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Goethe-Universität Frankfurt am Main
Center for Financial Studies (CFS), Goethe-Universität Frankfurt a. M.
CFS Working Paper Series, Universität Frankfurt a. M.
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Results 1-10 of 13.
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Item hits:
Year of Publication
Title
Author(s)
2008
Value-at-Risk and expected shortfall for rare events
Mittnik, Stefan
;
Yener, Tina
2005
Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
Haas, Markus
;
Mittnik, Stefan
;
Mizrach, Bruce
2006
Portfolio optimization when risk factors are conditionally varying and heavy tailed
Doganoglu, Toker
;
Hartz, Christoph
;
Mittnik, Stefan
2003
Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
Mittnik, Stefan
;
Paolella, Marc S.
2002
Mixed normal conditional heteroskedasticity
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
2008
Asymmetric multivariate normal mixture GARCH
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
2006
Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
Hartz, Christoph
;
Mittnik, Stefan
;
Paolella, Marc S.
2005
The volatility of realized volatility
Corsi, Fulvio
;
Kretschmer, Uta
;
Mittnik, Stefan
;
Pigorsch, Christian
2006
Multivariate normal mixture GARCH
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
2005
Modeling and predicting market risk with Laplace-Gaussian mixture distributions
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
Author
6
Haas, Markus
6
Paolella, Marc S.
2
Hartz, Christoph
1
Claessen, Holger
1
Corsi, Fulvio
1
Doganoglu, Toker
1
Kretschmer, Uta
1
Mizrach, Bruce
1
Pigorsch, Christian
1
Yener, Tina
.
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2010 - 2013
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2002 - 2009