Browsing All of EconStor by Author Mittnik, Stefan

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Showing results 1 to 19 of 19
Year of PublicationTitleAuthor(s)
2002 Mixed normal conditional heteroskedasticityHaas, Markus; Mittnik, Stefan; Paolella, Marc S.
2002 Forecasting stock market volatility and the informational efficiency of the DAX-index options marketClaessen, Holger; Mittnik, Stefan
2003 Prediction of Financial Downside-Risk with Heavy-Tailed Conditional DistributionsMittnik, Stefan; Paolella, Marc S.
2004 Forecasting quarterly German GDP at monthly intervals using monthly IFO business conditions dataMittnik, Stefan; Zadrozny, Peter A.
2004 Assessing Central Bank Credibility During the EMS Crises : Comparing Option and Spot Market-Based ForecastsHaas, Markus; Mittnik, Stefan; Mizrach, Bruce
2005 The volatility of realized volatilityCorsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; Pigorsch, Christian
2005 Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecastsHaas, Markus; Mittnik, Stefan; Mizrach, Bruce
2005 Modeling and predicting market risk with Laplace-Gaussian mixture distributionsHaas, Markus; Mittnik, Stefan; Paolella, Marc S.
2006 Multivariate normal mixture GARCHHaas, Markus; Mittnik, Stefan; Paolella, Marc S.
2006 Accurate Value-at-Risk forecast with the (good old) normal-GARCH modelHartz, Christoph; Mittnik, Stefan; Paolella, Marc S.
2006 Portfolio optimization when risk factors are conditionally varying and heavy tailedDoganoglu, Toker; Hartz, Christoph; Mittnik, Stefan
2008 Asymmetric multivariate normal mixture GARCHHaas, Markus; Mittnik, Stefan; Paolella, Marc S.
2008 Value-at-Risk and expected shortfall for rare eventsMittnik, Stefan; Yener, Tina
2008 Multivariate regimeswitching GARCH with an application to international stock marketsHaas, Markus; Mittnik, Stefan
2013 VaR-implied tail-correlation matricesMittnik, Stefan
2013 Was bewegt den DAX?Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus
2013 The real consequences of financial stressMittnik, Stefan; Semmler, Willi
2013 The Micro Dynamics of Macro AnnouncementsMittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus
2014 Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidenceMittnik, Stefan; Semmler, Willi