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 2 361 4 6 11 883
Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts 0 1 1 84 8 11 12 451
Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts 0 0 1 128 1 4 7 449
Asymmetric multivariate normal mixture GARCH 0 0 1 230 0 5 9 443
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach 0 1 1 64 3 9 10 184
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes 0 0 0 9 1 3 6 19
Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model 0 0 0 33 5 7 9 74
Differential Evolution and Combinatorial Search for Constrained Index Tracking 0 0 0 2 4 5 5 30
ESG-Valued Portfolio Optimization and Dynamic Asset Pricing 0 0 4 35 0 5 33 96
Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR 0 0 0 23 3 8 10 70
Financial market meltdown and a need for new financial regulations 0 0 0 2 3 4 6 18
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data 0 0 0 696 4 7 14 3,254
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 34 0 4 9 155
Hedonic Models of Real Estate Prices: GAM and Environmental Factors 0 1 2 42 0 6 7 21
Memorandum on a new financial architecture and new regulations 0 0 0 5 3 5 5 14
Mixed normal conditional heteroskedasticity 0 1 1 110 2 6 10 220
Modeling and predicting market risk with Laplace-Gaussian mixture distributions 0 1 2 186 1 8 12 753
Multivariate normal mixture GARCH 0 0 0 274 3 10 17 716
Multivariate regimeswitching GARCH with an application to international stock markets 0 1 2 466 7 15 21 819
Operational–risk Dependencies and the Determination of Risk Capital 0 0 0 44 5 12 12 196
Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence 0 0 0 63 6 9 10 169
Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation 0 0 0 14 1 1 3 22
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 0 0 174 5 6 11 388
Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions 0 0 0 273 6 11 14 659
Pricing Derivatives in Hermite Markets 0 0 0 5 3 3 6 31
Pricing derivatives in Hermite markets 0 0 0 7 3 4 7 27
The Instability of the Banking Sector and Macrodynamics: Theory and Empirics 0 0 0 117 3 6 10 285
The Micro Dynamics of Macro Announcements 0 0 0 40 2 3 8 131
The real consequences of financial stress 0 0 2 133 5 6 10 341
The volatility of realized volatility 0 0 3 521 5 9 18 1,257
VaR-implied tail-correlation matrices 0 0 0 68 11 63 65 221
Value-at-Risk and expected shortfall for rare events 0 0 1 301 3 5 10 612
Total Working Papers 0 6 23 4,544 110 266 397 13,008

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 3 8 11 394
Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts 0 0 0 37 11 12 14 206
Asymmetric multivariate normal mixture GARCH 0 0 1 50 6 13 16 177
Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models 0 0 0 71 1 6 6 294
CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES 0 0 0 33 2 4 7 104
Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model 0 0 1 25 2 3 6 102
Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models 0 0 0 50 2 2 3 248
Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances 0 0 0 46 2 3 3 185
Diagnosing and treating the fat tails in financial returns data 0 0 3 194 3 8 14 447
Die Substitution fossiler Energieträger – die Analyse wirtschaftlicher Kurz- und Langfristwirkungen 0 0 1 5 2 5 8 29
Differential evolution and combinatorial search for constrained index-tracking 0 0 0 1 3 8 11 38
Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries 0 0 0 389 1 2 5 826
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 190 4 5 7 801
Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors 0 1 1 1 2 8 13 21
Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis 0 0 0 8 5 5 5 34
Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market 0 0 0 2 1 4 4 27
Macroeconomic Forecasting Using Pooled International Data 0 0 0 0 2 3 6 119
Macroeconomic dynamics and econometric modelling 0 0 0 5 2 3 3 21
Macroeconomic forecasting experience with balanced state space models 0 0 0 44 12 44 44 150
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions 1 3 6 282 4 9 16 597
Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks 0 0 0 3 2 4 10 14
Modelling Price Inflation Using Polynomial Distributed Lags: The Almon Lag Technique and its Pitfalls 0 0 0 2 0 1 2 10
Modelling and predicting market risk with Laplace-Gaussian mixture distributions 0 0 0 62 4 6 8 253
Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes 0 0 0 21 4 4 7 66
OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE 0 0 0 8 2 3 7 42
PRICING DERIVATIVES IN HERMITE MARKETS 0 0 0 0 2 5 7 32
Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation 0 1 2 12 1 5 12 51
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 0 0 45 2 6 9 179
Quanto Pricing beyond Black–Scholes 0 0 0 0 5 7 8 18
Quanto option pricing in the presence of fat tails and asymmetric dependence 0 0 0 43 5 5 10 151
Regime dependence of the fiscal multiplier 0 0 4 183 5 6 13 539
Stationarity of stable power-GARCH processes 3 3 4 98 8 11 22 258
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 0 353 10 12 14 1,311
Stock market volatility: Identifying major drivers and the nature of their impact 0 0 6 109 5 7 23 265
Testing cointegrating coefficients in vector autoregressive error correction models 0 0 0 54 1 2 4 165
The Volatility of Realized Volatility 0 0 3 198 3 7 26 566
The determination of the state covariance matrix of moving-average processes without computation 0 0 0 24 1 2 3 72
The real consequences of financial stress 0 1 1 76 8 9 12 322
Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending 0 0 0 42 2 2 4 244
Unconditional and Conditional Distributional Models for the Nikkei Index 0 0 2 68 4 5 12 230
VaR-implied tail-correlation matrices 0 0 2 32 2 5 12 124
Value-at-Risk Prediction: A Comparison of Alternative Strategies 2 5 21 514 6 13 54 1,216
Was bewegt den DAX? 0 0 1 31 2 2 8 146
Total Journal Articles 6 14 59 3,602 154 284 489 11,094

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 2 3 15
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data 0 0 0 0 0 5 6 15
Modeling the Dynamics of the Transition to a Green Economy 0 0 0 0 1 2 3 18
On the Methodology of Business Cycle Analysis 0 0 0 9 3 4 7 34
Portfolio Selection with Common Correlation Mixture Models 0 0 0 0 4 8 9 23
Total Chapters 0 0 0 9 10 21 28 105

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Statistics updated 2026-02-12