EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: person:"SCHÄFER, RUDI"
Narrow search

Narrow search

Year of publication
Subject
All
Börsenkurs 7 Capital income 7 Correlation 7 Deutschland 7 Kapitaleinkommen 7 Korrelation 7 Share price 7 Theorie 7 Theory 7 Time series analysis 7 ARCH model 6 ARCH-Modell 6 Zeitreihenanalyse 6 Credit risk 5 Estimation 5 Schätzung 5 Econophysics 4 Epps effect 4 Financial correlations 4 Germany 4 Portfolio selection 4 Portfolio-Management 4 Risikomaß 4 Risk measure 4 nonstationarity 4 Bahnpolitik 3 Financial market 3 Finanzmarkt 3 Kreditrisiko 3 Market microstructure 3 Privatisierung 3 Stochastic processes 3 Volatility 3 Volatilität 3 Correlation modeling 2 Covariance estimation 2 Exchange rate 2 Expected tail loss 2 Forecasting model 2 Loss distribution 2
more ... less ...
Online availability
All
Free 13 Undetermined 12
Type of publication
All
Article 29 Book / Working Paper 9
Type of publication (narrower categories)
All
Article in journal 12 Aufsatz in Zeitschrift 12 Arbeitspapier 2 Article 2 Collection of articles of several authors 2 Sammelwerk 2 Working Paper 2 Hochschulschrift 1 Thesis 1
more ... less ...
Language
All
English 19 Undetermined 13 German 6
Author
All
Schäfer, Rudi 35 Guhr, Thomas 15 Schmitt, Thilo A. 6 Aberle, Gerd 5 Kremer, Marcel 4 Münnix, Michael C. 4 Fischer, Peter 3 Koivusalo, Alexander F. R. 3 Ludewig, Johannes 3 Wied, Dominik 3 Becker, Alexander P. 2 Chetalova, Desislava 2 Dette, Holger 2 Dürr, Heinz 2 GUHR, THOMAS 2 Koivusalo, Alexander F.R. 2 Krause, Günther 2 SCHÄFER, RUDI 2 Stanley, H. Eugene 2 Vodenska, Irena 2 Wang, Shanshan 2 CHETALOVA, DESISLAVA 1 MÜNNIX, MICHAEL C. 1 Nilsson, Nils Fredrik 1 SCHMITT, THILO A. 1 Schafer, Rudi 1 Schmitt, Thilo 1 Sjölin, Markus 1 Sundin, Andreas 1 Wolanski, Michal 1 Wollschläger, Marcel 1
more ... less ...
Institution
All
Deutsche Bundesbahn 1
Published in...
All
Physica A: Statistical Mechanics and its Applications 5 Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik 4 International journal of theoretical and applied finance 3 The journal of credit risk : published quarterly by Incisive Media 3 Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823 2 Economic modelling 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Wirtschaftsdienst 2 Beschäftigungssichernde Finanzpolitik : eine Chance für Vollbeschäftigung 1 Economic Modelling 1 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 1 Eur. Phys. J. B (2016) 89: 105 1 Journal of risk 1 Mitbestimmung : das Magazin der Hans-Böckler-Stiftung 1 Quantitative Finance 1 Quantitative finance 1 Wirtschaftsdienst – Zeitschrift für Wirtschaftspolitik (1998 - 2007) 1
more ... less ...
Source
All
ECONIS (ZBW) 22 RePEc 10 OLC EcoSci 4 EconStor 2
Showing 1 - 10 of 38
Cover Image
Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock Returns
Kremer, Marcel - 2020
All too often, measuring statistical dependencies between financial time series is reduced to a linear correlation coefficient. However, this may not capture all facets of reality. This paper studies empirical dependencies of daily stock returns by their pairwise copulas. We investigate in...
Persistent link: https://www.econbiz.de/10012842121
Saved in:
Cover Image
Dependence Structure of Market States
Chetalova, Desislava - 2020
We study the dependence structure of market states by calculating empirical pairwise copulas of daily stock returns. We consider both original returns, which exhibit time-varying trends and volatilities, as well as locally normalized returns, where the nonstationarity has been removed. The...
Persistent link: https://www.econbiz.de/10012842112
Saved in:
Cover Image
Economic and Political Effects on Currency Clustering Dynamics
Kremer, Marcel - 2019
We propose a new measure named the symbolic performance to better understand the structure of foreign exchange markets. Instead of considering currency pairs, we isolate a quantity that describes each currency's position in the market, independent of a base currency. We apply the k-means...
Persistent link: https://www.econbiz.de/10012901042
Saved in:
Cover Image
Average Cross-Responses in Correlated Financial Market
Wang, Shanshan - 2017
There are non-vanishing price responses across different stocks in correlated financial markets. We further study this issue by performing different averages, which identify active and passive cross-responses. The two average cross-responses show different characteristic dependences on the time...
Persistent link: https://www.econbiz.de/10012966623
Saved in:
Cover Image
Cross-Response in Correlated Financial Markets : Individual Stocks
Wang, Shanshan - 2017
Previous studies of the stock price response to trades focused on the dynamics of single stocks, i.e. they addressed the self-response. We empirically investigate the price response of one stock to the trades of other stocks in a correlated market, i.e. the cross-responses. How large is the...
Persistent link: https://www.econbiz.de/10012966626
Saved in:
Cover Image
Spatial Dependence in Stock Returns - Local Normalization and VaR Forecasts
Schmitt, Thilo - 2015
We analyze a recently proposed spatial autoregressive model for stock returns and compare it to a one-factor model and the sample covariance matrix. The influence of refinements to these covariance estimation methods is studied. We employ power mapping as a noise reduction technique for the...
Persistent link: https://www.econbiz.de/10013035108
Saved in:
Cover Image
Economic and political effects on currency clustering dynamics
Kremer, Marcel; Becker, Alexander P.; Vodenska, Irena; … - In: Quantitative finance 19 (2019) 5, pp. 705-716
Persistent link: https://www.econbiz.de/10012194686
Saved in:
Cover Image
Quantile correlations : uncovering temporal dependencies in financial time series
Schmitt, Thilo A.; Schäfer, Rudi; Dette, Holger; Guhr, … - 2014
Persistent link: https://www.econbiz.de/10010408303
Saved in:
Cover Image
Spatial dependence in stock returns - local normalization and VaR forecasts
Schmitt, Thilo A.; Schäfer, Rudi; Wied, Dominik; Guhr, … - 2013
Persistent link: https://www.econbiz.de/10009776181
Saved in:
Cover Image
Econophysics : quantitative studies of equity and credit markets
Schäfer, Rudi - 2012
Persistent link: https://www.econbiz.de/10010420139
Saved in:
  • 1
  • 2
  • 3
  • 4
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...