Stefan Mittnik

University of Kiel - Institute of Statistics & Econometrics

Olshausenstr. 40

Kiel, Schleswig-Holstein 24118

Germany

Ludwig Maximilian University of Munich - Faculty of Economics

Akademiestr.1/III

Munich, D-80539

Germany

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5

Munich, DE-81679

Germany

SCHOLARLY PAPERS

21

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CITATIONS
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32

Scholarly Papers (21)

1.

Multivariate Normal Mixture GARCH

CFS Working Paper No. 2006/09
Number of pages: 46 Posted: 21 Apr 2006
Markus Haas, Stefan Mittnik and Marc S. Paolella
University of Kiel - Faculty of Economics and Social Sciences, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance
Downloads 727 (33,461)
Citation 6

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conditional volatility, regime-dependent correlations, leverage effect, multivariate GARCH, second-order dependence, stock market

2.

Modeling and Predicting Market Risk with Laplace-Gaussian Mixture Distributions

CFS Working Paper No. 2005/11
Number of pages: 36 Posted: 19 Apr 2005
Markus Haas, Stefan Mittnik and Marc S. Paolella
University of Kiel - Faculty of Economics and Social Sciences, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance
Downloads 517 (52,430)
Citation 5

Abstract:

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C16, C50

3.

Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions

CFS Working Paper No. 2003/04
Number of pages: 23 Posted: 12 May 2003
Stefan Mittnik and Marc S. Paolella
University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance
Downloads 385 (75,189)
Citation 6

Abstract:

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Risk Management, Value at Risk, Density Forecasting, Predictive Likelihood

4.

Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data

CESifo Working Paper Series No. 1203
Number of pages: 32 Posted: 12 Jul 2004
Stefan Mittnik and Peter A. Zadrozny
University of Kiel - Institute of Statistics & Econometrics and U.S. Bureau of Labor Statistics - Department of Labor
Downloads 336 (87,949)
Citation 8

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mixed-frequency data, VAR models, maximum-likelihood estimation, Kalman filter

5.

Operational-Risk Dependencies and the Determination of Risk Capital

Center for Quantitative Risk Analysis (CEQURA) Working Paper No. 3
Number of pages: 35 Posted: 06 Aug 2011
Stefan Mittnik, Sandra Paterlini and Tina Yener
University of Kiel - Institute of Statistics & Econometrics, University of Trento - Department of Economics and Management and Ludwig Maximilians University of Munich
Downloads 330 (89,772)
Citation 6

Abstract:

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Copula, Nonparametric Tail Dependence, Basel II, Loss Distribution Approach

6.

Assessing Central Bank Credibility During the Erm Crises: Comparing Option and Spot Market-Based Forecasts

CFS Working Paper No. 2005/09
Number of pages: 45 Posted: 19 Apr 2005
Markus Haas, Stefan Mittnik and Bruce Mizrach
University of Kiel - Faculty of Economics and Social Sciences, University of Kiel - Institute of Statistics & Econometrics and Rutgers University, Department of Economics
Downloads 296 (101,050)
Citation 8

Abstract:

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Options, Implied Probability Densities, GARCH, Fat-Tails, Exchange Rate Mechanism

7.

Operational Risk Modeling: An Evaluation of Competing Strategies

CAREFIN Research Paper No. 06/2010
Number of pages: 50 Posted: 30 Mar 2011
Sandra Paterlini, Stefan Mittnik and Tina Yener
University of Trento - Department of Economics and Management, University of Kiel - Institute of Statistics & Econometrics and Ludwig Maximilians University of Munich
Downloads 243 (124,277)

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Mutual funds, Expense ratios, Price sensitivity

8.

Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR

Number of pages: 39 Posted: 27 Feb 2012
Willi Semmler and Stefan Mittnik
The New School - Department of Economics and University of Kiel - Institute of Statistics & Econometrics
Downloads 119 (231,766)

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9.

The Instability of the Banking Sector and Macrodynamics: Theory and Empirics

Number of pages: 56 Posted: 23 Jun 2011
Willi Semmler and Stefan Mittnik
The New School - Department of Economics and University of Kiel - Institute of Statistics & Econometrics
Downloads 108 (248,563)
Citation 2

Abstract:

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Banking crisis, financial accelerator, financial stress index, macrodynamics, Multi-Regime VAR ( MRVAR)

10.

Risk Assessment and Spurious Seasonality

Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 19, 2018
Number of pages: 34 Posted: 22 Jun 2017 Last Revised: 02 May 2018
Malte S. Kurz and Stefan Mittnik
Ludwig-Maximilians-Universität München - Department of Statistics - Chair of Financial Econometrics and University of Kiel - Institute of Statistics & Econometrics
Downloads 65 (338,576)

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Basel III, GARCH, overlapping data, temporal aggregation, two-scales variance estimator

11.

