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 1 2 361 0 1 5 877
Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts 0 0 0 83 1 1 2 441
Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts 0 0 1 128 1 1 4 446
Asymmetric multivariate normal mixture GARCH 0 0 3 230 2 4 8 440
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach 0 0 0 63 2 3 4 177
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes 0 0 0 9 0 2 3 16
Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model 0 0 1 33 1 1 4 68
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 0 0 7 35 3 7 39 94
Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR 0 0 0 23 2 3 4 64
Financial market meltdown and a need for new financial regulations 0 0 0 2 1 2 3 15
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data 0 0 0 696 2 3 11 3,249
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 34 3 6 9 154
Hedonic Models of Real Estate Prices: GAM and Environmental Factors 1 1 2 42 3 3 5 18
Memorandum on a new financial architecture and new regulations 0 0 0 5 1 1 1 10
Mixed normal conditional heteroskedasticity 0 0 0 109 2 4 7 216
Modeling and predicting market risk with Laplace-Gaussian mixture distributions 0 0 2 185 1 2 6 746
Multivariate normal mixture GARCH 0 0 0 274 2 6 9 708
Multivariate regimeswitching GARCH with an application to international stock markets 1 1 2 466 5 8 11 809
Operational–risk Dependencies and the Determination of Risk Capital 0 0 0 44 1 1 1 185
Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence 0 0 0 63 2 2 3 162
Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation 0 0 0 14 0 2 2 21
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 0 2 174 0 0 7 382
Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions 0 0 0 273 3 3 6 651
Pricing Derivatives in Hermite Markets 0 0 0 5 0 2 3 28
Pricing derivatives in Hermite markets 0 0 0 7 0 0 4 23
The Instability of the Banking Sector and Macrodynamics: Theory and Empirics 0 0 0 117 1 2 5 280
The Micro Dynamics of Macro Announcements 0 0 0 40 0 3 6 128
The real consequences of financial stress 0 0 2 133 1 1 6 336
The volatility of realized volatility 0 0 3 521 2 3 11 1,250
VaR-implied tail-correlation matrices 0 0 0 68 1 2 3 159
Value-at-Risk and expected shortfall for rare events 0 0 1 301 0 1 6 607
Total Working Papers 2 3 28 4,540 43 80 198 12,785

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 0 1 191 2 2 6 388
Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts 0 0 0 37 0 1 2 194
Asymmetric multivariate normal mixture GARCH 0 1 1 50 1 3 4 165
Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models 0 0 0 71 0 0 0 288
CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES 0 0 0 33 1 2 4 101
Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model 0 0 1 25 1 2 4 100
Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models 0 0 0 50 0 1 1 246
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 3 194 2 3 8 441
Die Substitution fossiler Energieträger – die Analyse wirtschaftlicher Kurz- und Langfristwirkungen 0 1 1 5 3 5 7 27
Differential evolution and combinatorial search for constrained index-tracking 0 0 0 1 1 4 4 31
Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries 0 0 0 389 1 1 4 825
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 190 1 2 3 797
Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors 1 1 1 1 2 5 7 15
Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis 0 0 0 8 0 0 0 29
Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market 0 0 0 2 1 1 1 24
Macroeconomic Forecasting Using Pooled International Data 0 0 0 0 0 1 3 116
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 1 1 1 107
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions 1 1 5 280 2 4 13 590
Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks 0 0 0 3 0 4 6 10
Modelling Price Inflation Using Polynomial Distributed Lags: The Almon Lag Technique and its Pitfalls 0 0 0 2 0 0 1 9
Modelling and predicting market risk with Laplace-Gaussian mixture distributions 0 0 0 62 0 0 2 247
Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes 0 0 0 21 0 0 3 62
OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE 0 0 0 8 0 0 4 39
PRICING DERIVATIVES IN HERMITE MARKETS 0 0 0 0 2 3 4 29
Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation 0 0 1 11 0 2 9 46
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 0 0 45 3 6 6 176
Quanto Pricing beyond Black–Scholes 0 0 0 0 1 2 2 12
Quanto option pricing in the presence of fat tails and asymmetric dependence 0 0 0 43 0 1 6 146
Regime dependence of the fiscal multiplier 0 0 6 183 1 2 11 534
Stationarity of stable power-GARCH processes 0 0 1 95 3 3 15 250
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 0 353 1 1 4 1,300
Stock market volatility: Identifying major drivers and the nature of their impact 0 1 7 109 0 4 19 258
Testing cointegrating coefficients in vector autoregressive error correction models 0 0 0 54 0 1 2 163
The Volatility of Realized Volatility 0 0 4 198 1 5 25 560
The determination of the state covariance matrix of moving-average processes without computation 0 0 0 24 0 0 1 70
The real consequences of financial stress 1 1 1 76 1 3 5 314
Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending 0 0 0 42 0 1 2 242
Unconditional and Conditional Distributional Models for the Nikkei Index 0 0 2 68 0 2 8 225
VaR-implied tail-correlation matrices 0 0 3 32 0 0 9 119
Value-at-Risk Prediction: A Comparison of Alternative Strategies 3 9 22 512 4 16 51 1,207
Was bewegt den DAX? 0 0 1 31 0 0 8 144
Total Journal Articles 6 15 61 3,594 36 94 275 10,846

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 1 13
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data 0 0 0 0 1 2 2 11
Modeling the Dynamics of the Transition to a Green Economy 0 0 0 0 1 2 2 17
On the Methodology of Business Cycle Analysis 0 0 0 9 1 1 4 31
Portfolio Selection with Common Correlation Mixture Models 0 0 0 0 2 2 3 17
Total Chapters 0 0 0 9 5 7 12 89

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Statistics updated 2025-12-06