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 1 360 0 1 4 876
Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts 0 0 0 83 0 0 1 440
Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts 0 0 2 128 0 0 2 443
Asymmetric multivariate normal mixture GARCH 0 0 5 230 1 1 6 436
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach 0 0 0 63 0 0 1 174
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes 0 0 0 9 1 1 1 14
Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model 0 0 1 33 0 0 2 66
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 1 2 8 34 2 8 34 80
Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR 0 0 0 23 0 0 2 61
Financial market meltdown and a need for new financial regulations 0 0 0 2 0 0 1 13
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data 0 0 2 696 1 4 11 3,246
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 34 0 1 7 148
Hedonic Models of Real Estate Prices: GAM and Environmental Factors 0 0 1 41 0 0 3 15
Memorandum on a new financial architecture and new regulations 0 0 0 5 0 0 0 9
Mixed normal conditional heteroskedasticity 0 0 2 109 0 0 5 211
Modeling and predicting market risk with Laplace-Gaussian mixture distributions 0 0 3 185 0 0 6 744
Multivariate normal mixture GARCH 0 0 2 274 0 3 5 702
Multivariate regimeswitching GARCH with an application to international stock markets 0 0 3 465 0 2 5 801
Operational–risk Dependencies and the Determination of Risk Capital 0 0 1 44 0 0 1 184
Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence 0 0 1 63 0 0 3 160
Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation 0 0 0 14 0 0 0 19
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 0 2 174 1 4 8 382
Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions 0 0 0 273 0 1 1 646
Pricing Derivatives in Hermite Markets 0 0 0 5 0 0 2 26
Pricing derivatives in Hermite markets 0 0 0 7 1 1 4 23
The Instability of the Banking Sector and Macrodynamics: Theory and Empirics 0 0 0 117 0 3 3 278
The Micro Dynamics of Macro Announcements 0 0 0 40 0 0 4 125
The real consequences of financial stress 0 0 1 132 2 2 5 334
The volatility of realized volatility 0 0 4 521 1 3 9 1,246
VaR-implied tail-correlation matrices 0 0 0 68 0 0 1 157
Value-at-Risk and expected shortfall for rare events 0 0 1 301 2 2 5 605
Total Working Papers 1 2 40 4,535 12 37 142 12,689

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 1 1 4 386
Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts 0 0 0 37 0 1 3 193
Asymmetric multivariate normal mixture GARCH 0 0 0 49 1 1 2 162
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 0 0 2 99
Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model 0 0 2 25 0 0 5 98
Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models 0 0 1 50 0 0 1 245
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 1 3 194 0 1 4 436
Die Substitution fossiler Energieträger – die Analyse wirtschaftlicher Kurz- und Langfristwirkungen 0 0 0 4 0 0 3 22
Differential evolution and combinatorial search for constrained index-tracking 0 0 0 1 0 0 0 27
Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries 0 0 0 389 0 1 4 824
Forecasting stock market volatility and the informational efficiency of the DAX-index options market 0 0 0 190 0 0 3 795
Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors 0 0 0 0 0 0 3 9
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 0 0 0 23
Macroeconomic Forecasting Using Pooled International Data 0 0 0 0 0 0 2 115
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 0 0 1 106
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions 0 1 6 279 0 3 13 586
Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks 0 0 0 3 0 0 2 6
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 1 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 1 2 3 62
OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE 0 0 1 8 2 3 5 39
PRICING DERIVATIVES IN HERMITE MARKETS 0 0 0 0 0 0 0 25
Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation 0 1 1 11 0 3 17 44
Portfolio optimization when risk factors are conditionally varying and heavy tailed 0 0 0 45 0 0 0 170
Quanto Pricing beyond Black–Scholes 0 0 0 0 0 0 0 10
Quanto option pricing in the presence of fat tails and asymmetric dependence 0 0 2 43 3 4 8 145
Regime dependence of the fiscal multiplier 1 1 8 183 1 2 13 532
Stationarity of stable power-GARCH processes 0 1 1 95 0 1 13 247
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 1 353 0 1 4 1,299
Stock market volatility: Identifying major drivers and the nature of their impact 0 1 11 108 0 3 27 254
Testing cointegrating coefficients in vector autoregressive error correction models 0 0 0 54 0 0 1 162
The Volatility of Realized Volatility 1 3 5 198 3 8 28 553
The determination of the state covariance matrix of moving-average processes without computation 0 0 0 24 1 1 1 70
The real consequences of financial stress 0 0 0 75 0 1 4 311
Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending 0 0 0 42 0 0 1 241
Unconditional and Conditional Distributional Models for the Nikkei Index 1 2 4 68 2 4 7 222
VaR-implied tail-correlation matrices 0 1 2 31 2 3 8 116
Value-at-Risk Prediction: A Comparison of Alternative Strategies 0 3 22 501 3 11 54 1,186
Was bewegt den DAX? 0 1 1 31 1 4 7 143
Total Journal Articles 3 16 72 3,576 21 60 256 10,736

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 2 13
Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data 0 0 0 0 0 0 0 9
Modeling the Dynamics of the Transition to a Green Economy 0 0 0 0 0 0 0 15
On the Methodology of Business Cycle Analysis 0 0 0 9 1 2 3 30
Portfolio Selection with Common Correlation Mixture Models 0 0 0 0 0 1 1 15
Total Chapters 0 0 0 9 1 3 6 82

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Statistics updated 2025-08-05