Rdiger Frey
Impact in
- Finance top 0.2%
- Financial Risk and Volatility Modeling
- Stochastic processes and financial applications
- Credit Risk and Financial Regulations
- Financial Markets and Investment Strategies
-
- Monetary Policy and Economic Impact
Papers in
- Finance 39
- Stochastic processes and financial applications 29
- Credit Risk and Financial Regulations 20
- Financial Risk and Volatility Modeling 13
- Banking stability, regulation, efficiency 11
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- Complex Systems and Time Series Analysis 5
- Economic theories and models 5
- Co-authors
- Alexander J. McNeil (5 shared papers)Wolfgang J. Runggaldier (4 shared papers)Thorsten Schmidt (3 shared papers)Pierre Patie (1 shared paper)Marek Rutkowski (1 shared paper)Marek Musiela (1 shared paper)Wolfgang Runggaldier (1 shared paper)Paul Embrechts (3 shared papers)
- Journals
- Mathematical Finance (6 papers)International Journal of Theoretical and Applied Finance (4 papers)Journal of Banking & Finance (2 papers)Journal of the American Statistical Association (2 papers)Finance and Stochastics (2 papers)
- Partner nations
- AustriaGermanySwitzerland
In The Last Decade
Rdiger Frey
46 papers receiving 2.0k citations
Rdiger Frey's Hit Papers
Peers
Comparison fields: 5 of 76
- Finance 1.9k
- General Economics, Econometrics and Finance 383
- Economics and Econometrics 1.2k
- Management Science and Operations Research 376
- Statistics and Probability 154
Countries citing papers authored by Rdiger Frey
This map shows the geographic impact of Rdiger Frey's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Rdiger Frey with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Rdiger Frey more than expected).
Fields of papers citing papers by Rdiger Frey
This network shows the impact of papers produced by Rdiger Frey. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Rdiger Frey. The network helps show where Rdiger Frey may publish in the future.
Co-authors
The 17 scholars most cited alongside Rdiger Frey, linked wherever they have co-authored with each other. Click a name or a connecting line to browse the papers they share.
All Works
Showing the 20 most-cited of 47 papers — load more, or switch the sort, to bring in the rest.
| # | Work | ||
|---|---|---|---|
| 1 | Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach Hit paper breakdown → | 2000 | 1070 |
| 2 | 2003 | 142 | |
| 3 | 2002 | 110 | |
| 4 | 1997 | 100 | |
| 5 | 2001 | 76 | |
| 6 | 2001 | 69 | |
| 7 | 1998 | 66 | |
| 8 | 2008 | 55 | |
| 9 | 2002 | 49 | |
| 10 | 1999 | 47 | |
| 11 | 2000 | 44 | |
| 12 | 1999 | 32 | |
| 13 | 1999 | 32 | |
| 14 | 2011 | 31 | |
| 15 | 2010 | 29 | |
| 16 | 2009 | 24 | |
| 17 | 2011 | 23 | |
| 18 | 2009 | 22 | |
| 19 | Quantitative Risk Management: Concepts, Techniques and Tools : Concepts, Techniques and Tools | 2015 | 20 |
| 20 | 2013 | 17 |
About Rdiger Frey
Rdiger Frey is a scholar working on Finance, Economics and Econometrics, Management Science and Operations Research, Demography and General Economics, Econometrics and Finance, having authored 47 papers that have together received 2.2k indexed citations. Recurring topics across this work include Stochastic processes and financial applications (29 papers), Credit Risk and Financial Regulations (20 papers), Financial Risk and Volatility Modeling (13 papers), Banking stability, regulation, efficiency (11 papers), Risk and Portfolio Optimization (8 papers), Insurance, Mortality, Demography, Risk Management (6 papers), Complex Systems and Time Series Analysis (5 papers) and Economic theories and models (5 papers). The work is most often cited by research in Finance (1.9k citations), General Economics, Econometrics and Finance (383 citations), Economics and Econometrics (1.2k citations), Management Science and Operations Research (376 citations) and Statistics and Probability (154 citations). Rdiger Frey has collaborated with scholars based in Austria, Germany and Switzerland. Frequent co-authors include Alexander J. McNeil, Wolfgang J. Runggaldier, Thorsten Schmidt, Pierre Patie, Marek Rutkowski, Marek Musiela, Wolfgang Runggaldier, Paul Embrechts, Bert E. Fristedt and Lawrence F. Gray. Their work appears in journals such as Mathematical Finance, International Journal of Theoretical and Applied Finance, Journal of Banking & Finance, Journal of the American Statistical Association and Finance and Stochastics.
Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.