Stefan Mittnik
Names
| first: |
Stefan |
| last: |
Mittnik |
Identifer
Contact
Affiliations
-
Ludwig-Maximilians-Universität München
/ Institut für Statistik
/ Center for Quantitative Risk Analysis (CEQURA) (weight: 90%)
-
CESifo (weight: 5%)
-
Center for Financial Studies (weight: 5%)
Research profile
author of:
- Pricing Derivatives in Hermite Markets (RePEc:arx:papers:1612.07016)
by Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi - Pricing derivatives in Hermite markets (RePEc:arx:papers:1709.09068)
by Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi - Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach (RePEc:arx:papers:1710.03211)
by Svetlozar Rachev & Stoyan Stoyanov & Stefan Mittnik & Frank J. Fabozzi & Abootaleb Shirvani - Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation (RePEc:arx:papers:2009.11367)
by Cheng Peng & Young Shin Kim & Stefan Mittnik - Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes (RePEc:arx:papers:2109.15051)
by Abootaleb Shirvani & Stefan Mittnik & W. Brent Lindquist & Svetlozar T. Rachev - ESG-Valued Portfolio Optimization and Dynamic Asset Pricing (RePEc:arx:papers:2206.02854)
by Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev - Hedonic Models of Real Estate Prices: GAM and Environmental Factors (RePEc:arx:papers:2210.14266)
by Jason R. Bailey & Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev - Macroeconomic Forecasting Using Pooled International Data (RePEc:bes:jnlbes:v:8:y:1990:i:2:p:205-08)
by Mittnik, Stefan - Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis (RePEc:bla:ecnote:v:45:y:2016:i:3:p:393-422)
by Ekkehard Ernst & Stefan Mittnik & Willi Semmler - Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances (RePEc:bpj:sndecm:v:1:y:1996:i:3:n:1)
by Kim Jeong-Ryeol & Mittnik Stefan & Rachev Svetlozar T. - Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data (RePEc:bpj:sndecm:v:6:y:2002:i:1:n:2)
by Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan - Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data (RePEc:ces:ceswps:_1203)
by Stefan Mittnik & Peter A. Zadrozny - The Micro Dynamics of Macro Announcements (RePEc:ces:ceswps:_4421)
by Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe - Was bewegt den DAX? (RePEc:ces:ifosdt:v:66:y:2013:i:23:p:32-36)
by Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe - Unknown item RePEc:cfs:cfswop:wp200304 (paper)
- Unknown item RePEc:cfs:cfswop:wp200509 (paper)
- Unknown item RePEc:cfs:cfswop:wp200511 (paper)
- Unknown item RePEc:cfs:cfswop:wp200533 (paper)
- Unknown item RePEc:cfs:cfswop:wp200609 (paper)
- Unknown item RePEc:cfs:cfswop:wp200623 (paper)
- Unknown item RePEc:cfs:cfswop:wp200624 (paper)
- Unknown item RePEc:cfs:cfswop:wp200807 (paper)
- Unknown item RePEc:cfs:cfswop:wp200808 (paper)
- Unknown item RePEc:cfs:cfswop:wp200814 (paper)
- Chi-Square-Type Distributions For Heavy-Tailed Variates (RePEc:cup:etheor:v:14:y:1998:i:03:p:339-354_14)
by Mittnik, Stefan & Rachev, Svetlozar T. & Kim, Jeong-Ryeol - Overleveraging, Financial Fragility, And The Banking–Macro Link: Theory And Empirical Evidence (RePEc:cup:macdyn:v:22:y:2018:i:01:p:4-32_00)
by Mittnik, Stefan & Semmler, Willi - The Instability of the Banking Sector and Macrodynamics: Theory and Empirics (RePEc:deg:conpap:c016_080)
by Stefan Mittnik & Willi Semmler - Die Substitution fossiler Energieträger – die Analyse wirtschaftlicher Kurz- und Langfristwirkungen (RePEc:diw:diwvjh:91-3-2)
by Stefan Mittnik & Willi Semmler - Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models (RePEc:ecm:emetrp:v:61:y:1993:i:4:p:857-70)
by Mittnik, Stefan & Zadrozny, Peter A - Accurate value-at-risk forecasting based on the normal-GARCH model (RePEc:eee:csdana:v:51:y:2006:i:4:p:2295-2312)
by Hartz, Christoph & Mittnik, Stefan & Paolella, Marc - Asymmetric multivariate normal mixture GARCH (RePEc:eee:csdana:v:53:y:2009:i:6:p:2129-2154)
by Haas, Markus & Mittnik, Stefan & Paolella, Marc S. - Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models (RePEc:eee:dyncon:v:15:y:1991:i:4:p:731-740)
by Mittnik, Stefan - The real consequences of financial stress (RePEc:eee:dyncon:v:37:y:2013:i:8:p:1479-1499)
by Mittnik, Stefan & Semmler, Willi - VaR-implied tail-correlation matrices (RePEc:eee:ecolet:v:122:y:2014:i:1:p:69-73)
