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 0 2 10 886
Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts 0 0 1 84 1 2 19 459
Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts 0 1 1 129 0 5 12 455
Asymmetric multivariate normal mixture GARCH 0 0 0 230 0 2 12 447
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach 0 0 1 64 1 3 16 190
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes 0 0 0 9 0 6 14 27
Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model 0 0 0 33 0 5 15 81
Differential Evolution and Combinatorial Search for Constrained Index Tracking 0 0 0 2 0 1 7 32
ESG-Valued Portfolio Optimization and Dynamic Asset Pricing 0 0 3 36 1 5 28 106
Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR 0 0 0 23 0 7 19 80
Financial market meltdown and a need for new financial regulations 0 0 0 2 0 3 8 21
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data 0 0 0 696 1 4 15 3,260
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 34 1 6 17 165
Hedonic Models of Real Estate Prices: GAM and Environmental Factors 0 1 2 43 1 2 9 24
Memorandum on a new financial architecture and new regulations 0 0 0 5 0 1 6 15
Mixed normal conditional heteroskedasticity 0 1 4 113 1 4 17 228
Modeling and predicting market risk with Laplace-Gaussian mixture distributions 0 1 2 187 0 3 15 759
Multivariate normal mixture GARCH 0 0 0 274 0 3 17 719
Multivariate regimeswitching GARCH with an application to international stock markets 0 0 1 466 0 4 25 826
Operational–risk Dependencies and the Determination of Risk Capital 0 0 0 44 1 3 15 199
Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence 0 0 0 63 2 4 13 173
Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation 0 0 0 14 1 1 5 24
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 0 0 174 0 4 11 392
Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions 0 0 0 273 1 2 16 662
Pricing Derivatives in Hermite Markets 0 0 0 5 0 2 9 35
Pricing derivatives in Hermite markets 0 0 0 7 0 2 7 29
The Instability of the Banking Sector and Macrodynamics: Theory and Empirics 0 0 0 117 2 4 13 291
The Micro Dynamics of Macro Announcements 0 0 0 40 0 2 8 133
The real consequences of financial stress 0 0 1 133 1 5 15 347
The volatility of realized volatility 0 0 2 523 1 1 17 1,262
VaR-implied tail-correlation matrices 0 0 0 68 1 2 70 227
Value-at-Risk and expected shortfall for rare events 0 0 0 301 0 1 10 613
Total Working Papers 0 4 19 4,553 17 101 490 13,167

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 11 396
Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts 0 1 1 38 1 6 23 216
Asymmetric multivariate normal mixture GARCH 0 0 1 50 1 4 21 182
Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models 0 0 1 72 0 1 9 297
CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES 0 0 0 33 0 3 10 109
Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model 0 0 0 25 0 4 10 108
Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models 0 0 0 50 0 1 4 249
Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances 0 0 0 46 0 1 6 188
Diagnosing and treating the fat tails in financial returns data 0 0 1 195 3 8 22 458
Die Substitution fossiler Energieträger – die Analyse wirtschaftlicher Kurz- und Langfristwirkungen 0 1 2 6 1 3 10 32
Differential evolution and combinatorial search for constrained index-tracking 0 0 1 2 0 2 15 42
Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries 0 0 0 389 1 2 4 828
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 190 1 5 13 808
Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors 0 0 1 1 1 3 22 31
Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis 0 0 0 8 0 0 7 36
Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market 0 0 0 2 0 4 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 3 6 24
Macroeconomic forecasting experience with balanced state space models 0 0 0 44 0 0 45 151
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions 0 0 3 282 2 5 16 602
Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks 0 0 0 3 3 5 14 20
Modelling Price Inflation Using Polynomial Distributed Lags: The Almon Lag Technique and its Pitfalls 0 0 0 2 0 3 4 13
Modelling and predicting market risk with Laplace-Gaussian mixture distributions 0 0 0 62 0 4 12 259
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 5 66
OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE 0 0 0 8 0 6 11 48
PRICING DERIVATIVES IN HERMITE MARKETS 0 0 0 0 0 1 10 35
Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation 0 1 2 13 3 12 25 69
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 0 0 45 1 6 16 186
Quanto Pricing beyond Black–Scholes 0 0 0 0 0 3 11 21
Quanto option pricing in the presence of fat tails and asymmetric dependence 1 1 1 44 1 6 19 161
Regime dependence of the fiscal multiplier 0 0 3 185 0 2 15 546
Stationarity of stable power-GARCH processes 0 0 3 98 0 4 16 263
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 0 353 0 1 14 1,313
Stock market volatility: Identifying major drivers and the nature of their impact 0 0 2 110 3 7 20 274
Testing cointegrating coefficients in vector autoregressive error correction models 0 0 0 54 0 3 6 168
The Volatility of Realized Volatility 0 0 1 198 4 6 23 573
The determination of the state covariance matrix of moving-average processes without computation 0 0 0 24 0 3 6 75
The real consequences of financial stress 0 0 1 76 0 1 15 326
Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending 0 0 1 43 0 3 12 253
Unconditional and Conditional Distributional Models for the Nikkei Index 0 0 1 68 0 3 15 235
VaR-implied tail-correlation matrices 0 0 1 32 0 1 12 126
Value-at-Risk Prediction: A Comparison of Alternative Strategies 2 5 21 522 9 23 67 1,250
Was bewegt den DAX? 0 0 0 31 0 1 6 148
Total Journal Articles 3 9 48 3,621 36 160 623 11,338

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 1 3 7 20
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data 0 0 0 0 0 3 10 19
Modeling the Dynamics of the Transition to a Green Economy 0 0 0 0 0 2 7 22
On the Methodology of Business Cycle Analysis 0 0 0 9 0 1 6 35
Portfolio Selection with Common Correlation Mixture Models 0 0 0 0 0 0 9 24
Total Chapters 0 0 0 9 1 9 39 120

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Statistics updated 2026-07-10