E-LIB Suche - Ergebnisse für: Schäfer, Rudi

1

Impact of Nonstationarity on Estimating and Modeling Empiri..:

Kremer, Marcel ; Schäfer, Rudi
Journal of Risk, 19(1):1-23, 2016. , 2020

2

Dependence Structure of Market States:

Chetalova, Desislava ; Kremer, Marcel ; Schäfer, Rudi
Journal of Statistical Mechanics: Theory and Experiment, 2015(8):P08012, 2015. , 2020

Link: https://ssrn.com/abstrac..

3

Concurrent credit portfolio losses:

Sicking, Joachim ; Guhr, Thomas ; Schäfer, Rudi.
PLOS ONE. 13 (2018) 2 - p. e0190263 , 2018

Link: https://doi.org/10.1371/..

4

Cross-response in correlated financial markets: individual ..:

Wang, Shanshan ; Schäfer, Rudi ; Guhr, Thomas
The European Physical Journal B. 89 (2016) 4 - p. , 2016

Link: https://doi.org/10.1140/..

5

Equilibrium pricing in an order book environment: Case stud..:

Meudt, Frederik ; Schmitt, Thilo A. ; Schäfer, Rudi.
Physica A: Statistical Mechanics and its Applications. 453 (2016) - p. 228-235 , 2016

Link: https://doi.org/10.1016/..

6

Average cross-responses in correlated financial markets:

Wang, Shanshan ; Schäfer, Rudi ; Guhr, Thomas
The European Physical Journal B. 89 (2016) 9 - p. , 2016

Link: https://doi.org/10.1140/..

7

Dynamics of quasi-stationary systems: Finance as an example:

Rinn, Philip ; Stepanov, Yuriy ; Peinke, Joachim..
EPL (Europhysics Letters). 110 (2015) 6 - p. 68003 , 2015

Link: https://doi.org/10.1209/..

8

Constructing analytically tractable ensembles of stochastic..:

Meudt, Frederik ; Theissen, Martin ; Schäfer, Rudi.
Journal of Statistical Mechanics: Theory and Experiment. 2015 (2015) 11 - p. P11025 , 2015

Link: https://doi.org/10.1088/..

9

Dependence structure of market states:

Chetalova, Desislava ; Wollschläger, Marcel ; Schäfer, Rudi
Journal of Statistical Mechanics: Theory and Experiment. 2015 (2015) 8 - p. P08012 , 2015

Link: https://doi.org/10.1088/..

10

Zooming into market states:

Chetalova, Desislava ; Schäfer, Rudi ; Guhr, Thomas
Journal of Statistical Mechanics: Theory and Experiment. 2015 (2015) 1 - p. P01029 , 2015

Link: https://doi.org/10.1088/..

11

Stability and hierarchy of quasi-stationary states: financi..:

Stepanov, Yuriy ; Rinn, Philip ; Guhr, Thomas..
Journal of Statistical Mechanics: Theory and Experiment. 2015 (2015) 8 - p. P08011 , 2015

Link: https://doi.org/10.1088/..

12

Compounding approach for univariate time series with nonsta..:

Schäfer, Rudi ; Barkhofen, Sonja ; Guhr, Thomas..
Physical Review E. 92 (2015) 6 - p. , 2015

Link: https://doi.org/10.1103/..

13

Spatial dependence in stock returns: local normalization an..:

Schmitt, Thilo A. ; Schäfer, Rudi ; Wied, Dominik.
Empirical Economics. 50 (2015) 3 - p. 1091-1109 , 2015

Link: https://doi.org/10.1007/..

14

Credit risk and the instability of the financial system: An..:

Schmitt, Thilo A. ; Chetalova, Desislava ; Schäfer, Rudi.
EPL (Europhysics Letters). 105 (2014) 3 - p. 38004 , 2014

Link: https://doi.org/10.1209/..

15

A Random Matrix Approach to Credit Risk:

Münnix, Michael C. ; Schäfer, Rudi ; Guhr, Thomas.
PLoS ONE. 9 (2014) 5 - p. e98030 , 2014

Link: https://doi.org/10.1371/..