Stefan Mittnik : Citation Profile


Are you Stefan Mittnik?

Ludwig-Maximilians-Universität München (90% share)
Center for Financial Studies (5% share)
CESifo (5% share)

17

H index

19

i10 index

917

Citations

RESEARCH PRODUCTION:

32

Articles

21

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1987 - 2015). See details.
   Cites by year: 32
   Journals where Stefan Mittnik has often published
   Relations with other researchers
   Recent citing documents: 133.    Total self citations: 25 (2.65 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmi387
   Updated: 2019-04-20    RAS profile: 2016-04-02    
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Relations with other researchers


Works with:

Semmler, Willi (3)

Wohlrabe, Klaus (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stefan Mittnik.

Is cited by:

Semmler, Willi (41)

McAleer, Michael (24)

Rombouts, Jeroen (22)

Degiannakis, Stavros (18)

Bauwens, Luc (17)

Haas, Markus (14)

Schleer, Frauke (11)

Ruiz, Esther (10)

Fabozzi, Frank (10)

Broda, Simon (9)

Stentoft, Lars (9)

Cites to:

Semmler, Willi (28)

Bollerslev, Tim (25)

Engle, Robert (21)

Haas, Markus (20)

Schwert, G. (10)

Laurent, Sébastien (10)

pagan, adrian (10)

Granger, Clive (9)

Zadrozny, Peter (9)

Bauwens, Luc (8)

Blanchard, Olivier (8)

Main data


Where Stefan Mittnik has published?


Journals with more than one article published# docs
Economics Letters4
Journal of Econometrics3
Journal of Economic Dynamics and Control2
Computational Statistics & Data Analysis2
Studies in Nonlinear Dynamics & Econometrics2

Working Papers Series with more than one paper published# docs
CFS Working Paper Series / Center for Financial Studies (CFS)13
CESifo Working Paper Series / CESifo Group Munich2

Recent works citing Stefan Mittnik (2018 and 2017)


YearTitle of citing document
2018Understanding Why Fiscal Stimulus Can Fail through the Lens of the Survey of Professional Forecasters. (2018). Zhang, Shuwei ; Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2018-04.

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2017Government Purchases Reloaded : Informational Insufficiency and Heterogeneity in Fiscal VARs. (2017). Ricco, Giovanni ; Ellahie, Atif. In: Economic Research Papers. RePEc:ags:uwarer:269308.

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2017“Let the data do the talking: Empirical modelling of survey-based expectations by means of genetic programming”. (2017). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201706.

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2018“Tracking economic growth by evolving expectations via genetic programming: A two-step approach”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201801.

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2017Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498.

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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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2018Improving Value-at-Risk prediction under model uncertainty. (2018). Yang, Shuzhen ; Yao, Jianfeng. In: Papers. RePEc:arx:papers:1805.03890.

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2018A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

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2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

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2018Tail Risk in a Retail Payment System: An Extreme-Value Approach. (2018). Perez-Saiz, Hector ; Xerri, Gabriel ; Williams, Blair. In: Discussion Papers. RePEc:bca:bocadp:18-2.

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2017Does Extreme Rainfall Lead to Heavy Economic Losses in the Food Industry?. (2017). Araujo, Gustavo ; da Silva, Wesley Mendes ; Lucas, Edimilson Costa. In: Working Papers Series. RePEc:bcb:wpaper:462.

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2017The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist. In: Bank of England working papers. RePEc:boe:boeewp:0660.

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2018Das neue ifo Geschäftsklima Deutschland. (2018). Wohlrabe, Klaus ; Sauer, Stefan. In: ifo Schnelldienst. RePEc:ces:ifosdt:v:71:y:2018:i:07:p:54-60.

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2017Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach. (2017). Segnon, Mawuli ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:6617.

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2017Estimating Fiscal multipliers in the Eurozone. A Nonlinear Panel Data Approach.. (2017). Perdichizzi, Salvatore. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def058.

