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

975

Citations

RESEARCH PRODUCTION:

37

Articles

28

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   33 years (1986 - 2019). See details.
   Cites by year: 29
   Journals where Stefan Mittnik has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 27 (2.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmi387
   Updated: 2020-04-04    RAS profile: 2019-12-23    
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Relations with other researchers


Works with:

Semmler, Willi (3)

Fabozzi, Frank (3)

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 (40)

McAleer, Michael (24)

Rombouts, Jeroen (22)

Degiannakis, Stavros (19)

Bauwens, Luc (17)

Haas, Markus (14)

Schleer, Frauke (11)

Fabozzi, Frank (11)

Ruiz, Esther (10)

Broda, Simon (9)

Stentoft, Lars (9)

Cites to:

Semmler, Willi (33)

Bollerslev, Tim (27)

Engle, Robert (24)

Haas, Markus (20)

Schwert, G. (11)

Zadrozny, Peter (10)

pagan, adrian (10)

Laurent, Sébastien (10)

Hamilton, James (9)

Blanchard, Olivier (9)

Brunnermeier, Markus (9)

Main data


Where Stefan Mittnik has published?


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

Working Papers Series with more than one paper published# docs
CFS Working Paper Series / Center for Financial Studies (CFS)13
Papers / arXiv.org3
CESifo Working Paper Series / CESifo Group Munich2
Published Paper Series / Finance Discipline Group, UTS Business School, University of Technology, Sydney2

Recent works citing Stefan Mittnik (2020 and 2019)


YearTitle of citing document
2019A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery. In: Papers. RePEc:arx:papers:1712.05527.

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2019Modelling Extremal Dependence for Operational Risk by a Bipartite Graph. (2019). Paterlini, Sandra ; Kluppelberg, Claudia ; Kley, Oliver. In: Papers. RePEc:arx:papers:1902.03041.

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2019Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series. (2019). Cripps, Sally ; Gerlach, Richard ; Marchant, Roman ; James, Nick . In: Papers. RePEc:arx:papers:1902.03350.

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2019calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty. (2019). Hu, Wentao. In: Papers. RePEc:arx:papers:1908.00982.

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2019The Numerical Simulation of Quanto Option Prices Using Bayesian Statistical Methods. (2019). Wu, Jianhong ; Gao, Rui ; Li, Yaqiong ; Lin, Lisha. In: Papers. RePEc:arx:papers:1910.04075.

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2019Hybrid quantile estimation for asymmetric power GARCH models. (2019). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1911.09343.

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2019The Nexus between Government Expenditure and Revenue in Tanzania. (2019). Kazungu, Khatibu. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2019:p:158-170.

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2019Sentiment Indicators Based on a Short Business Tendency Survey. (2019). Suhoy, Tanya ; Roash, Daniel. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2019.11.

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2019Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models. (2019). NG, KOK HAUR ; Kok-Haur, NG ; Shelton, Peiris ; Thanakorn, Nitithumbundit ; So, Chan Jennifer. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:2:p:22:n:4.

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2019Score-Driven Models for Realized Volatility. (2019). Harvey, Andrew ; Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2019Chef oder Praktikant – wer beantwortet eigentlich die Fragebögen in den ifo Konjunkturumfragen?. (2019). Wohlrabe, Klaus ; Sauer, Stefan. In: ifo Schnelldienst. RePEc:ces:ifosdt:v:72:y:2019:i:03:p:30-32.

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2019The Potential Contribution of Central Banks to Green Finance. (2019). Schuberth, Helene ; Pointner, Wolfgang ; Breitenfellner, Andreas. In: Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research. RePEc:diw:diwvjh:88-2-5.

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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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2019Detecting structural breaks in realized volatility. (2019). Baek, Changryong ; Song, Junmo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:134:y:2019:i:c:p:58-75.

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2019Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. (2019). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:493-515.

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2019Modelling temporal dependence of realized variances with vines. (2019). Okhrin, Yarema ; Ivanov, Eugen ; Czado, Claudia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:198-216.

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2019Effect of gasoline prices on car fuel efficiency: Evidence from Lebanon. (2019). Marrouch, Walid ; Mourad, Jana. In: Energy Policy. RePEc:eee:enepol:v:135:y:2019:i:c:s0301421519305889.

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2019Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility. (2019). Yamawake, Toshiyuki ; Hodoshima, Jiro. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:74-81.

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2019The asymmetric high-frequency volatility transmission across international stock markets. (2019). Wang, Shengquan ; Luo, Jiawen. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:104-109.

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2019Systematic extreme downside risk. (2019). Stoja, Evarist ; Nguyen, Linh H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:128-142.

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2019Combining wavelet decomposition with machine learning to forecast gold returns. (2019). Risse, Marian. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:601-615.

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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav ; Barunik, Jozef. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:823-835.

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2019Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93.

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2020Tracking and outperforming large stock-market indices. (2020). Strub, O ; Gnagi, M. In: Omega. RePEc:eee:jomega:v:90:y:2020:i:c:s0305048318302640.

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2019Modeling volatility of precious metals markets by using regime-switching GARCH models. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Mubashra, Sana ; Naeem, Muhammad. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420719303022.

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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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2019Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump. (2019). Wang, Yiduan ; Zhang, BO. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:1012-1025.

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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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2019The Impact of Foreign Direct Investment on Trade (Export and Import) in Turkey. (2019). Karimov, Mehman. In: European Journal of Interdisciplinary Studies Articles. RePEc:eur:ejisjr:273.

