10 citations · 16 across the 2 of their papers we have counts for
2 papers
q-fin.ST2015★ 6 cited
Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns
Marcel Wollschläger, Rudi Schäfer
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. W…
q-fin.ST2015★ 10 cited
Dependence structure of market states
Desislava Chetalova, Marcel Wollschläger, Rudi Schäfer
We study the dependence structure of market states by estimating empirical pairwise copulas of daily stock returns. We consider both original returns, which exhibit time-varying tr…