parametric approach to risk management In: Quantitative Finance.
[Full Text][Citation analysis]		article12
2009Time 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]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team