Rafael Schmidt : Citation Profile

Bank for International Settlements (BIS)

8

H index

8

i10 index

398

Citations

RESEARCH PRODUCTION:

16

Articles

6

Papers

4

Chapters

RESEARCH ACTIVITY:

   24 years (2002 - 2026). See details.
   Cites by year: 16
   Journals where Rafael Schmidt has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 6 (1.49 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc913
   Updated: 2026-09-26    RAS profile: 2026-09-14    
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Relations with other researchers

Works with:

Marcucci, Juri (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Rafael Schmidt.

Is cited by:

Matkovskyy, Roman (10)

Gallo, Giampiero (5)

STUPFLER, Gilles (5)

cerrato, mario (5)

Yarovaya, Larisa (4)

Sosvilla-Rivero, Simon (4)

La Croix, Sumner (4)

Ruenzi, Stefan (4)

Durante, Fabrizio (4)

Engle, Robert (4)

Cipollini, Fabrizio (4)

Cites to:

Bollerslev, Tim (7)

Blinder, Alan (6)

de Haan, Jakob (5)

Engle, Robert (5)

Ehrmann, Michael (5)

Jansen, David-Jan (5)

Fratzscher, Marcel (5)

Galí, Jordi (4)

Clarida, Richard (4)

Forbes, Kristin (4)

Einmahl, John (4)

Main data

Where Rafael Schmidt has published?

Journals with more than one article published# docs
Journal of AI, Robotics & Workplace Automation3
Insurance: Mathematics and Economics2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
IFC Reports / Bank for International Settlements3
Discussion Paper Series 2: Banking and Financial Studies / Deutsche Bundesbank2

Recent works citing Rafael Schmidt (2026 and 2025)

YearTitle of citing document
2026Tail copula representation of path-based maximal tail dependence. (2026). Tsunekawa, Haruki ; Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2604.05985.

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2026Measuring multivariate maximal tail dependence. (2026). Tsunekawa, Haruki ; Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2605.25766.

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2025The Pricing Kernel under Proportional Ambiguity. (2025). Spengemann, Marco. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:700.

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2026A natural language processing toolbox for the National Bank of Romania. (2026). Serbu, Daniel ; Voicila, Claudia. In: IFC Bulletins chapters. RePEc:bis:bisifc:67-07.

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2025Making suptech work: evidence on the key drivers of adoption. (2025). Gambacorta, Leonardo ; Kiuhan-Vsquez, Samir ; Lauridsen, Nico ; Prenio, Jermy. In: BIS Working Papers. RePEc:bis:biswps:1309.

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2025Word2Prices: embedding central bank communications for inflation prediction. (2025). Lenza, Michele ; Comazzi, Fabio Alberto ; Araujo, Douglas ; Bokan, Nikola. In: Working Paper Series. RePEc:ecb:ecbwps:20253047.

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2025High-dimensional copula-based Wasserstein dependence. (2025). Gijbels, Irne ; de Keyser, Steven. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:204:y:2025:i:c:s0167947324001804.

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2025Addressing endogeneity issues in a spatial autoregressive model using copulas. (2025). Song, Yichun ; Lin, Yanli. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001605.

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2025Hedging political risk in international portfolios. (2025). Pagliardi, Giovanni ; Lotfi, Somayyeh ; Zenios, Stavros A ; Paparoditis, Efstathios. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:2:p:629-646.

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2025Wall Street sneezes and global finance catches a cold: How does geopolitical risk contribute? A tale of tail. (2025). Neto, David. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s154461232401691x.

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2026Tail risk exposure and the cross section of expected stock returns. (2026). , Maxime. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:184:y:2026:i:c:s0378426625002468.

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2025Fiscal multipliers, trend inflation, and endogenous price stickiness: Evidence from the U.S.. (2025). Gulenkov, Ilya. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:86:y:2025:i:c:s0164070425000643.

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2025On the exact region determined by Spearman’s ρ and Blest’s measure of rank correlation ν for bivariate extreme-value copulas. (2025). Tschimpke, Marco. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:205:y:2025:i:c:s0047259x24000848.

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2025Measuring and testing tail equivalence. (2025). Koike, Takaaki ; Yoshiba, Toshinao ; Kato, Shogo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:209:y:2025:i:c:s0047259x25000557.