Modeling Liquidity Impact on Volatility: A GARCH-FunXL Approach

Number of pages: 36 Posted: 20 Sep 2017
Andreas Fuest and Stefan Mittnik
Ludwig Maximilian University of Munich - Chair of Financial Econometrics, Institute of Statistics and University of Kiel - Institute of Statistics & Econometrics
Downloads 57 (361,434)
Citation 1

Abstract:

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Limit Order Book, Functional Data, GARCH-X, Liquidity, High-Frequency Data

12.

Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis 

Economic Notes, Vol. 45, Issue 3, pp. 393-422, 2016
Number of pages: 30 Posted: 06 Oct 2016
Ekkehard Ernst, Stefan Mittnik and Willi Semmler
International Labour Organization (ILO), University of Kiel - Institute of Statistics & Econometrics and The New School - Department of Economics
Downloads 0 (662,094)
Citation 1
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13.

Value-at-Risk and Expected Shortfall for Rare Events

CFS Working Paper No. 2008/14
Posted: 25 Apr 2008
Stefan Mittnik and Tina Yener
University of Kiel - Institute of Statistics & Econometrics and Ludwig Maximilians University of Munich

Abstract:

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Operational Risk, Latent Variables, Correlated Events

14.

Value-at-Risk Prediction: A Comparison of Alternative Strategies

Journal of Financial Econometrics, Vol. 4, No. 1, pp. 53-89, 2006
Posted: 29 Feb 2008
Keith Kuester, Stefan Mittnik and Marc S. Paolella
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance

Abstract:

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empirical finance, extreme value theory, fat tails, GARCH, quantile regression

15.

Mixed Normal Conditional Heteroskedasticity

Journal of Financial Econometrics, Vol. 2, No. 2, pp. 211-250, 2004
Posted: 29 Feb 2008
Markus Haas, Stefan Mittnik and Marc S. Paolella
University of Kiel - Faculty of Economics and Social Sciences, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance

Abstract:

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GARCH, kurtosis, leverage effect, Markov-switching, skewness, stationarity, value-at-risk

16.

A New Approach to Markov-Switching GARCH Models

Journal of Financial Econometrics, Vol. 2, No. 4, pp. 493-530, 2004
Posted: 29 Feb 2008
Markus Haas, Stefan Mittnik and Marc S. Paolella
University of Kiel - Faculty of Economics and Social Sciences, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance

Abstract:

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conditional volatility, density forecasting, empirical finance, exchange rates, nonlinear time series, regime switching

17.

Asymmetric Multivariate Normal Mixture GARCH

CFS Working Paper No. 2008/07
Posted: 20 Feb 2008
Markus Haas, Stefan Mittnik and Marc S. Paolella
University of Kiel - Faculty of Economics and Social Sciences, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance

Abstract:

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Conditional Volatility, Finite Normal Mixtures, Multivariate GARCH, Leverage Effect

18.

Multivariate Regime-Switching GARCH with an Application to International Stock Markets

CFS Working Paper No. 2008/08
Posted: 20 Feb 2008
Markus Haas and Stefan Mittnik
University of Kiel - Faculty of Economics and Social Sciences and University of Kiel - Institute of Statistics & Econometrics

Abstract:

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Conditional Volatility, Markov-Switching, Multivariate GARCH

19.

Accurate Value-at-Risk Forecast With the (Good Old) Normal-Garch Model

CFS Working Paper No. 2006/23
Posted: 05 Nov 2006
Christoph Hartz, Stefan Mittnik and Marc S. Paolella
University of Munich, University of Kiel - Institute of Statistics & Econometrics and University of Zurich - Department of Banking and Finance

Abstract:

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Bootstrap, GARCH, Value-at-Risk

20.

Portfolio Optimization When Risk Factors are Conditionally Varying and Heavy Tailed

CFS Working Paper No. 2006/24
Posted: 05 Nov 2006
Christoph Hartz, Stefan Mittnik and Toker Doganoglu
University of Munich, University of Kiel - Institute of Statistics & Econometrics and University of Würzburg - Institute of Economics and Social Sciences

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Multivariate Stable Distribution, Index Model, Portfolio Optimization, Value-at-Risk, Model Adequacy

21.

The Volatility of Realized Volatility

CFS Working Paper No. 2005/33
Posted: 07 Jun 2006
University of Pisa - Department of Economics, University of Bonn, Department of Economics, University of Kiel - Institute of Statistics & Econometrics and Ludwig Maximilian University of Munich - Department of Statistics

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Finance, Realized Volatility, Realized Quarticity, GARCH, Normal Inverse