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2018Public Expenditure Multipliers in recessions. Evidence from the Eurozone.. (2018). Boitani, Andrea ; Perdichizzi, Salvatore . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def068.

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2018Value-at-Risk prediction using option-implied risk measures. (2018). Schindelhauer, Kai ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Ciarreta, Aitor ; Muniainy, Peru . In: ISER Discussion Paper. RePEc:dpr:wpaper:0991.

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2017Destabilizing effects of bank overleveraging on real activity - an analysis based on a threshold MCS-GVAR. (2017). Semmler, Willi ; Henry, Jerome ; Gross, Marco. In: Working Paper Series. RePEc:ecb:ecbwps:20172081.

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2019Sensitivity of Fiscal Balances to Oil Price Shocks: Short and Long Term Effects in the Context of Oman. (2019). Hassan, Hisham Mohamed ; Devesh, Sonal ; Ibrahim, Omer Ali . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-02-17.

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2017Debt-deflation, financial market stress and regime change – Evidence from Europe using MRVAR. (2017). Semmler, Willi ; Ernst, Ekkehard ; Haider, Alexander . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:81:y:2017:i:c:p:115-139.

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2017Liquidity traps and large-scale financial crises. (2017). Pellegrino, Giovanni ; Damette, Olivier ; Castelnuovo, Efrem ; Caggiano, Giovanni ; Parent, Antoine. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:81:y:2017:i:c:p:99-114.

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2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

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2017The sources of contagion risk in a banking sector with foreign ownership. (2017). Havranek, Tomas ; Fiala, Tomas . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:108-121.

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2017Current account imbalances: A new approach to assess external debt sustainability. (2017). Semmler, Willi ; Tahri, Ibrahim . In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:161-170.

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2017Forecasting the oil futures price volatility: A new approach. (2017). Ma, Feng ; Chen, Wang ; Huang, Dengshi ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566.

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2018International risk transmission of stock market movements. (2018). Shen, Yifan. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:220-236.

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2017Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

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2018European quanto option pricing in presence of liquidity risk. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:230-244.

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2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2018Estimating stable latent factor models by indirect inference. (2018). Halbleib, Roxana ; Calzolari, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:280-301.

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2017Asymmetric stable Paretian distribution testing. (2017). Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:19-39.

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2017Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111.

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2018Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77.

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2018The state-dependent effects of tax shocks. (2018). Wolff, Jonathan ; Sims, Eric. In: European Economic Review. RePEc:eee:eecrev:v:107:y:2018:i:c:p:57-85.

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2017Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates. (2017). Fries, Christian P ; Seeger, Norman ; Nigbur, Tobias . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:175-198.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2018Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138.

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2018Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets. (2018). Qu, Hui ; Niu, Mengyi ; Duan, Qingling. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:767-776.

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2018Risk transmission mechanism between energy markets: A VAR for VaR approach. (2018). Shi, Xunpeng ; Padinjare, Hari Malamakkavu ; Shen, Yifan. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:377-388.

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2018High-frequency volatility connectedness between the US crude oil market and Chinas agricultural commodity markets. (2018). Luo, Jiawen ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:424-438.

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2017Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach. (2017). Evgenidis, Anastasios ; Tsagkanos, Athanasios. In: International Review of Financial Analysis. RePEc:eee:finana:v:51:y:2017:i:c:p:69-81.

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2018A simulation comparison of risk measures for portfolio optimization. (2018). Righi, Marcelo Brutti ; Borenstein, Denis. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017A vector heterogeneous autoregressive index model for realized volatility measures. (2017). Hecq, Alain ; Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:337-344.

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2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. (2017). Fuertes, Ana-Maria ; Kalotychou, Elena ; Fei, Fei . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:662-678.

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2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:958-969.

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2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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2017An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

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2018Value at risk and expected shortfall based on Gram-Charlier-like expansions. (2018). Zoia, Maria ; Nicolussi, Federica ; Biffi, Paola . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:92-104.

