Stefan Mittnik
Stefan Mittnik
Professor of Financial Econometrics, Ludwig-Maximilians-Universität (LMU) Munich
Verified email at stat.uni-muenchen.de - Homepage
Title
Cited by
Cited by
Year
Stable Paretian models in finance
ST Rachev, S Mittnik
Wiley, 2000
11112000
Value-at-risk prediction: A comparison of alternative strategies
K Kuester, S Mittnik, MS Paolella
Journal of Financial Econometrics 4 (1), 53-89, 2006
7562006
A new approach to Markov-switching GARCH models
M Haas, S Mittnik, MS Paolella
Journal of financial econometrics 2 (4), 493-530, 2004
5392004
Modeling asset returns with alternative stable distributions
S Mittnik, ST Rachev
Econometric reviews 12 (3), 261-330, 1993
4331993
The volatility of realized volatility
F Corsi, S Mittnik, C Pigorsch, U Pigorsch
Econometric Reviews 27 (1-3), 46-78, 2008
4292008
Mixed normal conditional heteroskedasticity
M Haas, S Mittnik, MS Paolella
Journal of financial Econometrics 2 (2), 211-250, 2004
2492004
Financial econometrics: from basics to advanced modeling techniques
ST Rachev, S Mittnik, FJ Fabozzi, SM Focardi
John Wiley & Sons, 2007
2342007
Conditional density and value‐at‐risk prediction of Asian currency exchange rates
S Mittnik, MS Paolella
Journal of Forecasting 19 (4), 313-333, 2000
2272000
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
PA Braun, S Mittnik
Journal of Econometrics 59 (3), 319-341, 1993
1791993
Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries
S Mittnik, T Neumann
Empirical Economics 26 (2), 429-446, 2001
1552001
Computing the probability density function of the stable Paretian distribution
S Mittnik, T Doganoglu, D Chenyao
Mathematical and Computer Modelling 29 (10-12), 235-240, 1999
1491999
Regime dependence of the fiscal multiplier
S Mittnik, W Semmler
Journal of Economic Behavior & Organization 83 (3), 502-522, 2012
1482012
Maximum likelihood estimation of stable Paretian models
S Mittnik, T Doganoglu, D Chenyao
Mathematical and Computer Modelling 29 (10-12), 275-293, 1999
1481999
Stable Paretian modeling in finance: Some empirical and theoretical aspects
S Mittnik, ST Rachev, MS Paolella
A practical guide to heavy tails, 79-110, 1998
132*1998
Stationarity of stable power-GARCH processes
S Mittnik, MS Paolella, ST Rachev
Journal of Econometrics 106 (1), 97-107, 2002
1242002
Diagnosing and treating the fat tails in financial returns data
S Mittnik, MS Paolella, ST Rachev
Journal of Empirical Finance 7 (3-4), 389-416, 2000
1192000
Stable Paretian modeling in finance: Some empirical and theoretical aspects
S Mittnik, ST Rachev, MS Paolella
A practical guide to heavy tails, 79-110, 1998
1191998
Stable GARCH models for financial time series
AK Panorska, S Mittnik, ST Rachev
Applied Mathematics Letters 8 (5), 33-37, 1995
1101995
Accurate value-at-risk forecasting based on the normal-GARCH model
C Hartz, S Mittnik, M Paolella
Computational Statistics & Data Analysis 51 (4), 2295-2312, 2006
1092006
The real consequences of financial stress
S Mittnik, W Semmler
Journal of Economic Dynamics and Control 37 (8), 1479-1499, 2013
982013
The system can't perform the operation now. Try again later.
Articles 1–20