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Browsing All of EconStor by Author Mittnik, Stefan
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Showing results 1 to 20 of 24
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Year of Publication
Title
Author(s)
2002
Mixed normal conditional heteroskedasticity
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
2002
Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger
;
Mittnik, Stefan
2003
Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
Mittnik, Stefan
;
Paolella, Marc S.
2004
Forecasting quarterly German GDP at monthly intervals using monthly IFO business conditions data
Mittnik, Stefan
;
Zadrozny, Peter A.
2004
Assessing Central Bank Credibility During the EMS Crises : Comparing Option and Spot Market-Based Forecasts
Haas, Markus
;
Mittnik, Stefan
;
Mizrach, Bruce
2005
Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
Haas, Markus
;
Mittnik, Stefan
;
Mizrach, Bruce
2005
The volatility of realized volatility
Corsi, Fulvio
;
Kretschmer, Uta
;
Mittnik, Stefan
;
Pigorsch, Christian
2005
Modeling and predicting market risk with Laplace-Gaussian mixture distributions
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
2006
Portfolio optimization when risk factors are conditionally varying and heavy tailed
Doganoglu, Toker
;
Hartz, Christoph
;
Mittnik, Stefan
2006
Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
Hartz, Christoph
;
Mittnik, Stefan
;
Paolella, Marc S.
2006
Multivariate normal mixture GARCH
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
2008
Value-at-Risk and expected shortfall for rare events
Mittnik, Stefan
;
Yener, Tina
2008
Asymmetric multivariate normal mixture GARCH
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
2008
Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus
;
Mittnik, Stefan
2013
Was bewegt den DAX?
Mittnik, Stefan
;
Robinzonov, Nikolay
;
Wohlrabe, Klaus
2013
The Micro Dynamics of Macro Announcements
Mittnik, Stefan
;
Robinzonov, Nikolay
;
Wohlrabe, Klaus
2013
VaR-implied tail-correlation matrices
Mittnik, Stefan
2013
The real consequences of financial stress
Mittnik, Stefan
;
Semmler, Willi
2014
Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence
Mittnik, Stefan
;
Semmler, Willi
2020
Climate disaster risks: Empirics and a multi-phase dynamic model
Mittnik, Stefan
;
Semmler, Willi
;
Haider, Alexander