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Details about Stefan Mittnik

Homepage:http://www.en.finmetrics.statistik.uni-muenchen.de/index.html
Workplace:Center for Quantitative Risk Analysis (CEQURA), Institut für Statistik (Institute of Statistics), Ludwig-Maximilians-Universität München (University of Munich), (more information at EDIRC)
CESifo, (more information at EDIRC)
Center for Financial Studies, (more information at EDIRC)

Access statistics for papers by Stefan Mittnik.

Last updated 2023-04-09. Update your information in the RePEc Author Service.

Short-id: pmi387


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Working Papers

2023

  1. Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes
    Papers, arXiv.org Downloads View citations (1)
  2. Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation, JRFM, MDPI (2022) Downloads (2022)

2022

  1. ESG-Valued Portfolio Optimization and Dynamic Asset Pricing
    Papers, arXiv.org Downloads View citations (3)
  2. Hedonic Models of Real Estate Prices: GAM and Environmental Factors
    Papers, arXiv.org Downloads View citations (1)

2020

  1. Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach
    Papers, arXiv.org Downloads View citations (1)

2019

  1. Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model
    IMF Working Papers, International Monetary Fund Downloads View citations (1)
    See also Journal Article Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model, Econometrics, MDPI (2020) Downloads View citations (1) (2020)

2017

  1. Pricing derivatives in Hermite markets
    Papers, arXiv.org Downloads
    Also in Papers, arXiv.org (2016) Downloads

    See also Journal Article PRICING DERIVATIVES IN HERMITE MARKETS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2019) Downloads View citations (1) (2019)

2014

  1. Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence
    ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research Downloads View citations (4)
    See also Journal Article OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE, Macroeconomic Dynamics, Cambridge University Press (2018) Downloads View citations (5) (2018)

2013

  1. The Micro Dynamics of Macro Announcements
    CESifo Working Paper Series, CESifo Downloads View citations (4)
  2. The Real Consequences of Financial Stress
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (73)
    See also Journal Article The real consequences of financial stress, Journal of Economic Dynamics and Control, Elsevier (2013) Downloads View citations (72) (2013)
  3. VaR-implied tail-correlation matrices
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (1)
    See also Journal Article VaR-implied tail-correlation matrices, Economics Letters, Elsevier (2014) Downloads View citations (6) (2014)

2012

  1. Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR
    EcoMod2012, EcoMod Downloads View citations (2)

2011

  1. Operational–risk Dependencies and the Determination of Risk Capital
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" Downloads View citations (5)
  2. The Instability of the Banking Sector and Macrodynamics: Theory and Empirics
    DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade Downloads View citations (4)

2009

  1. Differential Evolution and Combinatorial Search for Constrained Index Tracking
    Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" Downloads View citations (55)
    See also Journal Article Differential evolution and combinatorial search for constrained index-tracking, Annals of Operations Research, Springer (2009) Downloads View citations (55) (2009)
  2. Financial market meltdown and a need for new financial regulations
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads
  3. Memorandum on a new financial architecture and new regulations
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads

2008

  1. Asymmetric multivariate normal mixture GARCH
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads
    See also Journal Article Asymmetric multivariate normal mixture GARCH, Computational Statistics & Data Analysis, Elsevier (2009) Downloads View citations (23) (2009)
  2. Multivariate regimeswitching GARCH with an application to international stock markets
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (10)
  3. Value-at-Risk and expected shortfall for rare events
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads

2006

  1. Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads
  2. Multivariate normal mixture GARCH
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (6)
  3. Portfolio optimization when risk factors are conditionally varying and heavy tailed
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (3)
    See also Journal Article Portfolio optimization when risk factors are conditionally varying and heavy tailed, Computational Economics, Springer (2007) Downloads View citations (12) (2007)

2005

  1. Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2004) Downloads View citations (4)

    See also Journal Article Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts, Journal of Financial Stability, Elsevier (2006) Downloads View citations (8) (2006)
  2. Modeling and predicting market risk with Laplace-Gaussian mixture distributions
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (2)
    See also Journal Article Modelling and predicting market risk with Laplace-Gaussian mixture distributions, Applied Financial Economics, Taylor & Francis Journals (2006) Downloads View citations (10) (2006)
  3. The volatility of realized volatility
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (24)
    See also Journal Article The Volatility of Realized Volatility, Econometric Reviews, Taylor & Francis Journals (2008) Downloads View citations (231) (2008)