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2019Realized Volatility Forecasting: Robustness to Measurement Errors. (2019). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_04.

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2020Economic Growth, Public and Private Investment: A Comparative Study of China and the United States. (2020). Koc, Muammer ; Ari, Ibrahim. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:6:p:2243-:d:332017.

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2019Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network. (2019). Duan, Tingting ; Wu, Binghui. In: Complexity. RePEc:hin:complx:2946018.

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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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2019The impact of the Fundamental Review of the Trading Book: A preliminary assessment on a stylized portfolio. (2019). Torricelli, Costanza ; Pederzoli, Rchiara. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:0075.

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2019Behind the success of dominated personal pension plans: sales force and financial literacy factors. (2019). Francesca, Francesca Gioia. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:0078.

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2019Business Cycle Implications of Capacity Constraints under Demand Shocks. (2019). Kuhn, Florian ; George, Chacko. In: Review of Economic Dynamics. RePEc:red:issued:17-108.

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2019Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem. (2019). Liagkouras, K ; Metaxiotis, K. In: Annals of Operations Research. RePEc:spr:annopr:v:272:y:2019:i:1:d:10.1007_s10479-018-2876-1.

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2019Un-diversifying during crises: Is it a good idea?. (2019). Paterlini, Sandra ; Giuzio, Margherita. In: Computational Management Science. RePEc:spr:comgts:v:16:y:2019:i:3:d:10.1007_s10287-018-0340-y.

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2019Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility. (2019). Tsakou, Katerina ; McMillan, David ; Kambouroudis, Dimos. In: Working Papers. RePEc:swn:wpaper:2019-03.

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2019Time-varying tail behavior for realized kernels. (2019). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190051.

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2019Modelling Extremal Dependence for Operational Risk by a Bipartite Graph. (2019). Paterlini, Sandra ; KLPPELBERG, CLAUDIA ; Kley, Oliver. In: DEM Working Papers. RePEc:trn:utwprg:2019/02.

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2019Volatility specifications versus probability distributions in VaR forecasting. (2019). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1926.

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2019The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants. (2019). Stolper, Oscar ; Fischer, Henning. In: Discussion Papers. RePEc:zbw:bubdps:082019.

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2019Making the square-root formula compatible with capital allocation. (2019). Schlutter, Sebastian ; Paulusch, Joachim. In: ICIR Working Paper Series. RePEc:zbw:icirwp:3319.

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Stefan Mittnik is editor of


Journal
Dynamic Modeling and Econometrics in Economics and Finance

Works by Stefan Mittnik:


YearTitleTypeCited
2016Pricing Derivatives in Hermite Markets In: Papers.
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2017Pricing derivatives in Hermite markets.(2017) In: Papers.
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paper
2019PRICING DERIVATIVES IN HERMITE MARKETS.(2019) In: International Journal of Theoretical and Applied Finance (IJTAF).
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article
2020Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach In: Papers.
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paper1
1990Macroeconomic Forecasting Using Pooled International Data. In: Journal of Business & Economic Statistics.
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article4
2016Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis In: Economic Notes.
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article2
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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paper47
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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article2
1998CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES In: Econometric Theory.
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article4
2018OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE In: Macroeconomic Dynamics.
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article0
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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article27
2006Accurate value-at-risk forecasting based on the normal-GARCH model In: Computational Statistics & Data Analysis.
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article29
2009Asymmetric multivariate normal mixture GARCH In: Computational Statistics & Data Analysis.
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article19
2008Asymmetric multivariate normal mixture GARCH.(2008) In: CFS Working Paper Series.
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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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article39
2013The Real Consequences of Financial Stress.(2013) In: SFB 649 Discussion Papers.
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2014VaR-implied tail-correlation matrices In: Economics Letters.
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article3
2013VaR-implied tail-correlation matrices.(2013) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 3
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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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article31
2015Quanto option pricing in the presence of fat tails and asymmetric dependence In: Journal of Econometrics.
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article10
1993Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions In: Journal of Econometrics.
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article49
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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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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1990Macroeconomic forecasting experience with balanced state space models In: International Journal of Forecasting.
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article3
2015Stock market volatility: Identifying major drivers and the nature of their impact In: Journal of Banking & Finance.
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article8
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
2019Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model In: IMF Working Papers.
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paper1
1986Modelling Price Inflation Using Polynomial Distributed Lags: The Almon Lag Technique and its Pitfalls In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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article0
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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article13
2006Portfolio optimization when risk factors are conditionally varying and heavy tailed.(2006) In: CFS Working Paper Series.
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2011Operational–risk Dependencies and the Determination of Risk Capital In: Center for Economic Research (RECent).
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paper3
2009Differential Evolution and Combinatorial Search for Constrained Index Tracking In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance).
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2009Differential evolution and combinatorial search for constrained index-tracking.(2009) In: Annals of Operations Research.
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article
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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article204
2001Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries In: Empirical Economics.
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article40
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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2008The Volatility of Realized Volatility In: Econometric Reviews.
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article137
2005The volatility of realized volatility.(2005) In: CFS Working Paper Series.
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2002Forecasting stock market volatility and the informational efficiency of the DAX-index options market In: The European Journal of Finance.
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article9
2002Forecasting stock market volatility and the informational efficiency of the DAX-index options market.(2002) In: CFS Working Paper Series.
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2009Memorandum on a new financial architecture and new regulations In: Published Paper Series.
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2009Financial market meltdown and a need for new financial regulations In: Published Paper Series.
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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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paper81
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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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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2014Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence In: ZEW Discussion Papers.
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paper1

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