Gabriel Frahm

Finance · 2003–2010

A researcher in the Science corpus: 5 papers; trusts 36 researchers and is trusted by 28 researchers here, as inferred from the citation graph.

Subfields

• Finance — 46 citations into it; #1,556 of 10,518 by trust here, #1,846 by citations
• Economics and Econometrics — 25 citations into it; #4,637 of 23,481 by trust here, #5,178 by citations
• Statistics and Probability — 25 citations into it; #8,235 of 12,932 by trust here, #10,855 by citations
• Management Science and Operations Research — 20 citations into it
• Global and Planetary Change — 8 citations into it; #2,685 of 10,225 by trust here, #5,211 by citations

Whom Gabriel Frahm trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Olivier Ledoit
2. Timothy Cogley
3. Paul Embrechts
4. Filip Lindskog
5. Jem N. Corcoran
6. Michael Wolf
7. Roger B. Nelsen
8. Alexander J. McNeil
9. Thomas J. Sargent
10. Christian Genest

Who trusts Gabriel Frahm overall

1. Claudia Czado
2. M. Janga Reddy
3. Friedrich Schmid
4. Rafael Schmidt
5. Poulomi Ganguli
6. Aaditya Ramdas
7. Aleksey Min
8. F. Serinaldi
9. Subhankar Karmakar
10. Victor DeMiguel

Papers from Gabriel Frahm's perspective

Ordered by how strongly the researchers Gabriel Frahm trusts endorse each paper. Same corpus, a different order for every researcher.

1. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
2. Fonctions de repartition a n dimensions et leurs marges
3. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
4. Modelling Extremal Events for Insurance and Finance
5. Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
6. Elliptical copulas: applicability and limitations
7. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
8. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
9. Dependence Structure and Risk Measure
10. Copula convergence theorems for tail events

Their papers

• Elliptical copulas: applicability and limitations (2003) — 174 citations
• Estimating the tail-dependence coefficient: Properties and pitfalls (2005) — 362 citations
• On the extremal dependence coefficient of multivariate distributions (2006) — 57 citations
• Dominating estimators for minimum-variance portfolios (2010) — 123 citations
• Generalized Elliptical Distributions: Theory and Applications (2004) — 140 citations