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2026Measuring interlayer dependence of large degrees in multilayer inhomogeneous random graphs. (2026). Han, Zhuoye ; Wang, Tiandong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:682:y:2026:i:c:s0378437125008258.

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2026Tube formula for spherically contoured random fields with subexponential marginals. (2026). Kuriki, Satoshi ; Spodarev, Evgeny. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:195:y:2026:i:c:s0304414925003023.

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2025Risk Estimation in the Bitcoin Market Using a Three-Stage Ensemble Method. (2025). Su, YI ; Zha, Rui ; Yu, Lean. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:4:d:10.1007_s10614-024-10827-7.

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2025Non-Parametric Multivariate Control Chart Using Copula Entropy. (2025). Fallah, Seyedeh Azadeh ; Wang, Ruochen ; Tran, Kim Phuc ; Borzadaran, Gholamreza Mohtashami. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:87:y:2025:i:2:d:10.1007_s13571-025-00374-y.

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2025Marginal expected shortfall risk measure for time series. (2025). Qin, Jing ; Guillou, Armelle ; Goegebeur, Yuri. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:28:y:2025:i:3:d:10.1007_s11203-025-09334-9.

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2025Risk measures beyond quantiles. (2025). Stupfler, Gilles ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:130486.

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2026Extreme value inference for heterogeneous heavy-tailed data: A derandomization theory. (2026). Stupfler, Gilles ; Hachem, Joseph ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:131598.

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Works by Rafael Schmidt:

YearTitleTypeCited
2023Machine learning applications in central banking In: Journal of AI, Robotics & Workplace Automation.
[Full Text][Citation analysis]		article2
2025Artificial intelligence in central banks: Governance and implementation In: Journal of AI, Robotics & Workplace Automation.
[Full Text][Citation analysis]		article1
2026Unlocking the potential of data through data science: A view from central banks In: Journal of AI, Robotics & Workplace Automation.
[Full Text][Citation analysis]		article0
2024Data science in economy and finance: A central bank perspective In: Journal of Digital Banking.
[Full Text][Citation analysis]		article0
2026Generative artificial intelligence in central banking In: IFC Bulletins chapters.
[Full Text][Citation analysis]		chapter0
2020Computing platforms for big data analytics and artificial intelligence In: IFC Reports.
[Full Text][Citation analysis]		paper0
2025SDMX adoption and use of open source tools In: IFC Reports.
[Full Text][Citation analysis]		paper0
2025Governance and implementation of artificial intelligence in central banks In: IFC Reports.
[Full Text][Citation analysis]		paper1
2025Inflation cycles: evidence from international data In: BIS Working Papers.
[Full Text][Citation analysis]		paper1
2006Non‐parametric Estimation of Tail Dependence In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article107
2006Multivariate distribution models with generalized hyperbolic margins In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article20
2005Estimating the tail-dependence coefficient: Properties and pitfalls In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article93
2009Modelling dynamic portfolio risk using risk drivers of elliptical processes In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article4
2007Modelling dynamic portfolio risk using risk drivers of elliptical processes.(2007) In: Discussion Paper Series 2: Banking and Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2007Multivariate conditional versions of Spearmans rho and related measures of tail dependence In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article32
2010Scaling of Lévy–Student processes In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article5
2007Multivariate extensions of Spearmans rho and related statistics In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article40
2010Statistical Inference for Sharpe Ratio In: Palgrave Macmillan Books.
[Citation analysis]		chapter1
2008Forecasting German mortality using panel data procedures In: Journal of Population Economics.
[Full Text][Citation analysis]		article8
2002Tail dependence for elliptically contoured distributions In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]		article49
2007Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence In: Metrika: International Journal for Theoretical and Applied Statistics.
[Full Text][Citation analysis]		article20
2005Tail Dependence In: Springer Books.
[Citation analysis]		chapter0
2006Interplay between Distributional and Temporal Dependence. An Empirical Study with High-frequency Asset Returns In: Springer Books.
[Citation analysis]		chapter0
2012Measuring large comovements in financial markets In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2003A semi-parametric approach to risk management In: Quantitative Finance.
[Full Text][Citation analysis]		article13
2009Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach In: Discussion Paper Series 2: Banking and Financial Studies.
[Full Text][Citation analysis]		paper0

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