Access Statistics for Stefan Mittnik

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Accurate Value-at-Risk forecast with the (good old) normal-GARCH model 0 0 0 359 1 1 1 873
Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts 0 0 0 83 1 1 1 440
Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts 0 0 1 127 0 0 1 442
Asymmetric multivariate normal mixture GARCH 0 2 4 229 0 2 4 434
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach 0 0 1 63 0 1 3 174
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes 0 0 0 9 0 0 1 13
Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model 0 1 2 33 0 1 2 65
Differential Evolution and Combinatorial Search for Constrained Index Tracking 0 0 0 2 0 0 0 25
ESG-Valued Portfolio Optimization and Dynamic Asset Pricing 1 4 8 32 2 10 25 65
Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR 0 0 0 23 1 1 2 61
Financial market meltdown and a need for new financial regulations 0 0 0 2 0 0 0 12
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data 0 0 3 696 0 2 7 3,240
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 34 0 1 9 146
Hedonic Models of Real Estate Prices: GAM and Environmental Factors 1 1 2 41 1 2 6 15
Memorandum on a new financial architecture and new regulations 0 0 0 5 0 0 0 9
Mixed normal conditional heteroskedasticity 0 0 2 109 0 1 5 210
Modeling and predicting market risk with Laplace-Gaussian mixture distributions 0 1 2 184 2 3 5 743
Multivariate normal mixture GARCH 0 0 3 274 0 0 3 699
Multivariate regimeswitching GARCH with an application to international stock markets 0 0 2 464 0 0 2 798
Operational–risk Dependencies and the Determination of Risk Capital 0 0 1 44 0 0 1 184
Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence 0 0 1 63 1 1 3 160
Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation 0 0 0 14 0 0 1 19
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 2 2 174 1 3 4 378
Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions 0 0 0 273 0 0 5 645
Pricing Derivatives in Hermite Markets 0 0 0 5 1 1 4 26
Pricing derivatives in Hermite markets 0 0 0 7 2 3 4 22
The Instability of the Banking Sector and Macrodynamics: Theory and Empirics 0 0 1 117 0 0 3 275
The Micro Dynamics of Macro Announcements 0 0 0 40 1 2 4 124
The real consequences of financial stress 0 0 3 131 0 1 5 331
The volatility of realized volatility 1 1 3 519 2 2 8 1,241
VaR-implied tail-correlation matrices 0 0 0 68 0 0 1 156
Value-at-Risk and expected shortfall for rare events 0 0 1 300 0 1 4 602
Total Working Papers 3 12 42 4,524 16 40 124 12,627

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Accurate value-at-risk forecasting based on the normal-GARCH model 0 1 1 191 1 2 2 384
Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts 0 0 0 37 0 0 3 192
Asymmetric multivariate normal mixture GARCH 0 0 1 49 0 0 2 161
Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models 0 0 0 71 0 0 1 288
CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES 0 0 0 33 2 2 3 99
Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model 1 1 2 25 1 1 7 97
Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models 0 0 1 50 0 0 1 245
Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances 0 0 0 46 0 0 0 182
Diagnosing and treating the fat tails in financial returns data 0 0 1 191 0 0 2 433
Die Substitution fossiler Energieträger – die Analyse wirtschaftlicher Kurz- und Langfristwirkungen 0 0 0 4 1 2 4 22
Differential evolution and combinatorial search for constrained index-tracking 0 0 0 1 0 0 0 27
Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries 0 0 1 389 0 0 4 821
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 190 1 1 3 795
Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors 0 0 0 0 0 0 5 8
Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis 0 0 1 8 0 0 2 29
Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market 0 0 0 2 0 0 0 23
Macroeconomic Forecasting Using Pooled International Data 0 0 0 0 1 1 1 114
Macroeconomic dynamics and econometric modelling 0 0 0 5 0 0 0 18
Macroeconomic forecasting experience with balanced state space models 0 0 0 44 0 0 1 106
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions 1 2 10 277 1 5 21 582
Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks 0 0 0 3 1 1 2 5
Modelling Price Inflation Using Polynomial Distributed Lags: The Almon Lag Technique and its Pitfalls 0 0 0 2 0 0 0 8
Modelling and predicting market risk with Laplace-Gaussian mixture distributions 0 0 0 62 0 0 0 245
Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes 0 0 0 21 1 1 1 60
OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE 0 0 1 8 1 1 2 36
PRICING DERIVATIVES IN HERMITE MARKETS 0 0 0 0 0 0 1 25
Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation 0 0 3 10 1 3 23 40
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 0 0 45 0 0 0 170
Quanto Pricing beyond Black–Scholes 0 0 0 0 0 0 1 10
Quanto option pricing in the presence of fat tails and asymmetric dependence 0 0 4 43 0 1 9 141
Regime dependence of the fiscal multiplier 2 4 12 181 3 6 18 529
Stationarity of stable power-GARCH processes 0 0 0 94 10 11 12 246
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 1 353 0 1 2 1,297
Stock market volatility: Identifying major drivers and the nature of their impact 1 2 14 104 3 6 32 245
Testing cointegrating coefficients in vector autoregressive error correction models 0 0 0 54 0 0 0 161
The Volatility of Realized Volatility 0 1 5 195 3 8 29 543
The determination of the state covariance matrix of moving-average processes without computation 0 0 0 24 0 0 0 69
The real consequences of financial stress 0 0 0 75 0 1 6 310
Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending 0 0 0 42 1 1 1 241
Unconditional and Conditional Distributional Models for the Nikkei Index 0 0 2 66 0 1 3 218
VaR-implied tail-correlation matrices 0 1 1 30 1 3 6 113
Value-at-Risk Prediction: A Comparison of Alternative Strategies 1 4 24 494 5 11 64 1,167
Was bewegt den DAX? 0 0 1 30 0 2 4 138
Total Journal Articles 6 16 86 3,549 38 72 278 10,643

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Estimating a Banking-Macro Model Using a Multi-regime VAR 0 0 0 0 0 0 2 12
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data 0 0 0 0 0 0 1 9
Modeling the Dynamics of the Transition to a Green Economy 0 0 0 0 0 0 4 15
On the Methodology of Business Cycle Analysis 0 0 0 9 1 1 1 28
Portfolio Selection with Common Correlation Mixture Models 0 0 0 0 0 0 0 14
Total Chapters 0 0 0 9 1 1 8 78

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-03-03