by Mittnik, Stefan - The determination of the state covariance matrix of moving-average processes without computation (RePEc:eee:ecolet:v:23:y:1987:i:2:p:177-179)
by Mittnik, Stefan - Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes (RePEc:eee:ecolet:v:23:y:1987:i:3:p:279-284)
by Mittnik, Stefan - Testing cointegrating coefficients in vector autoregressive error correction models (RePEc:eee:ecolet:v:58:y:1998:i:1:p:1-5)
by Hansen, Gerd & Kim, Jeong-Ryeol & Mittnik, Stefan - Stationarity of stable power-GARCH processes (RePEc:eee:econom:v:106:y:2002:i:1:p:97-107)
by Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T. - Quanto option pricing in the presence of fat tails and asymmetric dependence (RePEc:eee:econom:v:187:y:2015:i:2:p:512-520)
by Kim, Young Shin & Lee, Jaesung & Mittnik, Stefan & Park, Jiho - Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions (RePEc:eee:econom:v:59:y:1993:i:3:p:319-341)
by Braun, Phillip A. & Mittnik, Stefan - Macroeconomic dynamics and econometric modelling (RePEc:eee:ejores:v:30:y:1987:i:3:p:258-261)
by Mittnik, Stefan - Diagnosing and treating the fat tails in financial returns data (RePEc:eee:empfin:v:7:y:2000:i:3-4:p:389-416)
by Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T. - Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts (RePEc:eee:finsta:v:2:y:2006:i:1:p:28-54)
by Haas, Markus & Mittnik, Stefan & Mizrach, Bruce - Macroeconomic forecasting experience with balanced state space models (RePEc:eee:intfor:v:6:y:1990:i:3:p:337-348)
by Mittnik, Stefan - Stock market volatility: Identifying major drivers and the nature of their impact (RePEc:eee:jbfina:v:58:y:2015:i:c:p:1-14)
by Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin - Regime dependence of the fiscal multiplier (RePEc:eee:jeborg:v:83:y:2012:i:3:p:502-522)
by Mittnik, Stefan & Semmler, Willi - Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR (RePEc:ekd:002672:4122)
by Willi Semmler & Stefan Mittnik - On the Methodology of Business Cycle Analysis (RePEc:elg:eechap:12661_17)
by Stefan Mittnik & Klaus Wohlrabe - Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model (RePEc:gam:jecnmx:v:8:y:2020:i:3:p:33-:d:400531)
by Stefan Mittnik & Willi Semmler & Alexander Haider - Quanto Pricing beyond Black–Scholes (RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:136-:d:522549)
by Holger Fink & Stefan Mittnik - Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors (RePEc:gam:jjrfmx:v:15:y:2022:i:12:p:601-:d:1001771)
by Jason Robert Bailey & Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev - Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation (RePEc:gam:jjrfmx:v:15:y:2022:i:5:p:230-:d:821738)
by Cheng Peng & Young Shin Kim & Stefan Mittnik - The Real Consequences of Financial Stress (RePEc:hum:wpaper:sfb649dp2013-011)
by Stefan Mittnik & Willi Semmler - Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model (RePEc:imf:imfwpa:2019/145)
by Stefan Mittnik & Willi Semmler & Alexander Haider - Modelling Price Inflation Using Polynomial Distributed Lags: The Almon Lag Technique and its Pitfalls (RePEc:jns:jbstat:v:201:y:1986:i:5:p:518-526:n:7)
by Mittnik Stefan - Unconditional and Conditional Distributional Models for the Nikkei Index (RePEc:kap:apfinm:v:5:y:1998:i:2:p:99-128)
by Stefan Mittnik & Marc Paolella & Svetlozar Rachev - Portfolio optimization when risk factors are conditionally varying and heavy tailed (RePEc:kap:compec:v:29:y:2007:i:3:p:333-354)
by Toker Doganoglu & Christoph Hartz & Stefan Mittnik - Operational–risk Dependencies and the Determination of Risk Capital (RePEc:mod:recent:070)
by Stefan Mittnik & Sandra Paterlini & Tina Yener - Differential Evolution and Combinatorial Search for Constrained Index Tracking (RePEc:mod:wcefin:0016)
by Thiemo Krink & Stefan Mittnik & Sandra Paterlini - Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending (RePEc:oup:ecinqu:v:41:y:2003:i:4:p:565-573)
by Stefan Mittnik & Thorsten Neumann - Value-at-Risk Prediction: A Comparison of Alternative Strategies (RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89)
by Keith Kuester & Stefan Mittnik & Marc S. Paolella - Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts (RePEc:rut:rutres:200424)
