| . |
Mittnik, Stefan's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
1,843 |
Total
Citations
26 |
|
|
|
|
|
1.
|
|
|
Haas, Markus
Ludwig Maximilians University of Munich - Department of Statistics Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Paolella, Marc S.
University of Zurich
|
|
357
(39,078)
|
5
|
|
| |
|
| |
conditional volatility, regime-dependent correlations, leverage effect, multivariate GARCH, second-order dependence, stock market
|
|
|
2.
|
|
|
Haas, Markus
Ludwig Maximilians University of Munich - Department of Statistics Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Paolella, Marc S.
University of Zurich
|
|
309
(46,452)
|
2
|
|
| |
|
| |
C16, C50
|
|
|
3.
|
|
|
Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Paolella, Marc S.
University of Zurich
|
|
300
(48,088)
|
6
|
|
| |
|
| |
Risk Management, Value at Risk, Density Forecasting, Predictive Likelihood
|
|
|
4.
|
|
|
Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Zadrozny, Peter A.
U.S. Bureau of Labor Statistics - Department of Labor
|
|
281
(51,862)
|
8
|
|
| |
|
| |
mixed-frequency data, VAR models, maximum-likelihood estimation, Kalman filter
|
|
|
5.
|
|
|
Paterlini, Sandra
EBS Universität für Wirtschaft und Recht Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Yener, Tina
Ludwig Maximilians University of Munich
|
|
188
(79,302)
|
|
|
| |
|
| |
Mutual funds, Expense ratios, Price sensitivity
|
|
|
6.
|
|
|
Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Paterlini, Sandra
EBS Universität für Wirtschaft und Recht Yener, Tina
Ludwig Maximilians University of Munich
|
|
184
(80,995)
|
|
|
| |
|
| |
Copula, Nonparametric Tail Dependence, Basel II, Loss Distribution Approach
|
|
|
7.
|
|
|
Haas, Markus
Ludwig Maximilians University of Munich - Department of Statistics Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Mizrach, Bruce
Rutgers University, Department of Economics
|
|
123
(115,534)
|
5
|
|
| |
|
| |
Options, Implied Probability Densities, GARCH, Fat-Tails, Exchange Rate Mechanism
|
|
|
8.
|
|
|
Semmler, Willi
The New School - Department of Economics Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics
|
|
62
(180,424)
|
|
|
| |
|
| |
Banking crisis, financial accelerator, financial stress index, macrodynamics, Multi-Regime VAR ( MRVAR)
|
|
|
9.
|
|
|
Semmler, Willi
The New School - Department of Economics Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics
|
|
39
(221,542)
|
|
|
| |
|
| |
|
|
|
10.
|
|
|
Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Yener, Tina
Ludwig Maximilians University of Munich
|
|
|
|
|
| |
|
| |
Operational Risk, Latent Variables, Correlated Events
|
|
|
11.
|
|
|
Kuester, Keith
Federal Reserve Banks - Federal Reserve Bank of Philadelphia Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Paolella, Marc S.
University of Zurich
|
|
|
|
|
| |
|
| |
empirical finance, extreme value theory, fat tails, GARCH, quantile regression
|
|
|
12.
|
|
|
Haas, Markus
Ludwig Maximilians University of Munich - Department of Statistics Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Paolella, Marc S.
University of Zurich
|
|
|
|
|
| |
|
| |
GARCH, kurtosis, leverage effect, Markov-switching, skewness, stationarity, value-at-risk
|
|
|
13.
|
|
|
Haas, Markus
Ludwig Maximilians University of Munich - Department of Statistics Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Paolella, Marc S.
University of Zurich
|
|
|
|
|
| |
|
| |
conditional volatility, density forecasting, empirical finance, exchange rates, nonlinear time series, regime switching
|
|
|
14.
|
|
|
Haas, Markus
Ludwig Maximilians University of Munich - Department of Statistics Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Paolella, Marc S.
University of Zurich
|
|
|
|
|
| |
|
| |
Conditional Volatility, Finite Normal Mixtures, Multivariate GARCH, Leverage Effect
|
|
|
15.
|
|
|
Haas, Markus
Ludwig Maximilians University of Munich - Department of Statistics Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics
|
|
|
|
|
| |
|
| |
Conditional Volatility, Markov-Switching, Multivariate GARCH
|
|
|
16.
|
|
|
Hartz, Christoph
University of Munich Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Paolella, Marc S.
University of Zurich
|
|
|
|
|
| |
|
| |
Bootstrap, GARCH, Value-at-Risk
|
|
|
17.
|
|
|
Hartz, Christoph
University of Munich Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Doganoglu, Toker
University of Würzburg - Institute of Economics and Social Sciences
|
|
|
|
|
| |
|
| |
Multivariate Stable Distribution, Index Model, Portfolio Optimization, Value-at-Risk, Model Adequacy
|
|
|
18.
|
|
|
Corsi, Fulvio
Kretschmer, Uta
University of Bonn, Department of Economics Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Pigorsch, Christian
Ludwig Maximilians University of Munich - Department of Statistics
|
|
|
|
|
| |
|
| |
Finance, Realized Volatility, Realized Quarticity, GARCH, Normal Inverse
|
|
