Schmidt, Rafael; Schmieder, Christian Modelling dynamic portfolio risk using risk drivers of elliptical processes. (English) Zbl 1163.91018 Insur. Math. Econ. 44, No. 2, 229-244 (2009). MSC: 91B30 × Cite Format Result Cite Review PDF Full Text: DOI Link
Schmid, Friedrich; Schmidt, Rafael Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence. (English) Zbl 1433.62151 Metrika 66, No. 3, 323-354 (2007). MSC: 62H20 62G20 62G30 62H10 62G32 × Cite Format Result Cite Review PDF Full Text: DOI
Schmid, Friedrich; Schmidt, Rafael Multivariate conditional versions of Spearman’s rho and related measures of tail dependence. (English) Zbl 1116.62061 J. Multivariate Anal. 98, No. 6, 1123-1140 (2007). MSC: 62H05 62E20 62H20 60F05 × Cite Format Result Cite Review PDF Full Text: DOI
Schmidt, Rafael; Hrycej, Tomas; Stützle, Eric Multivariate distribution models with generalized hyperbolic margins. (English) Zbl 1445.62108 Comput. Stat. Data Anal. 50, No. 8, 2065-2096 (2006). MSC: 62H05 60E05 62H10 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Bingham, N. H.; Kiesel, Rüdiger; Schmidt, Rafael A semi-parametric approach to risk management. (English) Zbl 1405.91537 Quant. Finance 3, No. 6, 426-441 (2003). MSC: 91G10 × Cite Format Result Cite Review PDF Full Text: DOI