Stefan Mittnik

University of Kiel - Institute of Statistics & Econometrics

Olshausenstr. 40

Kiel, Schleswig-Holstein 24118

Germany

Ludwig Maximilian University of Munich (LMU) - 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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16

CROSSREF CITATIONS

16

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 Finance
Downloads 855 (52,835)
Citation 5

Abstract:

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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 Finance
Downloads 613 (81,447)
Citation 4

Abstract:

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C16, C50

3.

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

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 Finance
Downloads 422 (128,449)
Citation 3

Abstract:

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

4.

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 388 (141,352)
Citation 2

Abstract:

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

5.

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

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 381 (144,280)
Citation 3

Abstract:

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

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 372 (148,227)
Citation 1

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 284 (197,801)

Abstract:

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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 177 (309,612)
Citation 1

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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 169 (322,376)
Citation 3

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, 2021
Number of pages: 33 Posted: 22 Jun 2017 Last Revised: 17 May 2022
Malte S. Kurz and Stefan Mittnik
TUM School of Management, Technical University of Munich and University of Kiel - Institute of Statistics & Econometrics
Downloads 150 (356,441)

Abstract:

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autocorrelation function, Basel III, GARCH, overlapping data, temporal aggregation

11.

Modeling Liquidity Impact on Volatility: A GARCH-FunXL Approach

Number of pages: 36 Posted: 20 Sep 2017
Andreas Fuest and Stefan Mittnik
Ultramarin GmbH and University of Kiel - Institute of Statistics & Econometrics
Downloads 122 (418,786)
Citation 2

Abstract:

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

12.

Climate Disaster Risks - Empirics and a Multi-Phase Dynamic Model

IMF Working Paper No. 19/145
Number of pages: 48 Posted: 07 Aug 2019
Stefan Mittnik, Willi Semmler and Alexander Haider
University of Kiel - Institute of Statistics & Econometrics, The New School - Department of Economics and The New School - Department of Economics
Downloads 99 (487,229)
Citation 1

Abstract:

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Real sector, Economic growth, Interest costs, Interest rates on loans, Low income countries, climate economics, disaster risk, macro feedbacks, multi-phase macro model, monetary and financial policies, environmental economics, premia, large disaster, GHG, public capital

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 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 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 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 Finance

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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

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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 Finance

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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 (LMU) - Department of Statistics

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