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2017Volatility forecasting using high frequency data: The role of after-hours information and leverage effects. (2017). Zhu, Xuehong ; Zhong, Meirui ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:54:y:2017:i:c:p:58-70.

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2017Government purchases reloaded: Informational insufficiency and heterogeneity in fiscal VARs. (2017). Ricco, Giovanni ; Ellahie, Atif. In: Journal of Monetary Economics. RePEc:eee:moneco:v:90:y:2017:i:c:p:13-27.

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2017American option valuation under time changed tempered stable Lévy processes. (2017). Gong, Xiaoli ; Zhuang, Xintian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:57-68.

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2017Complexity and multifractal behaviors of multiscale-continuum percolation financial system for Chinese stock markets. (2017). Zeng, Yayun ; Xu, Kaixuan ; Wang, Jun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:364-376.

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2017Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation. (2017). Zhang, Wei ; Wang, Jun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:29-41.

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2019Forecasting the KOSPI200 spot volatility using various volatility measures. (2019). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:156-166.

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2019Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics. (2019). Jia, Linlu ; Wang, Jun ; Ke, Jinchuan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:370-383.

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2017Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection. (2017). Santanna, Leonardo R ; Caldeira, Joo F ; Filomena, Tiago P. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:146-157.

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2017Stock index hedging using a trend and volatility regime-switching model involving hedging cost. (2017). Su, Ender . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:233-254.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2018Economic dynamics during periods of financial stress: Evidences from Brazil. (2018). Stona, Filipe ; Triches, Divanildo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:130-144.

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2018Estimating downside risk in stock returns under structural breaks. (2018). Hood, Matthew ; Malik, Farooq . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:102-112.

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2019Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate. (2019). Yang, Lu ; Zeng, Yu-Feng ; Chen, Wang ; Hu, Shichao ; Peng, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:137-149.

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2019An analysis of the arbitrage efficiency of the Chinese SSE 50ETF options market. (2019). Zhang, Huiming ; Watada, Junzo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:474-489.

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2017The one-trading-day-ahead forecast errors of intra-day realized volatility. (2017). Degiannakis, Stavros. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1298-1314.

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2018Truncated fractional moments of stable laws. (2018). Nolan, John P. In: Statistics & Probability Letters. RePEc:eee:stapro:v:137:y:2018:i:c:p:312-318.

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2018A dynamic Markov regime-switching GARCH model and its cumulative impulse response function. (2018). Kim, Yujin ; Hwang, Eunju. In: Statistics & Probability Letters. RePEc:eee:stapro:v:139:y:2018:i:c:p:20-30.

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2018Shipping equity risk behavior and portfolio management. (2018). VISVIKIS, ILIAS ; Kyriakou, Ioannis ; Papapostolou, Nikos C ; Pouliasis, Panos K. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:116:y:2018:i:c:p:178-200.

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2017Public investment, inflation persistence and central bank independence. (2017). Tsintzos, Panagiotis ; Spyromitros, Eleftherios ; Papadamou, Stephanos. In: Journal of Economic Studies. RePEc:eme:jespps:jes-10-2016-0214.

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2018Estimación del VaR mediante un modelo condicional multivariado bajo la hipótesis α-estable sub-Gaussiana. (A conditional approach to VaR with multivariate α-stable sub-Gaussian distributions).. (2018). Bautista, Ramona Serrano ; Mata, Leovardo Mata. In: Ensayos Revista de Economia. RePEc:ere:journl:v:xxxvii:y:2018:i:1:p:43-76.

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2017The Univariate Collapsing Method for Portfolio Optimization. (2017). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:18-:d:97715.

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2017The Solvency II Standard Formula, Linear Geometry, and Diversification. (2017). Paulusch, Joachim. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:11-:d:98991.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2017Let the data do the talking: Empirical modelling of survey-based expectations by means of genetic programming. (2017). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: IREA Working Papers. RePEc:ira:wpaper:201711.

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2018“Tracking economic growth by evolving expectations via genetic programming: A two-step approach”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: IREA Working Papers. RePEc:ira:wpaper:201801.

