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 View citations (1)
2. Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation
   Papers, arXiv.org View citations (1)
   See also Journal Article Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation, JRFM, MDPI (2022) (2022)

2022

3. ESG-Valued Portfolio Optimization and Dynamic Asset Pricing
   Papers, arXiv.org View citations (4)
4. Hedonic Models of Real Estate Prices: GAM and Environmental Factors
   Papers, arXiv.org View citations (2)

2020

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

2019

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

2017

7. Pricing derivatives in Hermite markets
   Papers, arXiv.org
   Also in Papers, arXiv.org (2016)
   See also Journal Article PRICING DERIVATIVES IN HERMITE MARKETS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2019) View citations (1) (2019)

2014

8. Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence
   ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research 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) View citations (9) (2018)

2013

9. The Micro Dynamics of Macro Announcements
   CESifo Working Paper Series, CESifo View citations (4)
10. The real consequences of financial stress
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (2)
    See also Journal Article The real consequences of financial stress, Journal of Economic Dynamics and Control, Elsevier (2013) View citations (75) (2013)
11. VaR-implied tail-correlation matrices
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
    See also Journal Article VaR-implied tail-correlation matrices, Economics Letters, Elsevier (2014) View citations (6) (2014)

2012

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

2011

13. 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" View citations (5)
14. The Instability of the Banking Sector and Macrodynamics: Theory and Empirics
    DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade View citations (4)

2009

15. 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" View citations (56)
    See also Journal Article Differential evolution and combinatorial search for constrained index-tracking, Annals of Operations Research, Springer (2009) View citations (56) (2009)
16. Financial market meltdown and a need for new financial regulations
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
17. Memorandum on a new financial architecture and new regulations
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney

2008

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

2006

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

2005

24. Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
    CFS Working Paper Series, Center for Financial Studies (CFS)
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2004) 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) View citations (8) (2006)
25. Modeling and predicting market risk with Laplace-Gaussian mixture distributions
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (2)
    See also Journal Article Modelling and predicting market risk with Laplace-Gaussian mixture distributions, Applied Financial Economics, Taylor & Francis Journals (2006) View citations (11) (2006)
26. The volatility of realized volatility
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (23)
    See also Journal Article The Volatility of Realized Volatility, Econometric Reviews, Taylor & Francis Journals (2008) View citations (241) (2008)

2004

27. Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data
    CESifo Working Paper Series, CESifo 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

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

2002

29. Forecasting stock market volatility and the informational efficiency of the DAX-index options market
    CFS Working Paper Series, Center for Financial Studies (CFS) 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) View citations (21) (2002)
30. Mixed normal conditional heteroskedasticity
    CFS Working Paper Series, Center for Financial Studies (CFS) 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
2. Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors
   JRFM, 2022, 15, (12), 1-11
3. Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation
   JRFM, 2022, 15, (5), 1-23
   See also Working Paper Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation, Papers (2023) View citations (1) (2023)

2021

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

2020

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

2019

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

2018

7. OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE
   Macroeconomic Dynamics, 2018, 22, (1), 4-32 View citations (9)
   See also Working Paper Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence, ZEW Discussion Papers (2014) View citations (4) (2014)

2016

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

2015

9. Quanto option pricing in the presence of fat tails and asymmetric dependence
   Journal of Econometrics, 2015, 187, (2), 512-520 View citations (27)
10. Stock market volatility: Identifying major drivers and the nature of their impact
    Journal of Banking & Finance, 2015, 58, (C), 1-14 View citations (49)

2014

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

2013

12. The real consequences of financial stress
    Journal of Economic Dynamics and Control, 2013, 37, (8), 1479-1499 View citations (75)
    See also Working Paper The real consequences of financial stress, SFB 649 Discussion Papers (2013) View citations (2) (2013)
13. Was bewegt den DAX?
    ifo Schnelldienst, 2013, 66, (23), 32-36 View citations (3)

2012

14. Regime dependence of the fiscal multiplier
    Journal of Economic Behavior & Organization, 2012, 83, (3), 502-522 View citations (69)

2010

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

2009

16. Asymmetric multivariate normal mixture GARCH
    Computational Statistics & Data Analysis, 2009, 53, (6), 2129-2154 View citations (23)
    See also Working Paper Asymmetric multivariate normal mixture GARCH, CFS Working Paper Series (2008) (2008)
17. Differential evolution and combinatorial search for constrained index-tracking
    Annals of Operations Research, 2009, 172, (1), 153-176 View citations (56)
    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) View citations (56) (2009)

2008

18. The Volatility of Realized Volatility
    Econometric Reviews, 2008, 27, (1-3), 46-78 View citations (241)
    See also Working Paper The volatility of realized volatility, CFS Working Paper Series (2005) View citations (23) (2005)

2007

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

2006

20. Accurate value-at-risk forecasting based on the normal-GARCH model
    Computational Statistics & Data Analysis, 2006, 51, (4), 2295-2312 View citations (41)
21. Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts
    Journal of Financial Stability, 2006, 2, (1), 28-54 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) (2005)
22. Modelling and predicting market risk with Laplace-Gaussian mixture distributions
    Applied Financial Economics, 2006, 16, (15), 1145-1162 View citations (11)
    See also Working Paper Modeling and predicting market risk with Laplace-Gaussian mixture distributions, CFS Working Paper Series (2005) View citations (2) (2005)
23. Value-at-Risk Prediction: A Comparison of Alternative Strategies
    Journal of Financial Econometrics, 2006, 4, (1), 53-89 View citations (287)

2003

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

2002

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

2001

28. Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries
    Empirical Economics, 2001, 26, (2), 429-446 View citations (55)

2000

29. Diagnosing and treating the fat tails in financial returns data
    Journal of Empirical Finance, 2000, 7, (3-4), 389-416 View citations (42)
30. Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market
    Journal of Futures Markets, 2000, 20, (5), 405-424 View citations (4)

1998

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

1996

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

1993

35. Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
    Econometrica, 1993, 61, (4), 857-70 View citations (36)
36. Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
    Journal of Econometrics, 1993, 59, (3), 319-341 View citations (74)

1991

37. 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 View citations (1)

1990

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

1987

40. Macroeconomic dynamics and econometric modelling
    European Journal of Operational Research, 1987, 30, (3), 258-261
41. 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 View citations (4)
42. The determination of the state covariance matrix of moving-average processes without computation
    Economics Letters, 1987, 23, (2), 177-179 View citations (1)

1986

43. 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

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

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

2007

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

2005

5. 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) View citations (52) (2004)

Editor

1. Dynamic Modeling and Econometrics in Economics and Finance
   Springer