Rudi Schäfer

University of Duisburg-Essen

Lotharstrasse 1

Duisburg, 47048

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

417

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (8)

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 191 (164,426)
Citation 1

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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 127 (233,047)

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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 (388,838)

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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 (444,140)

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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, 19(1):1-23, 2016
Number of pages: 19
Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen and University of Duisburg-Essen
Downloads 3

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Copulas, Financial time series, Nonstationarity, Asymmetry, Multivariate mixture, K-copula

6.

Dependence Structure of Market States

Journal of Statistical Mechanics: Theory and Experiment, 2015(8):P08012, 2015
Number of pages: 19
Desislava Chetalova, Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 3

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Copulas, Market states, Nonstationarity, Asymmetry, Multivariate mixture, K-copula

7.

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

8.

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 (691,345)
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nonstationarity, random matrix theory, Merton model, value-at-risk