Stefan Mittnik

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Svetlozar RachevProfessor of Applied MathematicsVerified email at ttu.edu
Marc PaolellaDepartment of Banking and Finance, University of ZurichVerified email at bf.uzh.ch
Toker DoganogluProfessor of Economics, University of WürzburgVerified email at uni-wuerzburg.de
Keith KuesterUniversity of BonnVerified email at uni-bonn.de
Sergio FocardiProfessor of Finance De Vinci University and Researcher ESILV EMLV De Vinci, ParisVerified email at devinci.fr
Nikolay RobinzonovDepartment of Statistics, LMU MunichVerified email at stat.uni-muenchen.de
Thorsten NeumannProfessor University of Applied Sciences Neu-UlmVerified email at hnu.de
Peter ZadroznyU.S. Bureau of Labor StatisticsVerified email at bls.gov
Sandra PaterliniDepartment of Economics & Management, University of TrentoVerified email at unitn.it
Fulvio CorsiUniversity of PisaVerified email at unipi.it

Stefan Mittnik

Professor of Financial Econometrics, Ludwig-Maximilians-Universität (LMU) Munich

Verified email at stat.uni-muenchen.de - Homepage

Finance Econometrics Empirical Macroeconomics Climate Modeling


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Stable Paretian models in finance ST Rachev, S Mittnik Wiley, 2000	1136	2000
Value-at-risk prediction: A comparison of alternative strategies K Kuester, S Mittnik, MS Paolella Journal of Financial Econometrics 4 (1), 53-89, 2006	792	2006
A new approach to Markov-switching GARCH models M Haas, S Mittnik, MS Paolella Journal of financial econometrics 2 (4), 493-530, 2004	577	2004
The volatility of realized volatility F Corsi, S Mittnik, C Pigorsch, U Pigorsch Econometric Reviews 27 (1-3), 46-78, 2008	458	2008
Modeling asset returns with alternative stable distributions S Mittnik, ST Rachev Econometric reviews 12 (3), 261-330, 1993	441	1993
Mixed normal conditional heteroskedasticity M Haas, S Mittnik, MS Paolella Journal of financial Econometrics 2 (2), 211-250, 2004	257	2004
Financial econometrics: from basics to advanced modeling techniques ST Rachev, S Mittnik, FJ Fabozzi, SM Focardi John Wiley & Sons, 2007	253*	2007
Conditional density and value‐at‐risk prediction of Asian currency exchange rates S Mittnik, MS Paolella Journal of Forecasting 19 (4), 313-333, 2000	230	2000
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions PA Braun, S Mittnik Journal of Econometrics 59 (3), 319-341, 1993	183	1993
Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries S Mittnik, T Neumann Empirical Economics 26 (2), 429-446, 2001	165	2001
Regime dependence of the fiscal multiplier S Mittnik, W Semmler Journal of Economic Behavior & Organization 83 (3), 502-522, 2012	164	2012
Maximum likelihood estimation of stable Paretian models S Mittnik, T Doganoglu, D Chenyao Mathematical and Computer Modelling 29 (10-12), 275-293, 1999	152	1999
Computing the probability density function of the stable Paretian distribution S Mittnik, T Doganoglu, D Chenyao Mathematical and Computer Modelling 29 (10-12), 235-240, 1999	152	1999
Stable Paretian modeling in finance: Some empirical and theoretical aspects S Mittnik, ST Rachev, MS Paolella A practical guide to heavy tails, 79-110, 1998	133*	1998
Stationarity of stable power-GARCH processes S Mittnik, MS Paolella, ST Rachev Journal of Econometrics 106 (1), 97-107, 2002	130	2002
Diagnosing and treating the fat tails in financial returns data S Mittnik, MS Paolella, ST Rachev Journal of Empirical Finance 7 (3-4), 389-416, 2000	124	2000
Stable GARCH models for financial time series AK Panorska, S Mittnik, ST Rachev Applied Mathematics Letters 8 (5), 33-37, 1995	115	1995
Accurate value-at-risk forecasting based on the normal-GARCH model C Hartz, S Mittnik, M Paolella Computational Statistics & Data Analysis 51 (4), 2295-2312, 2006	112	2006
The real consequences of financial stress S Mittnik, W Semmler Journal of Economic Dynamics and Control 37 (8), 1479-1499, 2013	105	2013
Alternative multivariate stable distributions and their applications to financial modeling S Mittnik, ST Rachev Stable processes and related topics, 107-119, 1991	95	1991

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