Rudi Schäfer

University of Duisburg-Essen

Lotharstrasse 1

Duisburg, 47048

Germany

SCHOLARLY PAPERS

6

DOWNLOADS

377

CITATIONS

4

Scholarly Papers (6)

1.

Economic and Political Effects on Currency Clustering Dynamics

Quantitative Finance, 19(5):705-716, 2019
Number of pages: 17 Posted: 20 Sep 2017 Last Revised: 12 Aug 2019
University of Duisburg-Essen, Boston University - Department of Physics, Boston University Metropolitan College, Boston University - Center for Polymer Studies and University of Duisburg-Essen
Downloads 159 (186,176)

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Symbolic performance; Currency clustering; Currency dynamics; Central bank intervention

2.

Spatial Dependence in Stock Returns - Local Normalization and VaR Forecasts

Forthcoming in Empirical Economics
Number of pages: 20 Posted: 06 Sep 2013 Last Revised: 31 Jan 2015
Thilo Schmitt, Rudi Schäfer, Dominik Wied and Thomas Guhr
University of Duisburg-Essen, University of Duisburg-Essen, University of Cologne and University of Duisburg-Essen
Downloads 125 (224,801)

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3.

Cross-Response in Correlated Financial Markets: Individual Stocks

Eur. Phys. J. B (2016) 89: 105
Number of pages: 17 Posted: 05 Jan 2017 Last Revised: 07 Jan 2017
Shanshan Wang, Rudi Schäfer and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 54 (373,318)

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cross-impact, market microstructure, statistical analysis, complex systems, econophysics

4.

Average Cross-Responses in Correlated Financial Market

The European Physical Journal, 2016, 89:207, doi./10.1140/epjb/e2016-70137-0
Number of pages: 13 Posted: 05 Jan 2017
Shanshan Wang, Rudi Schäfer and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 39 (426,160)

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cross-impact, market microstructure, statistical analysis, complex systems, econophysics

5.

Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock Returns

Journal of Risk, Vol. 19, No. 1, 2016
Number of pages: 24 Posted: 08 Oct 2016
Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen and University of Duisburg-Essen
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copulas, financial time series, nonstationarity, asymmetry, multivariate mixture, K-copula

6.

Credit Risk: Taking Fluctuating Asset Correlations into Account

Journal of Credit Risk, Vol. 11, No. 3, 2015
Number of pages: 22 Posted: 16 Jun 2016
Thilo Schmitt, Rudi Schäfer and Thomas Guhr
University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 0 (666,709)
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nonstationarity, random matrix theory, Merton model, value-at-risk