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 0 6 10 883
Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts 0 1 1 84 6 16 17 457
Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts 0 0 1 128 0 3 7 449
Asymmetric multivariate normal mixture GARCH 0 0 1 230 1 4 10 444
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach 0 1 1 64 1 8 11 185
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes 0 0 0 9 2 5 8 21
Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model 0 0 0 33 1 7 10 75
Differential Evolution and Combinatorial Search for Constrained Index Tracking 0 0 0 2 0 5 5 30
ESG-Valued Portfolio Optimization and Dynamic Asset Pricing 1 1 4 36 2 4 33 98
Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR 0 0 0 23 3 9 12 73
Financial market meltdown and a need for new financial regulations 0 0 0 2 0 3 6 18
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data 0 0 0 696 1 6 15 3,255
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 34 2 3 11 157
Hedonic Models of Real Estate Prices: GAM and Environmental Factors 0 0 1 42 0 3 6 21
Memorandum on a new financial architecture and new regulations 0 0 0 5 0 4 5 14
Mixed normal conditional heteroskedasticity 0 1 1 110 1 5 11 221
Modeling and predicting market risk with Laplace-Gaussian mixture distributions 0 1 2 186 2 9 12 755
Multivariate normal mixture GARCH 0 0 0 274 0 8 17 716
Multivariate regimeswitching GARCH with an application to international stock markets 0 0 2 466 1 11 22 820
Operational–risk Dependencies and the Determination of Risk Capital 0 0 0 44 0 11 12 196
Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence 0 0 0 63 0 7 9 169
Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation 0 0 0 14 0 1 3 22
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 0 0 174 0 6 10 388
Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions 0 0 0 273 1 9 15 660
Pricing Derivatives in Hermite Markets 0 0 0 5 0 3 5 31
Pricing derivatives in Hermite markets 0 0 0 7 0 4 5 27
The Instability of the Banking Sector and Macrodynamics: Theory and Empirics 0 0 0 117 1 6 11 286
The Micro Dynamics of Macro Announcements 0 0 0 40 0 3 7 131
The real consequences of financial stress 0 0 2 133 1 6 11 342
The volatility of realized volatility 0 0 2 521 0 7 16 1,257
VaR-implied tail-correlation matrices 0 0 0 68 2 64 67 223
Value-at-Risk and expected shortfall for rare events 0 0 1 301 0 5 10 612
Total Working Papers 1 5 21 4,545 28 251 409 13,036

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 1 7 11 395
Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts 0 0 0 37 4 16 18 210
Asymmetric multivariate normal mixture GARCH 0 0 1 50 0 12 16 177
Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models 0 0 0 71 1 7 7 295
CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES 0 0 0 33 0 3 5 104
Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model 0 0 0 25 0 2 5 102
Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models 0 0 0 50 0 2 3 248
Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances 0 0 0 46 1 4 4 186
Diagnosing and treating the fat tails in financial returns data 0 0 3 194 2 8 16 449
Die Substitution fossiler Energieträger – die Analyse wirtschaftlicher Kurz- und Langfristwirkungen 0 0 1 5 0 2 7 29
Differential evolution and combinatorial search for constrained index-tracking 0 0 0 1 1 8 12 39
Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries 0 0 0 389 0 1 5 826
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 190 0 4 6 801
Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors 0 0 1 1 1 7 14 22
Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis 0 0 0 8 1 6 6 35
Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market 0 0 0 2 3 6 7 30
Macroeconomic Forecasting Using Pooled International Data 0 0 0 0 0 3 5 119
Macroeconomic dynamics and econometric modelling 0 0 0 5 0 3 3 21
Macroeconomic forecasting experience with balanced state space models 0 0 0 44 0 43 44 150
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions 0 2 5 282 0 7 15 597
Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks 0 0 0 3 0 4 9 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 1 7 9 254
Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes 0 0 0 21 0 4 6 66
OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE 0 0 0 8 0 3 6 42
PRICING DERIVATIVES IN HERMITE MARKETS 0 0 0 0 1 4 8 33
Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation 0 1 2 12 2 7 13 53
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 0 0 45 1 4 10 180
Quanto Pricing beyond Black–Scholes 0 0 0 0 0 6 8 18
Quanto option pricing in the presence of fat tails and asymmetric dependence 0 0 0 43 2 7 12 153
Regime dependence of the fiscal multiplier 1 1 3 184 4 9 14 543
Stationarity of stable power-GARCH processes 0 3 4 98 1 9 13 259
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 0 353 0 11 14 1,311
Stock market volatility: Identifying major drivers and the nature of their impact 0 0 5 109 0 7 20 265
Testing cointegrating coefficients in vector autoregressive error correction models 0 0 0 54 0 2 4 165
The Volatility of Realized Volatility 0 0 3 198 0 6 23 566
The determination of the state covariance matrix of moving-average processes without computation 0 0 0 24 0 2 3 72
The real consequences of financial stress 0 0 1 76 1 9 13 323
Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending 0 0 0 42 3 5 6 247
Unconditional and Conditional Distributional Models for the Nikkei Index 0 0 2 68 1 6 13 231
VaR-implied tail-correlation matrices 0 0 2 32 0 5 11 124
Value-at-Risk Prediction: A Comparison of Alternative Strategies 2 4 22 516 6 15 55 1,222
Was bewegt den DAX? 0 0 1 31 0 2 8 146
Total Journal Articles 3 11 56 3,605 38 286 489 11,132

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 4 16
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data 0 0 0 0 0 4 6 15
Modeling the Dynamics of the Transition to a Green Economy 0 0 0 0 1 2 4 19
On the Methodology of Business Cycle Analysis 0 0 0 9 0 3 6 34
Portfolio Selection with Common Correlation Mixture Models 0 0 0 0 1 7 10 24
Total Chapters 0 0 0 9 3 19 30 108

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