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2017The impact of investment in Public Private Partnerships on Public, Private investment and GDP in Portugal. (2017). Aubyn, Miguel ; Pimentel, Inacia ; Ribeiro, Nuno ; st Aubyn, Miguel. In: Working Papers Department of Economics. RePEc:ise:isegwp:wp132017.

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2018Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature. (2018). Tian, Dingshi ; Fang, Ying ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201807.

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2018Systemic risk in Europe: deciphering leading measures, common patterns and real effects. (2018). Stolbov, Mikhail ; Shchepeleva, Maria. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0310-3.

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2019Quanto Option Pricing with Lévy Models. (2019). Park, Jiho ; Fabozzi, Frank J ; Kim, Young S ; Fallahgoul, Hasan A. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-018-9807-8.

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2018A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization. (2018). Mba, Jules Clement ; Koumba, UR ; Pindza, Edson . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:4:d:10.1007_s11408-018-0320-9.

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2018Unintended Consequences of Risk Based Pricing: Racial Differences in Mortgage Costs. (2018). Daniels, Kenneth ; Smith, Brent C. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:54:y:2018:i:3:d:10.1007_s10693-017-0274-5.

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2018Short and Long Effects of Productivity on Unemployment. (2018). Semmler, Willi ; Chen, Pu. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:4:d:10.1007_s11079-018-9486-z.

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2018Tempered stable structural model in pricing credit spread and credit default swap. (2018). Ik, Sung ; Kim, Young Shin. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9135-5.

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2018How accurate are modern Value-at-Risk estimators derived from extreme value theory?. (2018). Mogel, Benjamin ; Auer, Benjamin R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0652-y.

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2017Public Investment and GDP Growth in Developing and Advanced Countries: A Panel Data Analysis. (2017). Goumrhar, Hicham ; Oukhallou, Youssef . In: Journal of Economics Bibliography. RePEc:ksp:journ6:v:4:y:2017:i:1:p:77-86.

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2017Past Income Scarcity and Current Perception of Financial Fragility. (2017). Torricelli, Costanza ; Gallo, Giovanni ; Baldini, Massimo. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:0064.

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2018Customer Complaining and Probability of Default in Consumer Credit. (2018). Cosma, Stefano ; Vezzani, Paola ; Pancotto, Francesca. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:0068.

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2017Past Income Scarcity and Current Perception of Financial Fragility. (2017). Baldini, Massimo ; Torricelli, Costanza ; Gallo, Giovanni. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:17121.

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2018Customer Complaining and Probability of Default in Consumer Credit. (2018). Cosma, Stefano ; Vezzani, Paola ; Pancotto, Francesca. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:18031.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2017Time variation in the size of the multiplier: a Kalecki-Harrod approach. (2017). Setterfield, Mark. In: Working Papers. RePEc:new:wpaper:1522.

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2017Re-Booting Europe: What kind of Fiscal Union - What kind of Social Union?. (2017). Semmler, Willi ; Young, Brigitte . In: Working Papers. RePEc:new:wpaper:1713.

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More than 100 citations found, this list is not complete...

Works by Stefan Mittnik:


