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Rudi Sch\"afer

Identifiers

  • name variant Rudi Sch\"afer 0.60 · backfill

Papers (30)

  1. Concurrent Credit Portfolio Losses q-fin.MF · 2016 · author #3
  2. Average cross-responses in correlated financial market q-fin.ST · 2016 · author #2
  3. Cross-response in correlated financial markets: individual stocks q-fin.ST · 2016 · author #2
  4. Credit risk: Taking fluctuating asset correlations into account q-fin.RM · 2016 · author #2
  5. Price response in correlated financial markets: empirical results q-fin.ST · 2015 · author #2
  6. Quantile Correlations: Uncovering temporal dependencies in financial time series q-fin.GN · 2015 · author #2
  7. Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns q-fin.ST · 2015 · author #2
  8. Dependence structure of market states q-fin.ST · 2015 · author #3
  9. Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data q-fin.ST · 2015 · author #3
  10. Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example q-fin.ST · 2015 · author #5
  11. Dynamics of quasi-stationary systems: Finance as an example q-fin.ST · 2015 · author #5
  12. Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model q-fin.CP · 2015 · author #3
  13. Zooming into market states q-fin.ST · 2014 · author #2
  14. Analysis of a decision model in the context of equilibrium pricing and order book pricing q-fin.TR · 2014 · author #3
  15. Credit Risk and the Instability of the Financial System: an Ensemble Approach q-fin.RM · 2013 · author #3
  16. Portfolio return distributions: Sample statistics with non-stationary correlations q-fin.ST · 2013 · author #3
  17. Non-Stationarity in Financial Time Series and Generic Features q-fin.ST · 2013 · author #3
  18. Emerging spectra of singular correlation matrices under small power-map deformations math-ph · 2013 · author #2
  19. Microscopic understanding of heavy-tailed return distributions in an agent-based model q-fin.TR · 2012 · author #2
  20. Empirical Evidence for the Structural Recovery Model q-fin.RM · 2012 · author #3
  21. Identifying States of a Financial Market q-fin.ST · 2012 · author #3
  22. Calibration of structural and reduced-form recovery models q-fin.RM · 2011 · author #2
  23. A Random Matrix Approach to Credit Risk q-fin.RM · 2011 · author #2
  24. Dependence of defaults and recoveries in structural credit risk models q-fin.RM · 2011 · author #1
  25. A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market q-fin.ST · 2011 · author #2
  26. Statistical causes for the Epps effect in microstructure noise q-fin.ST · 2010 · author #2
  27. Estimating correlation and covariance matrices by weighting of market similarity q-fin.ST · 2010 · author #2
  28. Impact of the tick-size on financial returns and correlations q-fin.ST · 2010 · author #2
  29. Compensating asynchrony effects in the calculation of financial correlations q-fin.ST · 2009 · author #2
  30. Credit risk - A structural model with jumps and correlations q-fin.RM · 2007 · author #1

Mentions

  • 1510.03205 #2 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1507.04990 #2 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1506.08054 #2 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1503.09004 #3 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1503.01584 #3 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1503.00556 #5 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1502.07522 #5 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1502.01125 #3 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1406.5386 #2 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1404.7356 #3 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1309.5245 #3 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1308.3961 #3 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1304.5130 #3 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1304.4982 #2 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1207.2946 #2 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1203.3188 #3 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1202.1623 #3 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1102.4864 #2 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1102.3900 #2 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1102.3150 #1 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1102.1099 #2 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1009.6157 #2 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1006.5847 #2 · backfill · confidence 0.70 Rudi Sch\"afer
  • 1001.5124 #2 · backfill · confidence 0.70 Rudi Sch\"afer
  • 0910.2909 #2 · backfill · confidence 0.70 Rudi Sch\"afer
  • 0707.3478 #1 · backfill · confidence 0.70 Rudi Sch\"afer

Frequent Coauthors