2004

  1. Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data
    CESifo Working Paper Series, CESifo Downloads View citations (52)
    See also Chapter Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data, Contributions to Economics, Springer (2005) View citations (32) (2005)

2003

  1. Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (26)

2002

  1. Forecasting stock market volatility and the informational efficiency of the DAX-index options market
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (22)
    See also Journal Article Forecasting stock market volatility and the informational efficiency of the DAX-index options market, The European Journal of Finance, Taylor & Francis Journals (2002) Downloads View citations (21) (2002)
  2. Mixed normal conditional heteroskedasticity
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (30)

Journal Articles

2022

  1. Die Substitution fossiler Energieträger – die Analyse wirtschaftlicher Kurz- und Langfristwirkungen
    Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, 2022, 91, (3), 11-44 Downloads
  2. Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors
    JRFM, 2022, 15, (12), 1-11 Downloads
  3. Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation
    JRFM, 2022, 15, (5), 1-23 Downloads
    See also Working Paper Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation, Papers (2023) Downloads View citations (1) (2023)

2021

  1. Quanto Pricing beyond Black–Scholes
    JRFM, 2021, 14, (3), 1-27 Downloads

2020

  1. Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model
    Econometrics, 2020, 8, (3), 1-27 Downloads View citations (1)
    See also Working Paper Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model, IMF Working Papers (2019) Downloads View citations (1) (2019)

2019

  1. PRICING DERIVATIVES IN HERMITE MARKETS
    International Journal of Theoretical and Applied Finance (IJTAF), 2019, 22, (06), 1-27 Downloads View citations (1)
    See also Working Paper Pricing derivatives in Hermite markets, Papers (2017) Downloads (2017)

2018

  1. OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE
    Macroeconomic Dynamics, 2018, 22, (1), 4-32 Downloads View citations (5)
    See also Working Paper Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence, ZEW Discussion Papers (2014) Downloads View citations (4) (2014)

2016

  1. Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis
    Economic Notes, 2016, 45, (3), 393-422 Downloads View citations (3)

2015

  1. Quanto option pricing in the presence of fat tails and asymmetric dependence
    Journal of Econometrics, 2015, 187, (2), 512-520 Downloads View citations (25)
  2. Stock market volatility: Identifying major drivers and the nature of their impact
    Journal of Banking & Finance, 2015, 58, (C), 1-14 Downloads View citations (43)

2014

  1. VaR-implied tail-correlation matrices
    Economics Letters, 2014, 122, (1), 69-73 Downloads View citations (6)
    See also Working Paper VaR-implied tail-correlation matrices, CFS Working Paper Series (2013) Downloads View citations (1) (2013)

2013

  1. The real consequences of financial stress
    Journal of Economic Dynamics and Control, 2013, 37, (8), 1479-1499 Downloads View citations (72)
    See also Working Paper The Real Consequences of Financial Stress, SFB 649 Discussion Papers (2013) Downloads View citations (73) (2013)
  2. What Moves the DAX?
    ifo Schnelldienst, 2013, 66, (23), 32-36 Downloads View citations (3)

2012

  1. Regime dependence of the fiscal multiplier
    Journal of Economic Behavior & Organization, 2012, 83, (3), 502-522 Downloads View citations (67)

2010

  1. Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks
    Methodology and Computing in Applied Probability, 2010, 12, (3), 379-390 Downloads View citations (5)

2009

  1. Asymmetric multivariate normal mixture GARCH
    Computational Statistics & Data Analysis, 2009, 53, (6), 2129-2154 Downloads View citations (23)
    See also Working Paper Asymmetric multivariate normal mixture GARCH, CFS Working Paper Series (2008) Downloads (2008)
  2. Differential evolution and combinatorial search for constrained index-tracking
    Annals of Operations Research, 2009, 172, (1), 153-176 Downloads View citations (55)
    See also Working Paper Differential Evolution and Combinatorial Search for Constrained Index Tracking, Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) (2009) Downloads View citations (55) (2009)

2008

  1. The Volatility of Realized Volatility
    Econometric Reviews, 2008, 27, (1-3), 46-78 Downloads View citations (231)
    See also Working Paper The volatility of realized volatility, CFS Working Paper Series (2005) Downloads View citations (24) (2005)

2007

  1. Portfolio optimization when risk factors are conditionally varying and heavy tailed
    Computational Economics, 2007, 29, (3), 333-354 Downloads View citations (12)
    See also Working Paper Portfolio optimization when risk factors are conditionally varying and heavy tailed, CFS Working Paper Series (2006) Downloads View citations (3) (2006)