YearTitleTypeCited
1990Macroeconomic Forecasting Using Pooled International Data. In: Journal of Business & Economic Statistics.
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article4
1996Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances In: Studies in Nonlinear Dynamics & Econometrics.
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article4
2002Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data In: Studies in Nonlinear Dynamics & Econometrics.
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article6
2004Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data In: CESifo Working Paper Series.
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paper46
2013The Micro Dynamics of Macro Announcements In: CESifo Working Paper Series.
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paper1
2013Was bewegt den DAX? In: ifo Schnelldienst.
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article1
1998CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES In: Econometric Theory.
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article4
2011The Instability of the Banking Sector and Macrodynamics: Theory and Empirics In: DEGIT Conference Papers.
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paper2
1993Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models. In: Econometrica.
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article28
2006Accurate value-at-risk forecasting based on the normal-GARCH model In: Computational Statistics & Data Analysis.
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article26
2009Asymmetric multivariate normal mixture GARCH In: Computational Statistics & Data Analysis.
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article18
2008Asymmetric multivariate normal mixture GARCH.(2008) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 18
paper
1991Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models In: Journal of Economic Dynamics and Control.
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article1
2013The real consequences of financial stress In: Journal of Economic Dynamics and Control.
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article40
2013The Real Consequences of Financial Stress.(2013) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 40
paper
2014VaR-implied tail-correlation matrices In: Economics Letters.
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article2
2013VaR-implied tail-correlation matrices.(2013) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 2
paper
1987The determination of the state covariance matrix of moving-average processes without computation In: Economics Letters.
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article1
1987Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes In: Economics Letters.
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article3
1998Testing cointegrating coefficients in vector autoregressive error correction models In: Economics Letters.
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article6
2002Stationarity of stable power-GARCH processes In: Journal of Econometrics.
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article30
2015Quanto option pricing in the presence of fat tails and asymmetric dependence In: Journal of Econometrics.
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article9
1993Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions In: Journal of Econometrics.
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article44
1987Macroeconomic dynamics and econometric modelling In: European Journal of Operational Research.
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article0
2000Diagnosing and treating the fat tails in financial returns data In: Journal of Empirical Finance.
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article32
2006Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts In: Journal of Financial Stability.
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article7
2004Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts.(2004) In: Departmental Working Papers.
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paper
2005Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts.(2005) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 7
paper
1990Macroeconomic forecasting experience with balanced state space models In: International Journal of Forecasting.
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article3
2012Regime dependence of the fiscal multiplier In: Journal of Economic Behavior & Organization.
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article44
2012Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR In: EcoMod2012.
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paper0
2007On the Methodology of Business Cycle Analysis In: Chapters.
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chapter0
1998Unconditional and Conditional Distributional Models for the Nikkei Index In: Asia-Pacific Financial Markets.
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article18
2007Portfolio optimization when risk factors are conditionally varying and heavy tailed In: Computational Economics.
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article12
2006Portfolio optimization when risk factors are conditionally varying and heavy tailed.(2006) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 12
paper
2011Operational–risk Dependencies and the Determination of Risk Capital In: Center for Economic Research (RECent).
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paper1
2003Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending In: Economic Inquiry.
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article17
2006Value-at-Risk Prediction: A Comparison of Alternative Strategies In: Journal of Financial Econometrics.
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article191
2009Differential evolution and combinatorial search for constrained index-tracking In: Annals of Operations Research.
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article25
2001Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries In: Empirical Economics.
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article39
2006Modelling and predicting market risk with Laplace-Gaussian mixture distributions In: Applied Financial Economics.
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article9
2005Modeling and predicting market risk with Laplace-Gaussian mixture distributions.(2005) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 9
paper
2008The Volatility of Realized Volatility In: Econometric Reviews.
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article125
2005The volatility of realized volatility.(2005) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 125
paper
2002Forecasting stock market volatility and the informational efficiency of the DAX-index options market In: The European Journal of Finance.
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article10
2002Forecasting stock market volatility and the informational efficiency of the DAX-index options market.(2002) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 10
paper
2000Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market In: Journal of Futures Markets.
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article2
2002Mixed normal conditional heteroskedasticity In: CFS Working Paper Series.
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paper77
2003Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions In: CFS Working Paper Series.
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paper18
2006Multivariate normal mixture GARCH In: CFS Working Paper Series.
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paper3
2006Accurate Value-at-Risk forecast with the (good old) normal-GARCH model In: CFS Working Paper Series.
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paper0
2008Multivariate regimeswitching GARCH with an application to international stock markets In: CFS Working Paper Series.
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paper7
2008Value-at-Risk and expected shortfall for rare events In: CFS Working Paper Series.
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paper0
2014Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence In: ZEW Discussion Papers.
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