Schmid, Friedrich; Schmidt, Rafael Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence. (English) Zbl 1433.62151 Metrika 66, No. 3, 323-354 (2007). MSC: 62H20 62G20 62G30 62H10 62G32 PDFBibTeX XMLCite \textit{F. Schmid} and \textit{R. Schmidt}, Metrika 66, No. 3, 323--354 (2007; Zbl 1433.62151) Full Text: DOI
Schmid, Friedrich; Schmidt, Rafael Multivariate conditional versions of Spearman’s rho and related measures of tail dependence. (English) Zbl 1116.62061 J. Multivariate Anal. 98, No. 6, 1123-1140 (2007). MSC: 62H05 62E20 62H20 60F05 PDFBibTeX XMLCite \textit{F. Schmid} and \textit{R. Schmidt}, J. Multivariate Anal. 98, No. 6, 1123--1140 (2007; Zbl 1116.62061) Full Text: DOI
Schmid, Friedrich; Schmidt, Rafael Multivariate extensions of Spearman’s rho and related statistics. (English) Zbl 1108.62056 Stat. Probab. Lett. 77, No. 4, 407-416 (2007). MSC: 62H20 62G05 62G20 60G09 PDFBibTeX XMLCite \textit{F. Schmid} and \textit{R. Schmidt}, Stat. Probab. Lett. 77, No. 4, 407--416 (2007; Zbl 1108.62056) Full Text: DOI
Schmidt, Rafael; Hrycej, Tomas; Stützle, Eric Multivariate distribution models with generalized hyperbolic margins. (English) Zbl 1445.62108 Comput. Stat. Data Anal. 50, No. 8, 2065-2096 (2006). MSC: 62H05 60E05 62H10 62P05 PDFBibTeX XMLCite \textit{R. Schmidt} et al., Comput. Stat. Data Anal. 50, No. 8, 2065--2096 (2006; Zbl 1445.62108) Full Text: DOI
Schmidt, Rafael; Stadtmüller, Ulrich Nonparametric estimation of tail dependence. (English) Zbl 1124.62016 Scand. J. Stat. 33, No. 2, 307-335 (2006). Reviewer: R. E. Maiboroda (Kyïv) MSC: 62G05 62G20 62G32 62G30 62P05 PDFBibTeX XMLCite \textit{R. Schmidt} and \textit{U. Stadtmüller}, Scand. J. Stat. 33, No. 2, 307--335 (2006; Zbl 1124.62016) Full Text: DOI
Frahm, Gabriel; Junker, Markus; Schmidt, Rafael Estimating the tail-dependence coefficient: properties and pitfalls. (English) Zbl 1101.62012 Insur. Math. Econ. 37, No. 1, 80-100 (2005). MSC: 62F10 62G05 62G32 65C60 PDFBibTeX XMLCite \textit{G. Frahm} et al., Insur. Math. Econ. 37, No. 1, 80--100 (2005; Zbl 1101.62012) Full Text: DOI
Bingham, N. H.; Kiesel, Rüdiger; Schmidt, Rafael A semi-parametric approach to risk management. (English) Zbl 1405.91537 Quant. Finance 3, No. 6, 426-441 (2003). MSC: 91G10 PDFBibTeX XMLCite \textit{N. H. Bingham} et al., Quant. Finance 3, No. 6, 426--441 (2003; Zbl 1405.91537) Full Text: DOI