26 citations · 44 across the 5 of their papers we have counts for
5 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…
Empirical Evidence for the Structural Recovery Model
Alexander Becker, Alexander F. R. Koivusalo, Rudi Schäfer
While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability of d…
A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
Michael C. Münnix, Rudi Schäfer
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ databa…
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,…