Publications
A short list of my most relevant publications.
For a full list please click here.
Market states
M.C. Münnix, T. Shimada, R. Schäfer, F. Leyvraz, T.H. Seligman, T. Guhr and H.E. Stanley
Identifying States of a Financial Market
Scientific Reports 2 : 644 (2012)
D. Chetalova, R. Schäfer and T. Guhr
Zooming into market states
preprint:
arXiv:1406.5386
M.C. Münnix, R. Schäfer and O. Grothe
Estimating correlation and covariance matrices by weighting of market similarity
Quantitative Finance, 14, 931-939 (2014)
T.A. Schmitt, D. Chetalova, R. Schäfer and T. Guhr
Non-Stationarity in Financial Time Series and Generic Features
Europhysics Letters 103, 58003 (2013)
Credit risk
R. Schäfer and A.F.R. Koivusalo
Dependence of defaults and recoveries in structural credit risk models
Economic Modelling 30, 1-9 (2013)
A.F.R. Koivusalo and R. Schäfer
Calibration of structural and reduced-form recovery models
Journal of Credit Risk 8(4), 31-51 (2012)
A. Becker, A.F.R. Koivusalo and R. Schäfer
Empirical Evidence for the Structural Recovery Model
preprint on
DefaultRisk.com
M.C. Münnix, R. Schäfer and T. Guhr
A Random Matrix Approach on Credit Risk
PLOS ONE, 9, e98030 (2014)
T.A. Schmitt, D. Chetalova, R. Schäfer and T. Guhr
Credit risk and the instability of the financial system: An ensemble approach
Europhysics Letters 105, 38004 (2014)
Copulas and correlations
M. Wollschläger and R. Schäfer
Empirical dependencies of daily stock returns: A copula study
submitted for publication, available on request
M.C. Münnix and R. Schäfer
A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
Physica A 390, 4251 (2011)
R. Schäfer and T. Guhr
Local normalization: Uncovering correlations in non-stationary financial time series
Physica A 389, 3856 (2010)