26 citations · 26 across the 3 of their papers we have counts for
3 papers
Quantile Correlations: Uncovering temporal dependencies in financial time series
Thilo A. Schmitt, Rudi Schäfer, Holger Dette +1
We conduct an empirical study using the quantile-based correlation function to uncover the temporal dependencies in financial time series. The study uses intraday data for the S\&P…
Statistical causes for the Epps effect in microstructure noise
Michael C. Münnix, Rudi Schäfer, Thomas Guhr
We present two statistical causes for the distortion of correlations on high-frequency financial data. We demonstrate that the asynchrony of trades as well as the decimalization of…
Credit risk - A structural model with jumps and correlations
Rudi Schäfer, Markus Sjölin, Andreas Sundin +2
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors,…