2006

  1. Accurate value-at-risk forecasting based on the normal-GARCH model
    Computational Statistics & Data Analysis, 2006, 51, (4), 2295-2312 Downloads View citations (40)
  2. Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts
    Journal of Financial Stability, 2006, 2, (1), 28-54 Downloads View citations (8)
    See also Working Paper Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts, CFS Working Paper Series (2005) Downloads (2005)
  3. Modelling and predicting market risk with Laplace-Gaussian mixture distributions
    Applied Financial Economics, 2006, 16, (15), 1145-1162 Downloads View citations (10)
    See also Working Paper Modeling and predicting market risk with Laplace-Gaussian mixture distributions, CFS Working Paper Series (2005) Downloads View citations (2) (2005)
  4. Value-at-Risk Prediction: A Comparison of Alternative Strategies
    Journal of Financial Econometrics, 2006, 4, (1), 53-89 Downloads View citations (280)

2003

  1. Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending
    Economic Inquiry, 2003, 41, (4), 565-573 Downloads View citations (23)

2002

  1. Forecasting stock market volatility and the informational efficiency of the DAX-index options market
    The European Journal of Finance, 2002, 8, (3), 302-321 Downloads View citations (21)
    See also Working Paper Forecasting stock market volatility and the informational efficiency of the DAX-index options market, CFS Working Paper Series (2002) Downloads View citations (22) (2002)
  2. Stationarity of stable power-GARCH processes
    Journal of Econometrics, 2002, 106, (1), 97-107 Downloads View citations (33)
  3. Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (1), 1-39 Downloads View citations (9)

2001

  1. Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries
    Empirical Economics, 2001, 26, (2), 429-446 Downloads View citations (54)

2000

  1. Diagnosing and treating the fat tails in financial returns data
    Journal of Empirical Finance, 2000, 7, (3-4), 389-416 Downloads View citations (41)
  2. Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market
    Journal of Futures Markets, 2000, 20, (5), 405-424 Downloads View citations (4)

1998

  1. CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES
    Econometric Theory, 1998, 14, (3), 339-354 Downloads View citations (4)
  2. Testing cointegrating coefficients in vector autoregressive error correction models
    Economics Letters, 1998, 58, (1), 1-5 Downloads View citations (6)
  3. Unconditional and Conditional Distributional Models for the Nikkei Index
    Asia-Pacific Financial Markets, 1998, 5, (2), 99-128 Downloads View citations (24)

1996

  1. Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances
    Studies in Nonlinear Dynamics & Econometrics, 1996, 1, (3), 1-15 Downloads View citations (7)

1993

  1. Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
    Econometrica, 1993, 61, (4), 857-70 Downloads View citations (35)
  2. Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
    Journal of Econometrics, 1993, 59, (3), 319-341 Downloads View citations (73)

1991

  1. Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
    Journal of Economic Dynamics and Control, 1991, 15, (4), 731-740 Downloads View citations (1)

1990

  1. Macroeconomic Forecasting Using Pooled International Data
    Journal of Business & Economic Statistics, 1990, 8, (2), 205-08 View citations (5)
  2. Macroeconomic forecasting experience with balanced state space models
    International Journal of Forecasting, 1990, 6, (3), 337-348 Downloads View citations (12)

1987

  1. Macroeconomic dynamics and econometric modelling
    European Journal of Operational Research, 1987, 30, (3), 258-261 Downloads
  2. Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes
    Economics Letters, 1987, 23, (3), 279-284 Downloads View citations (4)
  3. The determination of the state covariance matrix of moving-average processes without computation
    Economics Letters, 1987, 23, (2), 177-179 Downloads View citations (1)

1986

  1. Modelling Price Inflation Using Polynomial Distributed Lags: The Almon Lag Technique and its Pitfalls
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1986, 201, (5), 518-526 Downloads

Chapters

2014

  1. Estimating a Banking-Macro Model Using a Multi-regime VAR
    Springer View citations (4)
  2. Modeling the Dynamics of the Transition to a Green Economy
    Springer

2009

  1. Portfolio Selection with Common Correlation Mixture Models
    Springer View citations (2)

2007

  1. On the Methodology of Business Cycle Analysis
    Chapter 17 in Handbook of Survey-Based Business Cycle Analysis, 2007 Downloads

2005

  1. Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data
    Springer View citations (32)
    See also Working Paper Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data, CESifo (2004) Downloads View citations (52) (2004)

Editor

  1. Dynamic Modeling and Econometrics in Economics and Finance
    Springer
 
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