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Publications
10
Citations
1.3K
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Active since
2002
Affiliations
University of Cologne(Current)
Cologne Institute for Economic Research
Universität Ulm
London School of Economics and Political Science
Helmholtz-Institute Ulm
Rafael Schmidt is an author at University of Cologne specializing in statistics, statistical inference, and multivariate analysis.
Top concepts
StatisticsStatistical InferenceMultivariate AnalysisBusinessEconomicsEngineeringProbabilityEconometricsEconomic AnalysisCopulas
Publications per year
2002–2023
Non‐parametric Estimation of Tail Dependence
Rafael Schmidt, Ulrich Stadtmüller · Scandinavian Journal of Statistics · 2005 · 337 citations
Tail Dependence, Financial Risk Management, Extremal Dependencies +21
Estimating the tail-dependence coefficient: Properties and pitfalls
Gabriel Frahm, Markus Junker, Rafael Schmidt · Insurance Mathematics and Economics · 2005 · 323 citations
Econometric Model, Economics, Tail-dependence Coefficient +7
Multivariate extensions of Spearman's rho and related statistics
Friedrich Schmid, Rafael Schmidt · Statistics & Probability Letters · 2006 · 176 citations
Multivariate Extensions, Statistical Inference, Statistical Science +3
Tail dependence for elliptically contoured distributions
Rafael Schmidt · Mathematical Methods of Operations Research · 2002 · 157 citations
Tail Dependence, Density Estimation, Engineering +4
Multivariate conditional versions of Spearman's rho and related measures of tail dependence
Friedrich Schmid, Rafael Schmidt · Journal of Multivariate Analysis · 2006 · 108 citations
Tail Dependence, Engineering, Statistical Inference +6
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