by Markus Haas & Stefan Mittnik & Bruce Mizrach - Differential evolution and combinatorial search for constrained index-tracking (RePEc:spr:annopr:v:172:y:2009:i:1:p:153-176:10.1007/s10479-009-0552-1)
by Thiemo Krink & Stefan Mittnik & Sandra Paterlini - Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data (RePEc:spr:conchp:978-3-7908-1605-1_2)
by Stefan Mittnik & Peter Zadrozny - Portfolio Selection with Common Correlation Mixture Models (RePEc:spr:conchp:978-3-7908-2050-8_4)
by Markus Haas & Stefan Mittnik - Estimating a Banking-Macro Model Using a Multi-regime VAR (RePEc:spr:dymchp:978-3-642-42039-9_1)
by Stefan Mittnik & Willi Semmler - Modeling the Dynamics of the Transition to a Green Economy (RePEc:spr:dymchp:978-3-642-54086-8_4)
by Stefan Mittnik & Willi Semmler & Mika Kato & Daniel Samaan - Dynamic Modeling and Econometrics in Economics and Finance (RePEc:spr:dymeef)
from Springer as editor - Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries (RePEc:spr:empeco:v:26:y:2001:i:2:p:429-446)
by Stefan Mittnik & Thorsten Neumann - Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks (RePEc:spr:metcap:v:12:y:2010:i:3:d:10.1007_s11009-007-9066-y)
by Stefan Mittnik & Irina Starobinskaya - Unknown item RePEc:taf:apfiec:v:16:y:2006:i:15:p:1145-1162 (article)
- The Volatility of Realized Volatility (RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:46-78)
by Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch - Forecasting stock market volatility and the informational efficiency of the DAX-index options market (RePEc:taf:eurjfi:v:8:y:2002:i:3:p:302-321)
by Holger Claessen & Stefan Mittnik - Memorandum on a new financial architecture and new regulations (RePEc:uts:ppaper:2009-7)
by Teresa Ghilarducci & Edward Nell & Stefan Mittnik & Eckhard Platen & Willi Semmler & Raphaele Chappe - Financial market meltdown and a need for new financial regulations (RePEc:uts:ppaper:2009-8)
by Stefan Mittnik & Edward Nell & Eckhard Platen & Willi Semmler & Raphaele Chappe - Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market (RePEc:wly:jfutmk:v:20:y:2000:i:5:p:405-424)
by Stefan Mittnik & Sascha Rieken - Pricing Derivatives In Hermite Markets (RePEc:wsi:ijtafx:v:22:y:2019:i:06:n:s0219024919500316)
by Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi - Forecasting stock market volatility and the informational efficiency of the DAX-index options market (RePEc:zbw:cfswop:200204)
by Claessen, Holger & Mittnik, Stefan - Mixed normal conditional heteroskedasticity (RePEc:zbw:cfswop:200210)
by Haas, Markus & Mittnik, Stefan & Paolella, Marc S. - Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions (RePEc:zbw:cfswop:200304)
by Mittnik, Stefan & Paolella, Marc S. - Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts (RePEc:zbw:cfswop:200509)
by Haas, Markus & Mittnik, Stefan & Mizrach, Bruce - Modeling and predicting market risk with Laplace-Gaussian mixture distributions (RePEc:zbw:cfswop:200511)
by Haas, Markus & Mittnik, Stefan & Paolella, Marc S. - The volatility of realized volatility (RePEc:zbw:cfswop:200533)
by Corsi, Fulvio & Kretschmer, Uta & Mittnik, Stefan & Pigorsch, Christian - Multivariate normal mixture GARCH (RePEc:zbw:cfswop:200609)
by Haas, Markus & Mittnik, Stefan & Paolella, Marc S. - Accurate Value-at-Risk forecast with the (good old) normal-GARCH model (RePEc:zbw:cfswop:200623)
by Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S. - Portfolio optimization when risk factors are conditionally varying and heavy tailed (RePEc:zbw:cfswop:200624)
by Doganoglu, Toker & Hartz, Christoph & Mittnik, Stefan - Asymmetric multivariate normal mixture GARCH (RePEc:zbw:cfswop:200807)
by Haas, Markus & Mittnik, Stefan & Paolella, Marc S. - Multivariate regimeswitching GARCH with an application to international stock markets (RePEc:zbw:cfswop:200808)
by Haas, Markus & Mittnik, Stefan - Value-at-Risk and expected shortfall for rare events (RePEc:zbw:cfswop:200814)
by Mittnik, Stefan & Yener, Tina - VaR-implied tail-correlation matrices (RePEc:zbw:cfswop:201305)
by Mittnik, Stefan - The real consequences of financial stress (RePEc:zbw:sfb649:sfb649dp2013-011)
by Mittnik, Stefan & Semmler, Willi - Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence (RePEc:zbw:zewdip:14110)
by Mittnik, Stefan & Semmler, Willi