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 1 361 2 3 11 886
Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts 0 0 1 84 1 7 18 458
Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts 1 1 1 129 4 5 11 454
Asymmetric multivariate normal mixture GARCH 0 0 0 230 2 4 12 447
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach 0 0 1 64 2 5 15 189
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes 0 0 0 9 4 6 12 25
Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model 0 0 0 33 3 5 13 79
Differential Evolution and Combinatorial Search for Constrained Index Tracking 0 0 0 2 1 2 7 32
ESG-Valued Portfolio Optimization and Dynamic Asset Pricing 0 1 4 36 2 7 31 103
Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR 0 0 0 23 5 8 17 78
Financial market meltdown and a need for new financial regulations 0 0 0 2 3 3 8 21
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data 0 0 0 696 2 4 16 3,258
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 34 5 9 17 164
Hedonic Models of Real Estate Prices: GAM and Environmental Factors 1 1 2 43 1 2 8 23
Memorandum on a new financial architecture and new regulations 0 0 0 5 1 1 6 15
Mixed normal conditional heteroskedasticity 1 3 4 113 2 6 15 226
Modeling and predicting market risk with Laplace-Gaussian mixture distributions 1 1 2 187 3 6 15 759
Multivariate normal mixture GARCH 0 0 0 274 3 3 20 719
Multivariate regimeswitching GARCH with an application to international stock markets 0 0 1 466 1 4 24 823
Operational–risk Dependencies and the Determination of Risk Capital 0 0 0 44 2 2 14 198
Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence 0 0 0 63 1 1 10 170
Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation 0 0 0 14 0 1 4 23
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 0 0 174 4 4 14 392
Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions 0 0 0 273 1 2 16 661
Pricing Derivatives in Hermite Markets 0 0 0 5 1 3 8 34
Pricing derivatives in Hermite markets 0 0 0 7 1 1 6 28
The Instability of the Banking Sector and Macrodynamics: Theory and Empirics 0 0 0 117 2 4 14 289
The Micro Dynamics of Macro Announcements 0 0 0 40 2 2 8 133
The real consequences of financial stress 0 0 1 133 3 4 13 345
The volatility of realized volatility 0 2 2 523 0 4 18 1,261
VaR-implied tail-correlation matrices 0 0 0 68 1 5 69 226
Value-at-Risk and expected shortfall for rare events 0 0 0 301 1 1 10 613
Total Working Papers 4 9 20 4,553 66 124 480 13,132

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 0 191 0 1 10 395
Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts 1 1 1 38 4 8 22 214
Asymmetric multivariate normal mixture GARCH 0 0 1 50 3 4 20 181
Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models 0 1 1 72 1 3 9 297
CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES 0 0 0 33 2 4 9 108
Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model 0 0 0 25 2 4 8 106
Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models 0 0 0 50 1 1 4 249
Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances 0 0 0 46 1 3 6 188
Diagnosing and treating the fat tails in financial returns data 0 1 2 195 4 7 19 454
Die Substitution fossiler Energieträger – die Analyse wirtschaftlicher Kurz- und Langfristwirkungen 1 1 2 6 1 1 8 30
Differential evolution and combinatorial search for constrained index-tracking 0 1 1 2 0 2 13 40
Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries 0 0 0 389 0 0 3 826
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 190 3 5 11 806
Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors 0 0 1 1 1 8 20 29
Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis 0 0 0 8 0 2 7 36
Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market 0 0 0 2 4 7 11 34
Macroeconomic Forecasting Using Pooled International Data 0 0 0 0 0 0 4 119
Macroeconomic dynamics and econometric modelling 0 0 0 5 1 1 4 22
Macroeconomic forecasting experience with balanced state space models 0 0 0 44 0 1 45 151
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions 0 0 4 282 1 1 15 598
Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks 0 0 0 3 2 3 11 17
Modelling Price Inflation Using Polynomial Distributed Lags: The Almon Lag Technique and its Pitfalls 0 0 0 2 3 3 4 13
Modelling and predicting market risk with Laplace-Gaussian mixture distributions 0 0 0 62 4 6 13 259
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 6 66
OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE 0 0 0 8 4 4 10 46
PRICING DERIVATIVES IN HERMITE MARKETS 0 0 0 0 1 3 10 35
Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation 1 1 3 13 6 12 22 63
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 0 0 45 4 5 14 184
Quanto Pricing beyond Black–Scholes 0 0 0 0 1 1 9 19
Quanto option pricing in the presence of fat tails and asymmetric dependence 0 0 0 43 4 8 18 159
Regime dependence of the fiscal multiplier 0 2 3 185 1 6 15 545
Stationarity of stable power-GARCH processes 0 0 4 98 3 4 16 262
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 0 353 0 1 14 1,312
Stock market volatility: Identifying major drivers and the nature of their impact 0 1 3 110 4 6 20 271
Testing cointegrating coefficients in vector autoregressive error correction models 0 0 0 54 3 3 6 168
The Volatility of Realized Volatility 0 0 3 198 0 1 22 567
The determination of the state covariance matrix of moving-average processes without computation 0 0 0 24 2 2 5 74
The real consequences of financial stress 0 0 1 76 1 4 16 326
Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending 0 1 1 43 2 8 11 252
Unconditional and Conditional Distributional Models for the Nikkei Index 0 0 2 68 3 5 17 235
VaR-implied tail-correlation matrices 0 0 2 32 1 2 13 126
Value-at-Risk Prediction: A Comparison of Alternative Strategies 0 3 19 517 5 16 57 1,232
Was bewegt den DAX? 0 0 1 31 1 2 9 148
Total Journal Articles 3 13 55 3,615 84 168 586 11,262

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 2 4 6 19
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data 0 0 0 0 3 4 10 19
Modeling the Dynamics of the Transition to a Green Economy 0 0 0 0 1 3 6 21
On the Methodology of Business Cycle Analysis 0 0 0 9 1 1 7 35
Portfolio Selection with Common Correlation Mixture Models 0 0 0 0 0 1 10 24
Total Chapters 0 0 0 9 7 13 39 118

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